This paper develops tools for analyzing properties of stochastic objective functions which take the form (formula). The paper analyzes the relationship between properties of the primitive functions, such as utility functions u and probability distributions F, and properties of the stochastic...

In this paper we present the algorithmic framework and practical aspects of implementing a parallel version of a primal-dual semidefinite programming solver on a distributed memory computer cluster. Our implementation is based on the CSDP solver and uses a message passing interface (MPI), and...

Clarke & Wright algorithm is a well-known algorithm for Vehicle Routing Problem (VRP). Using this algorithm one can find the best possible route for fleet allocation and movement by calculating distances from the home position to all points; distances between points; and then calculating the...

Express service carriers provide time-guaranteed deliveries of parcels via a network consisting of nodes and hubs. In this, nodes take care of the collection and delivery of parcels, and hubs have the function to consolidate parcels in between the nodes. The tactical network design problem...

We give sufficient conditions under which a policy that assigns customers to the Fastest Available Server, labelled FAS, is optimal among non-idling policies in queuing models with multiple independent Markov-modulated Poisson arrival processes and heterogeneous parallel exponential servers with...

In this paper, we use a reformulation of the symmetric and the asymmetric travelling salesman problem more suitable for Lagrangean relaxation and analyse the new approach on examples from TSP Lib. Furthermore the Lagrangean relaxed subproblems are travelling salesman alike which means that...

In this paper, we state sufficiency, necessity, convergence, existence and uniqueness results for infinite horizon optimal control problems with unbounded payoffs in which the assumptions are very weak and there are no topological assumptions about the model components. We also state a sequence...

We provide a survey of recent results on model calibration by Optimal Transport. We present the general framework and then discuss the calibration of local, and local-stochastic, volatility models to European options, the joint VIX/SPX calibration problem as well as calibration to some...

We propose a new method for solving high-dimensional dynamic programming problems and recursive competitive equilibria with a large (but finite) number of heterogeneous agents using deep learning. The „curse of dimensionality“ is avoided due to four complementary techniques: (1) exploiting...