This paper deals with lot sizing and scheduling for a single-stage production System where setup costs and times are sequence dependent. A large bücket mixed integer programming (MIP) model is formulated which considers only efficient sequences. A tailor-made enumeration method of the...

We examine the linear-quadratic (LQ) approximation of non-linear stochastic dynamic optimization problems in macroeconomics, in particular for monetary policy. We make four main contributions: first, we draw attention to a general Hamiltonian framework for LQ approximation due to Magill (1977)....

We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities, as shown by Bjork and Christensen (1999). Still, central banks and public wealth managers rely...

In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a credit risk model - based on publicly available information - with the aim of developing a tool to monitor credit risk in a sample of large and complex banking groups (LCBGs) in...

This article considers the economic and environmental (in terms of CO2) effects of national energy policies in a European Single Market for electricity. It was found that the combined CO2/Energy-tax proposed by the European Commission would be able to stabilise the current volume of...

A batch sequencing model with sequence-dependent setup-times and -costs is used to compare modelling and solving with two different general solvers. "Conceptual models" are implemented in the constraint propagation / logic programming language CHARME and solved with the PROLOG inference engine....

Two phases can be distinguished in academic course scheduling: In phase one lectures have to be assigned to professors, whereas in phase two the lectures have to be scheduled. Here we assume that the lectures are already assigned to professors, i.e. the first phase has been done. For the second...

We consider the multi-mode resource-constrained project scheduling problem. The focus is on an algorithm which is supposed to find a makespan optimal solution. This algorithm has been presented in a recent paper by Speranza and Vercellis. The correctness of the algorithm is examined. Moreover,...

This contribution deals with dynamic, capacitated, multi-level lot sizing and scheduling. The basic assumption is that for each item there is exactly one machine that this item can be manufactured on but no two items share a common machine. Finding an optimal solution with a greedy algorithm...

This contribution acquaints the reader with a model for multi-level single-machine proportional lot sizing and scheduling problems (PLSPs) that appear in the scope of short-term production planning. It is one of the first papers that deals with dynamic capacitated multi-level lot sizing and...