Showing 11 - 20 of 934
In this paper we consider stochastic purchase timing models used in marketing for low-involvement products and show that important characteristics of those models are easy to compute. As such these calculations are based on an elementary probabilistic argument and cover not only the well-known...
Persistent link: https://www.econbiz.de/10010837989
In this paper, we generalize the notion of weighted centers to semidefinite programming. Our analysis fits in the v-space framework, which is purely based on the symmetric primal-dual transformation and does not make use of barriers. Existence and scale invariance properties are proven for the...
Persistent link: https://www.econbiz.de/10010731574
In this paper we study a class of quadratic maximization problems and their semidefinite programming (SDP) relaxation. For a special subclass of the problems we show that the SDP relaxation provides an exact optimal solution. Another subclass, which is ${\\cal NP}$-hard, guarantees that the SDP...
Persistent link: https://www.econbiz.de/10010731579
We study stochastic linear--quadratic (LQ) optimal control problems over an infinite horizon, allowing the cost matrices to be indefinite. We develop a systematic approach based on semidefinite programming (SDP). A central issue is the stability of the feedback control; and we show this can be...
Persistent link: https://www.econbiz.de/10010731580
There is no abstract of this report
Persistent link: https://www.econbiz.de/10010731629
We propose a polynomial time primal-dual potential reduction algorithm for linear programming. Unlike any other interior point method, the new algorithm is based on a rank-one updating scheme for sequentially computing the projection matrices. For a standard linear programming problem, the...
Persistent link: https://www.econbiz.de/10010731679
This paper attempts to extend the notion of duality for convex cones, by basing it on a predescribed conic ordering and a fixed bilinear mapping. This is an extension of the standard definition of dual cones, in the sense that the nonnegativity of the inner-product is replaced by a pre-specified...
Persistent link: https://www.econbiz.de/10010731905
In this paper, we develop various calculus rules for general smooth matrix-valued functions and for the class of matrix convex (or concave) functions first introduced by Loewner and Kraus in 1930s. Then we use these calculus rules and the matrix convex function -log X to study a new notion of...
Persistent link: https://www.econbiz.de/10010731925
In this paper a one-machine scheduling model is analyzed where [TeX: $n$] different jobs are classified into [TeX: $K$] groups depending on which additional resource they require. The change-over time from one job to another consists of the removal time or of the set-up time of the two jobs. It...
Persistent link: https://www.econbiz.de/10010837729
This paper considers the problem of minimizing a linear function over the intersection of an affine space with a closed convex cone. In the first half of the paper, we give a detailed study of duality properties of this problem and present examples to illustrate these properties. In particular,...
Persistent link: https://www.econbiz.de/10010837760