This paper studies simulation-based optimization with multiple outputs. It assumes that the simulation model has one random objective function and must satisfy given constraints on the other random outputs. It presents a statistical procedure for testing whether a specific input combination...

We consider semidefinite programming relaxations of the quadratic assignment problem, and show how to exploit group symmetry in the problem data. Thus we are able to compute the best known lower bounds for several instances of quadratic assignment problems from the problem library: [R.E....

In this note we present as well necessary as sufficient conditions for existence of a Pareto optimum for general non-convex differential games. The obtained results are used to analyze the non-convex regular indefinite linear quadratic differential game. For the scalar case an algorithm is...

Many optimisation problems in finance and economics have multiple local optima or discontinuities in their objective functions. In such cases it is stressed that ‘good starting points are important’. We look into a particular example: calibrating a yield curve model. We find that while...

In this article we derive necessary and sufficient conditions for the existence of Pareto optimal solutions for an N player cooperative infinite horizon differential game. Firstly, we write the problem of finding Pareto candidates as solving N constrained optimal control subproblems. We derive...

A fast method based on coordinate-wise descent algorithms is developed to solve portfolio optimization problems in which asset weights are constrained by Lq norms for 1=q=2. The method is first applied to solve a minimum variance portfolio (mvp) optimization problem in which asset weights are...

This paper proposes a new methodology to solve partially observed inventory problems. Generally, these problems have infinitedimensional states that are conditional distribution of the inventory level. Our methodology involves linearizing the state transitions via unnormalized probabilities. It...

This paper focuses on the construction of a composite indicator for the knowledge based economy using imprecise data. Specifically, for some indicators we only have information on the bounds of the interval within which the true value is believed to lie. The proposed approach is based on a...

We study the existence problem of a zero point of a function defined on a finite set of elements of the integer lattice of the n-dimensional Euclidean space. It is assumed that the set is integrally convex, which implies that the convex hull of the set can be subdivided in simplices such that...