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IOR
2008
103views more  IOR 2008»
13 years 5 months ago
Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
We consider the risk of a portfolio comprised of loans, bonds, and financial instruments that are subject to possible default. In particular, we are interested in performance meas...
Achal Bassamboo, Sandeep Juneja, Assaf J. Zeevi
IOR
2008
104views more  IOR 2008»
13 years 5 months ago
Arrival Rate Approximation by Nonnegative Cubic Splines
Estimating the arrival rate function of a non-homogeneous Poisson process based on observed arrival data is a problem naturally arising in many applications. Cubic spline function...
Farid Alizadeh, Jonathan Eckstein, Nilay Noyan, G&...
IOR
2007
65views more  IOR 2007»
13 years 5 months ago
A Comparison of the Optimal Costs of Two Canonical Inventory Systems
We compare two inventory systems, one in which excess demand is lost and the other in which excess demand is backordered. Both systems are reviewed periodically. They experience t...
Ganesh Janakiraman, Sridhar Seshadri, J. George Sh...
IOR
2007
106views more  IOR 2007»
13 years 5 months ago
Planning and Scheduling by Logic-Based Benders Decomposition
We combine mixed integer linear programming (MILP) and constraint programming (CP) to solve an important class of planning and scheduling problems. Tasks are allocated to faciliti...
John N. Hooker
IOR
2007
89views more  IOR 2007»
13 years 5 months ago
Fast, Fair, and Efficient Flows in Networks
Abstract. We study the problem of minimizing the maximum latency of flows in networks with congestion. We show that this problem is NP-hard, even when all arc latency functions ar...
José R. Correa, Andreas S. Schulz, Nicol&aa...