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MP
2006
75views more  MP 2006»
10 years 1 months ago
Static arbitrage bounds on basket option prices
Alexandre d'Aspremont, Laurent El Ghaoui
MP
2006
116views more  MP 2006»
10 years 1 months ago
Formulations and Valid Inequalities for the Heterogeneous Vehicle Routing Problem
We consider the vehicle routing problem where one can choose among vehicles with different costs and capacities to serve the trips. We develop six different formulations: the first...
Hande Yaman
MP
2006
120views more  MP 2006»
10 years 1 months ago
Lot-sizing with production and delivery time windows
We study two different lot-sizing problems with time windows that have been proposed recently. For the case of production time windows, in which each client specific order must be ...
Laurence A. Wolsey
MP
2006
73views more  MP 2006»
10 years 1 months ago
On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
We present a primal-dual interior-point algorithm with a filter line-search method for nonlinear programming. Local and global convergence properties of this method were analyzed i...
Andreas Wächter, Lorenz T. Biegler
MP
2006
119views more  MP 2006»
10 years 1 months ago
Approximate extended formulations
Mixed integer programming (MIP) formulations are typically tightened through the use of a separation algorithm and the addition of violated cuts. Using extended formulations involv...
Mathieu Van Vyve, Laurence A. Wolsey
MP
2006
99views more  MP 2006»
10 years 1 months ago
A note on the Lipschitz continuity of the gradient of the squared norm of the matrix-valued Fischer-Burmeister function
Based on a formula of Tseng, we show that the squared norm of the matrix-valued Fischer-Burmeister function has a Lipschitz continuous gradient.
Chee-Khian Sim, Jie Sun, Daniel Ralph
MP
2006
106views more  MP 2006»
10 years 1 months ago
Worst-case distribution analysis of stochastic programs
We show that for even quasi-concave objective functions the worst-case distribution, with respect to a family of unimodal distributions, of a stochastic programming problem is a u...
Alexander Shapiro
MP
2006
175views more  MP 2006»
10 years 1 months ago
Conditional Value-at-Risk in Stochastic Programs with Mixed-Integer Recourse
In classical two-stage stochastic programming the expected value of the total costs is minimized. Recently, mean-risk models - studied in mathematical finance for several decades -...
Rüdiger Schultz, Stephan Tiedemann
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