This paper defines the cover of a formula with respect to a set of variables V in theory T to be the strongest quantifier-free formula that is implied by V : in theory T. Cover e...
We introduce a new algorithm based on linear programming that approximates the differential value function of an average-cost Markov decision process via a linear combination of p...
This paper presents a new approach to pricing Americanstyle derivatives. By approximating the value function with a piecewise linear interpolation function, the option holder'...
Scott B. Laprise, Michael C. Fu, Steven I. Marcus,...
Flexible discriminant analysis (FDA) is a general methodology which aims at providing tools for multigroup non linear classification. It consists in a nonparametric version of dis...
In this paper, we present a robust optimization formulation for dealing with demand uncertainty in a dynamic pricing and inventory control problem for a make-to-stock manufacturing...