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DMIN
2009
142views Data Mining» more  DMIN 2009»
14 years 9 months ago
Action Selection in Customer Value Optimization: An Approach Based on Covariate-Dependent Markov Decision Processes
Typical methods in CRM marketing include action selection on the basis of Markov Decision Processes with fixed transition probabilities on the one hand, and scoring customers separ...
Angi Roesch, Harald Schmidbauer
WSC
2008
15 years 1 months ago
Optimizing portfolio tail measures: Asymptotics and efficient simulation optimization
We consider a portfolio allocation problem where the objective function is a tail event such as probability of large portfolio losses. The dependence between assets is captured th...
Sandeep Juneja
99
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ATAL
2007
Springer
15 years 5 months ago
On Revenue-Optimal Dynamic Auctions for Bidders with Interdependent Values
In a dynamic market, being able to update one’s value based on information available to other bidders currently in the market can be critical to having profitable transactions. ...
Florin Constantin, David C. Parkes
SIAMCO
2002
87views more  SIAMCO 2002»
14 years 10 months ago
Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
We consider a market model with one riskfree and one risky asset, in which the dynamics of the risky asset is governed by a geometric Brownian motion. In this market we consider a...
Bernt Oksendal, Agnès Sulem
IEEEHPCS
2010
14 years 9 months ago
Novel performance optimization of large-scale discrete-event simulation on the Cell Broadband Engine
This paper presents a computing technique for efficient parallel simulation of large-scale discrete-event models on the IBM Cell Broadband Engine (CBE), which has one Power Proces...
Qi Liu, Gabriel A. Wainer, Ligang Lu, Michael Perr...