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SIAMCO
2002
61views more  SIAMCO 2002»
14 years 11 months ago
Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
We consider a stochastic linear
Mustapha Ait Rami, John B. Moore, Xun Yu Zhou
EVOW
2009
Springer
14 years 9 months ago
The Dynamic Knapsack Problem Revisited: A New Benchmark Problem for Dynamic Combinatorial Optimisation
Abstract. In this paper we propose a new benchmark problem for dynamic combinatorial optimisation. Unlike most previous benchmarks, we focus primarily on the underlying dynamics of...
Philipp Rohlfshagen, Xin Yao
AOR
2010
14 years 9 months ago
Computing general static-arbitrage bounds for European basket options via Dantzig-Wolfe decomposition
We study the problem of computing general static-arbitrage bounds for European basket options; that is, computing bounds on the price of a basket option, given the only assumption...
Javier Peña, Xavier Saynac, Juan Carlos Ver...
SIAMCOMP
2012
13 years 2 months ago
Randomized Competitive Algorithms for Generalized Caching
We consider online algorithms for the generalized caching problem. Here we are given a cache of size k and pages with arbitrary sizes and fetching costs. Given a request sequence ...
Nikhil Bansal, Niv Buchbinder, Joseph Naor
MP
1998
113views more  MP 1998»
14 years 11 months ago
Generalized semi-infinite optimization: A first order optimality condition and examples
We consider a generalized semi-infinite optimization problem (GSIP) of the form (GSIP) min{f(x) Ix E M}, where M = {x E N"lhi(x ) = 0, i = 1,...,m, G(x,y) /> 0, y E Y(x)} ...
Hubertus Th. Jongen, Jan-J. Rückmann, Oliver ...