Computational Management Science
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Welfare and research and development incentive effects of uniform and differential pricing schemesAbstract This paper is about the application of optimization methods to the analysis of three pricing schemes adopted by one manufacturer in a two-country model of production and trade. The analysis focuses on pricing schemes—one uniform pricing scheme, and two differential pricing schemes—for which there is no competition coming from the so-called parallel trade. T... ... hiện toàn bộ
Computational Management Science - - 2022
A financial trading system with optimized indicator setting, trading rule definition, and signal aggregation through Particle Swarm Optimization
Computational Management Science - - 2024
Algorithmic trading, a widespread practice in the financial industry, is based on the automatic signal generation based on trading rules of one or more technical analysis indicators. Generally, the parameters for computing the indicators (such as the time windows), the trading rules (converting the indicator into a trading signal) and the weights for signal aggregation (for combining the signals f...... hiện toàn bộ
Stochastic optimization models for a single-sink transportation problem
Computational Management Science - Tập 6 - Trang 251-267 - 2008
In this paper, we study a single-sink transportation problem in which the production capacity of the suppliers and the demand of the single customer are stochastic. Shipments are performed by capacitated vehicles, which have to be booked in advance, before the realization of the production capacity and the demand. Once the production capacity and the demand are revealed, there is an option to canc...... hiện toàn bộ
Decentralized optimization with affine constraints over time-varying networks
Computational Management Science - Tập 21 - Trang 1-23 - 2023
The decentralized optimization paradigm assumes that each term of a finite-sum objective is privately stored by the corresponding agent. Agents are only allowed to communicate with their neighbors in the communication graph. We consider the case when the agents additionally have local affine constraints and the communication graph can change over time. We provide the first linearly convergent dece...... hiện toàn bộ
Stochastic nuclear outages semidefinite relaxations
Computational Management Science - Tập 9 - Trang 363-379 - 2012
This paper deals with stochastic scheduling of nuclear power plant outages. Focusing on the main constraints of the problem, we propose a stochastic formulation with a discrete distribution for random variables, that leads to a mixed 0/1 quadratically constrained quadratic program. Then we investigate semidefinite relaxations for solving this hard problem. Numerical results on several instances of...... hiện toàn bộ
Decision-dependent probabilities in stochastic programs with recourse
Computational Management Science - Tập 15 - Trang 369-395 - 2018
Stochastic programming with recourse usually assumes uncertainty to be exogenous. Our work presents modelling and application of decision-dependent uncertainty in mathematical programming including a taxonomy of stochastic programming recourse models with decision-dependent uncertainty. The work includes several ways of incorporating direct or indirect manipulation of underlying probability distri...... hiện toàn bộ
Decomposition for adjustable robust linear optimization subject to uncertainty polytope
Computational Management Science - Tập 13 - Trang 219-239 - 2016
We present in this paper a general decomposition framework to solve exactly adjustable robust linear optimization problems subject to polytope uncertainty. Our approach is based on replacing the polytope by the set of its extreme points and generating the extreme points on the fly within row generation or column-and-row generation algorithms. The novelty of our approach lies in formulating the sep...... hiện toàn bộ
Special issue on computational techniques and applications
Computational Management Science - Tập 12 - Trang 1-3 - 2014
The relative efficiency of option hedging strategies using the third-order stochastic dominance
Computational Management Science - Tập 18 - Trang 477-504 - 2021
The selection of an appropriate portfolio hedging strategy is a concern for both investment theory and practice. Options are believed to be flexible and useful hedging instruments, but they are also complicated to manage and costly to implement in a strategy, intensifying the financial leverage, and thus increasing the riskiness of a portfolio. This paper investigates the hedging strategies with o...... hiện toàn bộ
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