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Analysis of Markov chain approximation for Asian options and occupationtime derivatives: Greeks and convergence rates Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20210115
Wensheng Yang, Jingtang Ma, Zhenyu CuiThe continuoustime Markov chain (CTMC) approximation method is a powerful tool that has recently been utilized in the valuation of derivative securities, and it has the advantage of yielding closedform matrix expressions suitable for efficient implementation. For two types of popular pathdependent derivatives, the arithmetic Asian option and the occupationtime derivative, this paper obtains explicit

Integrodifferential optimality equations for the risksensitive control of piecewise deterministic Markov processes Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20210107
O. L. V. Costa, F. DufourIn this paper we study the minimization problem of the infinitehorizon expected exponential utility total cost for continuoustime piecewise deterministic Markov processes with the control acting continuously on the jump intensity \(\lambda \) and on the transition measure Q of the process. The action space is supposed to depend on the state variable and the state space is considered to have a frontier

Considerations on the aggregate monotonicity of the nucleolus and the corecenter Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20210106
Miguel Ángel Mirás Calvo, Carmen Quinteiro Sandomingo, Estela SánchezRodríguezEven though aggregate monotonicity appears to be a reasonable requirement for solutions on the domain of convex games, there are well known allocations, the nucleolus for instance, that violate it. It is known that the nucleolus is aggregate monotonic on the domain of essential games with just three players. We provide a simple direct proof of this fact, obtaining an analytic formula for the nucleolus

Portfolio selection with drawdown constraint on consumption: a generalization model Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20210106
Junkee Jeon, Kyunghyun ParkIn this study, we generalize the results of Arun (The Merton problem with a drawdown constraint on consumption. Working paper, 2013) on the optimal consumption and investment problem of an infinitely lived agent who does not accept her consumption falling below a fixed proportion of her historically highest level, the socalled drawdown constraint on consumption. We extend the results to a general

An inertial subgradient extragradient algorithm extended to pseudomonotone equilibrium problems Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20201118
Yekini Shehu, Olaniyi S. Iyiola, Duong Viet Thong, Nguyen Thi Cam VanThe paper introduces an inertial extragradient subgradient method with selfadaptive step sizes for solving equilibrium problems in real Hilbert spaces. Weak convergence of the proposed method is obtained under the condition that the bifunction is pseudomonotone and Lipchitz continuous. Linear convergence is also given when the bifunction is strongly pseudomonotone and Lipchitz continuous. Numerical

On the computation of Whittle’s index for Markovian restless bandits Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20201111
Urtzi Ayesta, Manu K. Gupta, Ina Maria VerloopThe multiarmed restless bandit framework allows to model a wide variety of decisionmaking problems in areas as diverse as industrial engineering, computer communication, operations research, financial engineering, communication networks etc. In a seminal work, Whittle developed a methodology to derive wellperforming (Whittle’s) index policies that are obtained by solving a relaxed version of the

A multiobjective approach for PHgraphs with applications to stochastic shortest paths Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20201024
Peter Buchholz, Iryna DohndorfStochastic shortest path problems (SSPPs) have many applications in practice and are subject of ongoing research for many years. This paper considers a variant of SSPPs where times or costs to pass an edge in a graph are, possibly correlated, random variables. There are two general goals one can aim for, the minimization of the expected costs to reach the destination or the maximization of the probability

Interplay of nonconvex quadratically constrained problems with adjustable robust optimization Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20201006
Immanuel Bomze, Markus GablIn this paper we explore convex reformulation strategies for nonconvex quadratically constrained optimization problems (QCQPs). First we investigate such reformulations using Pataki’s rank theorem iteratively. We show that the result can be used in conjunction with conic optimization duality in order to obtain a geometric condition for the Sprocedure to be exact. Based upon known results on the Sprocedure

A transformationbased discretization method for solving general semiinfinite optimization problems Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200922
Jan Schwientek, Tobias Seidel, KarlHeinz KüferDiscretization methods are commonly used for solving standard semiinfinite optimization (SIP) problems. The transfer of these methods to the case of general semiinfinite optimization (GSIP) problems is difficult due to the \(\mathbf {x}\)dependence of the infinite index set. On the other hand, under suitable conditions, a GSIP problem can be transformed into a SIP problem. In this paper we assume

A numerical approach to solve consumptionportfolio problems with predictability in income, stock prices, and house prices Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200919
Farina WeissIn this paper, I establish a numerical method to solve a generic consumptionportfolio choice problem with predictability in stock prices, house prices, and labor income. I generalize the SAMS method introduced by Bick et al. (Manag Sci 59:485–503, 2013) to statedependent modifiers. I set up artificial markets to derive closedform solutions for my lifecycle problem and transform the resulting c

Inheritance of convexity for the $$\mathcal {P}_{\min }$$ P min restricted game Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200916
A. SkodaWe consider restricted games on weighted graphs associated with minimum partitions. We replace in the classical definition of Myerson restricted game the connected components of any subgraph by the subcomponents corresponding to a minimum partition. This minimum partition \(\mathcal {P}_{\min }\) is induced by the deletion of the minimum weight edges. We provide a characterization of the graphs satisfying

The residual time approach for ( Q , r ) model under perishability, general lead times, and lost sales Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200731
Yonit Barron, Opher BaronWe consider a (Q, r) perishable inventory system with statedependent compound Poisson demands with a random batch size, general lead times, exponential shelf times, and lost sales. We assume \(r

Decentralization and mutual liability rules Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200730
Martijn Ketelaars, Peter Borm, Marieke QuantThis paper builds on the recent work of Groote Schaarsberg et al. (Math Methods Oper Res 87(3):383–409, 2018) on mutual liability problems. In essence, a mutual liability problem comprises a financial network in which agents may have both monetary individual assets and mutual liabilities. Here, mutual liabilities reflect rightful monetary obligations from past bilateral transactions. To settle these

On the facet defining inequalities of the mixedinteger bilinear covering set Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200727
Hamidur Rahman, Ashutosh MahajanWe study the facet defining inequalities of the convex hull of a mixedinteger bilinear covering arising in trimloss (or cutting stock) problem under the framework of disjunctive cuts. We show that all of them can be derived using a disjunctive procedure. Some of these are split cuts of rank one for a convex mixedinteger relaxation of the covering set, while others have rank at least two. For certain

A conservative index heuristic for routing problems with multiple heterogeneous service facilities Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200722
Rob Shone, Vincent A. Knight, Paul R. HarperWe consider a queueing system with N heterogeneous service facilities, in which admission and routing decisions are made when customers arrive and the objective is to maximize longrun average net rewards. For this type of problem, it is wellknown that structural properties of optimal policies are difficult to prove in general and dynamic programming methods are computationally infeasible unless N

On computation of optimal strategies in oligopolistic markets respecting the cost of change Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200721
Jiří V. Outrata, Jan ValdmanThe paper deals with a class of parameterized equilibrium problems, where the objectives of the players do possess nonsmooth terms. The respective Nash equilibria can be characterized via a parameterdependent variational inequality of the second kind, whose Lipschitzian stability, under appropriate conditions, is established. This theory is then applied to evolution of an oligopolistic market in which

Optimal dividends and capital injection under dividend restrictions Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200716
Kristoffer Lindensjö, Filip LindskogWe study a singular stochastic control problem faced by the owner of an insurance company that dynamically pays dividends and raises capital in the presence of the restriction that the surplus process must be above a given dividend payout barrier in order for dividend payments to be allowed. Bankruptcy occurs if the surplus process becomes negative and there are proportional costs for capital injection

Robust best choice problem Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200709
Lazar ObradovićWe consider a robust version of the full information best choice problem: there is model uncertainty, represented by a set of priors, about the measure driving the observed process. We propose a general construction of the set of priors that we use to solve the problem in the setting of Riedel (Econometrica 77(3):857–908, 2009). As in the classical case, it is optimal to stop if the current observation

Solutions for subset sum problems with special digraph constraints Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200703
Frank Gurski, Dominique Komander, Carolin RehsThe subset sum problem is one of the simplest and most fundamental NPhard problems in combinatorial optimization. We consider two extensions of this problem: The subset sum problem with digraph constraint (SSG) and subset sum problem with weak digraph constraint (SSGW). In both problems there is given a digraph with sizes assigned to the vertices. Within SSG we want to find a subset of vertices whose

Discretetime control with nonconstant discount factor Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200627
Héctor JassoFuentes, JoséLuis Menaldi, Tomás PrietoRumeauThis paper deals with discretetime Markov decision processes (MDPs) with Borel state and action spaces, and total expected discounted cost optimality criterion. We assume that the discount factor is not constant: it may depend on the state and action; moreover, it can even take the extreme values zero or one. We propose sufficient conditions on the data of the model ensuring the existence of optimal

An augmented Lagrangian filter method Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200624
Sven Leyffer, Charlie VanaretWe introduce a filter mechanism to enforce convergence for augmented Lagrangian methods for nonlinear programming. In contrast to traditional augmented Lagrangian methods, our approach does not require the use of forcing sequences that drive the firstorder error to zero. Instead, we employ a filter to drive the optimality measures to zero. Our algorithm is flexible in the sense that it allows for

A longtime asymptotic solution to the grenewal equation for underlying distributions with nondecreasing hazard functions Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200613
Serguei Maximov, Consuelo de J. CortesPenagosThe Kijima’s type 1 maintenance model, representing the general renewal process, is one of the most important in the reliability theory. The grenewal equation is central in Kijima’s theory and it is a Volterra integral equation of the second kind. Although these equations are wellstudied, a closedform solution to the grenewal equation has not yet been obtained. Despite the fact that several semiempirical

Optimising dividends and consumption under an exponential CIR as a discount factor Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200603
Julia Eisenberg, Yuliya MishuraWe consider an economic agent (a household or an insurance company) modelling its surplus process by a deterministic process or by a Brownian motion with drift. The goal is to maximise the expected discounted spending/dividend payments under a discounting factor given by an exponential CIR process. In the deterministic case, we are able to find explicit expressions for the optimal strategy and the

Min max min robust (relative) regret combinatorial optimization Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200519
Alejandro CremaWe consider combinatorial optimization problems with uncertainty in the cost vector. Recently, a novel approach was developed to deal with such uncertainties: instead of a single one robust solution, obtained by solving a min max problem, the authors consider a set of solutions obtained by solving a min max min problem. In this new approach, the set of solutions is computed once and we can choose the

A new nonmonotone smoothing Newton method for the symmetric cone complementarity problem with the Cartesian $$P_0$$P0 property Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200417
Xiangjing Liu, Sanyang LiuWe present a new smoothing Newton method for the symmetric cone complementarity problem with the Cartesian \(P_0\)property. The new method is based on a new smoothing function and a nonmonotone line search which contains a monotone line search as a special case. It is proved that the new method is globally and locally superlinearly/quadratically convergent under mild conditions. Preliminary numerical

On weak conjugacy, augmented Lagrangians and duality in nonconvex optimization Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200319
Gulcin Dinc Yalcin, Refail KasimbeyliIn this paper, zero duality gap conditions in nonconvex optimization are investigated. It is considered that dual problems can be constructed with respect to the weak conjugate functions, and/or directly by using an augmented Lagrangian formulation. Both of these approaches and the related strong duality theorems are studied and compared in this paper. By using the weak conjugate functions approach

Firstorder sensitivity of the optimal value in a Markov decision model with respect to deviations in the transition probability function Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200302
Patrick Kern, Axel Simroth, Henryk ZähleMarkov decision models (MDM) used in practical applications are most often less complex than the underlying ‘true’ MDM. The reduction of model complexity is performed for several reasons. However, it is obviously of interest to know what kind of model reduction is reasonable (in regard to the optimal value) and what kind is not. In this article we propose a way how to address this question. We introduce

Semidiscrete optimal transport: a solution procedure for the unsquared Euclidean distance case Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200212
Valentin Hartmann, Dominic SchuhmacherWe consider the problem of finding an optimal transport plan between an absolutely continuous measure and a finitely supported measure of the same total mass when the transport cost is the unsquared Euclidean distance. We may think of this problem as closest distance allocation of some resource continuously distributed over Euclidean space to a finite number of processing sites with capacity constraints

On the rectangular knapsack problem: approximation of a specific quadratic knapsack problem Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200212
Britta Schulze, Michael Stiglmayr, Luís Paquete, Carlos M. Fonseca, David Willems, Stefan RuzikaIn this article, we introduce the rectangular knapsack problem as a special case of the quadratic knapsack problem consisting in the maximization of the product of two separate knapsack profits subject to a cardinality constraint. We propose a polynomial time algorithm for this problem that provides a constant approximation ratio of 4.5. Our experimental results on a large number of artificially generated

A pricing problem with unknown arrival rate and price sensitivity Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200211
Athanassios N. AvramidisWe study a pricing problem with finite inventory and semiparametric demand uncertainty. Demand is a pricedependent Poisson process whose mean is the product of buyers’ arrival rate, which is a constant \(\lambda \), and buyers’ purchase probability \(q(p)\), where p is the price. The seller observes arrivals and sales, and knows neither \(\lambda \) nor \(q\). Based on a nonparametric maximumlikelihood

Continuity and monotonicity of solutions to a greedy maximization problem Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200210
Łukasz KrukMotivated by an application to resource sharing network modelling, we consider a problem of greedy maximization (i.e., maximization of the consecutive minima) of a vector in \({\mathbb {R}}^n\), with the admissible set indexed by the time parameter. The structure of the constraints depends on the underlying network topology. We investigate continuity and monotonicity of the resulting maximizers with

Statistical properties of estimators for the logoptimal portfolio Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200125
Gabriel FrahmThe best constant rebalanced portfolio represents the standard estimator for the logoptimal portfolio. It is shown that a quadratic approximation of logreturns works very well on a daily basis and a meanvariance estimator is proposed as an alternative to the best constant rebalanced portfolio. It can easily be computed and the numerical algorithm is very fast even if the number of dimensions is

Qualitative robustness of setvalued valueatrisk Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200217
Giovanni Paolo Crespi; Elisa MastrogiacomoRisk measures are defined as functionals of the portfolio loss distribution, thus implicitly assuming the knowledge of such a distribution. However, in practical applications, the need for estimation arises and with it the need to study the effects of misspecification errors, as well as estimation errors on the final conclusion. In this paper we focus on the qualitative robustness of a sequence of

Some results on optimal stopping under phasetype distributed implementation delay Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200108
Jukka LempaWe study optimal stopping of strong Markov processes under random implementation delay. By random implementation delay we mean the following: the payoff is not realised immediately when the process is stopped but rather after a random waiting period. The distribution of the random waiting period is assumed to be phasetype. We prove first a general result on the solvability of the problem. Then we

An asymptotically optimal strategy for constrained multiarmed bandit problems Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200102
Hyeong Soo ChangThis note considers the model of “constrained multiarmed bandit” (CMAB) that generalizes that of the classical stochastic MAB by adding a feasibility constraint for each action. The feasibility is in fact another (conflicting) objective that should be kept in order for a playingstrategy to achieve the optimality of the main objective. While the stochastic MAB model is a special case of the Markov

An inexact primaldual algorithm for semiinfinite programming Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20200101
Bo Wei; William B. Haskell; Sixiang ZhaoThis paper considers an inexact primaldual algorithm for semiinfinite programming (SIP) for which it provides general error bounds. We create a new prox function for nonnegative measures for the dual update, and it turns out to be a generalization of the KullbackLeibler divergence. We show that, with a tolerance for small errors (approximation and regularization error), this algorithm achieves an

A finite horizon optimal switching problem with memory and application to controlled SDDEs Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20191227
Magnus PerningeWe consider an optimal switching problem where the terminal reward depends on the entire control trajectory. We show existence of an optimal control by applying a probabilistic technique based on the concept of Snell envelopes. We then apply this result to solve an impulse control problem for stochastic delay differential equations driven by a Brownian motion and an independent compound Poisson process

Counting and enumerating independent sets with applications to combinatorial optimization problems Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20191217
Frank Gurski; Carolin RehsCounting and enumerating maximal and maximum independent sets are wellstudied problems in graph theory. In this paper we introduce methods to count and enumerate maximal/maximum independent sets in threshold graphs and kthreshold graphs and improve former results for these problems. The results can be applied to combinatorial optimization problems, and in particular to different variations of the

The stability and extended wellposedness of the solution sets for set optimization problems via the Painlevé–Kuratowski convergence Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20191216
Yu Han; Kai Zhang; Nanjing HuangIn this paper, we obtain the Painlevé–Kuratowski upper convergence and the Painlevé–Kuratowski lower convergence of the approximate solution sets for set optimization problems with the continuity and convexity of objective mappings. Moreover, we discuss the extended wellposedness and the weak extended wellposedness for set optimization problems under some mild conditions. We also give some examples

Optimal control of an objective functional with nonlinearity between the conditional expectations: solutions to a class of timeinconsistent portfolio problems Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20191212
Esben Kryger; MajBritt Nordfang; Mogens SteffensenWe present a modified verification theorem for the equilibrium control of a general class of portfolio problems. The general class of portfolio problems studied in this paper, is characterized by an objective where the investor seeks to maximize a functional of two conditional expectations of terminal wealth. The objective functional is allowed to be nonlinear in the conditional expectations, and

Convergence properties of a class of exact penalty methods for semiinfinite optimization problems Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20191205
Jiachen Ju; Qian LiuIn this paper, a new class of unified penalty functions are derived for the semiinfinite optimization problems, which include many penalty functions as special cases. They are proved to be exact in the sense that under Mangasarian–Fromovitz constraint qualification conditions, a local solution of penalty problem is a corresponding local solution of original problem when the penalty parameter is sufficiently

Discounted approximations in risksensitive average Markov cost chains with finite state space Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20191205
Rubén BlancasRivera; Rolando CavazosCadena; Hugo CruzSuárezThis work concerns with Markov chains on a finite state space. It is supposed that a statedependent cost is associated with each transition, and that the evolution of the system is watched by an agent with positive and constant risksensitivity. For a general transition matrix, the problem of approximating the risksensitive average criterion in terms of the risksensitive discounted index is studied

The Douglas–Rachford algorithm for convex and nonconvex feasibility problems Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20191126
Francisco J. Aragón Artacho; Rubén Campoy; Matthew K. TamThe Douglas–Rachford algorithm is an optimization method that can be used for solving feasibility problems. To apply the method, it is necessary that the problem at hand is prescribed in terms of constraint sets having efficiently computable nearest points. Although the convergence of the algorithm is guaranteed in the convex setting, the scheme has demonstrated to be a successful heuristic for solving

A McKean–Vlasov approach to distributed electricity generation development Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20191126
René Aïd; Matteo Basei; Huyên PhamThis paper analyses the interaction between centralised carbon emissive technologies and distributed intermittent nonemissive technologies. In our model, there is a representative consumer who can satisfy her electricity demand by investing in distributed generation (solar panels) and by buying power from a centralised firm at a price the firm sets. Distributed generation is intermittent and induces

A note on the combination of equilibrium problems Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20191112
Nguyen Thi Thanh Ha; Tran Thi Huyen Thanh; Nguyen Ngoc Hai; Hy Duc Manh; Bui Van DinhWe show that the solution set of a strictly convex combination of equilibrium problems is not necessarily contained in the corresponding intersection of solution sets of equilibrium problems even if the bifunctions defining the equilibrium problems are continuous and monotone. As a consequence, we show that some results given in some recent papers are not always true. Therefore different numerical

A class of linear quadratic dynamic optimization problems with state dependent constraints Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20191106
Rajani Singh; Agnieszka WiszniewskaMatyszkielIn this paper, we analyse a wide class of discrete time onedimensional dynamic optimization problems—with strictly concave current payoffs and linear state dependent constraints on the control parameter as well as nonnegativity constraint on the state variable and control. This model suits well economic problems like extraction of a renewable resource (e.g. a fishery or forest harvesting). The class

Random optimization on random sets Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20191018
Emmanuel LepinetteRandom sets and random preorders naturally appear in financial market modeling with transaction costs. In this paper, we introduce and study a concept of essential minimum for a family of vectorvalued random variables, as a set of minimal elements with respect to some random preorder. We provide some conditions under which the essential minimum is not empty and we present two applications in optimisation

A simple construction of complete singlepeaked domains by recursive tiling Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20191010
Ping ZhanSinglepeakedness was introduced by Black (J Political Econ 56:23–34, 1948) as a sufficient condition to overcome Condorcet paradox. Since then it has been attracting interest from researchers in various fields. In this paper, we propose a simple recursive procedure of constructing complete singlepeaked domains of tiling type explicitly for any finite alternative sets, by combining two results published

Virtual allocation policies for manyserver queues with abandonment Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20191008
Zhenghua Long; Jiheng ZhangWe study a multiclass manyserver queueing system with renewal arrivals and generally distributed service and patience times under a nonpreemptive allocation policy. The status of the system is described by a pair of measurevalued processes to track the residual service and patience times of customers in each class. We establish fluid approximations and study the longterm behavior of the fluid model

Martingale optimal transport in the discrete case via simple linear programming techniques Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20191008
Nicole Bäuerle; Daniel SchmithalsWe consider the problem of finding consistent upper price bounds and super replication strategies for exotic options, given the observation of call prices in the market. This field of research is called modelindependent finance and has been introduced by Hobson (Finance Stoch 2(4):329–347, 1998). Here we use the link to mass transport problems. In contrast to existing literature we assume that the

Order and exit decisions under nonincreasing price curves for products with short life cycles Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20190917
J. B. G. Frenk; Canan Pehlivan; Semih O. SezerWe consider a supplier selling a product with a relatively short life cycle and following a nonincreasing price curve. Because of the short cycle, there is a single procurement opportunity at the beginning of the cycle. The objective of the supplier is to determine the initial order quantity and the time to remove the product from the market in order to maximize her profits. We study this problem

An optimal stopping approach for the endoflife inventory problem Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20190911
J. B. G. Frenk; Sonya Javadi; Semih O. SezerWe consider the endoflife inventory problem for the supplier of a product in its final phase of the service life cycle. This phase starts when the production of the items stops and continues until the warranty of the last sold item expires. At the beginning of this phase the supplier places a final order for spare parts to serve customers coming with defective items. At any time during the final

A continuous selection for optimal portfolios under convex risk measures does not always exist Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20190910
Michel Baes; Cosimo MunariRisk control is one of the crucial problems in finance. One of the most common ways to mitigate risk of an investor’s financial position is to set up a portfolio of hedging securities whose aim is to absorb unexpected losses and thus provide the investor with an acceptable level of security. In this respect, it is clear that investors will try to reach acceptability at the lowest possible cost. Mathematically

The polyhedral projection problem Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20190829
Benjamin WeißingWe revisit the polyhedral projection problem. This problem has many applications, among them certain problems in global optimisation, polyhedral calculus, problems encountered in information theory and financial mathematics. In particular, it has been shown recently that polyhedral projection problems are equivalent to vector linear programmes (which contain multiple objective linear programmes as

Ekeland’s variational principle with weighted set order relations Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20190826
Qamrul Hasan Ansari; Andreas H Hamel; Pradeep Kumar SharmaThe main results of the paper are a minimal element theorem and an Ekelandtype variational principle for setvalued maps whose values are compared by means of a weighted set order relation. This relation is a mixture of a lower and an upper set relation which form the building block for modern approaches to setvalued optimization. The proofs rely on nonlinear scalarization functions which admit to

Optimal control of electricity input given an uncertain demand Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20190814
Simone Göttlich; Ralf Korn; Kerstin LuxWe consider the problem of determining an optimal strategy for electricity injection that faces an uncertain power demand stream. This demand stream is modeled via an Ornstein–Uhlenbeck process with an additional jump component, whereas the power flow is represented by the linear transport equation. We analytically determine the optimal amount of power supply for different levels of available information

Multicriteria decision making via multivariate quantiles Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20190802
Daniel KostnerA novel approach for solving a multiple judge, multiple criteria decision making (MCDM) problem is proposed. The presence of multiple criteria leads to a nontotal order relation. The ranking of the alternatives in such a framework is done by reinterpreting the MCDM problem as a multivariate statistics one and by applying the concepts in Hamel and Kostner (J Multivar Anal 167:97–113, 2018). A function

A new concept of slope for setvalued maps and applications in set optimization studied with Kuroiwa’s set approach Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20190726
Truong Xuan Duc HaIn this paper, we introduce a new concept of slope for a setvalued map using a scalarizing function defined with the help of the HiriartUrruty signed distance function. It turns out that this slope possesses most properties of the strong slope of a scalarvalued function. We present some applications in set optimization studied with Kuroiwa’s set approach. Namely, we obtain criteria for error bounds

Accelerated firstorder methods for largescale convex optimization: nearly optimal complexity under strong convexity Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20190626
Masoud AhookhoshWe introduce four accelerated (sub)gradient algorithms (ASGA) for solving several classes of convex optimization problems. More specifically, we propose two estimation sequences majorizing the objective function and develop two iterative schemes for each of them. In both cases, the first scheme requires the smoothness parameter and a Hölder constant, while the second scheme is parameterfree (except

The blockwise coordinate descent method for integer programs Math. Meth. Oper. Res. (IF 1.0) Pub Date : 20190615
Sven Jäger; Anita SchöbelBlockwise coordinate descent methods have a long tradition in continuous optimization and are also frequently used in discrete optimization under various names. New interest in blockwise coordinate descent methods arises for improving sequential solutions for problems which consist of several planning stages. In this paper we systematically formulate and analyze the blockwise coordinate descent method