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Trilevel and multilevel optimization using monotone operator theory Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2024-02-28
Abstract We consider rather a general class of multi-level optimization problems, where a convex objective function is to be minimized subject to constraints of optimality of nested convex optimization problems. As a special case, we consider a trilevel optimization problem, where the objective of the two lower layers consists of a sum of a smooth and a non-smooth term. Based on fixed-point theory
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The non-preemptive ‘Join the Shortest Queue–Serve the Longest Queue’ service system with or without switch-over times Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2024-02-26 Efrat Perel, Nir Perel, Uri Yechiali
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Combining discrete and continuous information for multi-criteria optimization problems Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2024-02-23
Abstract In multi-criteria optimization problems that originate from real-world decision making tasks, we often find the following structure: There is an underlying continuous, possibly even convex model for the multiple outcome measures depending on the design variables, but these outcomes are additionally assigned to discrete categories according to their desirability for the decision maker. Multi-criteria
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A unified approach to inverse robust optimization problems Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2024-02-22
Abstract A variety of approaches has been developed to deal with uncertain optimization problems. Often, they start with a given set of uncertainties and then try to minimize the influence of these uncertainties. The reverse view is to first set a budget for the price one is willing to pay and then find the most robust solution. In this article, we aim to unify these inverse approaches to robustness
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Complexity of the multiobjective minimum weight minimum stretch spanner problem Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2024-02-15 Fritz Bökler, Henning Jasper
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Stochastic Gauss–Seidel type inertial proximal alternating linearized minimization and its application to proximal neural networks Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2024-02-06
Abstract In many optimization problems arising from machine learning, image processing, and statistics communities, the objective functions possess a special form involving huge amounts of data, which encourages the application of stochastic algorithms. In this paper, we study such a broad class of nonconvex nonsmooth minimization problems, whose objective function is the sum of a smooth function of
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Solving quasimonotone and non-monotone variational inequalities Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2024-01-19 V. A. Uzor, T. O. Alakoya, O. T. Mewomo, A. Gibali
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A fast and robust algorithm for solving biobjective mixed integer programs Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2024-01-12 Diego Pecin, Ian Herszterg, Tyler Perini, Natashia Boland, Martin Savelsbergh
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An outer approximation algorithm for generating the Edgeworth–Pareto hull of multi-objective mixed-integer linear programming problems Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2024-01-04 Fritz Bökler, Sophie N. Parragh, Markus Sinnl, Fabien Tricoire
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A spline smoothing homotopy method for nonlinear programming problems with both inequality and equality constraints Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-12-16 Li Dong, Zhengyong Zhou, Li Yang
In this paper, we construct a new spline smoothing homotopy method for solving general nonlinear programming problems with a large number of complicated constraints. We transform the equality constraints into the inequality constraints by introducing two parameters. Subsequently, we use smooth spline functions to approximate the inequality constraints. The smooth spline functions involve only few inequality
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Directional and approximate efficiency in set optimization Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-11-29 Marius Durea, Elena-Andreea Florea
We investigate, in the framework of set optimization, some issues that are well studied in vectorial setting, that is, penalization procedures, properness of solutions and optimality conditions on primal spaces. Therefore, with this study we aim at completing the literature dedicated to set optimization with some results that have well established correspondence in the classical vector optimization
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Analysis of a two-class queueing system with service times dependent on the presence of a certain class Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-12-01 Sara Sasaninejad, Joris Walraevens, Arnaud Devos, Sabine Wittevrongel
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Investment strategies of duopoly firms with asymmetric time-to-build under a jump-diffusion model Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-10-25 Yanyun Liu, Baiqing Sun
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A singular stochastic control problem with direction switching cost Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-10-03 Łukasz Kruk
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Optimal stopping and impulse control in the presence of an anticipated regime switch Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-09-29 Luis H. R. Alvarez E., Wiljami Sillanpää
We consider a class of stochastic optimal stopping and impulse control problems where the agent solving the problem anticipates that a regime switch will happen at a random time in the future. We assume that there are only two regimes, the regime switching time is exponentially distributed, the underlying stochastic process is a linear, regular, time-homogeneous diffusion in both regimes and the payoff
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Approximating multiobjective optimization problems: How exact can you be? Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-09-27 Cristina Bazgan, Arne Herzel, Stefan Ruzika, Clemens Thielen, Daniel Vanderpooten
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An algorithm for quasiconvex equilibrium problems and asymptotically nonexpansive mappings: application to a Walras model with implicit supply–demand Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-09-28 Nguyen Ngoc Hai, Le Dung Muu, Bui Van Dinh
We propose a normal subgradient projection algorithm for approximating a solution of equilibrium problems involving quasiconvex para-pseudomonotone bifunctions, which is also a fixed point of an asymptotically nonexpansive mapping. The proposed algorithm is a combination between a projection one for the equilibrium problem and the Ishikawa iteration scheme for the fixed point. Convergence of the algorithm
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Subnetwork constraints for tighter upper bounds and exact solution of the clique partitioning problem Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-09-09 Alexander Belyi, Stanislav Sobolevsky, Alexander Kurbatski, Carlo Ratti
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Risk filtering and risk-averse control of Markovian systems subject to model uncertainty Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-09-02 Tomasz R. Bielecki, Igor Cialenco, Andrzej Ruszczyński
We consider a Markov decision process subject to model uncertainty in a Bayesian framework, where we assume that the state process is observed but its law is unknown to the observer. In addition, while the state process and the controls are observed at time t, the actual cost that may depend on the unknown parameter is not known at time t. The controller optimizes the total cost by using a family of
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A hybrid patch decomposition approach to compute an enclosure for multi-objective mixed-integer convex optimization problems Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-08-02 Gabriele Eichfelder, Leo Warnow
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Stochastic Mitra–Wan forestry models analyzed as a mean field optimal control problem Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-08-02 Carmen G. Higuera-Chan, Leonardo R. Laura-Guarachi, J. Adolfo Minjárez-Sosa
This paper concerns with a stochastic version of the discrete-time Mitra–Wan forestry model defined as follows. Consider a system composed by a large number of N trees of the same species, classified according to their ages ranging from 1 to s. At each stage, all trees have a common nonnegative probability of dying (known as the mortality rate). Further, there is a central controller who must decide
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Bin stretching with migration on two hierarchical machines Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-07-19 Islam Akaria, Leah Epstein
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Binary programming formulations for the upper domination problem Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-07-20 Ryan Burdett, Michael Haythorpe, Alex Newcombe
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A test instance generator for multiobjective mixed-integer optimization Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-07-19 Gabriele Eichfelder, Tobias Gerlach, Leo Warnow
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A partial ellipsoidal approximation scheme for nonconvex homogeneous quadratic optimization with quadratic constraints Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-07-13 Zhuoyi Xu, Linbin Li, Yong Xia
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Approximation algorithms for stochastic online matching with reusable resources Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-07-08 Meghan Shanks, Ge Yu, Sheldon H. Jacobson
We consider a class of stochastic online matching problems, where a set of sequentially arriving jobs are to be matched to a group of workers. The objective is to maximize the total expected reward, defined as the sum of the rewards of each matched worker-job pair. Each worker can be matched to multiple jobs subject to the constraint that previously matched jobs are completed. We provide constant approximation
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Contractive approximations in average Markov decision chains driven by a risk-seeking controller Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-07-05 Gustavo Portillo-Ramírez, Rolando Cavazos-Cadena, Hugo Cruz-Suárez
This work concerns with Markov decision processes on a denumerable state space. It is assumed that the performance of a control policy is measured by the average criterion associated with a risk-seeking controller with constant risk-sensitivity coefficient. The structural assumptions on the model ensure that the optimal average cost is constant, but it is possible that the optimalty equation does not
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On egalitarian values for cooperative games with level structures Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-07-01 J. M. Alonso-Meijide, J. Costa, I. García-Jurado, J. C. Gonçalves-Dosantos
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Using scalarizations for the approximation of multiobjective optimization problems: towards a general theory Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-06-26 Stephan Helfrich, Arne Herzel, Stefan Ruzika, Clemens Thielen
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Testing indexability and computing Whittle and Gittins index in subcubic time Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-06-13 Nicolas Gast, Bruno Gaujal, Kimang Khun
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Average monotonic cooperative games with nontransferable utility Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-06-01 José-Manuel Giménez-Gómez, Peter Sudhölter, Cori Vilella
A non-negative transferable utility (TU) game is average monotonic if there exists a non-negative vector according to which the relative worth is not decreasing when enlarging the coalition. We generalize this definition to the nontransferable utility (NTU) case. It is shown that an average monotonic NTU game shares several properties with an average monotonic TU game. In particular it has a special
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Sublinear scalarizations for proper and approximate proper efficient points in nonconvex vector optimization Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-05-30 Fernando García-Castaño, Miguel Ángel Melguizo-Padial, G. Parzanese
We show that under a separation property, a \({{{\mathcal {Q}}}}\)-minimal point in a normed space is the minimum of a given sublinear function. This fact provides sufficient conditions, via scalarization, for nine types of proper efficient points; establishing a characterization in the particular case of Benson proper efficient points. We also obtain necessary and sufficient conditions in terms of
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Existence and computations of best affine strategies for multilevel reverse Stackelberg games Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-05-26 Seyfe Belete Worku, Birilew Belayneh Tsegaw, Semu Mitiku Kassa
The multilevel reverse Stackelberg game is considered. In this game, the leader controls the outcome by announcing a strategy as a function of decision variables of the followers to his/her own decision space. Corresponding to the leader’s strategy, the player in the next level presents his/her strategy as a function of decision variables of the remaining players. This procedure is repeated until it
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Computational analysis of $$GI^{[X]}/D$$ - $$MSP^{(a,b)}/1$$ queueing system via RG-factorization Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-05-18 Kousik Das, Sujit Kumar Samanta
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The α-Egalitarian Myerson value of games with communication structure Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-05-18 Zijun Li, Fanyong Meng
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Alternating direction method of multipliers for linear hyperspectral unmixing Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-05-16 Yu-Hong Dai, Fangfang Xu, Liwei Zhang
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Optimal three-part tariff pricing with Spence-Mirrlees reservation prices Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-04-15 Jianqing Fisher Wu, Banafsheh Behzad
We study the pricing of three-part tariffs (3PTs), where service providers charge a fixed fee with an allowance of free units, and a per-unit fee for additional units above the allowance. This is a pricing strategy that has been widely used in a variety of industries, including telecommunications and internet services. Many papers study the properties of the optimal solution of 3PTs. However, the existing
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Decision rule-based method in solving adjustable robust capacity expansion problem Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-03-30 Sixiang Zhao
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Efficient dual ADMMs for sparse compressive sensing MRI reconstruction Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-02-27 Yanyun Ding, Peili Li, Yunhai Xiao, Haibin Zhang
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Zero-sum infinite-horizon discounted piecewise deterministic Markov games Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-02-08 Yonghui Huang, Zhaotong Lian, Xianping Guo
This paper is devoted to zero-sum piecewise deterministic Markov games with Borel state and action spaces, where the expected infinite-horizon discounted payoff criterion is considered. Both the transition rate and payoff rate are allowed to be unbounded. The policies of the two players are history-dependent, and the controls continuously act on the transition rate and the payoff rate. Under suitable
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An asymptotically optimal algorithm for online stacking Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2023-01-05 Martin Olsen, Lars Nørvang Andersen, Allan Gross
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Improved approximation algorithms for some min–max postmen cover problems with applications to the min–max subtree cover Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2022-12-07 Wei Yu
In this paper, we devise improved approximation algorithms for the Min–Max Rural Postmen Cover Problem (RuralPostCover) and the Min–Max Chinese Postmen Cover Problem (ChinesePostCover), which are natural extensions of the classical Rural Postman Problem and the Chinese Postman Problem where multiple postmen are available. These results are based on some key observations, a new approach to derive closed
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An axiomatic approach to Markov decision processes Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2022-12-02 Adam Jonsson
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Markov risk mappings and risk-sensitive optimal prediction Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2022-11-27 Tomasz Kosmala, Randall Martyr, John Moriarty
We formulate a probabilistic Markov property in discrete time under a dynamic risk framework with minimal assumptions. This is useful for recursive solutions to risk-sensitive versions of dynamic optimisation problems such as optimal prediction, where at each stage the recursion depends on the whole future. The property holds for standard measures of risk used in practice, and is formulated in several
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An implicit gradient-descent procedure for minimax problems Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2022-11-17 Montacer Essid, Esteban G. Tabak, Giulio Trigila
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Optimal dynamic multi-keyword bidding policy of an advertiser in search-based advertising Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2022-11-14 Savas Dayanik, Semih O. Sezer
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Nash equilibria for relative investors via no-arbitrage arguments Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2022-10-27 Nicole Bäuerle, Tamara Göll
Within a common arbitrage-free semimartingale financial market we consider the problem of determining all Nash equilibrium investment strategies for n agents who try to maximize the expected utility of their relative wealth. The utility function can be rather general here. Exploiting the linearity of the stochastic integral and making use of the classical pricing theory we are able to express all Nash
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Local edge minimality of SRPT networks with shared resources Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2022-10-07 Łukasz Kruk, Robert Gieroba
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Reduced two-bound core games Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2022-09-26 Doudou Gong, Bas Dietzenbacher, Hans Peters
This paper studies Davis–Maschler reduced games of two-bound core games and shows that all these reduced games with respect to core elements are two-bound core games with the same pair of bounds. Based on associated reduced game properties, we axiomatically characterize the core, the nucleolus, and the egalitarian core for two-bound core games. Moreover, we show that the egalitarian core for two-bound
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On the solution of monotone nested variational inequalities Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2022-09-26 Lorenzo Lampariello, Gianluca Priori, Simone Sagratella
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An efficient partial parallel method with scaling step size strategy for three-block convex optimization problems Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2022-09-19 Yaning Jiang, Deren Han, Xingju Cai
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A primal-dual interior-point relaxation method with global and rapidly local convergence for nonlinear programs Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2022-08-30 Xin-Wei Liu, Yu-Hong Dai, Ya-Kui Huang
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Bilevel hyperparameter optimization for support vector classification: theoretical analysis and a solution method Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2022-08-26 Qingna Li, Zhen Li, Alain Zemkoho
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Robust classical-impulse stochastic control problems in an infinite horizon Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2022-08-24 Chi Seng Pun
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Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2022-08-04 Yu Yuan, Zhibin Liang, Xia Han
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Adaptive discretization-based algorithms for semi-infinite programs with unbounded variables Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2022-07-19 Daniel Jungen, Hatim Djelassi, Alexander Mitsos
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Special issue on Energy Networks Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2022-07-05 Miguel F Anjos, Falk M Hante, Frauke Liers
This is the editorial for the Special Issue on Energy Networks.
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Peer-to-Peer Lending: a Growth-Collapse Model and its Steady-State Analysis Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2022-07-04 Onno Boxma, David Perry, Wolfgang Stadje
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The Lagrangian, constraint qualifications and economics Math. Meth. Oper. Res. (IF 1.2) Pub Date : 2022-06-30 Sjur D. Flåm, Jan-J. Rückmann
Considering constrained choice, practitioners and theorists frequently invoke a Lagrangian to generate optimality conditions. Regular use of that vehicle requires, however, some constraint qualification. Yet many economists go easy on the mathematics of that issue. Conversely, few mathematicians elaborate on the economics of the context. Thereby both parties leave some lacunas as to didactics or intuition