The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
A risk measure in a portfolio selection problem is linear programming (LP) solvable, if
it has a linear formulation when the asset returns are represented by discrete random
variables, i.e., they are defined by their realizations under specified
scenarios. The efficient frontier corresponding to an LP solvable model is a piecewise
linear curve. In this paper we describe a method which realizes and produces a tangency
portfolio as a by-product during...
A risk measure in a portfolio selection problem is linear programming (LP) solvable, if
it has a linear formulation when the asset returns are represented by discrete random
variables, i.e., they are defined by their realizations under specified
scenarios. The efficient frontier corresponding to an LP solvable model is a piecewise
linear curve. In this paper we describe a method which realizes and produces a tangency
portfolio as a by-product during...
Nous proposons ici un modèle de Tarification basé sur une extension du formalisme des Jeux Coopératifs et qui prend en compte la notion d’Élasticité de la Demande. Nous présentons pour ce modèle un résultat d’existence ainsi qu’un algorithme de calcul associé. Nous interprétons enfin ce nouveau concept dans le cas d’un problème de production et nous le prolongeons au cas d’un problème de transport.
We propose here a pricing Model which is an extension of the Cooperative Game concept and
which includes a notion of Elastic Demand. We present some existence results as well as some
algorithms. We conclude by discussing this model in the context of some Production and
Transportation problems.
A new methodology for the design of filters that permits failure detection and isolation of dynamic systems is presented. Assuming that the normal and the faulty behavior of a process can be modeled by two linear systems subject to inequality bounded perturbations, a method for the on-line implementation of a test signal, guaranteeing failure detection, is proposed. To improve the fault detectability of the dynamic process, appropriate test signals are injected into the system. All the computations...
Modifications to a procedure for determining necessary and sufficient conditions for the existence of a solution to the multi-index problem are described. These modifications reduce the computation required to such an extent that necessary and sufficient conditions for the existence of a solution to the 3x3x3 multi-index problem can now be determined. These conditions are given in this paper.
Given a deterministic optimal control problem (OCP) with value function, say , we introduce a linear program and its dual whose values satisfy . Then we give conditions under which (i) there is no duality gap
This paper proposes a specialized LP-algorithm for a sub problem arising in simple Profit maximising Lot-sizing. The setting involves a single (and multi) item production system with negligible set-up costs/times and limited production capacity. The producer faces a monopolistic market with given time-varying linear demand curves.
Currently displaying 1 –
20 of
20