Tracking error with minimum guarantee constraints [PDF]
In recent years the popularity of indexing has greatly increased in financial markets and many different families of products have been introduced. Often these products also have a minimum guarantee in the form of a minimum rate of return at specified ...
Diana Barro, Elio Canestrelli
core
, 2017 We introduce DASC, a decomposition method akin to Stochastic Dual Dynamic Programming (SDDP) which solves some multistage stochastic optimization problems having strongly convex cost functions. Similarly to SDDP, DASC approximates cost-to-go functions by
Guigues, Vincent
core
Intrinsic spherical smoothing method based on generalized Bézier curves and sparsity inducing penalization. [PDF]
J Appl Stat, 2023 Bak KY, Shin JK, Koo JY.
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Combining stochastic programming and optimal control to solve multistage stochastic optimization problems [PDF]
In this contribution we propose an approach to solve a multistage stochastic programming problem which allows us to obtain a time and nodal decomposition of the original problem.
Diana Barro, Elio Canestrelli
core
Determining locations and layouts for parcel lockers to support supply chain viability at the last mile. [PDF]
Omega, 2022 Kahr M.
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Effectively managing diagnostic tests to monitor the COVID-19 outbreak in Italy. [PDF]
Oper Res Health Care, 2021 Lampariello L, Sagratella S.
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Distributionally robust mean-absolute deviation portfolio optimization using wasserstein metric. [PDF]
J Glob Optim, 2022 Chen D, Wu Y, Li J, Ding X, Chen C.
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Convex-Concave fitting to successively updated data and its application to covid-19 analysis. [PDF]
J Comb Optim, 2022 Davos DE, Demetriou IC.
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An incremental mirror descent subgradient algorithm with random sweeping and proximal step. [PDF]
Optimization, 2019 Boţ RI, Böhm A.
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