Results 1 to 10 of about 263 (44)
Fast algorithms for large scale generalized distance weighted discrimination [PDF]
, 2017 High dimension low sample size statistical analysis is important in a wide range of applications. In such situations, the highly appealing discrimination method, support vector machine, can be improved to alleviate data piling at the margin.
Lam, Xin Yee +3 more
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Pricing American Options by Exercise Rate Optimization [PDF]
, 2019 We present a novel method for the numerical pricing of American options based on Monte Carlo simulation and the optimization of exercise strategies. Previous solutions to this problem either explicitly or implicitly determine so-called optimal exercise ...
Bayer, Christian +2 more
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Joint dynamic probabilistic constraints with projected linear decision rules [PDF]
, 2016 We consider multistage stochastic linear optimization problems combining joint dynamic probabilistic constraints with hard constraints. We develop a method for projecting decision rules onto hard constraints of wait-and-see type.
Guigues, Vincent, Henrion, Rene
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A Semidefinite Approach for Truncated K-Moment Problems [PDF]
, 2012 A truncated moment sequence (tms) of degree d is a vector indexed by monomials whose degree is at most d. Let K be a semialgebraic set.The truncated K-moment problem (TKMP) is: when does a tms y admit a positive Borel measure supported?
Helton, J. William, Jiawang Nie
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A Subgradient Method for Free Material Design [PDF]
, 2016 A small improvement in the structure of the material could save the manufactory a lot of money. The free material design can be formulated as an optimization problem.
Kocvara, Michal +2 more
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Optimal Release Time Decision from Fuzzy Mathematical Programming Perspective
, 2015 Demand for high software reliability requires rigorous testing followed by requirement of robust modeling techniques for software quality prediction. On one side, firms have to steadily manage the reliability by testing it vigorously, the optimal release
Agarwal, Mohini +3 more
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, 2013 Model reduction methods often aim at an identification of slow invariant manifolds in the state space of dynamical systems modeled by ordinary differential equations.
Lebiedz, Dirk, Siehr, Jochen
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Portfolio optimization with two coherent risk measures
, 2020 We provide analytical results for a static portfolio optimization problem with two coherent risk measures. The use of two risk measures is motivated by joint decision-making for portfolio selection where the risk perception of the portfolio manager is of
Aktürk, Tahsin Deniz, Ararat, Çağın
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A strategic approach for the ambulance covering of the province of Friesland [PDF]
, 1998 In the summer of 1995 the University of Twente, commissioned by the Province of Friesland, carried out research into the consequences of alternative locations for ambulances.
Macfarlane, J.D., Schreuder, J.A.M.
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EURO Journal on Computational Optimization, 2017 This paper elaborates compact MIP formulations for a discrete unit commitment problem with minimum stop and ramping constraints. The variables can be defined in two different ways.
Nicolas Dupin
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