Search results for " optimization"
showing 10 items of 2367 documents
Optimal Hedging of Option Portfolios with Transaction Costs
2006
One of the most successful approaches to option hedging with transaction costs is the utility based approach pioneered by Hodges and Neuberger (1989). However, this approach has one major drawback that prevents the broad application of this approach in practice: the lack of a closed-form solution. The direct numerical computations of the utility based hedging strategy are cumbersome in a practical implementation. Despite some recent advances in finding an explicit description of the utility based hedging strategy by using either asymptotic, approximation, or other methods, so far they were concerned primarily with hedging a single plain-vanilla option. However, in practice one often faces t…
Optimal Index Tracking Under Transaction Costs and Impulse Control
1998
We apply impulse control techniques to a cash management problem within a mean-variance framework. We consider the strategy of an investor who is trying to minimise both fixed and proportional transaction costs, whilst minimising the tracking error with respect to an index portfolio. The cash weight is constantly fluctuating due to the stochastic inflow and outflow of dividends and liabilities. We show the existence of an optimal strategy and compute it numerically.
Towards efficient inductive synthesis: Rapid construction of local regularities
2006
Given several input/output examples of some function we can state the problem: what is the “simplest” function which complies with these examples. This problem is well studied and is known to be very hard in the general case. In this paper we address a special case of the problem, when the target function can be expressed as a simple composition of known functions. We propose a new inductive synthesis algorithm for this case and show that it is efficient enough to synthesize complex geometry formulas.
New Perspectives and Challenges in Traffic and Transportation Engineering Supporting Energy Saving in Smart Cities—A Multidisciplinary Approach to a …
2022
Transportation, like other spheres of human activity, is constantly changing due to economic development. People are constantly improving the ways of moving using various energy sources, expanding infrastructures, and adapting cities to increasing traffic volumes. An efficient, modern, and demand-driven transportation infrastructure is the strength of a growing economy. The development of transportation improves the accessibility of regions and labor markets and reduces the nuisance caused by congestion. All these elements translate into economic benefits, competitiveness, increased productivity of enterprises and regions, as well as social benefits. However, transport consumes enormous ene…
Scalable Deployment of Efficient Transportation Optimization for SMEs and Public Sector
2014
Transportation planning is central activity in logistic network design. In this study, we examine the deployment of optimization methodology to transportation planning. More specifically, we examine the adoption of system solving the well-known combinatorial optimization problem, the vehicle routing problem (VRP). Its application has resulted in efficiency gains in transportation logistics, but they have not been very widespread, and especially small-scale operators have not yet benefited from these systems. In this paper, we present a prospective case study on the issues during deployment of optimization, especially in the context of small and medium enterprises (SMEs). We propose a novel …
Design of a transverse flux machine for power generation from seawaves
2014
In this paper, we present a transverse flux linear generator. We investigate the possibility to use this generator to extract energy from seawaves. We propose an optimization procedure that allows us to obtain an optimized design of the generator. The optimized design of the converter shows a power generation capability index much higher than other renewable systems.
Efficient GRASP+VND and GRASP+VNS metaheuristics for the traveling repairman problem
2011
Abstract: The traveling repairman problem is a customer-centric routing problem, in which the total waiting time of the customers is minimized, rather than the total travel time of a vehicle. To date, research on this problem has focused on exact algorithms and approximation methods. This paper presents the first metaheuristic approach for the traveling repairman problem.
New insights into the OCST problem
2009
This paper considers the Euclidean variant of the optimal communciation spanning tree (OCST) problem. Researches have analyzed the structure of the problem and found that high quality solutions prefer edges of low cost. Further, edges pointing to the center of the network are more likely to be included in good solutions. We add to the literature and provide additional insights into the structure of the OCST problem. Therefore, we investigate properies of the whole tree, such as node degrees and the Wiener index. The results reveal that optimal solutions are structured in a star-like manner. There are few nodes with high node degrees, these nodes are located next to the graph's center. The m…
Solving a large multicontainer loading problem in the car manufacturing industry
2017
Abstract Renault, a large car manufacturer with factories all over the world, has a production system in which not every factory produces all the parts required to assemble a vehicle. Every day, large quantities of car parts are sent from one factory to another, defining very large truck/container transportation problems. The main challenge faced by the Renault logistics platforms is to load the items into trucks and containers as efficiently as possible so as to minimize the number of vehicles sent. Therefore, the problem to be solved is a multicontainer loading problem in which, besides the usual geometric constraints preventing items from overlapping and exceeding the dimensions of the c…
Branch-and-Price-and-Cut for the Truck-and-Trailer Routing Problem with Time Windows
2018
In this paper, we present a new branch-and-price-and-cut algorithm to solve the truck-and-trailer routing problem with time windows (TTRPTW) and two real-world extensions. In all TTRPTW variants, the fleet consists of one or more trucks that may attach a trailer. Some customers are not accessible with a truck-and-trailer combination, but can however be serviced by one if the trailer is previously detached and parked at a suitable location. In the first extension, the planning horizon comprises two days and customers may be visited either on both days or only once, in which case twice the daily supply must be collected. The second extension incorporates load transfer times depending on the …