Search results for "Mathematical optimization"
showing 10 items of 1300 documents
European Option Pricing and Hedging with Both Fixed and Proportional Transaction Costs
2003
Abstract In this paper we provide a systematic treatment of the utility based option pricing and hedging approach in markets with both fixed and proportional transaction costs: we extend the framework developed by Davis et al. (SIAM J. Control Optim., 31 (1993) 470) and formulate the option pricing and hedging problem. We propose and implement a numerical procedure for computing option prices and corresponding optimal hedging strategies. We present a careful analysis of the optimal hedging strategy and elaborate on important differences between the exact hedging strategy and the asymptotic hedging strategy of Whalley and Wilmott (RISK 7 (1994) 82). We provide a simulation analysis in order …
A stochastic method for robustness analysis in sorting problems
2009
ELECTRE TRI is a multiple criteria decision aiding sorting method with a history of successful real-life applications. In ELECTRE TRI, values for certain parameters have to be provided. We propose a new method, SMAA-TRI, that is based on stochastic multicriteria acceptability analysis (SMAA), for analyzing the stability of such parameters. The stability analysis can be used for deriving robust conclusions. SMAA-TRI allows ELECTRE TRI to be used with uncertain, arbitrarily distributed values for weights, the lambda cutting level, and profiles. The method consists of analyzing finite spaces of arbitrarily distributed parameter values. Monte Carlo simulation is applied in this in order to desc…
Constrained and unconstrained problems in location theory and inner products
1997
In a real normed space X the optimization problem associated to a finite subset and to a family of positive weights with the objective function [UM0001] has some well known properties when X is an ...
Measuring diversity. A review and an empirical analysis
2021
Abstract Maximum diversity problems arise in many practical settings from facility location to social networks, and constitute an important class of NP-hard problems in combinatorial optimization. There has been a growing interest in these problems in recent years, and different mathematical programming models have been proposed to capture the notion of diversity. They basically consist of selecting a subset of elements of a given set in such a way that a measure based on their pairwise distances is maximized to achieve dispersion or representativeness. In this paper, we perform an exhaustive comparison of four mathematical models to achieve diversity over the public domain library MDPLIB, …
A multi objective genetic algorithm for the facility layout problem based upon slicing structure encoding
2012
This paper proposes a new multi objective genetic algorithm (MOGA) for solving unequal area facility layout problems (UA-FLPs). The genetic algorithm suggested is based upon the slicing structure where the relative locations of the facilities on the floor are represented by a location matrix encoded in two chromosomes. A block layout is constructed by partitioning the floor into a set of rectangular blocks using guillotine cuts satisfying the areas requirements of the departments. The procedure takes into account four objective functions (material handling costs, aspect ratio, closeness and distance requests) by means of a Pareto based evolutionary approach. The main advantage of the propos…
A geometrical approach for inverting display color-characterization models
2008
— Some display color-characterization models are not easily inverted. This work proposes ways to build geometrical inverse models given any forward color-characterization model. The main contribution is to propose and analyze several methods to optimize the 3-D geometrical structure of an inverse color-characterization model directly based on the forward model. Both the amount of data and their distribution in color space is especially focused on. Several optimization criteria, related either to an evaluation data set or to the geometrical structure itself, are considered. A practical case with several display devices, combining the different methods proposed in the article, are considered …
Implementation aspects of interactive multiobjective optimization for modeling environments: The case of GAMS-NIMBUS
2014
Abstract. Interactive multiobjective optimization methods have provided promising results in the literature but still their implementations are rare. Here we introduce a core structure of interactive methods to enable their convenient implementation. We also demonstrate how this core structure can be applied when implementing an interactive method using a modeling environment. Many modeling environments contain tools for single objective optimization but not for interactive multiobjective optimization. Furthermore, as a concrete example, we present GAMS-NIMBUS Tool which is an implementation of the classification-based NIMBUS method for the GAMS modeling environment. So far, interactive met…
Large‐scale set partitioning problems: Some real‐world instances hide a beneficial structure
2006
In this paper we consider large‐scale set partitioning problems. Our main purpose is to show that real‐world set partitioning problems originating from the container‐trucking industry are easier to tackle in respect to general ones. We show such different behavior through computational experiments: in particular, we have applied both a heuristic algorithm and some exact solution approaches to real‐world instances as well as to benchmark instances from Beasley OR‐library. Moreover, in order to gain an insight into the structure of the real‐world instances, we have performed and evaluated various instance perturbations. Didelės matematinės aibės dalijimo problemų sprendimas, nagrinėjant reali…
Black-Box solvers in combinatorial optimization
2015
Black box optimizers have a long tradition in the field of operations research. These procedures treat the objective function evaluation as a black box and therefore do not take advantage of its specific structure. Black-box optimization refers to the process in which there is a complete separation between the evaluation of the objective function —and perhaps other functions used to enforce constraints— and the solution procedure. The challenge of optimizing black boxes is to develop methods that can produce outcomes of reasonable quality without taking advantage of problem structure and employing a computational effort that is adequate for the context.
A multi-objective approach to facility layout problem by genetic search algorithm and Electre method
2006
Abstract Classical approaches to layout design problem tend to maximise the efficiency of layout, measured by the handling cost related to the interdepartmental flow and to the distance among the departments. However, the actual problem involves several conflicting objectives hence requiring a multi-objective formulation. Multi-objective approaches, recently proposed, in most cases lead to the maximisation of a weighted sum of score functions. The poor practicability of such an approach is due to the difficulty of normalising these functions and of quantifying the weights. In this paper, this difficulty is overcome by approaching the problem in two subsequent steps: in the first step, the P…