Search results for "Mathematical optimization"

A Unified Approach to Portfolio Optimization with Linear Transaction Costs

2004

In this paper we study the continuous time optimal portfolio selection problem for an investor with a finite horizon who maximizes expected utility of terminal wealth and faces transaction costs in the capital market. It is well known that, depending on a particular structure of transaction costs, such a problem is formulated and solved within either stochastic singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the contemporary approaches and is capable to deal with any problem where transaction costs are a linear/piecewise-linear function of the volume of trade. We also discuss some methods for solving numerically the p…

An efficient framework for the elasto-plastic reliability assessment of uncertain wind excited systems

2016

Abstract In this paper a method to efficiently evaluate the reliability of elastic-perfectly plastic structures is proposed. The method is based on combining dynamic shakedown theory with Subset Simulation. In particular, focus is on describing the shakedown behavior of uncertain elasto-plastic systems driven by stochastic wind loads. The ability of the structure to shakedown is assumed as a limit state separating plastic collapse from a safe, if not elastic, state of the structure. The limit state is therefore evaluated in terms of a probabilistic load multiplier estimated through solving a series of linear programming problems posed in terms of the responses of the underlying linear elast…

Up-to-Date Supply Chain Management: The Coordinated (S, R) Order-Up-to

2011

This paper presents the mathematical derivation of a new generation of the most largely used periodic review policy in supply chain: the coordinated (S, R) replenishment rule. We first derive the classical order-up-to model and then we modify it to generate the coordinated decision policy equations. We run a numerical simulation on a serial supply chain model to show differences in the two policies. We conclude on the managerial implications related to coordinated replenishment.

2014

For locating inaccurate problem of the discrete localization criterion proposed by Demigny, a new criterion expression of “good localization” is proposed. Firstly, a discrete expression of good detection and good localization criterion of two dimension edge detection operator is employed, and then an experiment to measure optimal parameters of two dimension Canny's edge detection operator is introduced after. Moreover, a detailed performance comparison and analysis of two dimension optimal filter obtained via utilizing tensor product for one dimension optimal filter are provided which can prove that least square support vector regression (LS-SVR) is a smoothness filter and give the construc…

Multi-dimensional Function Approximation and Regression Estimation

2002

In this communication, we generalize the Support Vector Machines (SVM) for regression estimation and function approximation to multi-dimensional problems. We propose a multi-dimensional Support Vector Regressor (MSVR) that uses a cost function with a hyperspherical insensitive zone, capable of obtaining better predictions than using an SVM independently for each dimension. The resolution of the MSVR is achieved by an iterative procedure over the Karush-Kuhn-Tucker conditions. The proposed algorithm is illustrated by computers experiments.

MESH COMPARISON USING ATTRIBUTE DEVIATION METRIC

2004

We propose a mesh comparison method using a new attribute deviation metric. The considered meshes contain geometrical and appearance attributes (material color, texture, temperature, etc.). The proposed deviation metric computes local differences between the attributes of two meshes. A mesh comparison assessment can be done easily and quickly using this metric. The techniques proposed are applicable in a number of ways, e.g. 3D matching and registration, and the example described in the paper is the simplification of a surface by iteratively reducing its complexity according to an error metric. The results are presented showing the success of the algorithm through comparisons with other me…

Workhardening adaptation of rigid-plastic structures

1976

The paper considers discrete rigid-plastic structures which are subjected to the action of loads varying quasi-statically within given limits. It studies the conditions for workhoardening adaptation, that is the conditions to ensure that the structure, after an initial rigid-plastic phase, shows a purely rigid behavior. The safety factor against the workhardening inadaptation is defined by two dual optimization problems. Some characteristic features of the yielding surface at failure are pointed out, using also a proper geometric description. Static and kinematic theorems, which are similar to those of shakedown theory, are given. A simple application concludes the paper.

Getting even with CLE

2018

In the landscape of approaches toward the simulation of Lattice Models with complex action the Complex Langevin (CL) appears as a straightforward method with a simple, well defined setup. Its applicability, however, is controlled by certain specific conditions which are not always satisfied. We here discuss the procedures to meet these conditions and the estimation of systematic errors and present some actual achievements.

Existence and Optimality of Nash Equilibria in Inventory Games

2005

Abstract This paper studies the stability and optimality of a distributed consensus protocol for n -player repeated non cooperative games under incomplete information. At each stage, the players choose binary strategies and incur in a payoff monotonically decreasing with the number of active players. The game is specialized to an inventory application, where fixed costs are shared among all retailers, interested in whether reordering or not from a common warehouse. The authors focus on Pareto optimality as a measure of coordination of reordering strategies, proving that there exists a unique Pareto optimal Nash equilibrium that verifies certain stability conditions.

Noncooperative dynamic games for inventory applications: A consensus approach

2008

We focus on a finite horizon noncooperative dynamic game where the stage cost of a single player associated to a decision is a monotonically nonincreasing function of the total number of players making the same decision. For the single-stage version of the game, we characterize Nash equilibria and derive a consensus protocol that makes the players converge to the unique Pareto optimal Nash equilibrium. Such an equilibrium guarantees the interests of the players and is also social optimal in the set of Nash equilibria. For the multi-stage version of the game, we present an algorithm that converges to Nash equilibria, unfortunately not necessarily Pareto optimal. The algorithm returns a seque…