Search results for "optimization"
showing 10 items of 2824 documents
The Random-Time Binomial Model
1999
In this paper we study Binomial Models with random time steps. We explain, how calculating values for European and American Call and Put options is straightforward for the Random-Time Binomial Model. We present the conditions to ensure weak-convergence to the Black-Scholes setup and convergence of the values for European and American put options. Differently to the CRR-model the convergence behaviour is extremely smooth in our model. By using extrapolation we therefore achieve order of convergence two. This way it is an efficient tool for pricing purposes in the Black-Scholes setup, since the CRR model and its extrapolations typically achieve order one. Moreover our model allows in a straig…
A problem-adjusted genetic algorithm for flexibility design
2013
Many present markets for goods and services have highly volatile demand due to short life cycles and strong competition in saturated environments. Determination of capacity levels is difficult because capacities often need to be set long before demand realizes. In order to avoid capacity-demand mismatches, operations managers employ mix-flexible resources which allow them to shift excess demands to unused capacities. The Flexibility Design Problem (FDP) models the decision on the optimal configuration of a flexible (manufacturing) network. FDP is a difficult stochastic optimization problem, for which traditional exact approaches are not able to solve but the smallest instances in reasonable…
A naïve approach to speed up portfolio optimization problem using a multiobjective genetic algorithm
2012
a b s t r a c t Genetic algorithms (GAs) are appropriate when investors have the objective of obtaining mean-variance (VaR) efficient frontier as minimising VaR leads to non-convex and non-differential risk-return optimisation problems. However GAs are a time-consuming optimisation technique. In this paper, we propose to use a naive approach consisting of using samples split by quartile of risk to obtain complete efficient frontiers in a reasonable computation time. Our results show that using reduced problems which only consider a quartile of the assets allow us to explore the efficient frontier for a large range of risk values. In particular, the third quartile allows us to obtain efficie…
Strategic sharing of a costly network
2012
We study minimum cost spanning tree problems for a set of users connected to a source. Prim’s algorithm provides a way of finding the minimum cost tree mm. This has led to several definitions in the literature, regarding how to distribute the cost. These rules propose different cost allocations, which can be understood as compensations and/or payments between players, with respect to the status quo point: each user pays for the connection she uses to be linked to the source. In this paper we analyze the rationale behind a distribution of the minimum cost by defining an a priori transfer structure. Our first result states the existence of a transfer structure such that no user is willing to …
The closed-form solution for a family of four-dimension nonlinear MHDS
2008
In this article we propose a method for solving a general class of four-dimension nonlinear modified Hamiltonian dynamic systems in closed form. This method may be used to study several intertemporal optimization problems sharing a common structure, which involves unbounded technological constraints as well as multiple controls and state variables. The method is developed by solving the first-order conditions associated with the planner's problem corresponding to the Lucas [1988. On the mechanics of economic development. Journal of Monetary Economics 22, 3-42] two-sector model of endogenous growth, and allows for explicitly showing the transitional dynamics of the model. Despite the externa…
Special functions for the study of economic dynamics: The case of the Lucas-Uzawa model
2008
The special functions are intensively used in mathematical physics to solve differential systems. We argue that they should be most useful in economic dynamics, notably in the assessment of the transition dynamics of endogenous economic growth models. We illustrate our argument on the famous Lucas-Uzawa model, which we solve by the means of Gaussian hypergeometric functions. We show how the use of Gaussian hypergeometric functions allows for an explicit representation of the equilibrium dynamics of all variables in level. The parameters of the involved hypergeometric functions are identified using the Pontryagin conditions arising from the underlying optimization problems. In contrast to th…
Household debt and labor market fluctuations
2011
Abstract The co-movements of labor productivity with output, total hours, vacancies and unemployment have changed since the mid 1980s. This paper offers an explanation for the sharp break in the fluctuations of labor market variables based on endogenous labor supply decisions following the mortgage market deregulation. We set up a search model with efficient bargaining and financial frictions, in which impatient borrowers can take an amount of credit that cannot exceed a proportion of the expected value of their real estate holdings. When borrowers' equity requirements are low, the impact of a positive technology shock on the marginal utility of consumption is strengthened, which in turn re…
Sectoral policies cause incoherence in forest management and ecosystem service provisioning
2022
Various national policies guide forest use, but often with competing policy objectives leading to divergent management paradigms. Incoherent policies may negatively impact the sustainable provision of forest ecosystem services (FES), and forest multifunctionality. There is uncertainty among policymakers about the impacts of policies on the real world. We translated the policy documents of Finland into scenarios including the quantitative demands for FES, representing: the national forest strategy (NFS), the biodiversity strategy (BDS), and the bioeconomy strategy (BES). We simulated a Finland-wide systematic sample of forest stands with alternative management regimes and climate change. Fin…
Open-Source software in OR education
2010
24th European Conference on Operational Research (EURO XXIV). Lisboa, 11 a 14 de Julho de 2010 (Comunicação). This contribution will focus on Computational Tools of Open-Source Software in OR Education. Some educational experiences in the area of Forecasting; Simulation; Graphs and Networks; Decision Theory and Linear Programming based on: R 2.10.0, Scilab 5.1.1 and an Open Source Spreadsheet will be illustrated, with a brief reference to the acceptance of pupils and colleagues.
Analysis and optimization against buckling of beams interacting with elastic foundation
2017
We consider an infinite continuous elastic beam that interacts with linearly elastic foundation and is under compression. The problem of the beam buckling is formulated and analyzed. Then the optimization of beam against buckling is investigated. As a design variable (control function) we take the parameters of cross-section distribution of the beam from the set of periodic functions and transform the original problem of optimization of infinite beam to the corresponding problem defined at the finite interval. All investigations are on the whole founded on the analytical variational approaches and the optimal solutions are studied as a function of problems parameters. peerReviewed