MOR 2006 | Sciweavers

23

MOR
2006

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An Efficient Interior-Point Method for Convex Multicriteria Optimization Problems

13 years 7 months ago

In multicriteria optimization, several objective functions, conflicting with each other, have to be minimized simultaneously. We propose a new efficient method for approximating t...

Jörg Fliege

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13

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MOR
2006

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Conditional Risk Mappings

13 years 7 months ago

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We introduce an axiomatic definition of a conditional convex risk mapping and we derive its properties. In particular, we prove a representation theorem for conditional risk mappi...

Andrzej Ruszczynski, Alexander Shapiro

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14

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MOR
2006

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Permuted Standardized Time Series for Steady-State Simulations

13 years 7 months ago

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We describe an extension procedure for constructing new standardized time series procedures from existing ones. The approach is based on averaging over sample paths obtained by per...

James M. Calvin, Marvin K. Nakayama

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21

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MOR
2006

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Optimal Control and Hedging of Operations in the Presence of Financial Markets

13 years 7 months ago

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We consider the problem of dynamically hedging the profits of a corporation when these profits are correlated with returns in the financial markets. In particular, we consider the...

René Caldentey, Martin B. Haugh

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15

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MOR
2006

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Integer Polynomial Optimization in Fixed Dimension

13 years 7 months ago