We present new theoretical convergence results on the Cross-Entropy method for discrete optimization. Our primary contribution is to show that a popular implementation of the Cros...
We clarify a financial meaning of duality in the semi-infinite programming problem which emerges in the context of determining a derivative price range based only on the no-arbi...
In this article we answer the complexity question of two dual criteria scheduling problems which had been open for a long time. Both problems are single machine scheduling problem...
In Mandelbaum and Yechiali (1979) a simple formula is derived for the expected stationary remaining service time in a FIFO M/G/1 queue, conditional on the number of customers
We extend earlier work on scenario reduction by relying directly on Fortet–Mourier metrics instead of using upper bounds given in terms of mass transportation problems. The impo...
In this paper we consider the robust portfolio selection problem involving two types of uncertainties; the uncertainty in the distribution of exit time and the uncertainty in the ...