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ORL
2007
108views more  ORL 2007»
13 years 11 months ago
Convergence properties of the cross-entropy method for discrete optimization
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...
Andre Costa, Owen Dafydd Jones, Dirk P. Kroese
ORL
2007
48views more  ORL 2007»
13 years 11 months ago
Remarks on the remaining service time upon reaching a target level in the M/G/1 queue
In this note we establish connections between new and previous results on the remaining service time upon reaching a target level in the M/G/1 queue.
Kyung C. Chae, Kilhwan Kim, Nam K. Kim
ORL
2007
46views more  ORL 2007»
13 years 11 months ago
Duality in option pricing based on prices of other derivatives
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...
Michi Nishihara, Mutsunori Yagiura, Toshihide Ibar...
ORL
2007
86views more  ORL 2007»
13 years 11 months ago
Complexity of two dual criteria scheduling problems
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...
Yumei Huo, Joseph Y.-T. Leung, Hairong Zhao
ORL
2007
41views more  ORL 2007»
13 years 11 months ago
A note on scheduling to meet two min-sum objectives
Eric Angel, Evripidis Bampis, Aleksei V. Fishkin
ORL
2007
54views more  ORL 2007»
13 years 11 months ago
Stationary remaining service time conditional on queue length
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
Karl Sigman, Uri Yechiali
ORL
2007
96views more  ORL 2007»
13 years 11 months ago
A note on scenario reduction for two-stage stochastic programs
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...
Holger Heitsch, Werner Römisch
ORL
2007
64views more  ORL 2007»
13 years 11 months ago
Robust portfolio selection with uncertain exit time using worst-case VaR strategy
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 ...
Dashan Huang, Frank J. Fabozzi, Masao Fukushima