Country: Germany

Found 3096 papers in total
Risk sensitive portfolio optimization
Risk sensitive portfolio optimization
1999,
In the paper discrete time portfolio selection with maximization of the risk...
Incomplete markets with jumps and informed agents
Incomplete markets with jumps and informed agents
1999,
An asset is considered whose logarithmic price is the sum of a drift term, a Brownian...
Some applications of impulse control in mathematical finance
Some applications of impulse control in mathematical finance
1999,
We consider three applications of impulse control in financial mathematics, a cash...
Global convergence of a class of non-interior point algorithms using Chen–Harker–Kanzow–Smale functions for nonlinear complementarity problems
Global convergence of a class of non-interior point algorithms using Chen–Harker–Kanzow–Smale functions for nonlinear complementarity problems
1999,
We propose a class of non-interior point algorithms for solving the complementarity...
Lifting valid inequalities for the precedence constrained knapsack problem
Lifting valid inequalities for the precedence constrained knapsack problem
1999,
This paper considers the precedence constrained knapsack problem. More specifically,...
Conditioning of semidefinite programs
Conditioning of semidefinite programs
1999,
This paper studies the conditioning of semidefinite programs by analyzing the effect...
A symmetrical linear maxmin approach to disjoint bilinear programming
A symmetrical linear maxmin approach to disjoint bilinear programming
1999,
The disjoint bilinear programming problem can be reformulated using two distinct...
A parametric view on the Mangesarian–Fromovitz constraint qualification
A parametric view on the Mangesarian–Fromovitz constraint qualification
1999,
In this paper we consider the behaviour of the multipliers for one-parametric...
Linear convergence of epsilon-subgradient descent methods for a class of convex functions
Linear convergence of epsilon-subgradient descent methods for a class of convex functions
1999,
This paper establishes a linear convergence rate for a class of epsilon-subgradient...
Strong conical hull intersection property, bounded linear regularity, Jameson's property (G), and error bounds in convex optimization
Strong conical hull intersection property, bounded linear regularity, Jameson's property (G), and error bounds in convex optimization
1999,
The strong conical hull intersection property and bounded linear regularity are...
A method of projection onto an acute cone with level control in convex minimization
A method of projection onto an acute cone with level control in convex minimization
1999,
We study a projection method for convex minimization problems. In each step we...
Fixed-charge continuous knapsack problems and pseudogreedy solutions
Fixed-charge continuous knapsack problems and pseudogreedy solutions
1999,
We investigate nonlinear continuous knapsack problems, which can be classified as...
Nearly optimal stationary policies in negative dynamic programming
Nearly optimal stationary policies in negative dynamic programming
1999,
This work concerns controlled Markov chains with denumerable state space and discrete...
Lifted flow cover inequalities for mixed 0–1 integer programs
Lifted flow cover inequalities for mixed 0–1 integer programs
1999,
We investigate strong inequalities for mixed 0–1 integer programs derived from...
A polynomial time interior-point path-following algorithm for the linear complementarity problem based on Chen–Harker–Kanzow smoothing techniques
A polynomial time interior-point path-following algorithm for the linear complementarity problem based on Chen–Harker–Kanzow smoothing techniques
1999,
A polynomial complexity bound is established for an interior-point path-following...
Approximating the complexity measure of Vavasis–Ye algorithm is NP-hard
Approximating the complexity measure of Vavasis–Ye algorithm is NP-hard
1999,
Given an m × n integer matrix A of full row rank, we consider the problem of...
An extension of the entropic perturbation method of linear programming
An extension of the entropic perturbation method of linear programming
1999,
In this paper, an extended form of the entropic perturbation method of linear...
Finiteness of conical algorithms with omega subdivisions
Finiteness of conical algorithms with omega subdivisions
1999,
In this paper the problem of finding the global optimum of a concave function over a...
Smooth methods of multipliers for complementarity problems
Smooth methods of multipliers for complementarity problems
1999,
This paper describes several methods for solving nonlinear complementarity problems. A...
A parametric embedding for the finite minimax problem
A parametric embedding for the finite minimax problem
1999,
We consider unconstrained finite minimax problems where the objective function is...
Upper bounds for Gaussian stochastic programs
Upper bounds for Gaussian stochastic programs
1999,
We present a construction which gives deterministic upper bounds for stochastic...
An interior Newton method for quadratic programming
An interior Newton method for quadratic programming
1999,
We propose a new (interior) approach for the general quadratic programming problem. We...
Optimal admission control for M/D/1/K queueing systems
Optimal admission control for M/D/1/K queueing systems
1999,
For a single server loss system with finite waiting room with Poisson arrivals and...
Multivariate distributions characterized by a relationship between mean residual life and hazard rate
Multivariate distributions characterized by a relationship between mean residual life and hazard rate
1999,
In this paper, we characterize some multivariate distributions based on a relationship...
Papers per page: