Journal: Mathematical Methods of Operations Research

Found 203 papers in total
Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains
Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains
2009,
This paper deals with denumerable-state continuous-time controlled Markov chains with...
Solutions of the average cost optimality equation for finite Markov decision chains: risk-sensitive and risk-neutral criteria
Solutions of the average cost optimality equation for finite Markov decision chains: risk-sensitive and risk-neutral criteria
2009,
This work is concerned with controlled Markov chains with finite state and action...
A stochastic approximation method for the single-leg revenue management problem with discrete demand distributions
A stochastic approximation method for the single-leg revenue management problem with discrete demand distributions
2009,
We consider the problem of optimally allocating the seats on a single flight leg to...
Opportune moment strategies for a cost spanning tree game
Opportune moment strategies for a cost spanning tree game
2009,
Cost spanning tree problems concern the construction of a tree which provides a...
A pairwise-monotonic core selection for permutation games
A pairwise-monotonic core selection for permutation games
2009,
In this article, a single-valued solution for permutation games is proposed. If we...
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
2009,
We approximate the price of the American put for jump diffusions by a sequence of...
Optimal control of Markovian jump processes with partial information and applications to a parallel queueing model
Optimal control of Markovian jump processes with partial information and applications to a parallel queueing model
2009,
We consider a stochastic control problem over an infinite horizon where the state...
On the characterization of strong convergence of an iterative algorithm for a class of multi-valued variational inclusions
On the characterization of strong convergence of an iterative algorithm for a class of multi-valued variational inclusions
2009,
This paper introduces an Ishikawa type iterative algorithm for finding approximating...
Average cost Markov control processes: stability with respect to the Kantorovich metric
Average cost Markov control processes: stability with respect to the Kantorovich metric
2009,
We study perturbations of a discrete-time Markov control process on a general state...
Criteria for efficiency in vector optimization
Criteria for efficiency in vector optimization
2009,
We consider unconstrained finite dimensional multi-criteria optimization problems,...
Valuation of power plants by utility indifference and numerical computation
Valuation of power plants by utility indifference and numerical computation
2009,
This paper presents a real option valuation model of a power plant, which accounts for...
Transient solution of a non-empty chemical queueing system
Transient solution of a non-empty chemical queueing system
2009,
In this paper, we illustrate that a power series technique can be used to derive...
Strong bounds on perturbations
Strong bounds on perturbations
2009,
This paper provides strong bounds on perturbations over a collection of independent...
Efficient frontier of utility and CVaR (Conditional Value at Risk)
Efficient frontier of utility and CVaR (Conditional Value at Risk)
2009,
We study the efficient frontier problem of maximizing the expected utility of terminal...
A feedback fluid queue with two congestion control thresholds
A feedback fluid queue with two congestion control thresholds
2009,
Feedback fluid queues play an important role in modeling congestion control mechanisms...
Well-posedness for vector equilibrium problems
Well-posedness for vector equilibrium problems
2009,
We introduce and study two notions of well-posedness for vector equilibrium problems...
Maximum-cover source location problems with objective edge-connectivity three
Maximum-cover source location problems with objective edge-connectivity three
2009,
Given a graph G = ( V , E ), a set of vertices S ⊆ V covers a vertex v ∈ V...
A continuous-time search model with job switch and jumps
A continuous-time search model with job switch and jumps
2009,
We study a new search problem in continuous time. In the traditional approach, the...
Properties of equation reformulation of the Karush–Kuhn–Tucker condition for nonlinear second order cone optimization problems
Properties of equation reformulation of the Karush–Kuhn–Tucker condition for nonlinear second order cone optimization problems
2009,
We give an equation reformulation of the Karush–Kuhn–Tucker (KKT)...
Dynamic mean-risk optimization in a binomial model
Dynamic mean-risk optimization in a binomial model
2009,
We consider a dynamic mean-risk problem, where the risk constraint is given by the...
Extension of the Weiszfeld procedure to a single facility minisum location model with mixed l p norms
Extension of the Weiszfeld procedure to a single facility minisum location model with mixed l p norms
2009,
This paper presents a general mixed-norm minisum problem for locating a single...
Random walk, birth-and-death process and their fluid approximations: absorbing case
Random walk, birth-and-death process and their fluid approximations: absorbing case
2009,
Fluid models are used to study functionals of the underlying random processes. Instead...
Recursive functions on the plane and FPTASs for production planning and scheduling problems with two facilities
Recursive functions on the plane and FPTASs for production planning and scheduling problems with two facilities
2009,
We consider a production model with two facilities sharing a resource during a time...
A general approach to Bayesian portfolio optimization
A general approach to Bayesian portfolio optimization
2009,
We develop a general approach to portfolio optimization taking account of estimation...
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