Journal: Annals of Operations Research

Found 3339 papers in total
On the separability of subproblems in Benders decompositions
On the separability of subproblems in Benders decompositions
2009,
Benders decomposition is a well-known procedure for solving a combinatorial...
Conditional lexicographic orders in constraint satisfaction problems
Conditional lexicographic orders in constraint satisfaction problems
2009,
The lexicographically-ordered CSP (‘lexicographic CSP’ or...
Online stochastic reservation systems
Online stochastic reservation systems
2009,
This paper considers online stochastic reservation problems, where requests come...
Solving a tactical operating room planning problem by a column-generation-based heuristic procedure with four criteria
Solving a tactical operating room planning problem by a column-generation-based heuristic procedure with four criteria
2009,
In some hospitals, an ‘open scheduling’strategy is applied to solve the...
Pooling, pricing and trading of risks
Pooling, pricing and trading of risks
2009,
Exchange of risks is considered here as a transferable-utility, cooperative game,...
Moment based approaches to value the risk of contingent claim portfolios
Moment based approaches to value the risk of contingent claim portfolios
2009,
In this paper we describe and apply the estimating function methodology to value the...
A simple model of corporate international investment under incomplete information and taxes
A simple model of corporate international investment under incomplete information and taxes
2009,
This paper extends the theory of corporate international investment in Choi (1989) in...
Tracking error: A multistage portfolio model
Tracking error: A multistage portfolio model
2009,
We study multistage tracking error problems. Different tracking error measures,...
The expected loss in the discretization of multistage stochastic programming problems: Estimation and convergence rate
The expected loss in the discretization of multistage stochastic programming problems: Estimation and convergence rate
2009,
In the present paper, the approximate computation of a multistage stochastic...
Asset-liability management for Czech pension funds using stochastic programming
Asset-liability management for Czech pension funds using stochastic programming
2009,
It is possible to model a wide range of portfolio management problems using stochastic...
Risk preference modeling with conditional average: an application to portfolio optimization
Risk preference modeling with conditional average: an application to portfolio optimization
2009,
The paper introduces a new risk measure called Conditional Average (CAVG), which was...
Standardized versus customized portfolio: A compensating variation approach
Standardized versus customized portfolio: A compensating variation approach
2009,
We consider the investor choice among standardized portfolios, which are based on...
An algorithmic approach for maintenance management based on advanced state space systems and harmonic regressions
An algorithmic approach for maintenance management based on advanced state space systems and harmonic regressions
2009,
Point mechanisms are special track elements which failures results in delays and...
A hybrid optimization approach to index tracking
A hybrid optimization approach to index tracking
2009,
Index tracking consists in reproducing the performance of a stock-market index by...
Optimal pension fund management under multi-period risk minimization
Optimal pension fund management under multi-period risk minimization
2009,
In this paper, a multi-period stochastic optimization model for solving a problem of...
Portfolio selection in stochastic markets with exponential utility functions
Portfolio selection in stochastic markets with exponential utility functions
2009,
We consider the optimal portfolio selection problem in a multiple period setting where...
An effective solution for a real cutting stock problem in manufacturing plastic rolls
An effective solution for a real cutting stock problem in manufacturing plastic rolls
2009,
We confront a practical cutting stock problem from a production plant of plastic...
An improved partial enumeration algorithm for integer programming problems
An improved partial enumeration algorithm for integer programming problems
2009,
In this paper, we present an improved Partial Enumeration Algorithm for Integer...
Modelling either-or relations in integer programming
Modelling either-or relations in integer programming
2009,
Logical relations occur frequently in integer programming problems and are modelled by...
A confidence voting process for ranking problems based on support vector machines
A confidence voting process for ranking problems based on support vector machines
2009,
In this paper, we deal with ranking problems arising from various data mining...
On SIP algorithms for minimizing the mean-risk function in the multi-period single-source problem under uncertainty
On SIP algorithms for minimizing the mean-risk function in the multi-period single-source problem under uncertainty
2009,
We present an algorithmic framework for solving the strategic problem of assigning...
Quadratic mixed integer programming and support vectors for deleting outliers in robust regression
Quadratic mixed integer programming and support vectors for deleting outliers in robust regression
2009,
We consider the problem of deleting bad influential observations (outliers) in linear...
The radar method: An effective line search for piecewise linear concave functions
The radar method: An effective line search for piecewise linear concave functions
2009,
The maximization of one-dimensional piecewise linear concave (OPLC) functions arises...
A genetic algorithm for solving linear fractional bilevel problems
A genetic algorithm for solving linear fractional bilevel problems
2009,
Bilevel programming has been proposed for dealing with decision processes involving...
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