Extensions of Lo’s semiparametric bound for European call options

Computing semiparametric bounds for option prices is a widely studied pricing technique. In contrast to parametric pricing techniques, such as Monte-Carlo simulations, semiparametric pricing techniques do not re- quire strong assumptions about the underlying asset price distribution. We extend classical results in this area in two main directions. First, we derive closed-form semiparametric bounds for … Read more

Solving a combinatorial problem using a local optimization in ant based system

Local optimizations introduced to obtain improved tours for Traveling Salesman Problem have a great impact on the final solution. That is way we introduce a new ant system algorithm with a new local updating pheromone rule, and the tours are improved using k-opt techniques. The tests use different parameters, in order to obtain solutions close … Read more

Existence of Equilibrium for Integer Allocation Problems

In this paper we show that if all agents are equipped with discrete concave production functions, then a feasible price allocation pair is a market equilibrium if and only if it solves a linear programming problem, similar to, but perhaps simpler than the one invoked in Yang (2001). Using this result, but assuming discrete concave … Read more

A new model and a computational study for Demand-wise Shared Protection

This report combines the contributions to INOC 2005 (Wessälly et al., 2005) and DRCN 2005 (Gruber et al., 2005). A new integer linear programming model for the end-to-end survivability concept deman d-wise shared protection (DSP) is presented. DSP is based on the idea that backup capacity is dedicated to a particular demand, but shared within … Read more

Optimization of Flexural capacity Of Reinforced fibrous concrete Beams Using Genetic Algorithm

In this paper formulation and solution technique using Genetic algorithms (GAs) for Optimizing the flexural capacity of steel fiber reinforced concrete beams, with random orientated steel fibers, is presented along with identification of design variables, objective function and constraints. The most important factors which influence the ultimate load carrying capacity of FRC are the volume … Read more

Approximating the Chromatic Number of a Graph by Semidefinite Programming

We investigate hierarchies of semidefinite approximations for the chromatic number $\chi(G)$ of a graph $G$. We introduce an operator $\Psi$ mapping any graph parameter $\beta(G)$, nested between the stability number $\alpha(G)$ and $\chi(\bar G)$, to a new graph parameter $\Psi_\beta(G)$, nested between $\omega(G)$ and $\chi(G)$; $\Psi_\beta(G)$ is polynomial time computable if $\beta(G)$ is. As an … Read more

Steplength Selection in Interior-Point Methods for Quadratic Programming

We present a new strategy for choosing primal and dual steplengths in a primal-dual interior-point algorithm for convex quadratic programming. Current implementations often scale steps equally to avoid increases in dual infeasibility between iterations. We propose that this method can be too conservative, while safeguarding an unequally-scaled steplength approach will often require fewer steps toward … Read more

Coherent Risk Measures in Inventory Problems

We analyze an extension of the classical multi-period, single-item, linear cost inventory problem where the objective function is a coherent risk measure. Properties of coherent risk measures allow us to offer a unifying treatment of risk averse and min-max type formulations. For the single period newsvendor problem, we show that the structure of the optimal … Read more

Uniform Laws of Large Numbers for Set-Valued Mappings and Subdifferentials of Random Functions

We derive a uniform (strong) Law of Large Numbers (LLN) for random set-valued mappings. The result can be viewed as an extension of both, a uniform LLN for random functions and LLN for random sets. We apply the established results to a consistency analysis of stationary points of sample average approximations of nonsmooth stochastic programs. … Read more