Computing the optimal portfolio policy of an investor facing capital gains tax is a challenging problem: because the tax to be paid depends on the price at which the security was purchased (the tax basis), the optimal policy is path dependent and the size of the problem grows exponentially with the number of time periods. … Read more
Given a Markov process we are interested in the numerical computation of the moments of the exit time from a bounded domain. We use a moment approach which, together with appropriate semidefinite positivity moment conditions, yields a sequence of semidefinite programs (or SDP relaxations), depending on the number of moments considered, that provide a sequence … Read more
We show in this work how the problem of routing and wavelength assignment in all-optical networks may be solved by a combined approach involving the computation of alternative routes for the lightpaths, followed by the solution of a partition coloring problem in a conflict graph. A new tabu search heuristic is also proposed for the … Read more
In this study, a lifting procedure is applied to some existing formulations of the Diameter Constrained Minimum Spanning Tree Problem. This problem typically models network design applications where all vertices must communicate with each other at minimum cost, while meeting or surpassing a given quality requirement. An alternative formulation is also proposed for instances of … Read more
Professional sports leagues are a major economic activity around the world. Teams and leagues do not want to waste their investments in players and structure in consequence of poor schedules of games.Game scheduling is a difficult task, involving several decision makers, different types of constraints, and multiple objectives to optimize. The Traveling Tournament Problem abstracts … Read more
The multiprocessor scheduling problem consists in scheduling a set of tasks with known processing times into a set of identical processors so as to minimize their makespan, i.e., the maximum processing time over all processors. We propose a new heuristic for solving the multiprocessor scheduling problem, based on a hybrid heuristic to the bin packing … Read more
Stochastic programming is recognized as a powerful tool to help decision making under uncertainty in financial planning. The deterministic equivalent formulations of these stochastic programs have huge dimensions even for moderate numbers of assets, time stages and scenarios per time stage. So far models treated by mathematical programming approaches have been limited to simple linear … Read more
In this paper we provide sufficient conditions for the existence of pair-wise envy free and stable matchings for two-sided systems with techniques. ArticleDownload View PDF
This paper presents an annotated bibliography of greedy randomized adaptive search procedures (GRASP). The bibliography is current up to early 2004. The bibliography contains: background material; tutorials and surveys; enhancements to the basic method; hybrid methods; software; parallel GRASP; graph theory; quadratic and other assignment problems; location, layout, and cutting; covering, clustering, packing, and partitioning; … Read more
In many industrial settings, managers face the problem of establishing a pricing policy that maximizes the revenue from selling a given inventory of items by a fixed deadline, with the full inventory of items being available for sale from the beginning of the selling period. This problem arises in a variety of industries, including the … Read more