Printed from https://ideas.repec.org/s/spr/comgts.html
Content
July 2022, Volume 19, Issue 3
- 375-394 Multi-criteria supplier selection problem with fuzzy demand: a newsvendor model
by Omid Jadidi & Fatemeh Firouzi & John S. Loucks & Yong Shin Park - 395-423 Modeling and mitigating supply chain disruptions as a bilevel network flow problem
by René Y. Glogg & Anna Timonina-Farkas & Ralf W. Seifert - 425-455 A tail-revisited Markowitz mean-variance approach and a portfolio network centrality
by Francesca Mariani & Gloria Polinesi & Maria Cristina Recchioni - 457-490 Kalman filter approach to real options with active learning
by Sebastian Sund & Lars H. Sendstad & Jacco J. J. Thijssen - 491-512 Quantum game approach for capacity allocation decisions under strategic reasoning
by Masih Fadaki & Babak Abbasi & Prem Chhetri - 513-537 Accuracy and fairness trade-offs in machine learning: a stochastic multi-objective approach
by Suyun Liu & Luis Nunes Vicente
June 2022, Volume 19, Issue 2
- 159-197 A comprehensive study of domain-specific emoji meanings in sentiment classification
by Nader Mahmoudi & Łukasz P. Olech & Paul Docherty - 199-226 Parallel and distributed computing for stochastic dual dynamic programming
by D. Ávila & A. Papavasiliou & N. Löhndorf - 227-228 Correction to: Parallel and distributed computing for stochastic dual dynamic programming
by D. Ávila & A. Papavasiliou & N. Löhndorf - 229-268 Welfare and research and development incentive effects of uniform and differential pricing schemes
by Giorgio Gnecco & Fabio Pammolli & Berna Tuncay - 269-293 The nested Sinkhorn divergence to learn the nested distance
by Alois Pichler & Michael Weinhardt - 295-307 A Stackelberg game for the Italian tax evasion problem
by Gianfranco Gambarelli & Daniele Gervasio & Francesca Maggioni & Daniel Faccini - 309-346 The spot and balancing markets for electricity: open- and closed-loop equilibrium models
by Trine Krogh Boomsma & Salvador Pineda & Ditte Mølgård Heide-Jørgensen - 347-373 ESG score prediction through random forest algorithm
by Valeria D’Amato & Rita D’Ecclesia & Susanna Levantesi
January 2022, Volume 19, Issue 1
- 1-23 Computing nonperforming loan prices in banking efficiency analysis
by Elisa Fusco & Bernardo Maggi - 25-39 Black’s model in a negative interest rate environment, with application to OTC derivatives
by Riccardo Bramante & Gimmi Dallago & Silvia Facchinetti - 41-64 Constructing banking networks under decreasing costs of link formation
by Dietmar Maringer & Ben Craig & Sandra Paterlini - 65-98 Predictive stochastic programming
by Yunxiao Deng & Suvrajeet Sen - 99-132 Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process
by Massimiliano Frezza & Sergio Bianchi & Augusto Pianese - 133-157 Non-tradability interval for heterogeneous rational players in the option markets
by Yossi Shvimer & Avi Herbon
October 2021, Volume 18, Issue 4
- 431-453 A diversified AHP-tree approach for multiple-criteria supplier selection
by Toly Chen - 455-475 Multilevel multi-leader multiple-follower games with nonseparable objectives and shared constraints
by Addis Belete Zewde & Semu Mitiku Kassa - 477-504 The relative efficiency of option hedging strategies using the third-order stochastic dominance
by Margareta Gardijan Kedžo & Boško Šego - 505-538 Coordination of power and natural gas markets via financial instruments
by Anna Schwele & Christos Ordoudis & Pierre Pinson & Jalal Kazempour - 539-561 Implicit incentives for fund managers with partial information
by Flavio Angelini & Katia Colaneri & Stefano Herzel & Marco Nicolosi - 563-589 Numerical estimates of risk factors contingent on credit ratings
by T. Gärtner & S. Kaniovski & Y. Kaniovski
July 2021, Volume 18, Issue 3
- 265-265 Recent advances in applied optimization under uncertainty
by Stein-Erik Fleten & Rüdiger Schultz - 267-297 Stochastic single machine scheduling problem as a multi-stage dynamic random decision process
by Mina Roohnavazfar & Daniele Manerba & Lohic Fotio Tiotsop & Seyed Hamid Reza Pasandideh & Roberto Tadei - 299-324 Quantile-based optimal portfolio selection
by Taras Bodnar & Mathias Lindholm & Erik Thorsén & Joanna Tyrcha - 325-354 A node formulation for multistage stochastic programs with endogenous uncertainty
by Giovanni Pantuso - 355-383 Quantile– based portfolios: post– model– selection estimation with alternative specifications
by Giovanni Bonaccolto - 385-410 A hybrid dynamic programming - Tabu Search approach for the long-term hydropower scheduling problem
by Yves Mbeutcha & Michel Gendreau & Gregory Emiel - 411-429 Scenario generation by selection from historical data
by Michal Kaut
June 2021, Volume 18, Issue 2
- 125-148 Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments
by Michelle Bandarra & Vincent Guigues - 149-176 On the application of Wishart process to the pricing of equity derivatives: the multi-asset case
by Gaetano Bua & Daniele Marazzina - 177-193 Some new perspectives for solving 0–1 integer programming problems using Balas method
by J. Glover & V. Quan & S. Zolfaghari - 195-212 Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns
by Songkomkrit Chaiyakan & Phantipa Thipwiwatpotjana - 213-237 Catastrophic risks and the pricing of catastrophe equity put options
by Massimo Arnone & Michele Leonardo Bianchi & Anna Grazia Quaranta & Gian Luca Tassinari - 239-263 Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation
by Luca Vincenzo Ballestra
January 2021, Volume 18, Issue 1
- 1-23 Empirically assessing noisy necessary conditions with activation functions
by Wolfgang Messner - 25-47 Directional approach to gradual cover: the continuous case
by Tammy Drezner & Zvi Drezner & Pawel Kalczynski - 49-71 A new approximation approach to optimality and duality for a class of nonconvex differentiable vector optimization problems
by Tadeusz Antczak - 73-97 How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?
by Januj Amar Juneja - 99-124 Can restrictions on redemption timing boost profitability of loyalty programs in competitive environments?
by Amirhossein Bazargan & Salma Karray & Saeed Zolfaghari
December 2020, Volume 17, Issue 4
- 493-494 AI, Machine Learning and sentiment analysis applied to financial markets and consumer markets
by Enza Messina & Christina Erlwein-Sayer & Gautam Mitra - 495-515 Hyperparameter optimization for recommender systems through Bayesian optimization
by B. G. Galuzzi & I. Giordani & A. Candelieri & R. Perego & F. Archetti - 517-547 A recommender system for active stock selection
by Giuliano Rossi & Jakub Kolodziej & Gurvinder Brar - 549-567 Risk attribution and interconnectedness in the EU via CDS data
by R. Giacometti & G. Torri & G. Farina & M. E. Giuli - 569-583 A missing value approach to social network data: “Dislike” or “Nothing”?
by Paolo Mariani & Andrea Marletta & Mauro Mussini & Mariangela Zenga & Erika Grammatica - 585-611 Including news data in forecasting macro economic performance of China
by Asger Lunde & Miha Torkar - 613-640 Dynamic portfolio allocation in goals-based wealth management
by Sanjiv R. Das & Daniel Ostrov & Anand Radhakrishnan & Deep Srivastav
October 2020, Volume 17, Issue 3
- 357-385 Distributionally robust optimization with multiple time scales: valuation of a thermal power plant
by Wim Ackooij & Debora Daniela Escobar & Martin Glanzer & Georg Ch. Pflug - 387-387 Correction to: Distributionally robust optimization with multiple time scales: valuation of a thermal power plant
by Wim Ackooij & Debora Daniela Escobar & Martin Glanzer & Georg Ch. Pflug - 389-407 An exact and a heuristic approach for the transportation-p-facility location problem
by Soumen Kumar Das & Sankar Kumar Roy & Gerhard Wilhelm Weber - 409-436 Optimization techniques for tree-structured nonlinear problems
by Jens Hübner & Martin Schmidt & Marc C. Steinbach - 437-464 Tropical optimization technique in bi-objective project scheduling under temporal constraints
by Nikolai Krivulin - 465-492 The Black–Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation
by Erindi Allaj
June 2020, Volume 17, Issue 2
- 161-162 Editorial
by Stein-Erik Fleten & Florentina Paraschiv - 163-178 Computing credit valuation adjustment solving coupled PIDEs in the Bates model
by Ludovic Goudenège & Andrea Molent & Antonino Zanette - 179-201 Asset allocation under predictability and parameter uncertainty using LASSO
by Andrea Rigamonti & Alex Weissensteiner - 203-240 Portfolio stress testing applied to commodity futures
by Florentina Paraschiv & Stine Marie Reese & Margrethe Ringkjøb Skjelstad - 241-275 Evaluation of scenario reduction algorithms with nested distance
by Markéta Horejšová & Sebastiano Vitali & Miloš Kopa & Vittorio Moriggia - 277-307 Scenario tree construction driven by heuristic solutions of the optimization problem
by Vit Prochazka & Stein W. Wallace - 309-326 Modeling flexible generator operating regions via chance-constrained stochastic unit commitment
by Bismark Singh & Bernard Knueven & Jean-Paul Watson - 327-355 Optimal inventory policy through dual sourcing
by Matthew Davison & Yuri Lawryshyn & Volodymyr Miklyukh
January 2020, Volume 17, Issue 1
- 1-21 Using the generalized maximum covering location model to control a project’s progress
by Narjes Sabeghi & Hamed Reza Tareghian - 23-45 Customer satisfaction: a mathematical framework for its analysis and its measurement
by R. Ferrentino & C. Boniello - 47-64 Modelling an energy market with Bayesian networks for non-normal data
by Vincenzina Vitale & Flaminia Musella & Paola Vicard & Valentina Guizzi - 65-77 An approximation to max min fairness in multi commodity networks
by Hamoud S. Bin Obaid & Theodore B. Trafalis - 79-104 Using tropical optimization techniques in bi-criteria decision problems
by Nikolai Krivulin - 105-119 The Skew Normal multivariate risk measurement framework
by Mauro Bernardi & Roy Cerqueti & Arsen Palestini - 121-139 Directional approach to gradual cover: a maximin objective
by Tammy Drezner & Zvi Drezner & Pawel Kalczynski - 141-160 Progressive hedging for stochastic programs with cross-scenario inequality constraints
by Ellen Krohn Aasgård & Hans Ivar Skjelbred
October 2019, Volume 16, Issue 4
- 541-543 Uncertainty, economics and optimization: recent developments
by Walter J. Gutjahr & Alois Pichler - 545-576 The decision rule approach to optimization under uncertainty: methodology and applications
by Angelos Georghiou & Daniel Kuhn & Wolfram Wiesemann - 577-592 B&B method for discrete partial order optimization
by Vladimir I. Norkin - 593-619 Notoriously hard (mixed-)binary QPs: empirical evidence on new completely positive approaches
by Immanuel M. Bomze & Jianqiang Cheng & Peter J. C. Dickinson & Abdel Lisser & Jia Liu - 621-649 Exploring the dynamics of business survey data using Markov models
by W. Hölzl & S. Kaniovski & Y. Kaniovski - 651-669 Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria
by Stefan Hochrainer-Stigler & Juraj Balkovič & Kadri Silm & Anna Timonina-Farkas - 671-696 Arbitrage conditions for electricity markets with production and storage
by Raimund M. Kovacevic - 697-714 Robustness analysis of generalized Jackson network
by Joost Berkhout & Bernd Heidergott & Jennifer Sommer & Hans Daduna - 715-738 A simultaneous perturbation weak derivative estimator for stochastic neural networks
by Thomas Flynn & Felisa Vázquez-Abad - 739-758 The value of the right distribution in stochastic programming with application to a Newsvendor problem
by Francesca Maggioni & Matteo Cagnolari & Luca Bertazzi
July 2019, Volume 16, Issue 3
- 371-374 Data-driven optimization in management
by Giorgio Consigli & Anton Kleywegt - 375-400 Sparse precision matrices for minimum variance portfolios
by Gabriele Torri & Rosella Giacometti & Sandra Paterlini - 401-432 Un-diversifying during crises: Is it a good idea?
by Margherita Giuzio & Sandra Paterlini - 433-479 Volatility versus downside risk: performance protection in dynamic portfolio strategies
by Diana Barro & Elio Canestrelli & Giorgio Consigli - 481-499 The wait-and-judge scenario approach applied to antenna array design
by Algo Carè & Simone Garatti & Marco C. Campi - 501-519 Optimized operating rules for short-term hydropower planning in a stochastic environment
by Alexia Marchand & Michel Gendreau & Marko Blais & Jonathan Guidi - 521-540 Observational data-based quality assessment of scenario generation for stochastic programs
by Didem Sarı Ay & Sarah M. Ryan
February 2019, Volume 16, Issue 1
- 1-2 14th International Conference on Computational Management Science
by Rosella Giacometti & Berç Rustem - 3-16 Blocks of coordinates, stochastic programming, and markets
by Sjur Didrik Flåm - 17-46 Multistage portfolio optimization with multivariate dominance constraints
by Barbora Petrová - 47-69 Optimal strategies with option compensation under mean reverting returns or volatilities
by Stefano Herzel & Marco Nicolosi - 71-95 Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization
by Asmerilda Hitaj & Lorenzo Mercuri & Edit Rroji - 97-127 Timing portfolio strategies with exponential Lévy processes
by Sergio Ortobelli Lozza & Enrico Angelelli & Alda Ndoci - 129-154 Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
by Giorgio Consigli & Asmerilda Hitaj & Elisa Mastrogiacomo - 155-185 Identifying systemically important financial institutions: a network approach
by Pablo Rovira Kaltwasser & Alessandro Spelta - 187-215 Tempered stable process, first passage time, and path-dependent option pricing
by Young Shin Kim - 217-248 Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models
by Ludovic Goudenege & Andrea Molent & Antonino Zanette - 249-274 European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions
by Martina Nardon & Paolo Pianca - 275-295 Calibration of one-factor and two-factor Hull–White models using swaptions
by Vincenzo Russo & Gabriele Torri - 297-327 Simulation and evaluation of the distribution of interest rate risk
by Johan Hagenbjörk & Jörgen Blomvall - 329-343 Big data analytics: an aid to detection of non-technical losses in power utilities
by Giovanni Micheli & Emiliano Soda & Maria Teresa Vespucci & Marco Gobbi & Alessandro Bertani - 345-369 On the construction of hourly price forward curves for electricity prices
by Rüdiger Kiesel & Florentina Paraschiv & Audun Sætherø
October 2018, Volume 15, Issue 3
- 319-323 The stochastic programming heritage of Maarten van der Vlerk
by David P. Morton & Ward Romeijnders & Rüdiger Schultz & Leen Stougie - 325-349 Higher-order total variation bounds for expectations of periodic functions and simple integer recourse approximations
by Niels Laan & Ward Romeijnders & Maarten H. Vlerk - 351-367 Distributionally robust simple integer recourse
by Weijun Xie & Shabbir Ahmed - 369-395 Decision-dependent probabilities in stochastic programs with recourse
by Lars Hellemo & Paul I. Barton & Asgeir Tomasgard - 397-410 Stochastic programs with binary distributions: structural properties of scenario trees and algorithms
by Vit Prochazka & Stein W. Wallace - 411-429 Strong convexity in risk-averse stochastic programs with complete recourse
by Matthias Claus & Rüdiger Schultz & Kai Spürkel - 431-454 Distributionally robust SDDP
by A. B. Philpott & V. L. Matos & L. Kapelevich - 455-477 New solution approaches for the maximum-reliability stochastic network interdiction problem
by Eli Towle & James Luedtke - 479-500 On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management
by Laureano F. Escudero & Juan F. Monge - 501-540 A Progressive Hedging based branch-and-bound algorithm for mixed-integer stochastic programs
by Semih Atakan & Suvrajeet Sen - 541-561 A systematic approach for examining the impact of calibration uncertainty in disease modeling
by Jing Voon Chen & Julia L. Higle & Michael Hintlian - 563-582 An adaptive model with joint chance constraints for a hybrid wind-conventional generator system
by Bismark Singh & David P. Morton & Surya Santoso - 583-597 A fractional stochastic integer programming problem for reliability-to-stability ratio in forest harvesting
by Miguel A. Lejeune & Janne Kettunen - 599-632 Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming
by Giorgio Consigli & Vittorio Moriggia & Sebastiano Vitali & Lorenzo Mercuri
June 2018, Volume 15, Issue 2
- 135-137 Twenty-five years of applied mathematical programming and modelling
by Christina Erlwein-Sayer & Ronald Hochreiter - 139-159 Portfolio selection under supply chain predictability
by Thomas Trier Bjerring & Kourosh Marjani Rasmussen & Alex Weissensteiner - 161-186 Approximation for portfolio optimization in a financial market with shot-noise jumps
by Oleksandra Putyatina & Jörn Sass - 187-211 ALM models based on second order stochastic dominance
by Maram Alwohaibi & Diana Roman - 213-237 Computation of the Delta of European options under stochastic volatility models
by Yeliz Yolcu-Okur & Tilman Sayer & Bilgi Yilmaz & B. Alper Inkaya - 239-258 Modeling and implementation of local volatility surfaces in Bayesian framework
by Abdulwahab Animoku & Ömür Uğur & Yeliz Yolcu-Okur - 259-296 Putting a price tag on temperature
by Heng Xiong & Rogemar Mamon - 297-317 Determination and estimation of risk aversion coefficients
by Taras Bodnar & Yarema Okhrin & Valdemar Vitlinskyy & Taras Zabolotskyy
January 2018, Volume 15, Issue 1
- 1-32 Asset allocation strategies based on penalized quantile regression
by Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini - 33-53 The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market
by Paolo Barucca & Fabrizio Lillo - 55-86 A successive linear programming algorithm with non-linear time series for the reservoir management problem
by Charles Gauvin & Erick Delage & Michel Gendreau - 87-110 Stochastic dynamic programming approach to managing power system uncertainty with distributed storage
by Luckny Zéphyr & C. Lindsay Anderson - 111-134 A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming
by Guanglin Xu & Samuel Burer
October 2017, Volume 14, Issue 4
- 461-463 Special issue on the 13th international conference on computational management science
by A. Alonso-Ayuso & F. Maggioni - 465-491 Chebyshev reduced basis function applied to option valuation
by Javier Frutos & Víctor Gatón - 493-518 Using tropical optimization to solve constrained minimax single-facility location problems with rectilinear distance
by Nikolai Krivulin - 519-533 A discrete optimality system for an optimal harvesting problem
by Hacer Öz Bakan & Fikriye Yılmaz & Gerhard-Wilhelm Weber - 535-557 On the impact of conditional expectation estimators in portfolio theory
by Sergio Ortobelli & Noureddine Kouaissah & Tomáš Tichý - 559-583 Implied volatility and state price density estimation: arbitrage analysis
by Miloš Kopa & Sebastiano Vitali & Tomáš Tichý & Radek Hendrych - 585-610 Centered solutions for uncertain linear equations
by Jianzhe Zhen & Dick Hertog
July 2017, Volume 14, Issue 3
- 297-312 Pricing catastrophe bonds with multistage stochastic programming
by Nick Georgiopoulos - 313-331 Fast binomial procedures for pricing Parisian/ParAsian options
by Marcellino Gaudenzi & Antonino Zanette - 333-365 Quality evaluation of scenario-tree generation methods for solving stochastic programming problems
by Julien Keutchayan & Michel Gendreau & Antoine Saucier - 367-391 Regularised gradient boosting for financial time-series modelling
by Alexandros Agapitos & Anthony Brabazon & Michael O’Neill - 393-421 Regularized decomposition of large scale block-structured robust optimization problems
by Wim Ackooij & Nicolas Lebbe & Jérôme Malick - 423-441 Optimal trial duration times for multiple change points products lifetime distributions
by Rachele Foschi - 443-460 A joint model of probabilistic/robust constraints for gas transport management in stationary networks
by T. González Grandón & H. Heitsch & R. Henrion
April 2017, Volume 14, Issue 2
- 179-196 Volatility forecasting via SVR–GARCH with mixture of Gaussian kernels
by Pedro Correia S. Bezerra & Pedro Henrique M. Albuquerque - 197-213 A comparison between the robust risk-aware and risk-seeking managers in R&D portfolio management
by Shuyi Wang & Aurélie Thiele - 215-227 Numerical solutions to dynamic portfolio problems with upper bounds
by Mark Broadie & Weiwei Shen - 229-256 Log-robust portfolio management with parameter ambiguity
by Ban Kawas & Aurelie Thiele - 257-280 Novel approaches for portfolio construction using second order stochastic dominance
by Cristiano Arbex Valle & Diana Roman & Gautam Mitra - 281-291 A developed slope order index (SOI) for bottlenecks in projects and production lines
by Mehdi Rajabi Asadabadi - 293-296 Erratum to: Polyhedral approximation of ellipsoidal uncertainty sets via extended formulations: a computational case study
by Andreas Bärmann & Andreas Heidt & Alexander Martin & Sebastian Pokutta & Christoph Thurner
January 2017, Volume 14, Issue 1
- 1-4 Special issue on the 12th international conference on computational management science
by Miloš Kopa & Wolfram Wiesemann - 5-44 A scenario-based framework for supply planning under uncertainty: stochastic programming versus robust optimization approaches
by Francesca Maggioni & Florian A. Potra & Marida Bertocchi - 45-66 Robust optimization of uncertain multistage inventory systems with inexact data in decision rules
by Frans J. C. T. Ruiter & Aharon Ben-Tal & Ruud C. M. Brekelmans & Dick Hertog - 67-80 SDDP for multistage stochastic programs: preprocessing via scenario reduction
by Jitka Dupačová & Václav Kozmík - 81-89 Goldbach’s conjecture in max-algebra
by Peter Szabó - 91-113 Direct solution to constrained tropical optimization problems with application to project scheduling
by Nikolai Krivulin - 115-134 Robust shift generation in workforce planning
by Dori Hulst & Dick Hertog & Wim Nuijten - 135-160 Optimal pension fund composition for an Italian private pension plan sponsor
by Sebastiano Vitali & Vittorio Moriggia & Miloš Kopa - 161-177 Flow-based formulations for operational fixed interval scheduling problems with random delays
by Martin Branda & Štěpán Hájek
October 2016, Volume 13, Issue 4
- 501-520 A moment matching approach to log-normal portfolio optimization
by Elçin Çetinkaya & Aurélie Thiele - 521-539 On the customer lifetime value: a mathematical perspective
by R. Ferrentino & M. T. Cuomo & C. Boniello - 541-570 Bootstrap estimation of the efficient frontier
by Begoña Font - 571-596 On the minimum-cost $$\lambda $$ λ -edge-connected k-subgraph problem
by Elham Sadeghi & Neng Fan - 597-626 Advance selling to strategic consumers
by Michelle M. H. Şeref & Onur Şeref & Aydın Alptekinoğlu & S. Selçuk Erengüç
July 2016, Volume 13, Issue 3
- 317-348 An improved Lagrangian relaxation and dual ascent approach to facility location problems
by Kurt Jörnsten & Andreas Klose - 349-369 Economics of collective monitoring: a study of environmentally constrained electricity generators
by J. Contreras & J. B. Krawczyk & J. Zuccollo - 371-391 Accelerating viability kernel computation with CUDA architecture: application to bycatch fishery management
by Antoine Brias & Jean-Denis Mathias & Guillaume Deffuant - 423-457 Monotonic bounds in multistage mixed-integer stochastic programming
by Francesca Maggioni & Elisabetta Allevi & Marida Bertocchi - 459-482 Protecting the data-driven newsvendor against rare events: a correction-term approach
by Gokhan Metan & Aurélie Thiele - 483-500 Investment in electric energy storage under uncertainty: a real options approach
by Ida Bakke & Stein-Erik Fleten & Lars Ivar Hagfors & Verena Hagspiel & Beate Norheim & Sonja Wogrin
April 2016, Volume 13, Issue 2
- 151-193 Polyhedral approximation of ellipsoidal uncertainty sets via extended formulations: a computational case study
by Andreas Bärmann & Andreas Heidt & Alexander Martin & Sebastian Pokutta & Christoph Thurner - 219-239 Decomposition for adjustable robust linear optimization subject to uncertainty polytope
by Josette Ayoub & Michael Poss - 293-315 On the average performance of the adjustable RO and its use as an offline tool for multi-period production planning under uncertainty
by Michal Melamed & Aharon Ben-Tal & Boaz Golany
January 2016, Volume 13, Issue 1
- 1-3 Computational Management Science Special Issue on “Optimisation methods and applications in the energy sector”
by Stein-Erik Fleten & Daniel Kuhn & Afzal Siddiqui - 1-3 Computational Management Science Special Issue on “Optimisation methods and applications in the energy sector”
by Stein-Erik Fleten & Daniel Kuhn & Afzal Siddiqui - 5-27 The impact of wind uncertainty on the strategic valuation of distributed electricity storage
by Pedro Crespo Del Granado & Stein Wallace & Zhan Pang - 29-62 Solution sensitivity-based scenario reduction for stochastic unit commitment
by Yonghan Feng & Sarah Ryan - 63-86 The natural hedge of a gas-fired power plant
by Xiaojia Guo & Alexandros Beskos & Afzal Siddiqui - 87-118 A leader-followers model of power transmission capacity expansion in a market driven environment
by Paolo Pisciella & Marida Bertocchi & Maria Vespucci - 119-146 A dynamic programming model of energy storage and transformer deployments to relieve distribution constraints
by Xiaomin Xi & Ramteen Sioshansi
October 2015, Volume 12, Issue 4
- 489-490 Editorial, Volume 12, Issue 4, 2015
by Rüdiger Schultz - 491-518 A scalable solution framework for stochastic transmission and generation planning problems
by Francisco Munoz & Jean-Paul Watson - 519-537 Boomer-Consumer: a model for load consumption and reserve offers in reserve constrained electricity markets
by Nigel Cleland & Golbon Zakeri & Geoff Pritchard & Brent Young - 539-557 Controlled approximation of the value function in stochastic dynamic programming for multi-reservoir systems
by Luckny Zéphyr & Pascal Lang & Bernard Lamond - 559-575 Detection of local tourism systems by threshold accepting
by Joseph Andria & Giacomo Tollo & Raffaele Pesenti - 577-594 On composite vector variational-like inequalities and vector optimization problems
by Anurag Jayswal & Shipra Singh & Sarita Choudhury
July 2015, Volume 12, Issue 3
- 345-370 Linear vs. quadratic portfolio selection models with hard real-world constraints
by Francesco Cesarone & Andrea Scozzari & Fabio Tardella - 371-395 Optimization and sustainable development
by Leo Liberti - 397-415 A heuristic algorithm to solve the single-facility location routing problem on Riemannian surfaces
by Emre Tokgöz & Samir Alwazzi & Theodore Trafalis - 417-434 Constructing optimal sparse portfolios using regularization methods
by B. Fastrich & S. Paterlini & P. Winker - 435-459 Probabilistic constraints via SQP solver: application to a renewable energy management problem
by I. Bremer & R. Henrion & A. Möller - 461-488 Optimal annuity portfolio under inflation risk
by Agnieszka Konicz & David Pisinger & Alex Weissensteiner
April 2015, Volume 12, Issue 2
- 219-220 Computations in stochastic programming
by Rudiger Schultz - 221-242 On variance reduction of mean-CVaR Monte Carlo estimators
by Václav Kozmík - 243-266 Decision-making from a risk assessment perspective for Corporate Mergers and Acquisitions
by Jinwook Lee & András Prékopa - 267-295 Multi-period forecasting and scenario generation with limited data
by Ignacio Rios & Roger Wets & David Woodruff