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Content
August 2011, Volume 8, Issue 3
- 201-218 Restricted generalized Nash equilibria and controlled penalty algorithm
by Masao Fukushima - 219-236 Participating life insurance policies: an accurate and efficient parallel software for COTS clusters
by S. Corsaro & P. De Angelis & Z. Marino & F. Perla - 237-258 Cognitive and self-selective routing for sensor networks
by Erol Gelenbe & Peixiang Liu & Boleslaw Szymanski & Christopher Morrell - 259-279 Multiobjective evolutionary algorithms for complex portfolio optimization problems
by Konstantinos Anagnostopoulos & Georgios Mamanis - 281-297 Linear classification tikhonov regularization knowledge-based support vector machine for tornado forecasting
by Theodore Trafalis & Olutayo Oladunni & Michael Richman - 299-321 Gain–loss based convex risk limits in discrete-time trading
by Mustafa Pınar
April 2011, Volume 8, Issue 1
- 1-2 Preface
by Daniel Kuhn - 3-22 Mean-variance versus expected utility in dynamic investment analysis
by Leonard MacLean & Yonggan Zhao & William Ziemba - 23-49 Dynamic modeling of mean-reverting spreads for statistical arbitrage
by K. Triantafyllopoulos & G. Montana - 51-74 Implementing quasi-Monte Carlo simulations with linear transformations
by Piergiacomo Sabino - 75-101 Day-ahead market bidding for a Nordic hydropower producer: taking the Elbas market into account
by Eduardo Faria & Stein-Erik Fleten - 103-123 Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model
by Peter Winker & Marianna Lyra & Chris Sharpe - 125-135 Pricing cliquet options by tree methods
by Marcellino Gaudenzi & Antonino Zanette - 137-156 Collective adjustment of pension rights in ALM models
by Willem Klein Haneveld & Matthijs Streutker & Maarten Vlerk - 157-179 Multiobjective optimization using differential evolution for real-world portfolio optimization
by Thiemo Krink & Sandra Paterlini - 181-199 Shape-based scenario generation using copulas
by Michal Kaut & Stein Wallace
October 2010, Volume 7, Issue 4
- 355-375 Bottom-up design of strategic options as finite automata
by Fernando Oliveira - 377-406 Formulation and analysis of horizontal mergers among oligopolistic firms with insights into the merger paradox: a supply chain network perspective
by Anna Nagurney - 407-435 MILP-based approaches for medium-term planning of single-stage continuous multiproduct plants with parallel units
by Songsong Liu & Jose Pinto & Lazaros Papageorgiou - 437-463 DrAmpl: a meta solver for optimization problem analysis
by R. Fourer & Dominique Orban
July 2010, Volume 7, Issue 3
- 225-227 Foreword
by Paolo Toth - 229-268 An exact solution framework for a broad class of vehicle routing problems
by Roberto Baldacci & Enrico Bartolini & Aristide Mingozzi & Roberto Roberti - 269-287 A metaheuristic for the min–max windy rural postman problem with K vehicles
by Enrique Benavent & Ángel Corberán & José Sanchis - 289-311 Reformulations and solution algorithms for the maximum leaf spanning tree problem
by Abilio Lucena & Nelson Maculan & Luidi Simonetti - 313-336 A new path-based cutting plane approach for the discrete time-cost tradeoff problem
by Eleni Hadjiconstantinou & Evelina Klerides - 337-353 An approximate solution approach for a scenario-based capital budgeting model
by Anabela Costa & José Paixão
April 2010, Volume 7, Issue 2
- 111-120 Solving a large scale semi-definite logit model
by Hiroshi Konno & Sadanori Kameda & Naoya Kawadai - 121-137 Optimal routing of vehicles with communication capabilities in disasters
by Mingzhou Jin & Burak Ekşioğlu - 139-170 Towards a practical parallelisation of the simplex method
by J. Hall - 171-187 American option pricing under stochastic volatility: an efficient numerical approach
by Farid AitSahlia & Manisha Goswami & Suchandan Guha - 189-206 American option pricing under stochastic volatility: an empirical evaluation
by Farid AitSahlia & Manisha Goswami & Suchandan Guha - 207-223 Computational study of the GDPO dual phase-1 algorithm
by István Maros
January 2010, Volume 7, Issue 1
- 1-17 Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing
by Martin Becker - 19-46 A mixed-integer mathematical modeling approach to exam timetabling
by Salem Al-Yakoob & Hanif Sherali & Mona Al-Jazzaf - 47-60 A maximal predictability portfolio using absolute deviation reformulation
by Hiroshi Konno & Yuuhei Morita & Rei Yamamoto - 61-83 A hydrodynamic modelling framework for production networks
by Apostolos Kotsialos - 85-110 Active control of visual sensor for navigation and guidance
by Chengyu Cao & Naira Hovakimyan & Johnny Evers
October 2009, Volume 6, Issue 4
- 377-397 A multi-parametric programming approach for multilevel hierarchical and decentralised optimisation problems
by Nuno Faísca & Pedro Saraiva & Berç Rustem & Efstratios Pistikopoulos - 399-409 A discrete approach to designing optimal hedging-point control policies for production-inventory systems with general stochastic behavior
by B. Khoury - 411-434 Inner and outer loop optimization in semiconductor manufacturing supply chain management
by Wenlin Wang & Daniel Rivera & Hans Mittelmann - 435-445 Persistency and matroid intersection
by D. Magos & I. Mourtos & L. Pitsoulis - 447-457 Comparative studies on dynamic programming and integer programming approaches for concave cost production/inventory control problems
by Hiroshi Konno & Takaaki Egawa & Rei Yamamoto - 459-475 Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA
by Hoai Le Thi & Mahdi Moeini & Tao Pham Dinh - 477-501 DC programming and DCA for globally solving the value-at-risk
by Tao Pham Dinh & Nguyen Nam & Hoai Le Thi
August 2009, Volume 6, Issue 3
- 269-280 A genetic approach for strategic resource allocation planning
by Pavlos Delias & Nikolaos Matsatsinis - 281-306 Exact methods for large-scale multi-period financial planning problems
by R. Baldacci & M. Boschetti & N. Christofides & S. Christofides - 307-327 On multistage Stochastic Integer Programming for incorporating logical constraints in asset and liability management under uncertainty
by Laureano Escudero & Araceli Garín & María Merino & Gloria Pérez - 329-345 A global optimization problem in portfolio selection
by M. Bartholomew-Biggs & S. Kane - 347-356 A multicriteria approach for rating the credit risk of financial institutions
by G. Baourakis & M. Conisescu & G. Dijk & P. Pardalos & C. Zopounidis - 357-372 A fixed-center spherical separation algorithm with kernel transformations for classification problems
by A. Astorino & M. Gaudioso - 373-375 Quasi-variational inequalities, generalized Nash equilibria, and multi-leader-follower games
by Jong-Shi Pang & Masao Fukushima
May 2009, Volume 6, Issue 2
- 115-116 Introduction to the special issue on computational optimization under uncertainty
by Ronald Hochreiter & Georg Pflug - 117-133 Scenario tree reduction for multistage stochastic programs
by Holger Heitsch & Werner Römisch - 135-160 Exploiting structure in parallel implementation of interior point methods for optimization
by Jacek Gondzio & Andreas Grothey - 161-185 Testing the structure of multistage stochastic programs
by Jitka Dupačová & Marida Bertocchi & Vittorio Moriggia - 187-208 A stochastic programming approach for multi-period portfolio optimization
by Alois Geyer & Michael Hanke & Alex Weissensteiner - 209-231 Computational methods for incentive option valuation
by Markku Kallio & Antti Pirjetä - 233-250 Risk aversion for an electricity retailer with second-order stochastic dominance constraints
by Miguel Carrión & Uwe Gotzes & Rüdiger Schultz - 251-267 Stochastic optimization models for a single-sink transportation problem
by Francesca Maggioni & Michal Kaut & Luca Bertazzi
February 2009, Volume 6, Issue 1
- 1-3 Guest Editorial
by O. Kundakcioglu & Marcello Sanguineti & Theodore Trafalis - 5-24 Nonparametric nonlinear regression using polynomial and neural approximators: a numerical comparison
by A. Alessandri & L. Cassettari & R. Mosca - 25-40 Feature selection for high-dimensional data
by Augusto Destrero & Sofia Mosci & Christine Mol & Alessandro Verri & Francesca Odone - 41-51 Self-adaptive support vector machines: modelling and experiments
by Peng Du & Jiming Peng & Tamás Terlaky - 53-79 The weight-decay technique in learning from data: an optimization point of view
by Giorgio Gnecco & Marcello Sanguineti - 81-100 A nonlinear multi-classification knowledge-based kernel machine
by Olutayo Oladunni & Theodore Trafalis - 101-114 Multicategory classification via discrete support vector machines
by Carlotta Orsenigo & Carlo Vercellis
October 2008, Volume 5, Issue 4
- 287-288 Preface
by Josef Kallrath & Panos Pardalos & Steffen Rebennack - 289-304 Optimal portfolios: new variations of an old theme
by Ralf Korn - 305-316 Portfolio selection with transaction costs under expected shortfall constraints
by Thomas Breuer & Martin Jandačka - 317-335 Using economic and financial information for stock selection
by I. Roko & M. Gilli - 337-354 Credit portfolio risk and asset price cycles
by Klaus Rheinberger & Martin Summer - 355-377 Airline network revenue management by multistage stochastic programming
by Andris Möller & Werner Römisch & Klaus Weber - 379-392 Optimal maintenance and scrapping versus the value of back ups
by Franz Wirl - 393-401 Reversible stopping (“switching”) implies super contact
by Franz Wirl - 403-405 Pricing problems in the chemical process industry
by J. Kallrath
May 2008, Volume 5, Issue 3
- 173-206 GEMINI-E3, a general equilibrium model of international–national interactions between economy, energy and the environment
by Alain Bernard & Marc Vielle - 207-231 Supporting hydrogen based transportation: case studies with Global MARKAL Model
by Daniel Krzyzanowski & Socrates Kypreos & Leonardo Barreto - 233-257 The secondary benefits of climate change mitigation: an overlapping generations approach
by Olivier Bahn & Andrew Leach - 259-286 Adaptive management of energy transitions in long-term climate change
by Jürgen Scheffran
February 2008, Volume 5, Issue 1
- 1-5 Editorial
by Alain Haurie - 7-40 ETSAP-TIAM: the TIMES integrated assessment model Part I: Model structure
by Richard Loulou & Maryse Labriet - 41-66 ETSAP-TIAM: the TIMES integrated assessment model. part II: mathematical formulation
by Richard Loulou - 67-94 How Crucial is Cooperation in Mitigating World Climate? Analysis with World-MARKAL
by Maryse Labriet & Richard Loulou - 95-117 Linking energy system and macroeconomic growth models
by Nico Bauer & Ottmar Edenhofer & Socrates Kypreos - 119-140 An oracle based method to compute a coupled equilibrium in a model of international climate policy
by Laurent Drouet & Alain Haurie & Francesco Moresino & Jean-Philippe Vial & Marc Vielle & Laurent Viguier - 141-170 Stabilizing global temperature change below thresholds: Monte Carlo analyses with MERGE
by Socrates Kypreos
October 2007, Volume 4, Issue 4
- 301-312 The danger model: application to a competitive market
by Enrique Castillo & María Sarabia & Elena Álvarez - 313-353 Solving two-stage stochastic programming problems with level decomposition
by Csaba Fábián & Zoltán Szőke - 355-375 The Internet, evolutionary variational inequalities, and the time-dependent Braess paradox
by Anna Nagurney & David Parkes & Patrizia Daniele
July 2007, Volume 4, Issue 3
- 227-242 Parameter redundancy in neural networks: an application of Chebyshev polynomials
by Bruce Curry - 243-281 Financial Networks with Intermediation and Transportation Network Equilibria: A Supernetwork Equivalence and Reinterpretation of the Equilibrium Conditions with Computations
by Zugang Liu & Anna Nagurney - 283-299 A Computational Algorithm Associated with Patient Progress Modelling
by S. Gallivan & M. Utley & M. Jit & C. Pagel
April 2007, Volume 4, Issue 2
- 87-88 Special issue on dynamic games
by Georges Zaccour - 89-111 Optimal stopping problems by two or more decision makers: a survey
by Fouad Abdelaziz & Saoussen Krichen - 113-140 Algorithms for computing Nash equilibria in deterministic LQ games
by Jacob Engwerda - 141-157 A dynamic Cournot–Nash game: a representation of a finitely repeated feedback game
by Talat Genc - 159-181 Developments in differential game theory and numerical methods: economic and management applications
by Steffen Jørgensen & Georges Zaccour - 183-204 Numerical solutions to coupled-constraint (or generalised Nash) equilibrium problems
by Jacek Krawczyk - 205-225 Dynamic games in management science with interest rate uncertainty
by David Yeung
January 2007, Volume 4, Issue 1
- 1-16 Equity Models in Planar Location
by Tammy Drezner & Zvi Drezner - 17-40 Automatic Formulation of Stochastic Programs Via an Algebraic Modeling Language
by J. Thénié & Ch. Delft & J. Vial - 41-57 Studies on a general stock-bond integrated portfolio optimization model
by Koji Kato & Hiroshi Konno - 59-83 Combined Discrete-event Simulation and Ant Colony Optimisation Approach for Selecting Optimal Screening Policies for Diabetic Retinopathy
by Sally Brailsford & Walter Gutjahr & Marion Rauner & Wolfgang Zeppelzauer - 85-86 Yaroslav D. Sergeyev: Arithmetic of infinity
by Donato Trigiante
September 2006, Volume 3, Issue 4
- 245-269 Integrated Chance Constraints: Reduced Forms and an Algorithm
by Willem Haneveld & Maarten Vlerk - 271-284 An Optimization Model for Stochastic Project Networks with Cash Flows
by Stefano Benati - 285-305 Robust Capacity Assignment in Telecommunications
by Adam Ouorou - 307-330 Leader-Follower Equilibria for Electric Power and NO x Allowances Markets
by Yihsu Chen & Benjamin Hobbs & Sven Leyffer & Todd Munson - 331-348 An Algorithm for the Job Shop Scheduling Problem based on Global Equilibrium Search Techniques
by Panos Pardalos & Oleg Shylo
July 2006, Volume 3, Issue 3
- 175-176 Introduction
by Erol Gelenbe - 177-192 Product form solution for exponential G-networks with dependent service and completion of service of killed customers
by Pavel Bocharov & Ciro D’Apice & Alexandre Pechinkin - 193-205 Texture Classification and Retrieval Using the Random Neural Network Model
by Alper Teke & Volkan Atalay - 207-223 Numerical Modelling of Autonomous Agent Movement and Conflict
by Y. Wang - 225-244 A New Multiobjective Dynamic Routing Method for Multiservice Networks: Modelling and Performance
by Lúcia Martins & José Craveirinha & João Clímaco
April 2006, Volume 3, Issue 2
- 101-102 Foreword
by Theodore Trafalis - 103-112 Breast Tumor Susceptibility to Chemotherapy Via Support Vector Machines
by Glenn Fung & O. Mangasarian - 113-129 Fixed-size Least Squares Support Vector Machines: A Large Scale Application in Electrical Load Forecasting
by Marcelo Espinoza & Johan Suykens & Bart Moor - 131-145 An Improved Gradient Projection-based Decomposition Technique for Support Vector Machines
by Luca Zanni - 147-160 Support Vector Machine as an Efficient Framework for Stock Market Volatility Forecasting
by Valeriy Gavrishchaka & Supriya Banerjee - 161-174 Non-Parametric Regression Methods
by Huseyin Ince
January 2006, Volume 3, Issue 1
- 1-1 Foreword
by Istvan Maros - 3-27 Computational aspects of minimizing conditional value-at-risk
by Alexandra Künzi-Bay & János Mayer - 29-53 On solving the multi-period single-sourcing problem under uncertainty
by A. Alonso-Ayuso & L. Escudero & C. Pizarro & H. Romeijn & D. Morales - 55-79 An adaptive Monte Carlo algorithm for computing mixed logit estimators
by Fabian Bastin & Cinzia Cirillo & Philippe Toint - 81-100 Optimal impulse control on an unbounded domain with nonlinear cost functions
by Stefano Baccarin & Simona Sanfelici
November 2005, Volume 4, Issue 4
- 253-278 Efficient strategies for deriving the subset VAR models
by Cristian Gatu & Erricos Kontoghiorghes - 279-293 Bilevel programming approach applied to the flow shop scheduling problem under fuzziness
by Samir Abass - 295-308 Intervention analysis to identify significant exposures in pulsing advertising campaigns: an operative procedure
by Alessandra Luati & Giorgio Tassinari - 309-338 An application of the neural network energy function to machine sequencing
by Komgrit Leksakul & Anulark Techanitisawad - 339-351 Integer programming approaches in mean-risk models
by Hiroshi Konno & Rei Yamamoto - 353-354 Book review
by Berc Rustem
July 2005, Volume 2, Issue 3
- 165-180 A C + + computational environment for biomolecular sequence management
by M. Chiusano & Takashi Gojobori & G. Toraldo - 181-212 Global optimization of mixed-integer bilevel programming problems
by Zeynep Gümüş & Christodoulos Floudas - 213-228 Design of induction motors using a mixed-variable approach
by Giampaolo Liuzzi & Stefano Lucidi & Veronica Piccialli & Marco Villani - 229-251 Learning networks in rainfall estimation
by Theodore Trafalis & Budi Santosa & Michael Richman
March 2005, Volume 2, Issue 2
- 85-85 Guest editorial
by Erricos Kontoghiorghes - 87-106 A multivariate FGD technique to improve VaR computation in equity markets
by Francesco Audrino & Giovanni Barone-Adesi - 107-121 Quadratic interior-point methods in statistical disclosure control
by Jordi Castro - 123-138 Portfolio selection under VaR constraints
by Kostas Giannopoulos & Ephraim Clark & Radu Tunaru - 139-153 Distribution assumptions and risk constraints in portfolio optimization
by Dietmar Maringer - 155-161 Hybrid artificial neural networks for efficient valuation of real options and financial derivatives
by Chris Charalambous & Spiros Martzoukos
January 2005, Volume 2, Issue 1
- 1-1 Jacques F. Benders is 80
by István Maros - 3-19 Partitioning procedures for solving mixed-variables programming problems
by J. Benders - 21-56 Quasi-variational inequalities, generalized Nash equilibria, and multi-leader-follower games
by Jong-Shi Pang & Masao Fukushima - 57-82 Performance analysis of distributed solution approaches in simulation-based optimization
by M. Gerdes & T. Barth & M. Grauer - 83-84 Book review
by Sampo Ruuth
October 2004, Volume 1, Issue 3
- 209-210 Editorial
by C. Zopounidis & M. Doumpos & P. Pardalos - 211-230 Pattern classification by goal programming and support vector machines
by Takeshi Asada & Yeboon Yun & Hirotaka Nakayama & Tetsuzo Tanino - 231-244 Decision trees for monotone price models
by Marina Velikova & Hennie Daniels - 245-274 A multiple decision trees architecture for medical diagnosis: The differentiation of opening snap, second heart sound split and third heart sound
by A. Stasis & E. Loukis & S. Pavlopoulos & D. Koutsouris - 275-292 Design of cellular manufacturing systems using Latent Semantic Indexing and Self Organizing Maps
by Nikolaos Ampazis & Ioannis Minis - 293-310 A hybrid genetic model for the prediction of corporate failure
by Anthony Brabazon & Peter Keenan - 311-327 Evolving technical trading rules for spot foreign-exchange markets using grammatical evolution
by Anthony Brabazon & Michael O’Neill - 329-343 Foreign versus domestic banks’ performance in the UK: a multicriteria approach
by K. Kosmidou & F. Pasiouras & M. Doumpos & C. Zopounidis
July 2004, Volume 1, Issue 2
- 109-149 New tools in non-linear modelling and prediction
by Antonia Jones - 151-178 Sampling aspects of rough set theory
by Bruce Curry - 179-192 Flow equivalence and stochastic equivalence in G-networks
by Jean-Michel Fourneau & Erol Gelenbe - 193-208 Finding the optimal solution to the Huff based competitive location model
by Tammy Drezner & Zvi Drezner
December 2003, Volume 1, Issue 1
- 1-14 Sensible decisions based on QoS
by Erol Gelenbe - 15-29 Neural networks, linear functions and neglected non-linearity
by B. Curry & P. Morgan - 31-58 International financial networks with intermediation: modeling, analysis, and computations
by Anna Nagurney & Jose Cruz - 59-73 Estimation of failure probability using semi-definite logit model
by Hiroshi Konno & Naoya Kawadai & Dai Wu - 75-107 Pricing early exercise contracts in incomplete markets
by A. Oberman & T. Zariphopoulou