Fractional Brownian motion and optimization by ellipsoids Let [latex](Z_{t}^{H})_{tin(0,infty)}[/latex] be a fractional Brownian motion with Hurst index H, [latex]delta>0[/latex] and [latex](X_{i}^{H})_{i=1}^{infty}[/latex] be its [latex]delta[/latex] fractional Brownian noise, that is [latex]X_{i}^{H}=Z_{idelta}^{H}-Z_{(i-1)delta}^{H}[/latex]. Set [latex]Y_{i}^{H}=(((X_{2i}^{H}+X_{2i-1}^{H})/(sqrt{2})),((X_{2i}^{H}-X_{2i-1}^{H})/(sqrt2)))[/latex] and let [latex]E_{V}[/latex] be the family of all
Ban Kawas, Lehigh University
Log-robust portfolio management We present a robust optimization approach to portfolio management under uncertainty that (i) builds upon the well-established Lognormal model for stock prices while addressing its limitations, and (ii) incorporates the imperfect knowledge on the true distribution of
Yuichi Takano, University of Tsukuba
Constant Rebalanced Portfolio Optimization under Nonlinear Transaction Costs In this paper, we study a multi-period portfolio optimization where the conditional value-at-risk (CVaR) is controlled as well as the expected return, and the so-called constant rebalancing strategy is employed under nonlinear
Selin D. Ahipasaoglu, Cornell University
Identification and Elimination of Interior Points for the Minimum Enclosing Ball Problem Given A, a finite set of points, we consider the problem of reducing the input set for the computation of the minimum enclosing ball of the set A.
Juan Vera, University of Waterloo
New Relaxation Schemes for Polynomial Programing We present a new representation theorem for positiveness of polynomials with degree bounds. This new result has a elementary proof, and interesting consequences for polynomial programing (PP). In particular we present how to exploit
Dávid Papp, Rutgers Center for Operations Research
Shape-constrained spline estimation of multivariate functions using semidefinite programming Function estimation problems can often be formulated as optimization problems where the approximating function must satisfy certain shape constraints, such as nonnegativity, monotonicity, unimodality, or convexity. Such constraints reduce to the
Wanpracha Art Chaovalitwongse, Rutgers University
A tree-based model for redundant multicast routing problem with shared risk link group diverse constraints We propose a tree-based mathematical programming model for redundant multicast routing problem with Shared risk link group (SRLG)-diverse constraint (RMR-SRLGD). The goal of RMR-SRLGD problem
Zumbul Bulut, Lehigh University
A new efficient heursitic for the design and analysis of distribution systems Distribution systems are one of the most difficult network topologies to analyze and most approaches in the literature are heuristic. Assuming a FIFO allocation policy and base-stock inventory
Xi Wang and Jiawei Zhang, New York University
Warehouse-Retailer Network Design: New Formulation and Approximation Algorithm We study a warehouse-retailer network design model due to Teo and Shu (2004). A column generation algorithm was proposed by Teo and Shu to solve the linear programming relaxation of a set
Gertjan de Lange, Peter Nieuwesteeg, Paragon Decision Technology
Modeling with AIMMS, more applications than theory In this presentation we will demonstrate the capabilities of AIMMS in building (advanced) optimization models as well as building end-user applications for real-life decision support. This presentation consists of three parts, the basics