This paper is concerned with the convergence analysis of power penalty method to pricing American options on discount bond, where the single factor Cox–Ingrosll–Ross model is adopted for the short interest rate. The valuation of American bond option is usually formulated as a partial...

The broadband potential of overhead and underground medium-voltage/broadband over power lines (MV/BPL) systems associated with multiple-input multiple-output (MIMO) transmission technology and energy efficient (EE) or green policies is examined analytically. The contribution of this paper is...

In this paper, we propose two sets of theoretically filtered bound-factor constraints for constructing reformulation-linearization technique (RLT)-based linear programming (LP) relaxations for solving polynomial programming problems. We establish related theoretical results for convergence to a...

In this paper we illustrate some optimization challenges in the structured low rank approximation (SLRA) problem. SLRA can be described as the problem of finding a low rank approximation of an observed matrix which has the same structure as this matrix (such as Hankel). We demonstrate that the...

We consider Ekeland’s variational principle for multivalued maps. Instead of dealing with directional perturbations in a direction of the positive cone of the image space, we perturb the map under question by a convex subset of the positive cone to get stronger and more general versions. Many...

Packing non-identical circles inside a rectangle witnesses a wide range of industrial applications. However, the non-convex constraints in this problem make it intractable using exact analytical approaches. Even via heuristic methods, the solution time for industrial-scale instances sometimes is...

Motivated by the Suzuki’s type fixed point theorems, we give several new existence theorems for scalar quasi-equilibrium problems, and vector quasi-equilibrium problem on complete metric spaces. We give important examples for our results. Note that the solution of quasi-equilibrium problem...

In this paper, we establish the upper semicontinuity and lower semicontinuity of solution mappings to a parametric generalized strong vector equilibrium problem with setvalued mappings by using a scalarization method and a density result. The results improve the corresponding ones in the...

In this paper, we study a class of penalty methods for a class of constrained scalar set-valued optimization problems. We establish an equivalence relation between the lower semicontinuity at the origin of the optimal value function of the perturbed problem and the convergence of the penalty...

This paper deals with the global solution of the general multi-parametric mixed integer linear programming problem with uncertainty in the entries of the constraint matrix, the right-hand side vector, and in the coefficients of the objective function. To derive the piecewise affine globally...