The lexicographic kernel of a game lexicographically maximizes the surplusses s <Subscript> ij </Subscript> (rather than the excesses as would the nucleolus) and is contained in both the least core and the kernel. We show that an element in the lexicographic kernel can be computed efficiently, provided we can...</subscript>

A discrete-time financial market model is considered with a sequence of investors whose preferences are described by concave strictly increasing functions defined on the positive axis. Under suitable conditions, we show that the utility indifference prices of a bounded contingent claim converge...

We consider a class of discrete-time stochastic control systems, with Borel state and action spaces, and possibly unbounded costs. The processes evolve according to the equation x <Subscript> t +1</Subscript>=F(x <Subscript> t </Subscript>, a <Subscript> t </Subscript>, ξ <Subscript> t </Subscript>), t=0, 1, ..., where the ξ <Subscript> t </Subscript> are i.i.d. random vectors whose common distribution is...</subscript></subscript></subscript></subscript></subscript>

Let <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$T \, =\, \{T_1, T_2, \ldots, T_n\}$$</EquationSource> </InlineEquation> be a set of n independent tasks and <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$$\mathcal{P}=\{P_1, P_2,\ldots, P_m\}$$</EquationSource> </InlineEquation> a set of m processors. During each time instant, each processor can be used by a single task at most. A schedule is for each task an allocation of one or more time...</equationsource></inlineequation></equationsource></inlineequation>

We consider a G / M / 1 queue with two-stage service policy. The server starts to serve with rate of μ<Subscript>1</Subscript> customers per unit time until the number of customers in the system reaches λ. At this moment, the service rate is changed to that of μ<Subscript>2</Subscript> customers per unit time and this rate continues...</subscript></subscript>

In this paper we study the single-machine problem 1|chains(l), p <Subscript> j </Subscript>=p|∑ C <Subscript> j </Subscript> in which jobs with constant processing times and generalized precedence constraints in form of chains with constant delays are given. One has to schedule the jobs on a single machine such that all delays between...</subscript></subscript>

In this paper we analyze a new location problem which is a generalization of the well-known single facility location model. This extension consists of introducing a general objective function and replacing fixed locations by trajectories. We prove that the problem is well-stated and solvable. A...

We give a concise review and extension of S-procedure that is an instrumental tool in control theory and robust optimization analysis. We also discuss the approximate S-Lemma as well as its applications in robust optimization. Copyright Springer-Verlag 2006

A new evaluation scheme for universal mobile telecommunications system (UMTS) radio networks is introduced. The approach takes the complex coupling of coverage and capacity through interference into account. Cell load estimates, otherwise obtained through Monte-Carlo simulation, can now be...

In this paper we consider a simulated annealing algorithm for multiobjective optimization problems. With a suitable choice of the acceptance probabilities, the algorithm is shown to converge asymptotically, that is, the Markov chain that describes the algorithm converges with probability one to...