Search Results - subject:"MATHEMATICAL PROGRAMMING"

Relaxed inertial subgradient extragradient algorithm for solving equilibrium problems

Nwakpa, Chidi Elijah; Ofem, Austine Efut; Izuchukwu, Chinedu - In: Mathematical methods of operations research : ZOR 101 (2025) 2, pp. 331-371

Persistent link: https://www.econbiz.de/10015462329

MADNCL : a GPU implementation of algorithm NCL for large-scale, degenerate nonlinear programs

Montoison, Alexis; Pacaud, François; Saunders, Michael A. - 2025

Persistent link: https://www.econbiz.de/10015467563

The virtues of clarity : Robert Dorfman, from mathematical programming to environmental economics

Gradoz, Julien - 2025 - Revised September 2025

distinct phases. During the first phase (1938-1958), he made contributions to mathematical programming and statistics. The … relevance of mathematical programming in this context were praised for their clarity. During the third phase (1972-1997), he … clarity of his work was particularly emphasized by his colleagues, who believed it greatly helped disseminate mathematical …

Persistent link: https://www.econbiz.de/10015459103

Solving the multiobjective quasi-clique problem

Klamroth, Kathrin; Martins, Pedro; Paquete, Luís F. - In: European journal of operational research : EJOR 323 (2025) 2, pp. 409-424

Persistent link: https://www.econbiz.de/10015415708

Optimal policy characterization for a class of multi-dimensional ergodic singular stochastic control problems

Calvia, Alessandro; Cannerozzi, Federico; Ferrari, Giorgio - 2025

In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost of control is proportional to the magnitude of...

Persistent link: https://www.econbiz.de/10015472838

Some mathematical issues on linear joint production models

Giorgi, Giorgio - 2025

Persistent link: https://www.econbiz.de/10015474027

Monotone optimal trajectories

Jaakkola, Niko; Wagener, Florian Oskar Ottokar - 2025

We give weak conditions for a continuous time optimal control problem with one-dimensional state space to have monotone optimal trajectories. These conditions include a concavity condition on the Lagrange function. If that condition is changed to strict concavity, then all optimal trajectories...

Persistent link: https://www.econbiz.de/10015465925

Regime-based portfolio optimisation : a hidden Markov model approach for fixed income portfolios

Taljaard, Byran (contributor) - European Stability Mechanism - 2025

This paper presents a methodology for incorporating a regime-based approach to portfolio optimisation, specifically for fixed income portfolios. By segmenting the market into distinct periods or "regimes" characterised by different market conditions, such as high or low volatility, investors can...

Persistent link: https://www.econbiz.de/10015465474

Iterative refinement of the QZ decomposition for solving linear DSGE models

Huber, Johannes; Meyer-Gohde, Alexander - In: Economics letters 253 (2025), pp. 1-4

Persistent link: https://www.econbiz.de/10015466989

Numerical calculation of finite-time ruin probabilities in the dual risk model

Cardoso, Rui M. R.; Melo, Andressa C. O. - In: Risks : open access journal 13 (2025) 9, pp. 1-17

In the dual risk model, while the ultimate ruin probability has an exact and straightforward formula, the mathematics becomes significantly more complex when considering a finite time horizon, and the literature on this topic is scarce. As a result, there is a need for numerical approximations....

Persistent link: https://www.econbiz.de/10015467466