Search Results - subject:"Nonlinear Programming"

Valuation and optimal strategies for swing contract

Zhu, Zegang - 2005

Persistent link: https://www.econbiz.de/10003946500

Exchange rate dynamics, central bank interventions and chaos control methods

Wieland, Cristian; Westerhoff, Frank H. - In: Journal of economic behavior & organization : JEBO 58 (2005) 1, pp. 117-132

Persistent link: https://www.econbiz.de/10003137733

A Kolmogorov-Smirnov type test for positive quadrant dependence

Scaillet, Olivier (contributor) - 2005

Persistent link: https://www.econbiz.de/10003120225

A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives

Denuit, Michel (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003120541

Nonlinear-programming reformulation of the order-value optimization problem

Andreani, R.; Dunder, C.; Martínez, J. - In: Mathematical Methods of Operations Research 61 (2005) 3, pp. 365-384

mathematical programming problem with equilibrium constraints is deduced. The relation between OVO and this nonlinear-programming …

Persistent link: https://www.econbiz.de/10010999961

Markov decision processes under observability constraints

Serin, Yasemin; Kulkarni, Vidyadhar - In: Mathematical Methods of Operations Research 61 (2005) 2, pp. 311-328

We develop an algorithm to compute optimal policies for Markov decision processes subject to constraints that result from some observability restrictions on the process. We assume that the state of the Markov process is unobservable. There is an observable process related to the unobservable...

Persistent link: https://www.econbiz.de/10010950143

Markov decision processes under observability constraints

Serin, Yasemin; Kulkarni, Vidyadhar - In: Computational Statistics 61 (2005) 2, pp. 311-328

Persistent link: https://www.econbiz.de/10010847729

Nonlinear-programming reformulation of the order-value optimization problem

Andreani, R.; Dunder, C.; Martínez, J. - In: Computational Statistics 61 (2005) 3, pp. 365-384

mathematical programming problem with equilibrium constraints is deduced. The relation between OVO and this nonlinear-programming …

Persistent link: https://www.econbiz.de/10010847957

Portfolio Investment with the Exact Tax Basis via Nonlinear Programming

DeMiguel, Victor; Uppal, Raman - In: Management Science 51 (2005) 2, pp. 277-290

features that can be exploited to determine the optimal portfolio policy using the exact tax basis via nonlinear programming …

Persistent link: https://www.econbiz.de/10009197814

Fuzzy Bayesian estimation on lifetime data

Wu, Hsien-Chung - In: Computational Statistics 19 (2004) 4, pp. 613-633

Persistent link: https://www.econbiz.de/10005613170