Search Results - subject:"Nonlinear programming"

Markov decision processes under observability constraints

Serin, Yasemin; Kulkarni, Vidyadhar - In: Computational Statistics 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/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

Markov decision processes under observability constraints

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

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

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

Generalized derivatives and nonsmooth optimization, a finite dimensional tour

Dutta, Joydeep - In: TOP: An Official Journal of the Spanish Society of … 13 (2005) 2, pp. 185-279

Persistent link: https://www.econbiz.de/10005598380

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

[Rezension von: Differential topology and general equilibrium with complete and incomplete markets, by Antonio Villanacci ...]

Allouch, Nizar - In: The economic journal : the journal of the Royal … 115 (2005) 501, pp. 144-46

Persistent link: https://www.econbiz.de/10002638657

Optimization in economics and finance : some advances in non-linear, dynamic, multi-criteria and stochastic models

Craven, Bruce D.; Islam, Sardar M. N. - 2005

Persistent link: https://www.econbiz.de/10002610512

Asymmetric return dynamics and technical trading strategies

Nam, Kiseok; Washer, Kenneth M.; Chu, Quentin C. - In: Journal of banking & finance 29 (2005) 2, pp. 391-418

Persistent link: https://www.econbiz.de/10002485312

A large-scale linear complementarity model of the North American natural gas market

Gabriel, Steven A.; Zhuang, Jifang; Kiet, Supat - In: Energy economics 27 (2005) 4, pp. 639-665

Persistent link: https://www.econbiz.de/10003007153