AMS classifications: 90C22; 90C20;

The paper presents methods of linear and nonlinear mathematical programming and their computational implementation in the General Algebraic Modeling System (GAMS). It also presents economic examples and introduces a number of solution algorithms: simplex, gradient, Newton and penalties.

We consider a cash management problem where a company with a given financial endowment and given future cash flows minimizes the Conditional Value at Risk of final wealth using a lower bound for the expected terminal wealth. We formulate the optimization problem as a multi-stage stochastic...

Given n points in the plane with nonnegative weights, the inverse Fermat-Weber problem consists in changing the weights at minimum cost such that a prespecified point in the plane becomes the Euclidean 1-median. The cost is proportional to the increase or decrease of the corresponding weight. In...