Taking into account that the BDS test—which is used as a misspecification test applied to standardized residuals from the GARCH(1,1) model—is characterized by size distortion and departure from normality in finite samples, this paper obtains the critical values for the finite sample...

Global and mid-range approximation concepts are used in engineering optimisation in those cases were the commonly used local approximations are not available or applicable. In this paper the response surface method is discussed as a method to build both global and mid-range approximations of the...

In this paper simulated annealing algorithms for continuous global optimization are considered.Under the simplifying assumption of known optimal value, the convergence of the algorithms and an upper bound for the expected first hitting time, i.e. the expected number of iterations before reaching...

The “Montagnes Russes” algorithm for finding the global minima of a lower semi-continuous function (thus involving state constraints) is a descent algorithm applied to an auxiliary function whose local and global minima are the global minima of the original function. Although this auxiliary...

In this paper we look at two interesting extensions to the classical 2-Facility Weber Problem in ℝ d : At first problems are investigated where we do not allow the optimal locations to be in a specific region. Efficient algorithms for this Global Optimization problem are presented as well as...

This paper is concerned with the analysis and comparison of semidefinite programming (SDP) relaxations for the satisfiability (SAT) problem. Our presentation is focussed on the special case of 3-SAT, but the ideas presented can in principle be extended to any instance of SAT specified by a set...

Effective risk management requires adequate risk measurement. A basic problem herein is the quantification of market risks: what is the overall effect on a portfolio if market rates change? First, a mathematical problem statement is given and the concept of `Maximum Loss' (ML) is introduced as a...

The problem of multidimensional scaling with city-block distances in the embedding space is reduced to a two level optimization problem consisting of a combinatorial problem at the upper level and a quadratic programming problem at the lower level. A hybrid method is proposed combining...