In this paper, the classical theory of two-person cooperative games is extended to two-person cooperative games with interval uncertainty. The core, balancedness, superadditivity and related topics are studied. Solutions called ψ <Superscript>α</Superscript>-values are introduced and characterizations are given....</superscript>

The aim of this paper is to propose an algorithm, based on the optimal level solutions method, which solves a particular class of box constrained quadratic problems. The objective function is given by the sum of a quadratic strictly convex separable function and the square of an affine function...

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...

We consider an inverse quadratic programming (QP) problem in which the parameters in both the objective function and the constraint set of a given QP problem need to be adjusted as little as possible so that a known feasible solution becomes the optimal one. We formulate this problem as a linear...

Local optimality conditions are given for a quadratic programming formulation of the multiset graph partitioning problem. These conditions are related to the structure of the graph and properties of the weights. Copyright Springer-Verlag Berlin Heidelberg 2002

Convex quadratic programming (QP) is of reviving interest in the last few years, since in connection with interior point methods Sequential Quadratic Programming (SQP) has been assessed as a powerful algorithmic scheme for solving nonlinear constraint optimization problems.  In this paper we...

The routing capacity region of networks with multiple unicast sessions can be characterized using Farkas lemma as an infinite set of linear inequalities. In this paper this result is sharpened by exploiting properties of the solution satisfied by each rate-tuple on the boundary of the capacity...

This paper analyzes numerically a long-term average stochastic control problem involving a controlled diffusion on a bounded region. The solution technique takes advantage of an infinite-dimensional linear programming formulation for the problem which relates the stationary measures to the...

We consider a discrete time Markov Decision Process (MDP) under the discounted payoff criterion in the presence of additional discounted cost constraints. We study the sensitivity of optimal Stationary Randomized (SR) policies in this setting with respect to the upper bound on the discounted...

In this paper, we introduce a one-parametric class of smoothing functions which contains the Fischer–Burmeister smoothing function and the CHKS smoothing function as special cases. Based on this class of smoothing functions, a smoothing Newton algorithm is extended to solve linear programming...