Includes bibliographical references (p. 38-40).

Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic portfolio strategy involving only the underlying securities...

We present an Approximate Dynamic Programming (ADP) approach for the multidimensional knapsack problem (MKP). We approximate the value function (a) using parametric and nonparametric methods and (b)using a base-heuristic. We propose a new heuristic which adaptively rounds the solution of the...

We propose a new algorithm for solving integer programming (IP) problems that is based on ideas from algebraic geometry. The method provides a natural generalization of the Farkas lemma for IP, leads to a way of performing sensitivity analysis, offers a systematic enumeration of all feasible...

We propose both robust and data-driven approaches to a fluid model of call centers that incorporates random arrival rates with abandonment to determine staff levels and dynamic routing policies. We test the resulting models with real data obtained from the call center of a US bank. Computational...