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Computational Management Science

Short Title: Comput. Manag. Sci.
Publisher: Springer, Berlin/Heidelberg
ISSN: 1619-697X; 1619-6988/e
Online: http://link.springer.com/journal/volumesAndIssues/10287
Documents Indexed: 409 Publications (since 2004)
References Indexed: 347 Publications with 11,127 References.
all top 5

Authors

9 Nagurney, Anna
6 Kaut, Michal
6 Konno, Hiroshi
6 Maggioni, Francesca
6 Schultz, Rüdiger
5 Paterlini, Sandra
5 Thiele, Aurélie C.
5 Trafalis, Theodore B.
5 Wiesemann, Wolfram
4 Bertocchi, Marida
4 Consigli, Giorgio
4 Drezner, Tammy
4 Drezner, Zvi
4 Fleten, Stein-Erik
4 Gendreau, Michel
4 Krawczyk, Jacek Bogdan
4 Kuhn, Daniel
4 Pardalos, Panos M.
4 Pflug, Georg Ch.
4 Siddiqui, Afzal S.
4 Takeda, Akiko
4 Yamamoto, Rei
4 Zaccour, Georges
4 Zanette, Antonino
3 Bertazzi, Luca
3 Escudero, Laureano Fernando
3 Fukushima, Masao
3 Giacometti, Rosella
3 Gotoh, Jun-ya
3 Haurie, Alain B.
3 Kopa, Miloš
3 Krivulin, Nikolai K.
3 Kypreos, Socrates
3 Loulou, Richard
3 Maringer, Dietmar G.
3 Moriggia, Vittorio
3 Paraschiv, Florentina
3 Parpas, Panos
3 Pistikopoulos, Efstratios N.
3 Rustem, Berc
3 Sherali, Hanif D.
3 Torri, Gabriele
3 Van Ackooij, Wim
3 van der Vlerk, Maarten H.
3 Vielle, Marc
3 Vitali, Sebastiano
3 Wallace, Stein W.
3 Watson, Jean-Paul
3 Weissensteiner, Alex
2 Aitsahlia, Farid
2 Al-Yakoob, Salem Mohammed
2 Alonso-Ayuso, Antonio
2 Astorino, Annabella
2 Ávila, Daniel
2 Baldacci, Roberto
2 Bärmann, Andreas
2 Ben-Tal, Aharon
2 Bodnar, Taras
2 Bonaccolto, Giovanni
2 Boniello, C.
2 Brabazon, Anthony
2 Butenko, Sergiy I.
2 Çetinkaya, Elçin
2 Curry, Bruce
2 D’Amato, Valeria
2 Delage, Erick
2 den Hertog, Dick
2 Erlwein-Sayer, Christina
2 Escobar, Debora Daniela
2 Fastrich, Björn
2 Ferrentino, Rosa
2 Gaudenzi, Marcellino
2 Gaudioso, Manlio
2 Gelenbe, Sami Erol
2 Glanzer, Martin
2 Gnecco, Giorgio
2 Goswami, Manisha
2 Goudenège, Ludovic
2 Guha, Suchandan
2 Gutjahr, Walter J.
2 Heidt, Andreas
2 Heitsch, Holger
2 Hellemo, Lars
2 Henrion, René
2 Hitaj, Asmerilda
2 Hochreiter, Ronald
2 Kalczynski, Pawel Jan
2 Kawadai, Naoya
2 Klein Haneveld, Willem Karel
2 Kontoghiorghes, Erricos John
2 Labriet, Maryse
2 Le Thi, Hoai An
2 Lisser, Abdel
2 Liu, Zugang
2 Löhndorf, Nils
2 Martin, Alexander
2 Mercuri, Lorenzo
2 Mitra, Gautam
2 Molent, Andrea
2 Möller, Andris
...and 677 more Authors

Publications by Year

Citations contained in zbMATH Open

243 Publications have been cited 1,650 times in 1,376 Documents Cited by Year
Quasi-variational inequalities, generalized Nash equilibria, and multi-leader-follower games. Zbl 1115.90059
Pang, Jong-Shi; Fukushima, Masao
196
2005
Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems. Zbl 1225.91032
Watson, Jean-Paul; Woodruff, David L.
58
2011
Scenario tree reduction for multistage stochastic programs. Zbl 1171.90485
Heitsch, Holger; Römisch, Werner
41
2009
Integrated chance constraints: reduced forms and an algorithm. Zbl 1136.90424
Klein Haneveld, Willem K.; van der Vlerk, Maarten H.
39
2006
Restricted generalized Nash equilibria and controlled penalty algorithm. Zbl 1253.91010
Fukushima, Masao
39
2011
Computational aspects of minimizing conditional value-at-risk. Zbl 1203.90117
Künzi-Bay, Alexandra; Mayer, János
35
2006
Likelihood robust optimization for data-driven problems. Zbl 1397.90225
Wang, Zizhuo; Glynn, Peter W.; Ye, Yinyu
33
2016
Finding the optimal solution to the Huff based competitive location model. Zbl 1115.90357
Drezner, Tammy; Drezner, Zvi
32
2004
Global optimization of mixed-integer bilevel programming problems. Zbl 1112.90061
Gümüş, Zeynep H.; Floudas, Christodoulos A.
31
2005
Equity models in planar location. Zbl 1140.90031
Drezner, Tammy; Drezner, Zvi
30
2007
Solving two-stage stochastic programming problems with level decomposition. Zbl 1145.90045
Fábián, Csaba I.; Szőke, Zoltán
28
2007
Constructing optimal sparse portfolios using regularization methods. Zbl 1355.91077
Fastrich, B.; Paterlini, S.; Winker, P.
23
2015
Numerical solutions to coupled-constraint (or generalised Nash) equilibrium problems. Zbl 1134.91303
Krawczyk, Jacek
21
2007
An exact solution framework for a broad class of vehicle routing problems. Zbl 1194.90011
Baldacci, Roberto; Bartolini, Enrico; Mingozzi, Aristide; Roberti, Roberto
20
2010
The internet, evolutionary variational inequalities, and the time-dependent Braess paradox. Zbl 1141.65051
Nagurney, Anna; Parkes, David; Daniele, Patrizia
18
2007
Assessing interbank contagion using simulated networks. Zbl 1282.91399
Hałaj, Grzegorz; Kok, Christoffer
18
2013
Exploiting structure in parallel implementation of interior point methods for optimization. Zbl 1170.90518
Gondzio, Jacek; Grothey, Andreas
17
2009
Supply chain network operations management of a blood banking system with cost and risk minimization. Zbl 1273.90028
Nagurney, Anna; Masoumi, Amir H.; Yu, Min
17
2012
An adaptive Monte Carlo algorithm for computing mixed logit estimators. Zbl 1136.62086
Bastin, Fabian; Cirillo, Cinzia; Toint, Philippe L.
17
2006
On the role of norm constraints in portfolio selection. Zbl 1225.91060
Gotoh, Jun-ya; Takeda, Akiko
17
2011
Reformulations and solution algorithms for the maximum leaf spanning tree problem. Zbl 1198.90380
Lucena, Abilio; Maculan, Nelson; Simonetti, Luidi
16
2010
Partitioning procedures for solving mixed-variables programming problems. Reprint. Zbl 1115.90361
Benders, J. F.
16
2005
Probabilistic constraints via SQP solver: application to a renewable energy management problem. Zbl 1317.90216
Bremer, I.; Henrion, R.; Möller, A.
16
2015
Monotonic bounds in multistage mixed-integer stochastic programming. Zbl 1397.90287
Maggioni, Francesca; Allevi, Elisabetta; Bertocchi, Marida
16
2016
Decomposition for adjustable robust linear optimization subject to uncertainty polytope. Zbl 1397.90297
Ayoub, Josette; Poss, Michael
16
2016
Leader-follower equilibria for electric power and \(\text{NO}_x\) allowances markets. Zbl 1273.91207
Chen, Yihsu; Hobbs, Benjamin F.; Leyffer, Sven; Munson, Todd S.
16
2006
A joint model of probabilistic/robust constraints for gas transport management in stationary networks. Zbl 1397.90092
González Grandón, T.; Heitsch, H.; Henrion, R.
15
2017
Decision-dependent probabilities in stochastic programs with recourse. Zbl 1483.90095
Hellemo, Lars; Barton, Paul I.; Tomasgard, Asgeir
15
2018
An oracle based method to compute a coupled equilibrium in a model of international climate policy. Zbl 1179.91200
Drouet, Laurent; Haurie, Alain; Moresino, Francesco; Vial, Jean-Philippe; Vielle, Marc; Viguier, Laurent
14
2008
A multi-parametric programming approach for multilevel hierarchical and decentralised optimisation problems. Zbl 1189.90152
Faísca, Nuno P.; Saraiva, Pedro M.; Rustem, Berç; Pistikopoulos, Efstratios N.
14
2009
Pricing early exercise contracts in incomplete markets. Zbl 1115.93359
Oberman, A.; Zariphopoulou, T.
14
2004
Developments in differential game theory and numerical methods: Economic and management applications. Zbl 1134.91334
Jørgensen, Steffen; Zaccour, Georges
14
2007
Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios. Zbl 1296.91257
Takeda, Akiko; Niranjan, Mahesan; Gotoh, Jun-Ya; Kawahara, Yoshinobu
14
2013
Integer programming approaches in mean-risk models. Zbl 1128.91027
Konno, Hiroshi; Yamamoto, Rei
13
2005
Linear vs. quadratic portfolio selection models with hard real-world constraints. Zbl 1355.91076
Cesarone, Francesco; Scozzari, Andrea; Tardella, Fabio
13
2015
Formulation and analysis of horizontal mergers among oligopolistic firms with insights into the merger paradox: A supply chain network perspective. Zbl 1197.91125
Nagurney, Anna
12
2010
An algorithm for the job shop scheduling problem based on global equilibrium search techniques. Zbl 1136.90017
Pardalos, Panos M.; Shylo, Oleg V.
12
2006
An improved gradient projection-based decomposition technique for support vector machines. Zbl 1163.90693
Zanni, Luca
12
2006
Multi-horizon stochastic programming. Zbl 1298.90008
Kaut, Michal; Midthun, Kjetil T.; Werner, Adrian S.; Tomasgard, Asgeir; Hellemo, Lars; Fodstad, Marte
12
2014
Erratum: Quasi-variational inequalities, generalized Nash equilibria, and multi-leader-follower games. Zbl 1168.90618
Pang, Jong-Shi; Fukushima, Masao
11
2009
Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA. Zbl 1188.90185
Le Thi Hoai An; Moeini, Mahdi; Pham Dinh Tao
11
2009
Estimation of failure probability using semi-definite logit model. Zbl 1114.62353
Konno, Hiroshi; Kawadai, Naoya; Wu, Dai
11
2004
Towards a practical parallelisation of the simplex method. Zbl 1185.90149
Hall, J. A. J.
11
2010
On distributionally robust multiperiod stochastic optimization. Zbl 1328.90089
Analui, Bita; Pflug, Georg Ch.
11
2014
Risk aversion for an electricity retailer with second-order stochastic dominance constraints. Zbl 1171.90481
Carrión, Miguel; Gotzes, Uwe; Schultz, Rüdiger
10
2009
A fixed-center spherical separation algorithm with kernel transformations for classification problems. Zbl 1170.90530
Astorino, A.; Gaudioso, M.
10
2009
Single source single-commodity stochastic network design. Zbl 1273.90036
Thapalia, Biju K.; Wallace, Stein W.; Kaut, Michal; Crainic, Teodor Gabriel
10
2012
Distributionally robust SDDP. Zbl 1483.90098
Philpott, A. B.; de Matos, V. L.; Kapelevich, L.
9
2018
A progressive hedging based branch-and-bound algorithm for mixed-integer stochastic programs. Zbl 1483.90091
Atakan, Semih; Sen, Suvrajeet
9
2018
Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models. Zbl 07024664
Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino
9
2019
Financial networks with intermediation and transportation network equilibria: A supernetwork equivalence and reinterpretation of the equilibrium conditions with computations. Zbl 1142.91541
Liu, Zugang; Nagurney, Anna
9
2007
Simple measure of similarity for the market graph construction. Zbl 1282.91382
Bautin, Grigory A.; Kalyagin, Valery A.; Koldanov, Alexander P.; Koldanov, Petr A.; Pardalos, Panos M.
9
2013
Stochastic optimization models for a single-sink transportation problem. Zbl 1170.90325
Maggioni, Francesca; Kaut, Michal; Bertazzi, Luca
8
2009
Airline network revenue management by multistage stochastic programming. Zbl 1178.90259
Möller, Andris; Römisch, Werner; Weber, Klaus
8
2008
Algorithms for the quickest path problem and the reliable quickest path problem. Zbl 1273.90169
Calvete, Herminia I.; Del-Pozo, Lourdes; Iranzo, José A.
8
2012
Flow equivalence and stochastic equivalence in G-networks. Zbl 1115.90319
Fourneau, Jean-Michel; Gelenbe, Erol
7
2004
New solution approaches for the maximum-reliability stochastic network interdiction problem. Zbl 1483.90041
Towle, Eli; Luedtke, James
7
2018
Dynamic modeling of mean-reverting spreads for statistical arbitrage. Zbl 1214.91142
Triantafyllopoulos, K.; Montana, G.
7
2011
Robust capacity assignment in telecommunications. Zbl 1136.90011
Ouorou, Adam
7
2006
Optimal stopping problems by two or more decision makers: a survey. Zbl 1134.91337
Ben Abdelaziz, Fouad; Krichen, Saoussen
7
2007
On solving the multi-period single-sourcing problem under uncertainty. Zbl 1203.90116
Alonso-Ayuso, A.; Escudero, L. F.; Pizarro, C.; Romeijn, H. E.; Romero Morales, D.
7
2006
Optimal impulse control on an unbounded domain with nonlinear cost functions. Zbl 1145.49021
Baccarin, Stefano; Sanfelici, Simona
7
2006
Support vector machine as an efficient framework for stock market volatility forecasting. Zbl 1142.91718
Gavrishchaka, Valeriy V.; Banerjee, Supriya
7
2006
Efficient strategies for deriving the subset VAR models. Zbl 1089.62106
Gatu, Cristian; Kontoghiorghes, Erricos John
6
2005
A stochastic programming approach for multi-period portfolio optimization. Zbl 1171.90482
Geyer, Alois; Hanke, Michael; Weissensteiner, Alex
6
2009
A scenario-based framework for supply planning under uncertainty: stochastic programming versus robust optimization approaches. Zbl 1397.90217
Maggioni, Francesca; Potra, Florian A.; Bertocchi, Marida
6
2017
Robust optimization of uncertain multistage inventory systems with inexact data in decision rules. Zbl 1397.90047
de Ruiter, Frans J. C. T.; Ben-Tal, Aharon; Brekelmans, Ruud C. M.; den Hertog, Dick
6
2017
Direct solution to constrained tropical optimization problems with application to project scheduling. Zbl 1397.90312
Krivulin, Nikolai
6
2017
Robust international portfolio management. Zbl 1273.91421
Fonseca, Raquel J.; Wiesemann, Wolfram; Rustem, Berç
6
2012
Combined discrete-event simulation and ant colony optimisation approach for selecting optimal screening policies for diabetic retinopathy. Zbl 1106.92029
Brailsford, Sally C.; Gutjahr, Walter J.; Rauner, Marion S.; Zeppelzauer, Wolfgang
6
2007
Quadratic interior-point methods in statistical disclosure control. Zbl 1147.90377
Castro, Jordi
6
2005
A mixed-integer mathematical modeling approach to exam timetabling. Zbl 1178.90141
Al-Yakoob, Salem M.; Sherali, Hanif D.; Al-Jazzaf, Mona
6
2010
Computational study of the US stock market evolution: a rank correlation-based network model. Zbl 1282.91388
Shirokikh, Oleg; Pastukhov, Grigory; Boginski, Vladimir; Butenko, Sergiy
6
2013
The weight-decay technique in learning from data: an optimization point of view. Zbl 1280.62074
Gnecco, Giorgio; Sanguineti, Marcello
5
2009
On multistage stochastic integer programming for incorporating logical constraints in asset and liability management under uncertainty. Zbl 1170.90452
Escudero, Laureano F.; Garín, Araceli; Merino, María; Pérez, Gloria
5
2009
DC programming and DCA for globally solving the value-at-risk. Zbl 1177.90286
Pham Dinh Tao; Nguyen Canh Nam; Le Thi Hoai An
5
2009
A copula-based heuristic for scenario generation. Zbl 1327.90154
Kaut, Michal
5
2014
Multi-period forecasting and scenario generation with limited data. Zbl 1319.90047
Rios, Ignacio; Wets, Roger J-B; Woodruff, David L.
5
2015
Asset allocation strategies based on penalized quantile regression. Zbl 1402.62247
Bonaccolto, Giovanni; Caporin, Massimiliano; Paterlini, Sandra
5
2018
An adaptive model with joint chance constraints for a hybrid wind-conventional generator system. Zbl 1483.90060
Singh, Bismark; Morton, David P.; Santoso, Surya
5
2018
Un-diversifying during crises: is it a good idea? Zbl 07097399
Giuzio, Margherita; Paterlini, Sandra
5
2019
Robust portfolio optimization with a hybrid heuristic algorithm. Zbl 1273.91420
Fastrich, Björn; Winker, Peter
5
2012
An approximate dynamic programming framework for modeling global climate policy under decision-dependent uncertainty. Zbl 1273.90194
Webster, Mort; Santen, Nidhi; Parpas, Panos
5
2012
An optimization model for stochastic project networks with cash flows. Zbl 1136.90009
Benati, Stefano
5
2006
Automatic formulation of stochastic programs via an algebraic modeling language. Zbl 1140.90035
Thénié, J.; Van Delft, Ch.; Vial, J.-Ph.
5
2007
A maximal predictability portfolio using absolute deviation reformulation. Zbl 1187.91202
Konno, Hiroshi; Morita, Yuuhei; Yamamoto, Rei
5
2010
Network analysis of the e-MID overnight money market: the informational value of different aggregation levels for intrinsic dynamic processes. Zbl 1282.91397
Finger, Karl; Fricke, Daniel; Lux, Thomas
5
2013
A new path-based cutting plane approach for the discrete time-cost tradeoff problem. Zbl 1194.90039
Hadjiconstantinou, Eleni; Klerides, Evelina
4
2010
ETSAP-TIAM: The TIMES integrated assessment model. I: Model structure. Zbl 1175.90179
Loulou, Richard; Labriet, Maryse
4
2008
A multicriteria approach for rating the credit risk of financial institutions. Zbl 1169.91381
Baourakis, G.; Conisescu, M.; Van Dijk, G.; Pardalos, P. M.; Zopounidis, C.
4
2009
Sensible decisions based on QoS. Zbl 1113.90304
Gelenbe, Erol
4
2004
International financial networks with intermediation: modeling, analysis, and computations. Zbl 1113.90339
Nagurney, Anna; Cruz, Jose
4
2004
American option pricing under stochastic volatility: an efficient numerical approach. Zbl 1186.91203
Aitsahlia, Farid; Goswami, Manisha; Guha, Suchandan
4
2010
American option pricing under stochastic volatility: an empirical evaluation. Zbl 1186.91204
Aitsahlia, Farid; Goswami, Manisha; Guha, Suchandan
4
2010
A Cournot-Nash-Bertrand game theory model of a service-oriented Internet with price and quality competition among network transport providers. Zbl 1342.91020
Nagurney, Anna; Wolf, Tilman
4
2014
Edge detection by spherical separation. Zbl 1331.68262
Astorino, A.; Gaudioso, M.; Khalaf, W.
4
2014
The maximum ratio clique problem. Zbl 1327.90246
Sethuraman, Samyukta; Butenko, Sergiy
4
2015
A scalable solution framework for stochastic transmission and generation planning problems. Zbl 1397.90244
Munoz, Francisco D.; Watson, Jean-Paul
4
2015
Solution sensitivity-based scenario reduction for stochastic unit commitment. Zbl 1397.90172
Feng, Yonghan; Ryan, Sarah M.
4
2016
Log-robust portfolio management with parameter ambiguity. Zbl 1397.90214
Kawas, Ban; Thiele, Aurelie
4
2017
Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments. Zbl 07432763
Bandarra, Michelle; Guigues, Vincent
2
2021
On the application of Wishart process to the pricing of equity derivatives: the multi-asset case. Zbl 07432764
La Bua, Gaetano; Marazzina, Daniele
1
2021
Evaluation of scenario reduction algorithms with nested distance. Zbl 07304210
Horejšová, Markéta; Vitali, Sebastiano; Kopa, Miloš; Moriggia, Vittorio
3
2020
The skew normal multivariate risk measurement framework. Zbl 07205160
Bernardi, Mauro; Cerqueti, Roy; Palestini, Arsen
1
2020
Distributionally robust optimization with multiple time scales: valuation of a thermal power plant. Zbl 07304214
van Ackooij, Wim; Escobar, Debora Daniela; Glanzer, Martin; Pflug, Georg Ch.
1
2020
An exact and a heuristic approach for the transportation-\(p\)-facility location problem. Zbl 07304216
Das, Soumen Kumar; Roy, Sankar Kumar; Weber, Gerhard Wilhelm
1
2020
Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models. Zbl 07024664
Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino
9
2019
Un-diversifying during crises: is it a good idea? Zbl 07097399
Giuzio, Margherita; Paterlini, Sandra
5
2019
The decision rule approach to optimization under uncertainty: methodology and applications. Zbl 07137444
Georghiou, Angelos; Kuhn, Daniel; Wiesemann, Wolfram
4
2019
Sparse precision matrices for minimum variance portfolios. Zbl 07097398
Torri, Gabriele; Giacometti, Rosella; Paterlini, Sandra
2
2019
Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria. Zbl 07137448
Hochrainer-Stigler, Stefan; Balkovič, Juraj; Silm, Kadri; Timonina-Farkas, Anna
2
2019
The value of the right distribution in stochastic programming with application to a Newsvendor problem. Zbl 07137452
Maggioni, Francesca; Cagnolari, Matteo; Bertazzi, Luca
2
2019
Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization. Zbl 07024659
Hitaj, Asmerilda; Mercuri, Lorenzo; Rroji, Edit
2
2019
On the construction of hourly price forward curves for electricity prices. Zbl 07024669
Kiesel, Rüdiger; Paraschiv, Florentina; Sætherø, Audun
2
2019
Volatility versus downside risk: performance protection in dynamic portfolio strategies. Zbl 07097400
Barro, Diana; Canestrelli, Elio; Consigli, Giorgio
1
2019
The wait-and-judge scenario approach applied to antenna array design. Zbl 07097401
Carè, Algo; Garatti, Simone; Campi, Marco C.
1
2019
Multistage portfolio optimization with multivariate dominance constraints. Zbl 07024657
Petrová, Barbora
1
2019
Optimal strategies with option compensation under mean reverting returns or volatilities. Zbl 07024658
Herzel, Stefano; Nicolosi, Marco
1
2019
Timing portfolio strategies with exponential Lévy processes. Zbl 07024660
Ortobelli Lozza, Sergio; Angelelli, Enrico; Ndoci, Alda
1
2019
Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study. Zbl 07024661
Consigli, Giorgio; Hitaj, Asmerilda; Mastrogiacomo, Elisa
1
2019
Identifying systemically important financial institutions: a network approach. Zbl 07024662
Rovira Kaltwasser, Pablo; Spelta, Alessandro
1
2019
Tempered stable process, first passage time, and path-dependent option pricing. Zbl 07024663
Kim, Young Shin
1
2019
European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions. Zbl 07024665
Nardon, Martina; Pianca, Paolo
1
2019
Calibration of one-factor and two-factor hull-white models using swaptions. Zbl 07024666
Russo, Vincenzo; Torri, Gabriele
1
2019
Simulation and evaluation of the distribution of interest rate risk. Zbl 07024667
Hagenbjörk, Johan; Blomvall, Jörgen
1
2019
Decision-dependent probabilities in stochastic programs with recourse. Zbl 1483.90095
Hellemo, Lars; Barton, Paul I.; Tomasgard, Asgeir
15
2018
Distributionally robust SDDP. Zbl 1483.90098
Philpott, A. B.; de Matos, V. L.; Kapelevich, L.
9
2018
A progressive hedging based branch-and-bound algorithm for mixed-integer stochastic programs. Zbl 1483.90091
Atakan, Semih; Sen, Suvrajeet
9
2018
New solution approaches for the maximum-reliability stochastic network interdiction problem. Zbl 1483.90041
Towle, Eli; Luedtke, James
7
2018
Asset allocation strategies based on penalized quantile regression. Zbl 1402.62247
Bonaccolto, Giovanni; Caporin, Massimiliano; Paterlini, Sandra
5
2018
An adaptive model with joint chance constraints for a hybrid wind-conventional generator system. Zbl 1483.90060
Singh, Bismark; Morton, David P.; Santoso, Surya
5
2018
On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management. Zbl 1483.90094
Escudero, Laureano F.; Monge, Juan F.
4
2018
Stochastic dynamic programming approach to managing power system uncertainty with distributed storage. Zbl 1397.90227
Zéphyr, Luckny; Lindsay Anderson, C.
3
2018
Determination and estimation of risk aversion coefficients. Zbl 1417.91441
Bodnar, Taras; Okhrin, Yarema; Vitlinskyy, Valdemar; Zabolotskyy, Taras
3
2018
A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming. Zbl 1397.90272
Xu, Guanglin; Burer, Samuel
2
2018
Distributionally robust simple integer recourse. Zbl 1483.90102
Xie, Weijun; Ahmed, Shabbir
2
2018
A successive linear programming algorithm with non-linear time series for the reservoir management problem. Zbl 1397.90208
Gauvin, Charles; Delage, Erick; Gendreau, Michel
1
2018
Higher-order total variation bounds for expectations of periodic functions and simple integer recourse approximations. Zbl 1483.90101
van der Laan, Niels; Romeijnders, Ward; van der Vlerk, Maarten H.
1
2018
Stochastic programs with binary distributions: structural properties of scenario trees and algorithms. Zbl 1483.90099
Prochazka, Vit; Wallace, Stein W.
1
2018
Strong convexity in risk-averse stochastic programs with complete recourse. Zbl 1483.90093
Claus, Matthias; Schultz, Rüdiger; Spürkel, Kai
1
2018
A fractional stochastic integer programming problem for reliability-to-stability ratio in forest harvesting. Zbl 1483.90184
Lejeune, Miguel A.; Kettunen, Janne
1
2018
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming. Zbl 1483.91183
Consigli, Giorgio; Moriggia, Vittorio; Vitali, Sebastiano; Mercuri, Lorenzo
1
2018
Computation of the Delta of European options under stochastic volatility models. Zbl 1417.91518
Yolcu-Okur, Yeliz; Sayer, Tilman; Yilmaz, Bilgi; Inkaya, B. Alper
1
2018
Putting a price tag on temperature. Zbl 1417.91517
Xiong, Heng; Mamon, Rogemar
1
2018
A joint model of probabilistic/robust constraints for gas transport management in stationary networks. Zbl 1397.90092
González Grandón, T.; Heitsch, H.; Henrion, R.
15
2017
A scenario-based framework for supply planning under uncertainty: stochastic programming versus robust optimization approaches. Zbl 1397.90217
Maggioni, Francesca; Potra, Florian A.; Bertocchi, Marida
6
2017
Robust optimization of uncertain multistage inventory systems with inexact data in decision rules. Zbl 1397.90047
de Ruiter, Frans J. C. T.; Ben-Tal, Aharon; Brekelmans, Ruud C. M.; den Hertog, Dick
6
2017
Direct solution to constrained tropical optimization problems with application to project scheduling. Zbl 1397.90312
Krivulin, Nikolai
6
2017
Log-robust portfolio management with parameter ambiguity. Zbl 1397.90214
Kawas, Ban; Thiele, Aurelie
4
2017
Chebyshev reduced basis function applied to option valuation. Zbl 1416.91400
de Frutos, Javier; Gatón, Víctor
3
2017
Quality evaluation of scenario-tree generation methods for solving stochastic programming problems. Zbl 1397.90215
Keutchayan, Julien; Gendreau, Michel; Saucier, Antoine
2
2017
Regularized decomposition of large scale block-structured robust optimization problems. Zbl 1397.90303
van Ackooij, Wim; Lebbe, Nicolas; Malick, Jérôme
2
2017
Using tropical optimization to solve constrained minimax single-facility location problems with rectilinear distance. Zbl 1397.90240
Krivulin, Nikolai
2
2017
Centered solutions for uncertain linear equations. Zbl 1407.90247
Zhen, Jianzhe; den Hertog, Dick
2
2017
Volatility forecasting via SVR-GARCH with mixture of Gaussian kernels. Zbl 1416.91411
Bezerra, Pedro Correia S.; Albuquerque, Pedro Henrique M.
1
2017
Numerical solutions to dynamic portfolio problems with upper bounds. Zbl 1416.91399
Broadie, Mark; Shen, Weiwei
1
2017
A discrete optimality system for an optimal harvesting problem. Zbl 1406.91296
Öz Bakan, Hacer; Yılmaz, Fikriye; Weber, Gerhard-Wilhelm
1
2017
On the impact of conditional expectation estimators in portfolio theory. Zbl 1416.91357
Ortobelli, Sergio; Kouaissah, Noureddine; Tichý, Tomáš
1
2017
Implied volatility and state price density estimation: arbitrage analysis. Zbl 1416.91378
Kopa, Miloš; Vitali, Sebastiano; Tichý, Tomáš; Hendrych, Radek
1
2017
Likelihood robust optimization for data-driven problems. Zbl 1397.90225
Wang, Zizhuo; Glynn, Peter W.; Ye, Yinyu
33
2016
Monotonic bounds in multistage mixed-integer stochastic programming. Zbl 1397.90287
Maggioni, Francesca; Allevi, Elisabetta; Bertocchi, Marida
16
2016
Decomposition for adjustable robust linear optimization subject to uncertainty polytope. Zbl 1397.90297
Ayoub, Josette; Poss, Michael
16
2016
Solution sensitivity-based scenario reduction for stochastic unit commitment. Zbl 1397.90172
Feng, Yonghan; Ryan, Sarah M.
4
2016
An improved Lagrangian relaxation and dual ascent approach to facility location problems. Zbl 1397.90239
Jörnsten, Kurt; Klose, Andreas
3
2016
On the average performance of the adjustable RO and its use as an offline tool for multi-period production planning under uncertainty. Zbl 1397.90314
Melamed, Michal; Ben-Tal, Aharon; Golany, Boaz
3
2016
A leader-followers model of power transmission capacity expansion in a market driven environment. Zbl 1397.90079
Pisciella, Paolo; Bertocchi, Marida; Vespucci, Maria Teresa
2
2016
A dynamic programming model of energy storage and transformer deployments to relieve distribution constraints. Zbl 1397.90046
Xi, Xiaomin; Sioshansi, Ramteen
2
2016
Economics of collective monitoring: a study of environmentally constrained electricity generators. Zbl 1397.91303
Contreras, J.; Krawczyk, J. B.; Zuccollo, J.
2
2016
Polyhedral approximation of ellipsoidal uncertainty sets via extended formulations: a computational case study. Zbl 1427.90272
Bärmann, Andreas; Heidt, Andreas; Martin, Alexander; Pokutta, Sebastian; Thurner, Christoph
2
2016
The natural hedge of a gas-fired power plant. Zbl 1397.90210
Guo, Xiaojia; Beskos, Alexandros; Siddiqui, Afzal
1
2016
Penalized sample average approximation methods for stochastic programs in economic and secure dispatch of a power system. Zbl 1397.90246
Tong, X. J.; Xu, H.; Wu, F. F.; Zhao, Z.
1
2016
On the customer lifetime value: a mathematical perspective. Zbl 1397.90207
Ferrentino, R.; Cuomo, M. T.; Boniello, C.
1
2016
Advance selling to strategic consumers. Zbl 1397.90221
Şeref, Michelle M. H.; Şeref, Onur; Alptekinoğlu, Aydın; Erengüç, S. Selçuk
1
2016
Constructing optimal sparse portfolios using regularization methods. Zbl 1355.91077
Fastrich, B.; Paterlini, S.; Winker, P.
23
2015
Probabilistic constraints via SQP solver: application to a renewable energy management problem. Zbl 1317.90216
Bremer, I.; Henrion, R.; Möller, A.
16
2015
Linear vs. quadratic portfolio selection models with hard real-world constraints. Zbl 1355.91076
Cesarone, Francesco; Scozzari, Andrea; Tardella, Fabio
13
2015
Multi-period forecasting and scenario generation with limited data. Zbl 1319.90047
Rios, Ignacio; Wets, Roger J-B; Woodruff, David L.
5
2015
The maximum ratio clique problem. Zbl 1327.90246
Sethuraman, Samyukta; Butenko, Sergiy
4
2015
A scalable solution framework for stochastic transmission and generation planning problems. Zbl 1397.90244
Munoz, Francisco D.; Watson, Jean-Paul
4
2015
Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs. Zbl 1356.91084
Takano, Yuichi; Nanjo, Keisuke; Sukegawa, Noriyoshi; Mizuno, Shinji
3
2015
Multi-stage stochastic optimization: the distance between stochastic scenario processes. Zbl 1362.90306
Timonina, Anna V.
3
2015
Controlled approximation of the value function in stochastic dynamic programming for multi-reservoir systems. Zbl 1397.90248
Zéphyr, Luckny; Lang, Pascal; Lamond, Bernard F.
3
2015
A heuristic algorithm to solve the single-facility location routing problem on Riemannian surfaces. Zbl 1317.90170
Tokgöz, Emre; Alwazzi, Samir; Trafalis, Theodore B.
2
2015
Game Theory Explorer: software for the applied game theorist. Zbl 1349.91002
Savani, Rahul; von Stengel, Bernhard
2
2015
An integrated approach based on DEA and AHP. Zbl 1321.90070
Pakkar, Mohammad Sadegh
2
2015
A column generation mathematical programming approach for a class-faculty assignment problem with preferences. Zbl 1320.90021
Al-Yakoob, Salem M.; Sherali, Hanif D.
1
2015
Optimal annuity portfolio under inflation risk. Zbl 1356.91081
Konicz, Agnieszka Karolina; Pisinger, David; Weissensteiner, Alex
1
2015
A comparison of Bayesian, hazard, and mixed logit model of bankruptcy prediction. Zbl 1317.62083
Trabelsi, Samir; He, Roc; He, Lawrence; Kusy, Martin
1
2015
The evolution of cooperation with different fitness functions using probabilistic cellular automata. Zbl 1349.91045
Schimit, P. H. T.; Santos, B. O.; Soares, C. A.
1
2015
Multi-horizon stochastic programming. Zbl 1298.90008
Kaut, Michal; Midthun, Kjetil T.; Werner, Adrian S.; Tomasgard, Asgeir; Hellemo, Lars; Fodstad, Marte
12
2014
On distributionally robust multiperiod stochastic optimization. Zbl 1328.90089
Analui, Bita; Pflug, Georg Ch.
11
2014
A copula-based heuristic for scenario generation. Zbl 1327.90154
Kaut, Michal
5
2014
A Cournot-Nash-Bertrand game theory model of a service-oriented Internet with price and quality competition among network transport providers. Zbl 1342.91020
Nagurney, Anna; Wolf, Tilman
4
2014
Edge detection by spherical separation. Zbl 1331.68262
Astorino, A.; Gaudioso, M.; Khalaf, W.
4
2014
Interaction between financial risk measures and machine learning methods. Zbl 1342.91017
Gotoh, Jun-ya; Takeda, Akiko; Yamamoto, Rei
3
2014
Analysis of relationship between forward and spot markets in oligopolies under demand and cost uncertainties. Zbl 1356.91075
Gülpınar, N.; Oliveira, F. S.
2
2014
Capacity expansion and forward contracting in a duopolistic power sector. Zbl 1298.90047
Chin, Dorea; Siddiqui, Afzal
2
2014
Computational framework for longevity risk management. Zbl 1296.91151
D’Amato, Valeria; Haberman, Steven; Piscopo, Gabriella; Russolillo, Maria
2
2014
Numerical study of learning algorithms on Stiefel manifold. Zbl 1331.68184
Kanamori, Takafumi; Takeda, Akiko
1
2014
Design optimization of an internal combustion engine powered CHP system for residential scale application. Zbl 1329.93103
Diangelakis, Nikolaos A.; Panos, Christos; Pistikopoulos, Efstratios N.
1
2014
...and 143 more Documents
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Cited by 2,405 Authors

24 Drezner, Zvi
23 Escudero, Laureano Fernando
21 Nagurney, Anna
20 Kanzow, Christian
19 Van Ackooij, Wim
15 Maggioni, Francesca
13 Drezner, Tammy
13 Sagratella, Simone
12 Aussel, Didier
10 Dreves, Axel
10 Fukushima, Masao
10 Pang, Jong-Shi
10 Pflug, Georg Ch.
10 Wallace, Stein W.
9 Fábián, Csaba I.
9 Facchinei, Francisco
9 Pardalos, Panos M.
9 Watson, Jean-Paul
8 Allevi, Elisabetta
8 Araceli Garín, María
8 Branda, Martin
8 Castro, Jordi
8 Crainic, Teodor Gabriel
8 Heitsch, Holger
8 Kalyagin, Valery A.
8 Le Thi, Hoai An
8 Paterlini, Sandra
8 Pelegrín, Blas
8 Steck, Daniel A.
7 Astorino, Annabella
7 Gaudioso, Manlio
7 Gotoh, Jun-ya
7 Koldanov, Alexander P.
7 Koldanov, Petr A.
7 Konno, Hiroshi
7 Pichler, Alois
7 Poss, Michael
7 Rustem, Berc
7 Scrimali, Laura Rosa Maria
7 Weintraub, Andrés P.
7 Xu, Huifu
6 Ahmed, Shabbir
6 Alonso-Ayuso, Antonio
6 Grossmann, Ignacio E.
6 Henrion, René
6 Homem-de-Mello, Tito
6 Kaut, Michal
6 Krejić, Nataša
6 Kuhn, Daniel
6 Mehrotra, Sanjay
6 Monge, Juan Francisco
6 Morton, David P.
6 Pérez-Aros, Pedro
6 Schultz, Rüdiger
6 Sen, Suvrajeet
5 Carrizosa, Emilio
5 Cesarone, Francesco
5 Chen, Zhiping
5 Cojocaru, Monica-Gabriela
5 Daniele, Patrizia
5 Desaulniers, Guy
5 Fuduli, Antonio
5 Gendreau, Michel
5 Grothey, Andreas
5 Krawczyk, Jacek Bogdan
5 Krivulin, Nikolai K.
5 Laporte, Gilbert
5 Lejeune, Miguel A.
5 Leung, Tim
5 Li, Dong
5 Lisser, Abdel
5 Lubin, Miles
5 Mitra, Gautam
5 Moeini, Mahdi
5 Morgan, Jacqueline
5 Passacantando, Mauro
5 Pérez, Gloria
5 Pham Dinh Tao
5 Pistikopoulos, Efstratios N.
5 Plastria, Frank
5 Rautenberg, Carlos N.
5 Rei, Walter
5 Roman, Diana
5 Royset, Johannes O.
5 Ryan, Sarah M.
5 Sabino, Piergiacomo
5 Shanbhag, Uday V.
5 Takeda, Akiko
5 Unzueta, Aitziber
5 Wets, Roger Jean-Baptiste
5 Wiesemann, Wolfram
5 Woodruff, David L.
5 Zaccour, Georges
4 Anitescu, Mihai
4 Baldacci, Roberto
4 Bertocchi, Marida
4 Blanquero, Rafael
4 Boginski, Vladimir L.
4 Cotrina, John
4 Cruz, José M. T. S.
...and 2,305 more Authors
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Cited in 198 Journals

178 European Journal of Operational Research
87 Computational Management Science
77 Annals of Operations Research
76 Computers & Operations Research
64 Mathematical Programming. Series A. Series B
61 Journal of Global Optimization
61 Computational Optimization and Applications
40 INFORMS Journal on Computing
36 Journal of Optimization Theory and Applications
28 SIAM Journal on Optimization
27 Optimization Letters
26 Quantitative Finance
19 Operations Research
19 Optimization
18 Operations Research Letters
18 Optimization and Engineering
15 Mathematical Methods of Operations Research
14 Networks and Spatial Economics
14 Journal of Industrial and Management Optimization
13 Top
13 Optimization Methods & Software
12 Journal of Computational and Applied Mathematics
12 Mathematical Problems in Engineering
11 Applied Mathematics and Computation
11 Automatica
11 OR Spectrum
10 CEJOR. Central European Journal of Operations Research
10 Set-Valued and Variational Analysis
10 Mathematical Programming Computation
8 Journal of Economic Dynamics & Control
8 International Transactions in Operational Research
8 Probability in the Engineering and Informational Sciences
7 Computational Statistics and Data Analysis
7 International Journal of Theoretical and Applied Finance
7 Decisions in Economics and Finance
6 Physica A
6 Applied Mathematics and Optimization
6 Mathematics of Operations Research
6 Networks
6 Applied Mathematical Modelling
6 4OR
5 Information Sciences
5 Soft Computing
5 Journal of Systems Science and Complexity
5 Dynamic Games and Applications
4 Journal of Mathematical Analysis and Applications
4 Kybernetika
4 SIAM Journal on Control and Optimization
4 Asia-Pacific Journal of Operational Research
4 International Journal of Computer Mathematics
4 Computational and Applied Mathematics
4 RAIRO. Operations Research
4 International Game Theory Review
4 SIAM Journal on Financial Mathematics
4 EURO Journal on Computational Optimization
3 Applicable Analysis
3 Naval Research Logistics
3 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
3 Numerical Functional Analysis and Optimization
3 Opsearch
3 Systems & Control Letters
3 Insurance Mathematics & Economics
3 Mathematical and Computer Modelling
3 Cybernetics and Systems Analysis
3 Annals of Mathematics and Artificial Intelligence
3 Journal of Combinatorial Optimization
3 Discrete Optimization
3 Numerical Algebra, Control and Optimization
3 Journal of the Operations Research Society of China
3 International Journal of Systems Science. Principles and Applications of Systems and Integration
2 Artificial Intelligence
2 Computers & Mathematics with Applications
2 Computer Methods in Applied Mechanics and Engineering
2 Discrete Applied Mathematics
2 Mathematics of Computation
2 Chaos, Solitons and Fractals
2 Fuzzy Sets and Systems
2 Journal of Econometrics
2 Journal of Multivariate Analysis
2 European Journal of Applied Mathematics
2 Economics Letters
2 Numerical Algorithms
2 Automation and Remote Control
2 Communications in Statistics. Theory and Methods
2 Journal of Statistical Computation and Simulation
2 Vestnik St. Petersburg University. Mathematics
2 Filomat
2 Journal of Convex Analysis
2 Applied Mathematical Finance
2 Abstract and Applied Analysis
2 Journal of Inequalities and Applications
2 Journal of Applied Statistics
2 Methodology and Computing in Applied Probability
2 Journal of Machine Learning Research (JMLR)
2 Mathematics and Financial Economics
2 Networks and Heterogeneous Media
2 Operational Research. An International Journal
2 Statistics and Computing
2 Izvestiya Irkutskogo Gosudarstvennogo Universiteta. Seriya Matematika
2 Journal of Dynamics and Games
...and 98 more Journals
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Cited in 35 Fields

1,029 Operations research, mathematical programming (90-XX)
525 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
133 Numerical analysis (65-XX)
112 Calculus of variations and optimal control; optimization (49-XX)
108 Statistics (62-XX)
69 Probability theory and stochastic processes (60-XX)
67 Computer science (68-XX)
45 Systems theory; control (93-XX)
19 Partial differential equations (35-XX)
18 Biology and other natural sciences (92-XX)
15 Operator theory (47-XX)
13 Combinatorics (05-XX)
6 History and biography (01-XX)
5 Functional analysis (46-XX)
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5 Statistical mechanics, structure of matter (82-XX)
4 Dynamical systems and ergodic theory (37-XX)
4 Mechanics of deformable solids (74-XX)
4 Geophysics (86-XX)
3 General and overarching topics; collections (00-XX)
3 Ordinary differential equations (34-XX)
3 Convex and discrete geometry (52-XX)
3 Information and communication theory, circuits (94-XX)
2 Linear and multilinear algebra; matrix theory (15-XX)
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1 Number theory (11-XX)
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1 Approximations and expansions (41-XX)
1 Harmonic analysis on Euclidean spaces (42-XX)

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