Lévy processes provide a solution to overcome the shortcomings of the lognormal hypothesis. A growing literature proposes the use of pure-jump Lévy processe...

This paper presents a new methodology to estimate power capacity profiles for smart buildings. The capacity profile can be used within a demand side manage...

When dealing with node or link failures in Software Defined Networking (SDN), the network capability to establish an alternative path depends on controller r...

In this paper, we propose an integer programming model for obtaining lower bounds for the curriculum-based course timetabling problem, in which weekly assign...

For positive definite linear systems (or semidefinite consistent systems), we use Gauss-Radau quadrature to obtain a cheaply computable upper bound on the ...

This paper describes a vector space decomposition algorithmic framework for linear programming guided by dual feasibility considerations. The resolution pro...

We consider a dynamic game with a corrupt government and multiple civil society organizations as the players. We characterize feedback Stackelberg equilibr...

We propose the option realized variance as a new observable covariate that integrates high frequency option prices in the inference of option pricing models....

Synchronization of workers and vehicles plays a major role in many industries such as logistics, healthcare or airport ground handling. In this paper, we fo...

This paper studies the impact of service level constraints in the context of the capacitated and uncapacitated lot sizing problems with deterministic demand ...

We study and compare various methods to generate a random variate from the normal distribution truncated to some finite or semi-infinite interval, with spec...

We review the Array-RQMC method, its variants, sorting strategies, and convergence results. We are interested in the convergence rate of measures of discrepa...

We consider a stochastic staffing problem with uncertain arrival rates. The objective is to minimize the total cost of agents under some chance constraints, ...

We are interested in predicting the wait time of customers upon their arrival in some service system such as a call center or emergency service. We propose t...

We consider a staffing problem with probabilistic constraints in an emergency call center. The aim is to minimize the total cost of agents while satisfying...

Trends in wireless networks are proceeding toward increasingly dense deployments, supporting resilient interconnection for applications that carry ever highe...

Security prices are important inputs for estimating credit risk models. Yet, to obtain an accurate firm-specific credit risk assessment, one needs a reliable...

Blackbox optimization problems are often contaminated with numerical noise, and direct search methods such as the Mesh Adaptive Direct Search (MADS) algorit...

The authors investigate the complexity needed in the structure of the scenario trees to maximize energy production in a rolling-horizon framework. Three comp...

We present a new derivative-free trust-region (DFTR) algorithm to solve general nonlinear constrained problems with the use of an augmented Lagrangian m...