The CRM, IVADO, and GERAD organized jointly the Fifteenth Montreal Industrial Problem Solving Workshop, which was held at HEC Montréal on June 2-6, 2025. We ...

We develop a maximum-likelihood (ML) approach based on option markets for estimating structural models. We use dynamic programming and finite elements, der...

Training language models (LMs) under tight GPU memory budgets rules out standard back-propagation and motivates zeroth-order (ZO) optimization. While ZO m...

This paper investigates a class of linear-quadratic-Gaussian risk-sensitive graphon mean-field games, involving an asymptotically infinite population of hete...

We propose a dynamic stochastic game model to assess the value of restrictive clauses in private loan contracts. Restrictive clauses are used by lenders to m...

The Fourteenth Montreal Industrial Problem Solving Workshop, held May 13-17, 2024, was jointly organized by the Centre de recherches mathématiques (CRM), the...

For sequences of networks embedded in the unit cube \([0, 1]^m\), (weak) measure limits of sequences of empirical measures of vertex densities (vertexon...

The solution of the graphon mean field game equation (GMFG) is characterized by an HJB equation and an FPK equation coupled via a graphon mean field. An a...

The Quadratic Knapsack Problem (QKP) is a challenging combinatorial optimization problem that has attracted significant attention due to its complexity and p...

Major projects often deviate from their expected budget, schedule, and benefits. Existing techniques to improve the forecasted outcome, such as the Refer...

The cubic knapsack problem (CKP) is a combinatorial optimization problem, which can be seen both as a generalization of the quadratic knapsack problem (QKP) ...

Over the past years, Robotic Process Automation (RPA) has emerged as a significant tool to enhance productivity across various industries by automating repet...

We consider mean field social optimization in nonlinear diffusion models. By dynamic programming with a representative agent employing cooperative optimize...

We propose an approach to construct text-based time-series indices in an optimal way -typically, indices that maximize the contemporaneous relation or the pr...

The Thirteenth Montreal IPSW took place on August 21-25, 2023, and was jointly organized by the Centre de recherches mathématiques (CRM) and the Institute ...

We reassess Boehmer et al. (2021, BJZZ)'s seminal work on the predictive power of retail order imbalance (ROI) for future stock returns. First, we replicate ...

We extend the \(\alpha\) and \(\beta\) characteristic functions (CFs) to cooperative interval games, which constitute an interesting class of games t...

We show that the two-stage minimum description length (MDL) criterion widely used to estimate linear change-point (CP) models corresponds to the marginal lik...

We study the relation between the promotion of a cryptocurrency on Twitter and its return dynamics around pump-and-dump events. By analyzing abnormal retur...

Monte Carlo (MC) is widely used for the simulation of discrete time Markov chains. We consider the case of a \(d\)-dimensional continuous state space and w...