Traditionally, the planning of operating reserve has been done in terms of capacity and linear (average) ramping requirements. On the other hand, the newly e...

We propose a quasi-analytical approach for valuing American-style options under Gaussian and double exponential jumps à la Merton (1976) and Kou (2002). Our ...

Since the financial crisis of 2007-2009, there has been a renewed interest toward quantifying more appropriately the risks involved in financial positions. P...

Portfolio credit risk models are very often constructed with correlation matrices serving as proxies for interrelations in the creditworthiness of each compa...

Cake-cutting is a metaphor for problems where a principal agent has to fairly allocate resources. Such problems cover various areas of operations research ...

Modern power systems are undergoing a transitional phase, increasingly incorporating variable generation (VG) to harness the economic and environmental benef...

Facility location decisions play a critical role in transportation planning. In fact, it has recently become essential to study how such commitment integrate...

This paper provides an investigation into an anomaly called a short squeeze, in the CBOT T-Bonds Futures Market, for the period spanning January 1985 to Se...

The optimization of open-pit mine production scheduling (OPMPS) is an intricate process due to its size and uncertainty of key input parameters. Over the las...

The buffer sizing problem in unreliable production lines is a complex combinatorial optimization problem. In the formulation of the problem, the system consi...

While there has been a surge of articles on convergence diagnostic tools for MCMC on continuous stationary distributions and ordinal state spaces, Bayesian c...

Shift scheduling when the demand for employees is stochastic is usually done in two steps. Since employees need to know their shifts before the demand is kno...

We introduce learning in a dynamic game of international pollution, with ecological uncertainty. We characterize and compare the feedback non-cooperative emi...

Simulation-and-regression algorithms have become a standard tool for solving dynamic programs in many areas, in particular financial engineering and computat...

There are few systematic methodologies capable of predicting and managing the potential of large populations of appliances working as aggregated reserve reso...

We introduce an efficient approach to evaluate counterparty risk and compute the Credit Value Adjustement for derivatives having early exercise features. The...

In this paper, we suggest a new approach called the <i>return function</i> to deal with the determination of Bayesian-Nash equilibria in games of incomplet...

The <b>VRPTW-ST</b> introduced by Errico et al. (2013) in the form of a chance-constrained model mainly differs from other vehicle routing problems with st...

We propose an efficient heuristic method based on Space Partitioning (SP) and Tabu Search (TS) to solve the buffer sizing problem in unreliable production li...

An unreliable single part type transfer line with fixed inter machine buffer sizes is considered. In general, imperfect machines operating with imperfect raw...