The aim of this paper is to investigate the pricing of the Chicago Board of Trade Treasury-Bond futures. The difficulty to price it arises from its multiple ...

The minimum weight feedback vertex set problem (FVS) on series-parallel graphs can be solved in <i>O(n)</i> time by dynamic programming. This solution, howev...

We present and compare three new compact linearizations for the quadratic 0-1 minimization problem, two of which achieving the same lower bound than the "sta...

This paper explores the design modelling issues of the Petaweb, an optical network architecture that provides fully meshed connectivity between electronic...

This paper proposes a way to combine the Mesh Adaptive Direct Search (MADS) algorithm, which extends the Generalized Pattern Search (GPS) algorithm, with th...

We consider the problem of assigning patients to nurses for home care services. The aim is to balance the workload of the nurses while avoiding long travels...

We develop a nonparametric Bayesian functional estimation method, using monotone wavelet approximation, for hazard estimation from randomly right censored d...

This paper presents two new results on the enumeration of all extreme equilibria of the sequence form of a two person extensive game. The sequential form of...

The integrated aircraft routing and crew pairing problem consists in determining a minimum-cost set of aircraft routes and crew pairings such that each flig...

We modify a model of climate and economy to address the effects of the reduction in atmospheric pollutants which occurs as a result of climate change mitiga...

Dans cet article, nous présentons une application de la modélisation mathématique et de l'optimisation comme outils d'aide à la décision pour le gestionnair...

The <i>Dial-a-Ride Problem</i> (DARP) consists of designing vehicle routes and schedules for <i>n</i> users who specify pickup and delivery requests between...

Let <i>G = (V,E)</i> be a graph with vertex set <i>V</i> and edge set <i>E</i>. The <i>k</i>-coloring problem is to assign a color (a number chosen in {1,.....

We characterize in this paper the credibility of linear-incentive equilibrium strategies for the class of linear-quadratic differential games. This class is...

In this paper, we consider testing the location parameter with multilevel (or hierarchical) data. A general family of weighted test statistics are introduced...

This paper deals with the class of continuous-time singular linear systems with random abrupt changes. The state feedback stabilization and its robustness f...

This paper deals with the problem of guaranteed cost control for uncertain neutral stochastic systems. The parameter uncertainties are assumed to be time-va...

We study two basic problems of probabilistic reasoning: the probabilistic logic and the probabilistic entailment problems. The first one can be defined as f...

In this paper, the general problem of chemical process optimization defined by a computer simulation is formulated. It is generally a nonlinear, non-convex,...

We consider four conjectures related to the largest eigenvalue of (the adjacency matrix of) a graph (i.e., to the index of the graph). Three of them have be...

From the pentagon onwards, the area of the regular convex polygon with <i>n</i> sides and unit diameter is greater for each odd number <i>n</i> than for the...

Given a set of timetabled tasks, the multi-depot vehicle scheduling problem is a wellknown problem that consists of determining least-cost schedules for veh...

A set of vertices <i>S</i> in a graph <i>G</i> is independent if no neighbor of a vertex of <i>S</i> belongs to <i>S</i>. The independence number &alpha is ...

We consider a marketing channel where a retailer sells, along the manufacturer’s brand, her own private label. We assume that each player invests in adverti...

In one-to-one <i>Pickup and Delivery Problems</i> (PDPs), the aim is to design a set of least cost vehicle routes starting and ending at a common depot in o...

The dynamic routing problem for Overlapped Segment Shared Protection in multi-domain networks has not received a lot of interest so far as it is more difficu...

We introduce <i>TestU01</i>, a software library implemented in the ANSI C language, and offering a collection of utilities for the empirical statistical te...

A popular approach for modeling dependence in a finite-dimensional random vector <b>X</b> with given univariate marginals is via a normal copula that fits t...

The value <img src="/cgi-bin/mimetex.cgi?\frac{1}{2n} \cot\left( \frac{\pi}{2n}\right)"> is shown to be an upper bound on the width of any <i>n</i>-sided p...

In this paper, the problem of stability and stabilization of Markov jumping singular systems with discontinuities and saturating inputs is addressed. The de...

Many proposals have been made recently for goodness-of-fit testing of copula models. After reviewing them briefly, the authors concentrate on omnibus proced...

We present a review of several column generation formulations for the Routing and Wavelength Assignment (RWA) problem with the objective of minimizing the b...

We use a stylized gas system to study the use of access-to-gas storage in a seasonal model. In a duopoly setting, we find that welfare is higher under vert...

The vehicle routing problem with time windows consists of delivering goods at minimum cost to a set of customers using an unlimited number of capacitated ve...

In [<i>SIAM J. Optim.</i>, 17 (2006), pp. 188–217] Audet and Dennis proposed the class of <i>mesh adaptive direct search algorithms</i> (MADS) for minimizat...

This paper addresses the structural optimization of a next generation optical, lattice based, yottabit-per-second transport network topology, called the <i>...

In this survey, a classification of twenty-seven Asymmetric Traveling Salesman Problem (ATSP) formulations is presented. The strength of their LP relaxation...

This paper argues that the literature applying differential games in economics and management science has aimed to a large extent for analytical results. On...

We consider stochastic dynamic games in large population conditions where multiclass agents are weakly coupled via their individual dynamics and costs. We a...

Let &nbsp;<img src="/cgi-bin/mimetex.cgi?G=(V,E)">&nbsp; be a simple graph with vertex degrees &nbsp;<img src="/cgi-bin/mimetex.cgi?d1, d2, \ldots, d_n...

The problem retained for the ROADEF’99 international challenge was an inventory management problem for a car rental company. It consists in managing a given...

Besides speed and period length, the quality of uniform random number generators is usually assessed by measuring the uniformity of their point sets, formed...

The fastest long-period random number generators currently available are based on linear recurrences modulo 2. So far, software that provides multiple disjo...

Importance sampling (IS) is the primary technique for constructing reliable estimators in the context of rare-event simulation. The asymptotic robustness of...

We introduce and study a randomized quasi-Monte Carlo method for estimating the state distribution at each step of a Markov chain. The number of steps in th...

Given a simple connected graph <i>G = (V,E)</i> the geodetic closure <i>I&nbsp;[S]</i> <img src="/cgi-bin/mimetex.cgi?\subset"> <i>V</i> of a subset <i>S</i...

Let &nbsp;<img src="/cgi-bin/mimetex.cgi?G=(V,E)"> be a simple graph with &nbsp;<img src="/cgi-bin/mimetex.cgi?n=|V|"> vertices and &nbsp;<img src="/cgi-bin/...

In this paper, we develop an efficient algorithm to price options under discrete time GARCH processes. We propose a procedure based on dynamic programming c...

This paper addresses the problem of determining the daily operating policy of a reservoir over a one-year period that satisfies conflicting objectives regar...

This paper presents a new method for the probabilistic logic satisfiability problem, based on the variable neighborhood search metaheuristic. The solution s...

This paper considers the swapping problem on a tree. In this problem at most one object of some type is available at each vertex, and each vertex also reque...

We study the problem of routing and wavelength assignment (RWA) in a WDM optical network under different hop assumptions, i.e., with and without wavelength ...

Using Clark-Ocone formula, explicit martingale representations for path-dependent Brownian functionals are computed. As direct consequences, explicit martin...

We discuss feature selection approaches within the context of linear programming models for discrimination, with special emphasis on a new interpretation an...

Convolutional Self-Doubly Orthogonal Codes (CSO²C) have been introduced in 1998 by Haccoun et al. as a novel class of convolutional codes which c...

In this paper, we consider the estimation of quantiles using the calibration paradigm. The proposed methodology relies on an approach similar to the one lea...

We suggest new heuristic for solving unconstrained continuous optimization problems. It is based on generalized version of the variable neighborhood search m...

We propose a game-theoretic model involving the manufacturer of a national brand and a retailer selling her private label along with the national brand. The...

Dans un contexte de gestion journalière, on dispose le plus souvent d’une prévision météorologique déterministe pour calculer les apports futurs probables a...

We present an exact algorithm for solving the channel assignment problem in cellular telephony networks. This problem consists of assigning sets of channels...

A weighted spatial median is proposed for the multivariate location problem with cluster correlated data. Its limiting distribution is derived under mild co...

This paper presents the design and dimensioning optimization of a novel optical network structure, called the PetaWeb, having a total capacity of several Pb...

Winter road maintenance planning involves a variety of decision-making problems related to the routing of vehicles for spreading chemicals and abrasives, fo...

In this paper we consider the constant rank unconstrained quadratic 0-1 optimization problem, CR-QP01 for short. This problem consists in minimizing the qua...

Winter road maintenance operations involve a host of decision-making problems at the strategic, tactical, operational, and real-time levels. Those operation...

We consider a dynamic marketing channel involving one manufacturer and one retailer. The strategic variables of the former are the wholesale price and the a...

<p>The paper considers a problem of how to minimize advertising costs to sell seats for a particular event, for instance, a sports game, a rock concert or a...

We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples....

The multidimensional scaling (MDS) aims at finding coordinates for a set of <i>n</i> objects in a (low) <i>q</i> dimensional space that best fits dissimilar...

This paper deals with the problem of determining optimal reservoir daily operating policy over a one-year period. This problem is stochastic since the daily...

This paper proposes new tests of randomness for innovations of a large class of time series models. These tests are based on functionals of empirical proces...

Colour image quantization is a data compression technique that reduces the total set of colours in an image to a representative subset. This problem is expr...

Using the AutoGraphiX 2 system (AGX2), we study relations between graph invariants of the form <img src="/cgi-bin/mimetex.cgi?lbn \leq R \oplus i \leq ub...

The AutoGraphiX research program led to a new type of application of metaheuristics in graph theory, <i>i.e.</i>, finding conjectures on graph invariants by...

We investigate the common practice of estimating the dependence structure between CDS prices on multi-name credit instruments by the dependence structure of ...

In the integrated aircraft routing, crew scheduling and flight retiming problem, a minimum-cost set of aircraft routes and crew pairings must be constructed...

We consider the problem of separating two sets of points in an Euclidean space with a hyperplane that minimizes the sum of <i>L_p</i>-norm distanc...

In this paper, we study the problem of determining the capacity requirements for applications that require QoS guarantees. We consider three kinds of source ...

The Cox proportional hazards model has become the model of choice to use in analyzing the effects of covariates on survival data. However, this assumption ha...

In this paper, we consider scheduling problems on a single machine in a sequence dependent setup environment. We introduce for these problems several integer...

We consider the problem of orienting the edges of a graph so that the length of a longest path in the resulting digraph is minimum. As shown by Gallai, Roy ...

We propose a general setting for pricing single-name knock-out credit derivatives. Examples include Credit Default Swaps (CDS), European and Bermudan CDS op...

Past studies have shown the unstability of unstructured peer-to-peer networks, in particular Gnutella. Because of this unstability, queries in these network...

<p> We consider an infinite-horizon differential game played by two direct marketers. Each player controls the number of emails sent to potential customers...

This paper shows that the important result obtained in a static marketing channel, namely, that the manufacturer can coordinate the channel through a two-pa...

In this paper, we model a two-period electricity market with interrelated demand, where oligopolistic generators make investments in peak- and base-load capa...

We consider two overlapping generations that want to coordinate their strategies of working, consuming and controlling pollution. As the cooperative solution...

We consider test statistics for autoregressive conditional heteroskedasticity (ARCH) in the residuals from a possibly nonlinear and dynamic multivariate regr...

Given buses of different types arriving at a depot during the evening, the bus parking problem consists of assigning these buses to parking slots in such a w...

This work shows how disjunctive cuts can be generated for a bilevel linear programming problem (<i>BLP</i>) with continuous variables. First, a brief summar...

We consider the problem of locating a circle with respect to existing facilities on the plane, such that the largest weighted distance between the circle and...

We address a multi-objective version of the car sequencing problem, which consists in sequencing a given set of cars to be produced in a single day, minimizi...

This paper considers large shift scheduling problems with different shift start times and lengths, fractionable breaks and work stretch duration restrictions...

Let <img src="/cgi-bin/mimetex.cgi?G = (V,E,w)"> be a graph with vertex and edge sets <img src="/cgi-bin/mimetex.cgi?V"> and <img src="/cgi-bin/mimetex.cgi?E...