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 ...

This paper presents the first direct implementation of the positive edge criterion using COIN-OR's CLP, where it has been combined with the Devex pivot rule....

This paper presents an analysis of Canadian energy and climate policies in terms of the coherence between federal and provincial/territorial strategies. Afte...

Unconditional consensus is the property of a consensus algorithm for multiple agents, to produce consensus irrespective of the particular time or state at wh...

We consider the multicommodity network flow formulation of the Multiple Depot Vehicle Scheduling Problem (MDVSP) and investigate several strategies within a ...

We introduce a Laplacian and a signless Laplacian for the distance matrix of a connected graph, called the <i>distance Laplacian</i> and <i>distance signless...

Scheduling often plays an important role in vehicle routing. This paper describes several applications in which the author has been involved in recent years...

Given a graph <i>G</i>, an integer <i>k</i>, and a cost <i>c_uv</i> associated with all pairs <i>uv</i> of non-adjacent vertices in <i>G</i>, the ...

Given a directed graph with weights on the vertices and on the arcs, a &theta;-improper <i>k</i>-coloring is an assignment of at most <i>k</i> different colo...

In this paper, we study the problem introduced by Baptiste et al. (2011) of minimizing the number of steps to unload a set of boxes off a gravity conveyor. W...

We derive conditions on the functions \(\varphi\), \(\rho\), \(v\) and \(w\) such that the 0-1 fractional programming problem`(\max\limits_{x\in {0...

In this paper a new procedure for finding an upper bound on the clique number of a given graph is described. Gendron, Hertz and St-Louis (2008) proposed a se...

In this paper we introduce the discrete time window assignment vehicle routing problem. This problem consists of assigning a single time window from a ...

The large-scale (more than 25MW) development of wind energy seems to be a very promising option given climate change and the need to diversify sources of ene...

This paper presents the application of a new approach, territorial intelligence modelling for energy development (TIMED), developed in response to growing ...

The paper addresses the optimal production control problems for an unreliable manufacturing system that produces items that can be regarded as conforming or ...

This paper analyzes the impact of feedback delay on the performance of multiuser selection diversity systems employing orthogonal space-time block coding (OS...

In this article, we provide an analytical framework to assess network level QoS measures for differentiated non-saturated traffic in infrastructure mode 802....

We consider multi-antenna base stations using orthogonal frequency-division multiple access and space division multiple access techniques to serve single-a...

In cooperative networks, mobile users do not only have the role of a data source or destination but can also act as relays to help transmissions from others....

In this paper, we derive PDF and CDF expressions for the end-to-end SNR of an opportunistic relaying amplify-and-forward (AF) cooperative diversity over inde...

We consider a fluid model of an unreliable production line consisting of <i>n</i> machines and <i>n</i> fixed buffer sizes. These machines produce a single p...

Microalgae are microscopic plants existing in aquatic environment. They are involved in the production of high value compounds and large scale cultures also...

The control of microalgae cultivation is approached from passivity-based control perspective. The proposed controller solves set point tracking and stabiliz...

Research into Parkinson's disease (PD) is intensely difficult and time consuming. It is a complex condition that develops over many years in the human brain....

A previous article on the integrative modelling of Parkinson's disease (PD) described a mathematical model with properties that suggested that PD pathogenesi...

The brain is the most energy intensive organ in the human body, so it is to be expected that weaknesses in brain energy metabolism could be a potential facto...

Elevated levels of Reactive Oxygen Species (ROS) and accumulation of misfolded &alpha;-synuclein (&alpha;SYN) are recurrent features in a majority of Parkins...

Sustainable wind energy development takes into account socio-cultural variables that can be identified from citizens' concerns about the use of this renewabl...

In <font size=2>[Wagneur, E., Linear Algebra and its Application, 435, 1786-1795, 2011]</font>, we show that any \(m\)-dimensional tropical torsion module...

Interior-point methods feature prominently among numerical methods for inequality-constrained optimization problems, and involve the need to solve a sequ...

We consider a two-player differential game of international emissions to represent the interactions between two groups of countries, namely, developed and ...

In this paper, for the purpose of service differentiation in opportunistic spectrum access (OSA) enabled networks, we take different priority queueing discip...

In many situations, such as art auctions, privatization of public assets and allocation of television airwaves to wireless carriers, the value of the objec...

The purpose of this paper is to study the periodic arc routing problem when the arcs of a network behave as customers, and sufficient material is delivered s...

This paper studies the pricing strategies of firms belonging to a vertical channel structure where optional contingent products are sold. Optional continge...

This paper addresses the NP hard optimization problem of packing identical spheres of unit radii into the smallest sphere (PSS). It models PSS as a non-li...

The BIRCH algorithm (Balanced Iterative Reducing and Clustering Hierarchies) handles massive dataset by reading the data file only once, clustering the data ...

The aim of this paper is to compute upper and lower bounds for convex value functions of derivative contracts. Laprise et al. (2006) compute bounds for Ame...

Blackbox optimization typically arises when the functions defining the objective and constraints of an optimization problem are computed through a computer...

In this paper, we provide a decomposition over time of Shapley value for dynamic stochastic discrete-time games, where the uncertainty is described by an eve...

We consider a two-period closed-loop supply chain (CLSC) game where a remanufacturer appropriates of the returns' residual value and decides whether to exc...

The production routing problem (PRP) concerns the production and distribution of a single product from a production plant to multiple customers using capacit...

The past decade has seen advances in general methods for symmetry breaking in mixed-integer linear programming. These methods are advantageous for general ...

Given a set of entities, cluster analysis aims at finding subsets, also called clusters or communities or modules, entities of which are homogeneous and well...

Reduced RLT constraints are a special class of Reformulation-Linearization Technique (RLT) constraints. They apply to nonconvex (both continuous and mixed-...

Sequential clustering aims at determining homogeneous and/or well-separated clusters within a given set of entities, one at a time, until no more such clus...

Although General Variable Neighborhood Search (GVNS) is shown to be powerful and robust methodology for solving travelling salesman and vehicle routing pro...

Euclidean Minimum Sum-of-Squares Clustering amounts to finding <i>p</i> prototypes by minimizing the sum of the squared Euclidean distances from a set of ...

A travelling deliveryman needs to find a tour such that the total waiting time of all the customers he has to visit is minimum. The deliveryman starts his ...

Community detection in networks has been studied extensively in the last decade. Many criteria, expressing the quality of the partitions obtained, as well ...

Application of the dispersion models in order to address the cannibalization phenomenon within franchised chains is a new approach. In this work we have deve...

We model the role of the world's forests as a major carbon sink and consider the impact that forest depletion has on the accumulation of CO₂ in ...

This paper presents a decomposition approach for solving a variant of the Routing and Wavelength Assignment (RWA) problem, in which all connection requests a...

Shared-segment protection offers a good compromise between shared link and path protection. In this paper, we further investigate segment protection with res...

This paper is concerned with computing global optimal solutions for maximum k-cut problems. We improve on the SBC algorithm of Ghaddar, Anjos and Liers in...

Convex nondifferentiable, also known as convex nonsmooth, optimization (NDO) looks at problems where the functions involved are not continuously different...

Finding clusters, or communities, in a graph, or network is a very important problem which arises in many domains. Several models were proposed for its solu...

This work introduces the use of the treed Gaussian process (TGP) as a surrogate model within the mesh adaptive direct search (MADS) framework for constrain...

Survivability in IP-over-WDM networks has already been extensively discussed in a series of studies. While many studies assume an IP restoration scheme and f...

The MaxSumSum (maximum diversity) problem consists of the selection of <i>p</i> facilities among <i>n</i> candidate locations in a way that the total sum ...

We develop a flexible discrete-time hedging methodology that miminizes the expected value of any desired penalty function of the hedging error within a gener...

This paper presents a framework in which many structural credit risk models can be made hybrid by randomizing the default trigger, while keeping the capita...

Le secteur économique du transport aérien de passagers est soumis à de fortes contraintes dues aux nouveaux acteurs dans le domaine qui tendent les prix vers...

We study the optimisation of a biomass waste to energy conversion system using an adapted Tabu Search heuristic. It corresponds to a non-linear and non-conv...

The Mesh Adaptive Direct Search (MADS) class of algorithms is designed for nonsmooth optimization, where the objective function and constraints are typical...

Dynamic constraint aggregation (DCA) and dual variable stabilization (DVS) are two methods that can reduce the negative impact of degeneracy when solvi...

Betweenness centrality was proposed about 35 years ago by Freeman. Since then, it was widely used mainly for analyzing social networks. According to <i>Web...

In this paper we address the problem of dimensioning infrastructure, comprising both network and server resources, for large-scale decentralized distributed...

We determine the threshold herd size at which a biomass waste to energy conversion system becomes commercially viable. The threshold herd size is found by ...

In the absence of an international environmental agreement (IEA) on climate change, a country may be reluctant to unilaterally implement environmental acti...

We consider a problem of groundwater management in which a group of farmers overexploits a groundwater stock and causes excessive pollution. A Water Agency...

In this paper, we propose new mathematical programming approaches for computing time-dependent bid prices in network revenue management problems. In contrast...

We consider different statistical models for the call arrival process in telephone call centers. We evaluate the forecasting accuracy of those models by desc...

The airline fleet assignment problem (FAP) consists of assigning an aircraft type to each flight leg of a flight schedule in order to maximize the airline ...

<p> <i>p</i>-Cycles have been extensively studied under a single link failure scenario. Even though not as common, single node failures may occur as well,...

In this paper, we derive and empirically test a regime-shifting dynamic term structure model for pricing interest rate caps. The central state variables are...

The paper answers an open problem introduced by Bezdek and Fodor in 2000. The width of any unit-diameter octagon is shown to be less than or equal to `(\fra...

We study the stability and the stability index of the meet game form defined on a meet semilattice. Given any active coalition structure, we show that the s...

This paper sets two alternate denitions of Perfect Nash Equilibria for Polymatrix Games. We present two linear programming formulations to identify perfect...

This paper generalizes the notion of <i>set of</i> &#949;<i>-proper equilibria</i> to polymatrix games. We use 0-1 mixed quadratic and linear programming op...

Since the late forties of the last century, methods of operations research have been extensively used to solve problems in graph theory, and graph theory has...

Dispersion problems consist of the selection of a fixed number of vertices from a given set so that some function of the distances among the vertices is maxi...

Stochastic programming can yield significant savings over deterministic approaches. For example, the stochastic approach for the shift scheduling problem sol...

Standard real options theory states that there is a value of waiting and that irreversible investment should be postponed when revenue is uncertain. Past lit...

In this article we study a network design problem that arises in the exploitation of wind energy. We formulate this problem as a mixed integer programming ...

A minimum equicut of an edge-weighted graph is a partition of the nodes of the graph into two sets of equal size such that the sum of the weights of ed...

This paper presents the design, implementation, and the first experimental results of an architecture for autonomous demand-side load management (ADSM) syste...

In this paper a new branch-price-and-cut method for a maritime inventory routing problem for one of the world's largest producers of liquefied natural gas (L...

This paper develops a dynamic risk management model to determine a firm's optimal risk management strategy. This strategy has two elements: first, for low ...

We present ACRE, an Automatic aspeCt cREator, to use aspect-oriented programming to test multi-platform software programs written in C++. ACRE allows devel...

In IP-over-WDM networks, protection can be offered at the optical layer or at the IP layer. Today, it is well acknowledged that synergies need to be develope...

Current network planning and design methods use the average delay, packet loss and throughput as metrics to optimize the network cost and performance. New...

Wavelets have been successfully used for nonparametric function estimation, but a major challenge in density and hazard estimation is that the function must ...

Implementations of the Simplex method differ only in very specific aspects such as the pivot rule. Similarly, most relaxation methods for mixed-integer ...

Given Cloud Computing geographical distribution on multiple regions, the location of data centers, servers and software components and the way information is...

OPAL is a general-purpose system for modeling and solving algorithm optimization problems. OPAL takes an algorithm as input, and as output it suggests para...

Finding <i>p</i> prototypes by minimizing the sum of the squared distances from a set of points to its closest prototype is a well-studied problem in cluste...

Interior-point methods in semi-definite programming (SDP) require the solution of a sequence of linear systems which are used to derive the search directions...

The inventory routing problem (IRP) and the production routing problem (PRP) are two difficult problems arising in the planning of integrated supply chains...

This paper presents a framework to determine optimal maintenance planning of a fleet of complex and independent systems. They are made up of several major co...

The problem of coordinating a fleet of vehicles so that all demand points on a territory are serviced and that the workload is most evenly distributed among ...

Although stochastic programming is probably the most effective frameworks for handling decision problems that involve uncertain variables, it is always a cos...

Our main interest is the prediction of future events for recurrent event processes. We intend to build a Bayesian model, based on sound philosophical princip...

The analytic center cutting plane method and its proximal variant are well known techniques for solving convex programming problems. We propose two seq...

Facility layout is a well-known operations research problem that arises in numerous areas of applications. The multi-row facility layout problem is concerne...

Using a heuristic optimization module based upon Variable Neighborhood Search (VNS), the system AutoGraphiX's main feature is to find extremal or near extre...

A game theoretical model featuring a manufacturer and two dealers is proposed to investigate the effects of downstream horizontal integration on network perf...