Axe 3 : Aide à la décision prise sous incertitude

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Since its inception, stochastic Data Envelopment Analysis (DEA) has found many applications. The approach commonly taken in stochastic DEA is via chance cons...

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We consider a class of dynamic games played over an event tree, where the players cooperate to optimize their expected joint payoff. Assuming that the pla...

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This article deals with the general theory of games played over uncontrolled event trees, i.e., games where the transition from one node to another is natu...

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It is increasingly important to provide the relevant data for strategic decisions related to oil production and the marketing of oil products. We propose the...

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This paper proposes a state-of-the-art branch-cut-and-price algorithm for the vehicle routing problem with stochastic demands (VRPSD). We adapt the model of ...

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This paper proposes a heuristic approach based on network flow techniques to schedule the production in open-pit mines, while accounting for metal uncertaint...

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We design and implement a dynamic program (DP) for valuing corporate securities, seen as derivatives on a firm's assets, and computing the term structure o...

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In this paper we consider the vehicle routing problem with hard time windows and stochastic service times (VRPTW-ST); in this variant of the classic VRPTW ...

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We propose a new numerical method for evaluating long-maturity American put options. Most existing numerical approaches are based on the time discretization...

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We propose a stochastic dynamic program for valuing options on stock-index futures. The model accounts for deterministic, seasonally varying dividends gene...

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

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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...

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

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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...

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

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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...

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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...

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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...

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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...

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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 ...

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