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NIPS
2008
15 years 8 months ago
Adapting to a Market Shock: Optimal Sequential Market-Making
We study the profit-maximization problem of a monopolistic market-maker who sets two-sided prices in an asset market. The sequential decision problem is hard to solve because the ...
Sanmay Das, Malik Magdon-Ismail
WSC
2004
15 years 8 months ago
Optimization by Simulation Metamodelling Methods
We consider how simulation metamodels can be used to optimize the performance of a system that depends on a number of factors. We focus on the situation where the number of simula...
Russell C. H. Cheng, Christine S. M. Currie
MP
2006
88views more  MP 2006»
15 years 6 months ago
Bounds on linear PDEs via semidefinite optimization
Using recent progress on moment problems, and their connections with semidefinite optimization, we present in this paper a new methodology based on semidefinite optimization, to ob...
Dimitris Bertsimas, Constantine Caramanis
TIT
2008
110views more  TIT 2008»
15 years 6 months ago
Optimal Cross-Layer Scheduling of Transmissions Over a Fading Multiaccess Channel
We consider the problem of several users transmitting packets to a base station, and study an optimal scheduling formulation involving three communication layers, namely, the mediu...
Munish Goyal, Anurag Kumar, Vinod Sharma
EOR
2002
125views more  EOR 2002»
15 years 6 months ago
Genetic local search for multi-objective combinatorial optimization
The paper presents a new genetic local search algorithm for multi-objective combinatorial optimization. The goal of the algorithm is to generate in a short time a set of approxima...
Andrzej Jaszkiewicz