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» Termination of Linear Programs
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PC
2008
158views Management» more  PC 2008»
15 years 6 months ago
Application of multistage stochastic programs solved in parallel in portfolio management
We present a multistage model for allocation of financial resources to bond indices in different currencies. The model was tested on historical data of interest and exchange rates...
Mária Lucká, Igor Melichercik, Ladis...
MOR
2002
60views more  MOR 2002»
15 years 6 months ago
Properties of the Log-Barrier Function on Degenerate Nonlinear Programs
We examine the sequence of local minimizers of the log-barrier function for a nonlinear program near a solution at which second-order sufficient conditions and the Mangasarian-From...
Stephen J. Wright, Dominique Orban
SIAMJO
2002
149views more  SIAMJO 2002»
15 years 6 months ago
Semidefinite Programs: New Search Directions, Smoothing-Type Methods, and Numerical Results
Motivated by some results for linear programs and complementarity problems, this paper gives some new characterizations of the central path conditions for semidefinite programs. Ex...
Christian Kanzow, Christian Nagel
CCE
2010
15 years 3 months ago
A simple heuristic for reducing the number of scenarios in two-stage stochastic programming
In this work we address the problem of solving multiscenario optimization models that are deterministic equivalents of two-stage stochastic programs. We present a heuristic approx...
Ramkumar Karuppiah, Mariano Martín, Ignacio...
PTS
2008
109views Hardware» more  PTS 2008»
15 years 7 months ago
Runtime Verification of C Programs
We present in this paper a framework, RMOR, for monitoring the execution of C programs against state machines, expressed in a textual (nongraphical) format in files separate from t...
Klaus Havelund