Advisors
Now showing items 1-20 of 20
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Algorithms for some discrete location problems
(Bilkent University, 2003-09) -
Auction design and optimal allocation by linear programming
(Bilkent University, 2015)For the sale of a single object through an auction, we assume discrete type space for agents and make use of linear programming to find optimal mechanism design for a risk-neutral seller. First, we show that the celebrated ... -
Essays on some combinatorial optimization problems with interval data
(Bilkent University, 1999)In this study, we investigate three well-known problems, the longest path problem on directed acyclic graphs, the minimum spanning tree problem and the single machine scheduling problem with total flow time criterion, ... -
Financial valuation of flexible supply chain contracts
(Bilkent University, 2008)We consider a single buyer - single supplier multiple period quantity flexibility contract in which the buyer has options to buy in case of a higher than expected demand in addition to the committed purchases at the ... -
Implementation of a continuation method for nonlinear complementarity problems via normal maps
(Bilkent University, 1997)In this thesis, a continuation method for nonlinear complementarity problems via normal maps that is developed by Chen, Harker and Pinar [8] is implemented. This continuation method uses the smooth function to approximate ... -
Minimizers of sparsity regularized robust loss functions
(Bilkent University, 2021-06)We study the structure of the local and global minimizers of the Huber loss and the sum of absolute deviations functions regularized with a sparsity penalty L0 norm term. We char-acterize local minimizers for both loss ... -
Non-interior piecewise-linear pathways to l-infinity solutions of overdetermined linear systems
(Bilkent University, 1996)In this thesis, a new characterization of solutions to overdetermined systems of linear equations is described based on a simple quadratic penalty function, which is used to change the problem into an unconstrained one. ... -
On the s-procedure and some variants
(Bilkent University, 2004)In this thesis, we deal with the S-procedure that corresponds to verifying that the minimum of a quadratic function over constraints consisting of quadratic functions is positive. S-procedure is an instrumental tool in ... -
Optimal exercise collar type and multiple type perpetual American stock options in discrete time with linear programming
(Bilkent University, 2014)An American option is an option that entitles the holder to buy or sell an asset at a pre-determined price at any time within the period of the option contract. A perpetual American option does not have an expiration ... -
Personnel bus routing problem: formulation and solution method
(Bilkent University, 1997)In Uiis ihesiK, wc tackle the problem laced by many comptuiies who ofF(M· tra,iis|)ortation services to their personnel. We would reler to it as the Personnel Bus Houting Problem. The transportation services olfered ... -
Pricing and hedging of contingent claims in incomplete markets
(Bilkent University, 2010)In this thesis, we analyze the problem of pricing and hedging contingent claims in the multi-period, discrete time, discrete state case. We work on both European and American type contingent claims. For European contingent ... -
Pricing and hedging of contingent claims in incopmplete markets by modeling losses as conditional value at risk in (formula)-gain loss opportunities
(Bilkent University, 2009)We combine the principles of risk aversion and no-arbitrage pricing and propose an alternative way for pricing and hedging contingent claims in incomplete markets. We re-consider the pricing problem under the condition ... -
Pricing and optimal exercise of perpetual American options with linear programming
(Bilkent University, 2010)An American option is the right but not the obligation to purchase or sell an underlying equity at any time up to a predetermined expiration date for a predetermined amount. A perpetual American option differs from a ... -
Robust auction design under multiple priors
(Bilkent University, 2015)In optimal auction design literature, it is a common assumption that valuations of buyers are independently drawn from a unique distribution. In this thesis, we study auctions with ambiguity for an environment where ... -
Robust decentralized investment games
(Bilkent University, 2016-09)In the first part of the thesis, assuming a one-period economy with an investor and two portfolio managers who are experts in investing each in a risky asset (or an index) with first and second moment information available ... -
Robust network design under polyhedral traffic uncertainty
(Bilkent University, 2007)In this thesis, we study the design of networks robust to changes in demand estimates. We consider the case where the set of feasible demands is defined by an arbitrary polyhedron. Our motivation is to determine link ... -
Robust portfolio optimization with risk measures under distributional uncertainty
(Bilkent University, 2016-07)In this study, we consider the portfolio selection problem with different risk measures and different perspectives regarding distributional uncertainty. First, we consider the problem of optimal portfolio choice using the ... -
The robust shortest path problem with interval data uncertainties
(Bilkent University, 2001)In this study, we investigate the well-known shortest path problem on directed acyclic graphs under arc length uncertainties. We structure data uncertainty by taking the arc lengths as interval ranges. In order to ... -
Topology design in communication networks
(Bilkent University, 2003)In this thesis, we study the topology design problem in communication networks. It is the problem of a Virtual Private Network(VPN) provider. Given a set of customer nodes and a set of commodities, we aim to locate links ... -
Valuing risky projects in incomplete markets
(Bilkent University, 2009)We study the problem of valuing risky projects in incomplete markets. We develop a new method to value risky projects by restricting the so-called gain-loss ratio. We calculate the project value bounds on a numerical ...
