Department of Industrial Engineering
Recent Submissions
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Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets
(Springer, 2013-01-01)We describe a challenging class of large mixed-integer second-order cone programming models which arise in computing the maximum price that a buyer is willing to disburse to acquire an American contingent claim in an ... -
The general behavior of pull production systems: The allocation problems
(Elsevier, 1999-12-01)The design of tandem production systems has been well studied in the literature with the primary focus being on how to improve their efficiency. Considering the large costs associated, a slight improvement in efficiency ... -
Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
(Elsevier, 2014-03-15)We consider the problem of optimal portfolio choice using the lower partial moments risk measure for a market consisting of n risky assets and a riskless asset. For when the mean return vector and variance/covariance ... -
A dual representation of gain-loss hedging for European claims in discrete time
(Taylor & Francis, 2012-03-22)Superhedging of European claims in incomplete markets is a well-studied problem. The superhedging value of a European claim is known to yield a price too large to be interesting in some cases. In this note, an ... -
Asymptotically optimal Bayesian sequential change detection and identification rules
(Springer, 2013-04-12)We study the joint problem of sequential change detection and multiple hypothesis testing. Suppose that the common distribution of a sequence of i.i.d. random variables changes suddenly at some unobservable time to one ... -
Accurate Calculation of Hazardous Materials Transport Risks
(Elsevier, 2003-07)We propose two path-selection algorithms for the transport of hazardous materials. The algorithms can deal with link impedances that are path-dependent. This approach is superior to the use of a standard shortest path ... -
Equational characterization of Boolean function classes
(Elsevier, 2000-01-28)Several noteworthy classes of Boolean functions can be characterized by algebraic identities (e.g. the class of positive functions consists of all functions f satisfying the identity f(x) V f(y) V f(x V y) = f(x V y)). We ... -
The multi-terminal maximum-flow network-interdiction problem
(Elsevier, 2011-06-01)This paper defines and studies the multi-terminal maximum-flow network-interdiction problem (MTNIP) in which a network user attempts to maximize flow in a network among K >= 3 pre-specified node groups while an interdictor ... -
On Khachiyan's algorithm for the computation of minimum-volume enclosing ellipsoids
(Elsevier, 2007-08-15)Given A := {a(1),..., a(m)} subset of R(d) whose affine hull is R(d), we study the problems of computing an approximate rounding of the convex hull of A and an approximation to the minimum-volume enclosing ellipsoid of V. ... -
Scheduling with tool changes to minimize total completion time: Basic results and SPT performance
(Elsevier, 2004-09-16)We consider a single machine sequencing problem subject to tool wear, where the objective is to minimize the total completion time. We briefly describe the problem and discuss its properties, complexity and solution. ... -
Drilling thick fabric woven CFRP laminates with double point angle drills
(Elsevier, 2012-10)Carbon fiber reinforced plastics (CFRPs) have many desirable properties, including high strength-toweight ratio, high stiffness-to-weight ratio, high corrosion resistance, and low thermal expansion. These properties make ... -
Allocation Strategies in Hub Networks
(Elsevier, 2011-06-11)In this paper, we study allocation strategies and their effects on total routing costs in hub networks. Given a set of nodes with pairwise traffic demands, the p-hub median problem is the problem of choosing p nodes as hub ... -
Multi-period supplier selection under price uncertainty
(Palgrave Macmillan, 2014-03-26)We consider a problem faced by a procurement manager who needs to purchase a large volume of multiple items over multiple periods from multiple suppliers that provide base prices and discounts. Discounts are contingent on ... -
Multisource Bayesian sequential binary hypothesis testing problem
(Springer, 2012-12)We consider the problem of testing two simple hypotheses about unknown local characteristics of several independent Brownian motions and compound Poisson processes. All of the processes may be observed simultaneously as ... -
Supplier diversification under binomial yield
(Elsevier, 2008-09)We consider supplier diversification in an EOQ type inventory setting with multiple suppliers and binomial yields. We characterize the optimal policy for the model and show that, in this case, it does not pay to diversify, ... -
Full and conditional likelihood approaches for hazard change-point estimation with truncated and censored data
(Elsevier, 2011-10-01)Hazard function plays an important role in reliability and survival analysis. In some real life applications, abrupt changes in the hazard function may be observed and it is of interest to detect the location and the size ... -
A search method for optimal control of a flow shop system of traditional machines
(, 2010-01-11)We consider a convex and nondifferentiable optimization problem for deterministic flow shop systems in which the arrival times of the jobs are known and jobs are processed in the order they arrive. The decision variables ... -
Equilibrium in an ambiguity-Averse mean-variance investors market
(Elsevier, 2014-09-16)In a financial market composed of n risky assets and a riskless asset, where short sales are allowed and mean–variance investors can be ambiguity averse, i.e., diffident about mean return estimates where confidence is ... -
A joint production and transportation planning problem with heterogeneous vehicles
(Palgrave Macmillan, 2014-05)We consider a manufacturer's planning problem to schedule order production and transportation to respective destinations. The manufacturer in this setting can use two vehicle types for outbound shipments. The first type ... -
Structured least squares problems and robust estimators
(IEEE, 2010-04-12)A novel approach is proposed to provide robust and accurate estimates for linear regression problems when both the measurement vector and the coefficient matrix are structured and subject to errors or uncertainty. A new ...
