Browsing by Subject "Mixed-integer linear programming"

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    Dynamic lot sizing with multiple suppliers, backlogging and quantity discounts
    (Elsevier Ltd, 2017) Ghaniabadi, M.; Mazinani, A.
    This paper studies the dynamic lot sizing problem with supplier selection, backlogging and quantity discounts. Two known discount types are considered separately, incremental and all-units quantity discounts. Mixed integer linear programming (MILP) formulations are presented for each case and solved using a commercial optimization software. In order to timely solve the problem, a recursive formulation and its efficient implementation are introduced for each case which result in an optimal and a near optimal solution for incremental and all-units quantity discount cases, respectively. Finally, the execution times of the MILP models and forward dynamic programming models obtained from the recursive formulations are presented and compared. The results demonstrate the efficiency of the dynamic programming models, as they can solve even large-sized instances quite timely. © 2017
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    Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming
    (2014) Pınar, M. Ç.
    The lower hedging problem with a minimal expected surplus risk criterion in incomplete markets is studied for American claims in finite state financial markets. It is shown that the lower hedging problem with linear expected surplus criterion for American contingent claims in finite state markets gives rise to a non-convex bilinear programming formulation which admits an exact linearization. The resulting mixed-integer linear program can be readily processed by available software.