Computational Management Science Short Title: Comput. Manag. Sci. Publisher: Springer, Berlin/Heidelberg ISSN: 1619-697X; 1619-6988/e Online: http://link.springer.com/journal/volumesAndIssues/10287 Documents Indexed: 401 Publications (since 2004) References Indexed: 340 Publications with 10,779 References. all top 5 Latest Issues 19, No. 1 (2022) 18, No. 3 (2021) 18, No. 2 (2021) 18, No. 1 (2021) 17, No. 4 (2020) 17, No. 3 (2020) 17, No. 2 (2020) 17, No. 1 (2020) 16, No. 4 (2019) 16, No. 3 (2019) 16, No. 1-2 (2019) 15, No. 3-4 (2018) 15, No. 2 (2018) 15, No. 1 (2018) 14, No. 4 (2017) 14, No. 3 (2017) 14, No. 2 (2017) 14, No. 1 (2017) 13, No. 4 (2016) 13, No. 3 (2016) 13, No. 2 (2016) 13, No. 1 (2016) 12, No. 4 (2015) 12, No. 3 (2015) 12, No. 2 (2015) 12, No. 1 (2015) 11, No. 4 (2014) 11, No. 3 (2014) 11, No. 1-2 (2014) 10, No. 4 (2013) 10, No. 2-3 (2013) 10, No. 1 (2013) 9, No. 4 (2012) 9, No. 3 (2012) 9, No. 2 (2012) 9, No. 1 (2012) 8, No. 4 (2011) 8, No. 3 (2011) 8, No. 1-2 (2011) 7, No. 4 (2010) 7, No. 3 (2010) 7, No. 2 (2010) 7, No. 1 (2010) 6, No. 4 (2009) 6, No. 3 (2009) 6, No. 2 (2009) 6, No. 1 (2009) 5, No. 4 (2008) 5, No. 3 (2008) 5, No. 1-2 (2008) 4, No. 4 (2007) 4, No. 3 (2007) 4, No. 2 (2007) 4, No. 1 (2007) 3, No. 4 (2006) 3, No. 3 (2006) 3, No. 2 (2006) 3, No. 1 (2006) 2, No. 4 (2005) 2, No. 3 (2005) 2, No. 2 (2005) 2, No. 1 (2005) 1, No. 3-4 (2004) 1, No. 2 (2004) 1, No. 1 (2004) all top 5 Authors 9 Nagurney, Anna 6 Kaut, Michal 6 Konno, Hiroshi 6 Schultz, Rüdiger 5 Maggioni, Francesca 5 Paterlini, Sandra 5 Thiele, Aurélie C. 5 Trafalis, Theodore B. 5 Wiesemann, Wolfram 4 Bertocchi, Marida 4 Consigli, Giorgio 4 Drezner, Tammy 4 Drezner, Zvi 4 Fleten, Stein-Erik 4 Gendreau, Michel 4 Krawczyk, Jacek Bogdan 4 Kuhn, Daniel 4 Pardalos, Panos M. 4 Pflug, Georg Ch. 4 Siddiqui, Afzal S. 4 Takeda, Akiko 4 Yamamoto, Rei 4 Zaccour, Georges 4 Zanette, Antonino 3 Bertazzi, Luca 3 Escudero, Laureano Fernando 3 Fukushima, Masao 3 Giacometti, Rosella 3 Gotoh, Jun-ya 3 Haurie, Alain B. 3 Kopa, Miloš 3 Krivulin, Nikolai K. 3 Kypreos, Socrates 3 Loulou, Richard 3 Maringer, Dietmar G. 3 Moriggia, Vittorio 3 Paraschiv, Florentina 3 Parpas, Panos 3 Pistikopoulos, Efstratios N. 3 Rustem, Berc 3 Sherali, Hanif D. 3 Torri, Gabriele 3 Van Ackooij, Wim 3 van der Vlerk, Maarten H. 3 Vielle, Marc 3 Vitali, Sebastiano 3 Wallace, Stein W. 3 Watson, Jean-Paul 3 Weissensteiner, Alex 2 Aitsahlia, Farid 2 Al-Yakoob, Salem Mohammed 2 Alonso-Ayuso, Antonio 2 Astorino, Annabella 2 Baldacci, Roberto 2 Bärmann, Andreas 2 Ben-Tal, Aharon 2 Bodnar, Taras 2 Bonaccolto, Giovanni 2 Boniello, C. 2 Brabazon, Anthony 2 Butenko, Sergiy I. 2 Çetinkaya, Elçin 2 Curry, Bruce 2 Delage, Erick 2 den Hertog, Dick 2 Erlwein-Sayer, Christina 2 Escobar, Debora Daniela 2 Fastrich, Björn 2 Ferrentino, Rosa 2 Gaudenzi, Marcellino 2 Gaudioso, Manlio 2 Gelenbe, Sami Erol 2 Glanzer, Martin 2 Goswami, Manisha 2 Goudenège, Ludovic 2 Guha, Suchandan 2 Gutjahr, Walter J. 2 Heidt, Andreas 2 Heitsch, Holger 2 Hellemo, Lars 2 Henrion, René 2 Hitaj, Asmerilda 2 Hochreiter, Ronald 2 Kalczynski, Pawel Jan 2 Kawadai, Naoya 2 Klein Haneveld, Willem Karel 2 Kontoghiorghes, Erricos John 2 Labriet, Maryse 2 Le Thi, Hoai An 2 Lisser, Abdel 2 Liu, Zugang 2 Martin, Alexander 2 Mercuri, Lorenzo 2 Mitra, Gautam 2 Molent, Andrea 2 Möller, Andris 2 Morton, David P. 2 Yolcu Okur, Yeliz 2 Pang, Jong-Shi 2 Panos, Christos ...and 661 more Authors all top 5 Fields 296 Operations research, mathematical programming (90-XX) 153 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 42 Statistics (62-XX) 31 Computer science (68-XX) 23 Numerical analysis (65-XX) 20 General and overarching topics; collections (00-XX) 17 Probability theory and stochastic processes (60-XX) 13 Biology and other natural sciences (92-XX) 13 Systems theory; control (93-XX) 8 Calculus of variations and optimal control; optimization (49-XX) 3 Combinatorics (05-XX) 2 Number theory (11-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 History and biography (01-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Partial differential equations (35-XX) 1 Integral equations (45-XX) 1 Differential geometry (53-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Geophysics (86-XX) 1 Information and communication theory, circuits (94-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 236 Publications have been cited 1,546 times in 1,295 Documents Cited by ▼ Year ▼ Quasi-variational inequalities, generalized Nash equilibria, and multi-leader-follower games. Zbl 1115.90059Pang, Jong-Shi; Fukushima, Masao 192 2005 Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems. Zbl 1225.91032Watson, Jean-Paul; Woodruff, David L. 52 2011 Integrated chance constraints: reduced forms and an algorithm. Zbl 1136.90424Klein Haneveld, Willem K.; van der Vlerk, Maarten H. 39 2006 Restricted generalized Nash equilibria and controlled penalty algorithm. Zbl 1253.91010Fukushima, Masao 38 2011 Scenario tree reduction for multistage stochastic programs. Zbl 1171.90485Heitsch, Holger; Römisch, Werner 38 2009 Computational aspects of minimizing conditional value-at-risk. Zbl 1203.90117Künzi-Bay, Alexandra; Mayer, János 35 2006 Finding the optimal solution to the Huff based competitive location model. Zbl 1115.90357Drezner, Tammy; Drezner, Zvi 30 2004 Global optimization of mixed-integer bilevel programming problems. Zbl 1112.90061Gümüş, Zeynep H.; Floudas, Christodoulos A. 30 2005 Equity models in planar location. Zbl 1140.90031Drezner, Tammy; Drezner, Zvi 30 2007 Solving two-stage stochastic programming problems with level decomposition. Zbl 1145.90045Fábián, Csaba I.; Szőke, Zoltán 27 2007 Likelihood robust optimization for data-driven problems. Zbl 1397.90225Wang, Zizhuo; Glynn, Peter W.; Ye, Yinyu 26 2016 Numerical solutions to coupled-constraint (or generalised Nash) equilibrium problems. Zbl 1134.91303Krawczyk, Jacek 19 2007 Constructing optimal sparse portfolios using regularization methods. Zbl 1355.91077Fastrich, B.; Paterlini, S.; Winker, P. 19 2015 An exact solution framework for a broad class of vehicle routing problems. Zbl 1194.90011Baldacci, Roberto; Bartolini, Enrico; Mingozzi, Aristide; Roberti, Roberto 18 2010 The internet, evolutionary variational inequalities, and the time-dependent Braess paradox. Zbl 1141.65051Nagurney, Anna; Parkes, David; Daniele, Patrizia 18 2007 Assessing interbank contagion using simulated networks. Zbl 1282.91399Hałaj, Grzegorz; Kok, Christoffer 17 2013 Exploiting structure in parallel implementation of interior point methods for optimization. Zbl 1170.90518Gondzio, Jacek; Grothey, Andreas 17 2009 Monotonic bounds in multistage mixed-integer stochastic programming. Zbl 1397.90287Maggioni, Francesca; Allevi, Elisabetta; Bertocchi, Marida 16 2016 Leader-follower equilibria for electric power and \(\text{NO}_x\) allowances markets. Zbl 1273.91207Chen, Yihsu; Hobbs, Benjamin F.; Leyffer, Sven; Munson, Todd S. 16 2006 An adaptive Monte Carlo algorithm for computing mixed logit estimators. Zbl 1136.62086Bastin, Fabian; Cirillo, Cinzia; Toint, Philippe L. 16 2006 Supply chain network operations management of a blood banking system with cost and risk minimization. Zbl 1273.90028Nagurney, Anna; Masoumi, Amir H.; Yu, Min 16 2012 On the role of norm constraints in portfolio selection. Zbl 1225.91060Gotoh, Jun-ya; Takeda, Akiko 16 2011 Partitioning procedures for solving mixed-variables programming problems. Reprint. Zbl 1115.90361Benders, J. F. 15 2005 Reformulations and solution algorithms for the maximum leaf spanning tree problem. Zbl 1198.90380Lucena, Abilio; Maculan, Nelson; Simonetti, Luidi 15 2010 A joint model of probabilistic/robust constraints for gas transport management in stationary networks. Zbl 1397.90092González Grandón, T.; Heitsch, H.; Henrion, R. 14 2017 Pricing early exercise contracts in incomplete markets. Zbl 1115.93359Oberman, A.; Zariphopoulou, T. 14 2004 An oracle based method to compute a coupled equilibrium in a model of international climate policy. Zbl 1179.91200Drouet, Laurent; Haurie, Alain; Moresino, Francesco; Vial, Jean-Philippe; Vielle, Marc; Viguier, Laurent 14 2008 A multi-parametric programming approach for multilevel hierarchical and decentralised optimisation problems. Zbl 1189.90152Faísca, Nuno P.; Saraiva, Pedro M.; Rustem, Berç; Pistikopoulos, Efstratios N. 14 2009 Decomposition for adjustable robust linear optimization subject to uncertainty polytope. Zbl 1397.90297Ayoub, Josette; Poss, Michael 13 2016 Developments in differential game theory and numerical methods: Economic and management applications. Zbl 1134.91334Jørgensen, Steffen; Zaccour, Georges 13 2007 Integer programming approaches in mean-risk models. Zbl 1128.91027Konno, Hiroshi; Yamamoto, Rei 13 2005 Probabilistic constraints via SQP solver: application to a renewable energy management problem. Zbl 1317.90216Bremer, I.; Henrion, R.; Möller, A. 13 2015 Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios. Zbl 1296.91257Takeda, Akiko; Niranjan, Mahesan; Gotoh, Jun-Ya; Kawahara, Yoshinobu 13 2013 An algorithm for the job shop scheduling problem based on global equilibrium search techniques. Zbl 1136.90017Pardalos, Panos M.; Shylo, Oleg V. 12 2006 Formulation and analysis of horizontal mergers among oligopolistic firms with insights into the merger paradox: A supply chain network perspective. Zbl 1197.91125Nagurney, Anna 12 2010 Linear vs. quadratic portfolio selection models with hard real-world constraints. Zbl 1355.91076Cesarone, Francesco; Scozzari, Andrea; Tardella, Fabio 12 2015 Multi-horizon stochastic programming. Zbl 1298.90008Kaut, Michal; Midthun, Kjetil T.; Werner, Adrian S.; Tomasgard, Asgeir; Hellemo, Lars; Fodstad, Marte 12 2014 Decision-dependent probabilities in stochastic programs with recourse. Zbl 1483.90095Hellemo, Lars; Barton, Paul I.; Tomasgard, Asgeir 11 2018 Estimation of failure probability using semi-definite logit model. Zbl 1114.62353Konno, Hiroshi; Kawadai, Naoya; Wu, Dai 11 2004 Towards a practical parallelisation of the simplex method. Zbl 1185.90149Hall, J. A. J. 11 2010 An improved gradient projection-based decomposition technique for support vector machines. Zbl 1163.90693Zanni, Luca 11 2006 Single source single-commodity stochastic network design. Zbl 1273.90036Thapalia, Biju K.; Wallace, Stein W.; Kaut, Michal; Crainic, Teodor Gabriel 10 2012 Risk aversion for an electricity retailer with second-order stochastic dominance constraints. Zbl 1171.90481Carrión, Miguel; Gotzes, Uwe; Schultz, Rüdiger 10 2009 Erratum: Quasi-variational inequalities, generalized Nash equilibria, and multi-leader-follower games. Zbl 1168.90618Pang, Jong-Shi; Fukushima, Masao 10 2009 Financial networks with intermediation and transportation network equilibria: A supernetwork equivalence and reinterpretation of the equilibrium conditions with computations. Zbl 1142.91541Liu, Zugang; Nagurney, Anna 9 2007 Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA. Zbl 1188.90185Le Thi Hoai An; Moeini, Mahdi; Pham Dinh Tao 9 2009 A progressive hedging based branch-and-bound algorithm for mixed-integer stochastic programs. Zbl 1483.90091Atakan, Semih; Sen, Suvrajeet 8 2018 Simple measure of similarity for the market graph construction. Zbl 1282.91382Bautin, Grigory A.; Kalyagin, Valery A.; Koldanov, Alexander P.; Koldanov, Petr A.; Pardalos, Panos M. 8 2013 Stochastic optimization models for a single-sink transportation problem. Zbl 1170.90325Maggioni, Francesca; Kaut, Michal; Bertazzi, Luca 8 2009 A fixed-center spherical separation algorithm with kernel transformations for classification problems. Zbl 1170.90530Astorino, A.; Gaudioso, M. 8 2009 Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models. Zbl 07024664Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino 8 2019 On distributionally robust multiperiod stochastic optimization. Zbl 1328.90089Analui, Bita; Pflug, Georg Ch. 8 2014 Airline network revenue management by multistage stochastic programming. Zbl 1178.90259Möller, Andris; Römisch, Werner; Weber, Klaus 8 2008 New solution approaches for the maximum-reliability stochastic network interdiction problem. Zbl 1483.90041Towle, Eli; Luedtke, James 7 2018 Robust capacity assignment in telecommunications. Zbl 1136.90011Ouorou, Adam 7 2006 On solving the multi-period single-sourcing problem under uncertainty. Zbl 1203.90116Alonso-Ayuso, A.; Escudero, L. F.; Pizarro, C.; Romeijn, H. E.; Romero Morales, D. 7 2006 Optimal impulse control on an unbounded domain with nonlinear cost functions. Zbl 1145.49021Baccarin, Stefano; Sanfelici, Simona 7 2006 Flow equivalence and stochastic equivalence in G-networks. Zbl 1115.90319Fourneau, Jean-Michel; Gelenbe, Erol 7 2004 Algorithms for the quickest path problem and the reliable quickest path problem. Zbl 1273.90169Calvete, Herminia I.; Del-Pozo, Lourdes; Iranzo, José A. 7 2012 Dynamic modeling of mean-reverting spreads for statistical arbitrage. Zbl 1214.91142Triantafyllopoulos, K.; Montana, G. 7 2011 Support vector machine as an efficient framework for stock market volatility forecasting. Zbl 1142.91718Gavrishchaka, Valeriy V.; Banerjee, Supriya 7 2006 Robust optimization of uncertain multistage inventory systems with inexact data in decision rules. Zbl 1397.90047de Ruiter, Frans J. C. T.; Ben-Tal, Aharon; Brekelmans, Ruud C. M.; den Hertog, Dick 6 2017 Direct solution to constrained tropical optimization problems with application to project scheduling. Zbl 1397.90312Krivulin, Nikolai 6 2017 Optimal stopping problems by two or more decision makers: a survey. Zbl 1134.91337Ben Abdelaziz, Fouad; Krichen, Saoussen 6 2007 Efficient strategies for deriving the subset VAR models. Zbl 1089.62106Gatu, Cristian; Kontoghiorghes, Erricos John 6 2005 A stochastic programming approach for multi-period portfolio optimization. Zbl 1171.90482Geyer, Alois; Hanke, Michael; Weissensteiner, Alex 6 2009 Quadratic interior-point methods in statistical disclosure control. Zbl 1147.90377Castro, Jordi 6 2005 A mixed-integer mathematical modeling approach to exam timetabling. Zbl 1178.90141Al-Yakoob, Salem M.; Sherali, Hanif D.; Al-Jazzaf, Mona 6 2010 Combined discrete-event simulation and ant colony optimisation approach for selecting optimal screening policies for diabetic retinopathy. Zbl 1106.92029Brailsford, Sally C.; Gutjahr, Walter J.; Rauner, Marion S.; Zeppelzauer, Wolfgang 6 2007 A scenario-based framework for supply planning under uncertainty: stochastic programming versus robust optimization approaches. Zbl 1397.90217Maggioni, Francesca; Potra, Florian A.; Bertocchi, Marida 5 2017 Asset allocation strategies based on penalized quantile regression. Zbl 1402.62247Bonaccolto, Giovanni; Caporin, Massimiliano; Paterlini, Sandra 5 2018 Distributionally robust SDDP. Zbl 1483.90098Philpott, A. B.; de Matos, V. L.; Kapelevich, L. 5 2018 An adaptive model with joint chance constraints for a hybrid wind-conventional generator system. Zbl 1483.90060Singh, Bismark; Morton, David P.; Santoso, Surya 5 2018 An optimization model for stochastic project networks with cash flows. Zbl 1136.90009Benati, Stefano 5 2006 Robust international portfolio management. Zbl 1273.91421Fonseca, Raquel J.; Wiesemann, Wolfram; Rustem, Berç 5 2012 Robust portfolio optimization with a hybrid heuristic algorithm. Zbl 1273.91420Fastrich, Björn; Winker, Peter 5 2012 Network analysis of the e-MID overnight money market: the informational value of different aggregation levels for intrinsic dynamic processes. Zbl 1282.91397Finger, Karl; Fricke, Daniel; Lux, Thomas 5 2013 The weight-decay technique in learning from data: an optimization point of view. Zbl 1280.62074Gnecco, Giorgio; Sanguineti, Marcello 5 2009 A copula-based heuristic for scenario generation. Zbl 1327.90154Kaut, Michal 5 2014 Multi-period forecasting and scenario generation with limited data. Zbl 1319.90047Rios, Ignacio; Wets, Roger J-B; Woodruff, David L. 5 2015 A maximal predictability portfolio using absolute deviation reformulation. Zbl 1187.91202Konno, Hiroshi; Morita, Yuuhei; Yamamoto, Rei 5 2010 Automatic formulation of stochastic programs via an algebraic modeling language. Zbl 1140.90035Thénié, J.; Van Delft, Ch.; Vial, J.-Ph. 5 2007 Un-diversifying during crises: is it a good idea? Zbl 07097399Giuzio, Margherita; Paterlini, Sandra 4 2019 Solution sensitivity-based scenario reduction for stochastic unit commitment. Zbl 1397.90172Feng, Yonghan; Ryan, Sarah M. 4 2016 Log-robust portfolio management with parameter ambiguity. Zbl 1397.90214Kawas, Ban; Thiele, Aurelie 4 2017 On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management. Zbl 1483.90094Escudero, Laureano F.; Monge, Juan F. 4 2018 Algorithms for computing Nash equilibria in deterministic LQ games. Zbl 1134.91333Engwerda, Jacob 4 2007 Sensible decisions based on QoS. Zbl 1113.90304Gelenbe, Erol 4 2004 International financial networks with intermediation: modeling, analysis, and computations. Zbl 1113.90339Nagurney, Anna; Cruz, Jose 4 2004 Monte Carlo methods for mean-risk optimization and portfolio selection. Zbl 1273.91459Xu, Huifu; Zhang, Dali 4 2012 An approximate dynamic programming framework for modeling global climate policy under decision-dependent uncertainty. Zbl 1273.90194Webster, Mort; Santen, Nidhi; Parpas, Panos 4 2012 Stochastic nuclear outages semidefinite relaxations. Zbl 1273.90133Gorge, Agnès; Lisser, Abdel; Zorgati, Riadh 4 2012 Computational study of the US stock market evolution: a rank correlation-based network model. Zbl 1282.91388Shirokikh, Oleg; Pastukhov, Grigory; Boginski, Vladimir; Butenko, Sergiy 4 2013 Computation of viability kernels: a case study of by-catch fisheries. Zbl 1282.91249Krawczyk, Jacek B.; Pharo, Alastair; Serea, Oana S.; Sinclair, Stewart 4 2013 Implementing quasi-Monte Carlo simulations with linear transformations. Zbl 1231.91480Sabino, Piergiacomo 4 2011 ETSAP-TIAM: The TIMES integrated assessment model. I: Model structure. Zbl 1175.90179Loulou, Richard; Labriet, Maryse 4 2008 On multistage stochastic integer programming for incorporating logical constraints in asset and liability management under uncertainty. Zbl 1170.90452Escudero, Laureano F.; Garín, Araceli; Merino, María; Pérez, Gloria 4 2009 A multicriteria approach for rating the credit risk of financial institutions. Zbl 1169.91381Baourakis, G.; Conisescu, M.; Van Dijk, G.; Pardalos, P. M.; Zopounidis, C. 4 2009 DrAmpl: A meta solver for optimization problem analysis. Zbl 1243.90005Fourer, Robert; Orban, Dominique 4 2010 A new path-based cutting plane approach for the discrete time-cost tradeoff problem. Zbl 1194.90039Hadjiconstantinou, Eleni; Klerides, Evelina 4 2010 Evaluation of scenario reduction algorithms with nested distance. Zbl 07304210Horejšová, Markéta; Vitali, Sebastiano; Kopa, Miloš; Moriggia, Vittorio 1 2020 Distributionally robust optimization with multiple time scales: valuation of a thermal power plant. Zbl 07304214van Ackooij, Wim; Escobar, Debora Daniela; Glanzer, Martin; Pflug, Georg Ch. 1 2020 The skew normal multivariate risk measurement framework. Zbl 07205160Bernardi, Mauro; Cerqueti, Roy; Palestini, Arsen 1 2020 Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models. Zbl 07024664Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino 8 2019 Un-diversifying during crises: is it a good idea? Zbl 07097399Giuzio, Margherita; Paterlini, Sandra 4 2019 The decision rule approach to optimization under uncertainty: methodology and applications. Zbl 07137444Georghiou, Angelos; Kuhn, Daniel; Wiesemann, Wolfram 3 2019 Sparse precision matrices for minimum variance portfolios. Zbl 07097398Torri, Gabriele; Giacometti, Rosella; Paterlini, Sandra 2 2019 On the construction of hourly price forward curves for electricity prices. Zbl 07024669Kiesel, Rüdiger; Paraschiv, Florentina; Sætherø, Audun 2 2019 Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria. Zbl 07137448Hochrainer-Stigler, Stefan; Balkovič, Juraj; Silm, Kadri; Timonina-Farkas, Anna 2 2019 The value of the right distribution in stochastic programming with application to a Newsvendor problem. Zbl 07137452Maggioni, Francesca; Cagnolari, Matteo; Bertazzi, Luca 2 2019 The wait-and-judge scenario approach applied to antenna array design. Zbl 07097401Carè, Algo; Garatti, Simone; Campi, Marco C. 1 2019 Optimal strategies with option compensation under mean reverting returns or volatilities. Zbl 07024658Herzel, Stefano; Nicolosi, Marco 1 2019 Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization. Zbl 07024659Hitaj, Asmerilda; Mercuri, Lorenzo; Rroji, Edit 1 2019 Timing portfolio strategies with exponential Lévy processes. Zbl 07024660Ortobelli Lozza, Sergio; Angelelli, Enrico; Ndoci, Alda 1 2019 Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study. Zbl 07024661Consigli, Giorgio; Hitaj, Asmerilda; Mastrogiacomo, Elisa 1 2019 Identifying systemically important financial institutions: a network approach. Zbl 07024662Rovira Kaltwasser, Pablo; Spelta, Alessandro 1 2019 Tempered stable process, first passage time, and path-dependent option pricing. Zbl 07024663Kim, Young Shin 1 2019 European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions. Zbl 07024665Nardon, Martina; Pianca, Paolo 1 2019 Calibration of one-factor and two-factor hull-white models using swaptions. Zbl 07024666Russo, Vincenzo; Torri, Gabriele 1 2019 Decision-dependent probabilities in stochastic programs with recourse. Zbl 1483.90095Hellemo, Lars; Barton, Paul I.; Tomasgard, Asgeir 11 2018 A progressive hedging based branch-and-bound algorithm for mixed-integer stochastic programs. Zbl 1483.90091Atakan, Semih; Sen, Suvrajeet 8 2018 New solution approaches for the maximum-reliability stochastic network interdiction problem. Zbl 1483.90041Towle, Eli; Luedtke, James 7 2018 Asset allocation strategies based on penalized quantile regression. Zbl 1402.62247Bonaccolto, Giovanni; Caporin, Massimiliano; Paterlini, Sandra 5 2018 Distributionally robust SDDP. Zbl 1483.90098Philpott, A. B.; de Matos, V. L.; Kapelevich, L. 5 2018 An adaptive model with joint chance constraints for a hybrid wind-conventional generator system. Zbl 1483.90060Singh, Bismark; Morton, David P.; Santoso, Surya 5 2018 On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management. Zbl 1483.90094Escudero, Laureano F.; Monge, Juan F. 4 2018 Stochastic dynamic programming approach to managing power system uncertainty with distributed storage. Zbl 1397.90227Zéphyr, Luckny; Lindsay Anderson, C. 3 2018 Determination and estimation of risk aversion coefficients. Zbl 1417.91441Bodnar, Taras; Okhrin, Yarema; Vitlinskyy, Valdemar; Zabolotskyy, Taras 3 2018 A successive linear programming algorithm with non-linear time series for the reservoir management problem. Zbl 1397.90208Gauvin, Charles; Delage, Erick; Gendreau, Michel 1 2018 A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming. Zbl 1397.90272Xu, Guanglin; Burer, Samuel 1 2018 Higher-order total variation bounds for expectations of periodic functions and simple integer recourse approximations. Zbl 1483.90101van der Laan, Niels; Romeijnders, Ward; van der Vlerk, Maarten H. 1 2018 Distributionally robust simple integer recourse. Zbl 1483.90102Xie, Weijun; Ahmed, Shabbir 1 2018 Stochastic programs with binary distributions: structural properties of scenario trees and algorithms. Zbl 1483.90099Prochazka, Vit; Wallace, Stein W. 1 2018 Strong convexity in risk-averse stochastic programs with complete recourse. Zbl 1483.90093Claus, Matthias; Schultz, Rüdiger; Spürkel, Kai 1 2018 A fractional stochastic integer programming problem for reliability-to-stability ratio in forest harvesting. Zbl 1483.90184Lejeune, Miguel A.; Kettunen, Janne 1 2018 Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming. Zbl 1483.91183Consigli, Giorgio; Moriggia, Vittorio; Vitali, Sebastiano; Mercuri, Lorenzo 1 2018 Computation of the Delta of European options under stochastic volatility models. Zbl 1417.91518Yolcu-Okur, Yeliz; Sayer, Tilman; Yilmaz, Bilgi; Inkaya, B. Alper 1 2018 Putting a price tag on temperature. Zbl 1417.91517Xiong, Heng; Mamon, Rogemar 1 2018 A joint model of probabilistic/robust constraints for gas transport management in stationary networks. Zbl 1397.90092González Grandón, T.; Heitsch, H.; Henrion, R. 14 2017 Robust optimization of uncertain multistage inventory systems with inexact data in decision rules. Zbl 1397.90047de Ruiter, Frans J. C. T.; Ben-Tal, Aharon; Brekelmans, Ruud C. M.; den Hertog, Dick 6 2017 Direct solution to constrained tropical optimization problems with application to project scheduling. Zbl 1397.90312Krivulin, Nikolai 6 2017 A scenario-based framework for supply planning under uncertainty: stochastic programming versus robust optimization approaches. Zbl 1397.90217Maggioni, Francesca; Potra, Florian A.; Bertocchi, Marida 5 2017 Log-robust portfolio management with parameter ambiguity. Zbl 1397.90214Kawas, Ban; Thiele, Aurelie 4 2017 Chebyshev reduced basis function applied to option valuation. Zbl 1416.91400de Frutos, Javier; Gatón, Víctor 3 2017 Quality evaluation of scenario-tree generation methods for solving stochastic programming problems. Zbl 1397.90215Keutchayan, Julien; Gendreau, Michel; Saucier, Antoine 2 2017 Regularized decomposition of large scale block-structured robust optimization problems. Zbl 1397.90303van Ackooij, Wim; Lebbe, Nicolas; Malick, Jérôme 2 2017 Using tropical optimization to solve constrained minimax single-facility location problems with rectilinear distance. Zbl 1397.90240Krivulin, Nikolai 2 2017 Centered solutions for uncertain linear equations. Zbl 1407.90247Zhen, Jianzhe; den Hertog, Dick 2 2017 Numerical solutions to dynamic portfolio problems with upper bounds. Zbl 1416.91399Broadie, Mark; Shen, Weiwei 1 2017 A discrete optimality system for an optimal harvesting problem. Zbl 1406.91296Öz Bakan, Hacer; Yılmaz, Fikriye; Weber, Gerhard-Wilhelm 1 2017 On the impact of conditional expectation estimators in portfolio theory. Zbl 1416.91357Ortobelli, Sergio; Kouaissah, Noureddine; Tichý, Tomáš 1 2017 Implied volatility and state price density estimation: arbitrage analysis. Zbl 1416.91378Kopa, Miloš; Vitali, Sebastiano; Tichý, Tomáš; Hendrych, Radek 1 2017 Likelihood robust optimization for data-driven problems. Zbl 1397.90225Wang, Zizhuo; Glynn, Peter W.; Ye, Yinyu 26 2016 Monotonic bounds in multistage mixed-integer stochastic programming. Zbl 1397.90287Maggioni, Francesca; Allevi, Elisabetta; Bertocchi, Marida 16 2016 Decomposition for adjustable robust linear optimization subject to uncertainty polytope. Zbl 1397.90297Ayoub, Josette; Poss, Michael 13 2016 Solution sensitivity-based scenario reduction for stochastic unit commitment. Zbl 1397.90172Feng, Yonghan; Ryan, Sarah M. 4 2016 An improved Lagrangian relaxation and dual ascent approach to facility location problems. Zbl 1397.90239Jörnsten, Kurt; Klose, Andreas 3 2016 A leader-followers model of power transmission capacity expansion in a market driven environment. Zbl 1397.90079Pisciella, Paolo; Bertocchi, Marida; Vespucci, Maria Teresa 2 2016 A dynamic programming model of energy storage and transformer deployments to relieve distribution constraints. Zbl 1397.90046Xi, Xiaomin; Sioshansi, Ramteen 2 2016 Economics of collective monitoring: a study of environmentally constrained electricity generators. Zbl 1397.91303Contreras, J.; Krawczyk, J. B.; Zuccollo, J. 2 2016 Polyhedral approximation of ellipsoidal uncertainty sets via extended formulations: a computational case study. Zbl 1427.90272Bärmann, Andreas; Heidt, Andreas; Martin, Alexander; Pokutta, Sebastian; Thurner, Christoph 2 2016 On the average performance of the adjustable RO and its use as an offline tool for multi-period production planning under uncertainty. Zbl 1397.90314Melamed, Michal; Ben-Tal, Aharon; Golany, Boaz 2 2016 The natural hedge of a gas-fired power plant. Zbl 1397.90210Guo, Xiaojia; Beskos, Alexandros; Siddiqui, Afzal 1 2016 Penalized sample average approximation methods for stochastic programs in economic and secure dispatch of a power system. Zbl 1397.90246Tong, X. J.; Xu, H.; Wu, F. F.; Zhao, Z. 1 2016 On the customer lifetime value: a mathematical perspective. Zbl 1397.90207Ferrentino, R.; Cuomo, M. T.; Boniello, C. 1 2016 Advance selling to strategic consumers. Zbl 1397.90221Şeref, Michelle M. H.; Şeref, Onur; Alptekinoğlu, Aydın; Erengüç, S. Selçuk 1 2016 Constructing optimal sparse portfolios using regularization methods. Zbl 1355.91077Fastrich, B.; Paterlini, S.; Winker, P. 19 2015 Probabilistic constraints via SQP solver: application to a renewable energy management problem. Zbl 1317.90216Bremer, I.; Henrion, R.; Möller, A. 13 2015 Linear vs. quadratic portfolio selection models with hard real-world constraints. Zbl 1355.91076Cesarone, Francesco; Scozzari, Andrea; Tardella, Fabio 12 2015 Multi-period forecasting and scenario generation with limited data. Zbl 1319.90047Rios, Ignacio; Wets, Roger J-B; Woodruff, David L. 5 2015 A scalable solution framework for stochastic transmission and generation planning problems. Zbl 1397.90244Munoz, Francisco D.; Watson, Jean-Paul 3 2015 Controlled approximation of the value function in stochastic dynamic programming for multi-reservoir systems. Zbl 1397.90248Zéphyr, Luckny; Lang, Pascal; Lamond, Bernard F. 3 2015 Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs. Zbl 1356.91084Takano, Yuichi; Nanjo, Keisuke; Sukegawa, Noriyoshi; Mizuno, Shinji 3 2015 Multi-stage stochastic optimization: the distance between stochastic scenario processes. Zbl 1362.90306Timonina, Anna V. 3 2015 The maximum ratio clique problem. Zbl 1327.90246Sethuraman, Samyukta; Butenko, Sergiy 3 2015 A heuristic algorithm to solve the single-facility location routing problem on Riemannian surfaces. Zbl 1317.90170Tokgöz, Emre; Alwazzi, Samir; Trafalis, Theodore B. 2 2015 Game Theory Explorer: software for the applied game theorist. Zbl 1349.91002Savani, Rahul; von Stengel, Bernhard 2 2015 An integrated approach based on DEA and AHP. Zbl 1321.90070Pakkar, Mohammad Sadegh 2 2015 A column generation mathematical programming approach for a class-faculty assignment problem with preferences. Zbl 1320.90021Al-Yakoob, Salem M.; Sherali, Hanif D. 1 2015 Optimal annuity portfolio under inflation risk. Zbl 1356.91081Konicz, Agnieszka Karolina; Pisinger, David; Weissensteiner, Alex 1 2015 A comparison of Bayesian, hazard, and mixed logit model of bankruptcy prediction. Zbl 1317.62083Trabelsi, Samir; He, Roc; He, Lawrence; Kusy, Martin 1 2015 The evolution of cooperation with different fitness functions using probabilistic cellular automata. Zbl 1349.91045Schimit, P. H. T.; Santos, B. O.; Soares, C. A. 1 2015 Multi-horizon stochastic programming. Zbl 1298.90008Kaut, Michal; Midthun, Kjetil T.; Werner, Adrian S.; Tomasgard, Asgeir; Hellemo, Lars; Fodstad, Marte 12 2014 On distributionally robust multiperiod stochastic optimization. Zbl 1328.90089Analui, Bita; Pflug, Georg Ch. 8 2014 A copula-based heuristic for scenario generation. Zbl 1327.90154Kaut, Michal 5 2014 A Cournot-Nash-Bertrand game theory model of a service-oriented Internet with price and quality competition among network transport providers. Zbl 1342.91020Nagurney, Anna; Wolf, Tilman 4 2014 Edge detection by spherical separation. Zbl 1331.68262Astorino, A.; Gaudioso, M.; Khalaf, W. 3 2014 Interaction between financial risk measures and machine learning methods. Zbl 1342.91017Gotoh, Jun-ya; Takeda, Akiko; Yamamoto, Rei 2 2014 Capacity expansion and forward contracting in a duopolistic power sector. Zbl 1298.90047Chin, Dorea; Siddiqui, Afzal 2 2014 Computational framework for longevity risk management. Zbl 1296.91151D’Amato, Valeria; Haberman, Steven; Piscopo, Gabriella; Russolillo, Maria 2 2014 Numerical study of learning algorithms on Stiefel manifold. Zbl 1331.68184Kanamori, Takafumi; Takeda, Akiko 1 2014 Design optimization of an internal combustion engine powered CHP system for residential scale application. Zbl 1329.93103Diangelakis, Nikolaos A.; Panos, Christos; Pistikopoulos, Efstratios N. 1 2014 Equilibria and dynamics of supply chain network competition with information asymmetry in quality and minimum quality standards. Zbl 1321.90024Nagurney, Anna; Li, Dong 1 2014 Analysis of relationship between forward and spot markets in oligopolies under demand and cost uncertainties. Zbl 1356.91075Gülpınar, N.; Oliveira, F. S. 1 2014 Optimization of a linear function over the set of stochastic efficient solutions. Zbl 1307.90156Djamal, Chaabane; Fatma, Mebrek 1 2014 Assessing interbank contagion using simulated networks. Zbl 1282.91399Hałaj, Grzegorz; Kok, Christoffer 17 2013 Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios. Zbl 1296.91257Takeda, Akiko; Niranjan, Mahesan; Gotoh, Jun-Ya; Kawahara, Yoshinobu 13 2013 Simple measure of similarity for the market graph construction. Zbl 1282.91382Bautin, Grigory A.; Kalyagin, Valery A.; Koldanov, Alexander P.; Koldanov, Petr A.; Pardalos, Panos M. 8 2013 Network analysis of the e-MID overnight money market: the informational value of different aggregation levels for intrinsic dynamic processes. Zbl 1282.91397Finger, Karl; Fricke, Daniel; Lux, Thomas 5 2013 Computational study of the US stock market evolution: a rank correlation-based network model. Zbl 1282.91388Shirokikh, Oleg; Pastukhov, Grigory; Boginski, Vladimir; Butenko, Sergiy 4 2013 ...and 136 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,272 Authors 23 Drezner, Zvi 23 Escudero, Laureano Fernando 21 Nagurney, Anna 20 Kanzow, Christian 17 Van Ackooij, Wim 13 Drezner, Tammy 13 Maggioni, Francesca 13 Sagratella, Simone 12 Aussel, Didier 10 Dreves, Axel 10 Fukushima, Masao 10 Pflug, Georg Ch. 10 Wallace, Stein W. 9 Fábián, Csaba I. 9 Facchinei, Francisco 9 Pang, Jong-Shi 9 Pardalos, Panos M. 9 Watson, Jean-Paul 8 Allevi, Elisabetta 8 Araceli Garín, María 8 Branda, Martin 8 Castro, Jordi 8 Crainic, Teodor Gabriel 8 Pelegrín, Blas 8 Steck, Daniel A. 7 Gotoh, Jun-ya 7 Heitsch, Holger 7 Kalyagin, Valery A. 7 Konno, Hiroshi 7 Le Thi, Hoai An 7 Paterlini, Sandra 7 Rustem, Berc 7 Scrimali, Laura Rosa Maria 7 Weintraub, Andrés P. 7 Xu, Huifu 6 Ahmed, Shabbir 6 Alonso-Ayuso, Antonio 6 Astorino, Annabella 6 Gaudioso, Manlio 6 Grossmann, Ignacio E. 6 Kaut, Michal 6 Koldanov, Alexander P. 6 Koldanov, Petr A. 6 Krejić, Nataša 6 Kuhn, Daniel 6 Monge, Juan Francisco 6 Pichler, Alois 6 Schultz, Rüdiger 5 Carrizosa, Emilio 5 Cesarone, Francesco 5 Cojocaru, Monica-Gabriela 5 Daniele, Patrizia 5 Desaulniers, Guy 5 Gendreau, Michel 5 Grothey, Andreas 5 Henrion, René 5 Homem-de-Mello, Tito 5 Krawczyk, Jacek Bogdan 5 Krivulin, Nikolai K. 5 Laporte, Gilbert 5 Leung, Tim 5 Li, Dong 5 Lisser, Abdel 5 Lubin, Miles 5 Mitra, Gautam 5 Morgan, Jacqueline 5 Passacantando, Mauro 5 Pérez, Gloria 5 Pham Dinh Tao 5 Pistikopoulos, Efstratios N. 5 Plastria, Frank 5 Poss, Michael 5 Rei, Walter 5 Roman, Diana 5 Royset, Johannes O. 5 Ryan, Sarah M. 5 Sabino, Piergiacomo 5 Sen, Suvrajeet 5 Shanbhag, Uday V. 5 Takeda, Akiko 5 Unzueta, Aitziber 5 Wets, Roger Jean-Baptiste 5 Wiesemann, Wolfram 5 Woodruff, David L. 5 Zaccour, Georges 4 Anitescu, Mihai 4 Baldacci, Roberto 4 Bertocchi, Marida 4 Blanquero, Rafael 4 Chen, Zhiping 4 Cotrina, John 4 Cruz, José M. T. S. 4 Dempe, Stephan 4 den Hertog, Dick 4 Fernandez Hernandez, Jose 4 Fernández, Pascual 4 Fleten, Stein-Erik 4 Fuduli, Antonio 4 Gajardo, Pedro 4 Gatu, Cristian ...and 2,172 more Authors all top 5 Cited in 192 Journals 173 European Journal of Operational Research 85 Computational Management Science 71 Annals of Operations Research 68 Computers & Operations Research 63 Mathematical Programming. Series A. 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Seriya Matematika 2 Journal of Dynamics and Games ...and 92 more Journals all top 5 Cited in 37 Fields 971 Operations research, mathematical programming (90-XX) 489 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 128 Numerical analysis (65-XX) 108 Calculus of variations and optimal control; optimization (49-XX) 99 Statistics (62-XX) 65 Probability theory and stochastic processes (60-XX) 60 Computer science (68-XX) 45 Systems theory; control (93-XX) 18 Biology and other natural sciences (92-XX) 17 Partial differential equations (35-XX) 14 Operator theory (47-XX) 13 Combinatorics (05-XX) 6 History and biography (01-XX) 5 Fluid mechanics (76-XX) 4 Dynamical systems and ergodic theory (37-XX) 4 Functional analysis (46-XX) 4 Mechanics of deformable solids (74-XX) 4 Statistical mechanics, structure of matter (82-XX) 4 Geophysics (86-XX) 3 General and overarching topics; collections (00-XX) 3 Ordinary differential equations (34-XX) 3 Convex and discrete geometry (52-XX) 3 Information and communication theory, circuits (94-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Integral equations (45-XX) 2 General topology (54-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Number theory (11-XX) 1 Algebraic geometry (14-XX) 1 Topological groups, Lie groups (22-XX) 1 Measure and integration (28-XX) 1 Difference and functional equations (39-XX) 1 Sequences, series, summability (40-XX) 1 Approximations and expansions (41-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Differential geometry (53-XX) 1 Global analysis, analysis on manifolds (58-XX) Citations by Year