335 research outputs found
Computational Management Science, special issue
No full textNumero speciale della rivista Computational Management Science. Guest Editors A. Migdalas, P.M. Pardalos, Gerardo Torald
Second order cone programming approaches to static shakedown analysis in steel plasticity
No full textThe finite element method discretized static shakedown analysis of steel constructions leads to large, sparse convex optimization problems. Under the von Mises yield criterion, they lead to second-order cone programming problems, for which the most appropriate techniques are Interior Point Methods. Various approaches exploiting the specific characteristics of the shakedown problems are presented and discussed
Feedback set problems
No full textIn recent years feedback set problems have been the subject of growing interest. They have found applications in many fields, including deadlock prevention, program verification, and Bayesian inference. Therefore, it is natural that in the past few years there have been intensive efforts on exact and approximation algorithms for these kinds of problems. It generalizes a number of problems, including the minimum feedback vertex (arc) set problem in both directed and undirected graphs, the subset minimum feedback vertex (arc) set problem and the graph bipartization problem, in which one must remove a minimum-weight set of vertices so that the remaining graph is bipartite. The scope of this article is to give a complete state-of-art survey of exact and approximation algorithms and to analyze a new practical heuristic method called GRASP for solving both feedback vertex and feedback arc set problems
On the Approximation of Monotone Variational Inequalities in L p Spaces with Probability Measure
No full textIn this paper we propose an approximation procedure for a class of mono- tone variational inequalities in probabilistic Lebesgue spaces. The implementation of the functional approximation in Lp, with p > 2, leads to a finite dimensional varia- tional inequality whose structure is different from the one obtained in the case p = 2, already treated in the literature. The proposed computational scheme is applied to the random traffic equilibrium problem with polynomial cost functions
Financial evaluation of life insurance policies in high performance computing environments
No full textThe European Directive Solvency II has increased the request of stochastic Asset-Liability Management models for insurance undertakings. The Directive has established that insurance undertakings can develop their own “internal models” for the evaluation of values and risks in the contracts. In this chapter, we give an overview on some computational issues related to internal models. The analysis is carried out on “Italian style” profit-sharing life insurance policies (PS policies) with minimum guarantees. We describe some approaches for the development of accurate and efficient algorithms for their simulation. In particular, we discuss the development of parallel software procedures. Main computational kernels arising in models employed in this framework are stochastic differential equations (SDEs) and high-dimensional integrals. We show how one can develop accurate and efficient procedures for PS policies simulation applying different numerical methods for SDEs and techniques for accelerating Monte Carlo simulations for the evaluation of the integrals. Moreover, we show that the choice of an appropriate probability measure provides a significative gain in terms of accuracy
High Performance Algorithms and Software in Nonlinear Optimization
No full textThe book provides an overview of the nonlinear optimization field, including algorithms, software evaluation, implementation issues, applications, and areas of research, through authoritative papers by some of the most active and well-known researchers in the field
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