Recently equal risk pricing, a framework for fair derivative pricing, was extended to consider dynamic risk measures. However, all current implementations ei...

Crew pairing problems (CPP) are regularly solved by airlines to produce crew schedules. The goal of CPPs is to find a set of pairings (sequence of flights a...

The multi-depot scheduling problem (MDVSP) is one of the most studied problem in public transport service planning. It consists of assigning buses to each ti...

Personnel scheduling consists in determining employee work schedules (sequences of work shifts and days off) to cover the demands of multiple jobs over a pl...

Statistical learning models are proposed for the prediction of the probability of a spike in the electricity DART (day-ahead minus real-time price) spread. A...

We study an integrated multi-product production and distribution problem considering a network of multiple plants and customers, who are geographically dispe...

We consider the problem of training a deep neural network with nonsmooth regularization to retrieve a sparse and efficient sub-structure. Our regularizer is ...

The conjugate gradient (CG) method is a classic Krylov subspace method for solving symmetric positive definite linear systems. We introduce an analogous sem...

We explore the realized alpha-performance heterogeneity in green and brown stocks' universes using the peer performance ratios of Ardia and Boudt(2018). Focu...

A new factor-based representation of implied volatility surfaces is proposed. The factors adequately capture the moneyness and maturity slopes, the smile att...

Nous proposons dans cet article un algorithme rapide pour calculer une borne supérieure au problème de la gestion de la puissance des utilisateurs d'un e...

This paper considers the pricing of a new product in the face of sophisticated consumer behaviors. At the individual level, consumers are forward-looking, wh...

We formulate an efficient approximation for multi-agent batch reinforcement learning, the approximated multi-agent fitted Q iteration (AMAFQI). We present a ...

The transmission of the contagious Coronavirus disease (COVID-19) is highly dependent on individual viral dynamics. Reverse-transcription quantitative polyme...

We study a staffing optimization problem in multi-skill call centers. The objective is to minimize the total cost of agents under some quality of service (Q...

We consider the problem of estimating the density of a random variable \(X\) which is the output of a simulation model. We show how an unbiased density ...

We study quasi-Monte Carlo (QMC) integration of smooth functions defined over the multi-dimensional unit cube. Inspired by a recent work of Pan and Owen, we ...

The procurement of freight services is an important element for the supply chain management of a shipper (i.e., a manufacturer or retailer) that sources tran...

Nous proposons une procédure pour calculer une projection de \(w \in ℝ^n\) dans l'intersection de la soi-disant boule en norme zéro \(k B_0\) de rayon ...

Using a multi-level perspective approach combined with top-down macroeconomic models, we analyse the situation of the GCC countries in the perspective of a...