Short-term production scheduling in open pit mining consists of defining the extraction sequence and process allocation of mineralized material over time-sca...

In this paper, we focus on the problem that has been described in the second international nurse rostering competition: a personalized nurse scheduling prob...

This study presents a production scheduling optimization method for a mining complex, which provides a flexible long-term plan for future investments and ope...

Partially observed major minor LQG mean field game theory is applied to an optimal execution problem in finance; following standard financial models, control...

Stochastic Dynamic Programming (SDP) is a powerful approach applicable to nonconvex and stochastic stagewise problems. We investigate the impact of the form...

We propose an analytical formula for the evaluation of compound options when the underlying asset is described by a two-states Markov regime-switching log-...

An exchangeable bond is a debt that is convertible into shares of a firm's equity other than the bond's issuer. We evaluate an exchangeable bond within a two...

Unlike delta-hedging or similar methods based on Greeks, global hedging is an approach optimizing some terminal criterion that depends on the difference be...

Most structural models for valuing corporate securities assume a geometric-Brownian motion to describe the firm's assets value. However, this does not reflec...

The problem of output stabilization is studied for a class of linear hybrid systems subject to signal uncertainties: linear impulsive systems under dwell-t...

In this article, we discuss an alternative method for deriving conservative approximation models for two-stage robust optimization problems. The method main...

In this study, the problem environment consists of two fast fashion retailing firms where one can obtain the other's selling data from an outside agent. The ...

This paper proposes a multi-stage stochastic programming formulation based on affine decision rules for the reservoir management problem. Our approach seeks ...

Partially observed Mean Field Game (PO MFG) theory was introduced and developed in (Caines and Kizilkale, 2013, 2014, Şen and Caines 2014, 2015), where it i...

The object of study in the recent theory of Mean Field Games has been primarily large populations of agents interacting through a population dependent coupli...

This paper proposes a multi-stage stochastic programming formulation for the reservoir management problem. Our problem specifically consists in minimizing th...

We develop a general structural model for valuing risky corporate debts that takes into account both default and interest rate risk. We propose a two-dimensi...

The traditional mine planning framework employs a flawed approach in the design of ultimate pit limits and phases. Conventional methods arbitrarily confine ...

This paper presents three hyper-heuristic approaches for the stochastic open-pit mine production scheduling problem with one processing stream (SMPS) and one...

Locally weighted regression combines the advantages of polynomial regression and kernel smoothing. We present three ideas for appropriate and effective use...