相关论文: Evolutionary multi-stage financial scenario tree g…

Multi-stage (designed) procedures, obtained by splitting the sampling budget suitably across stages, and designing the sampling at a particular stage based on information about the parameter obtained from previous stages, are often…

We discuss the stochastic interpretation of a control system determined by a system of differential equations on a tree. For example, such a system on a finite tree arises after replacing the coefficients of the equation on an interval with…

In this paper we build a method to optimize Multi-Year Prospective Budgets. First we present a systemic model of Local Community Finances. Then, from two acceptable Multi-Year Prospective Budgets the method implements a Genetic Algorithm to…

This paper introduces a novel multi-stage decision-making model that integrates hypothesis testing and dynamic programming algorithms to address complex decision-making scenarios.Initially,we develop a sampling inspection scheme that…

In the field of evolutionary multi-objective optimization, the approximation of the Pareto front (PF) is achieved by utilizing a collection of representative candidate solutions that exhibit desirable convergence and diversity. Although…

Multistage robust optimization problems can be interpreted as two-person zero-sum games between two players. We exploit this game-like nature and utilize a game tree search in order to solve quantified integer programs (QIPs). In this…

We consider an online two-stage stochastic optimization with long-term constraints over a finite horizon of $T$ periods. At each period, we take the first-stage action, observe a model parameter realization and then take the second-stage…

Contextual stochastic optimization is an advanced methodology to model uncertainty in the presence of contextual information during decision planning processes. Although classical methodologies focus on minimizing the expectation of a…

As the development of distributed systems progresses, more and more challenges arise and the need for developing optimized systems and for optimizing existing systems from multiple perspectives becomes more stringent. In this paper I…

We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…

A tremendous range of design tasks in materials, physics, and biology can be formulated as finding the optimum of an objective function depending on many parameters without knowing its closed-form expression or the derivative. Traditional…

Autoregressive language models demonstrate excellent performance in various scenarios. However, the inference efficiency is limited by its one-step-one-word generation mode, which has become a pressing problem recently as the models become…

Day-ahead scheduling of electricity generation or unit commitment is an important and challenging optimization problem in power systems. Variability in net load arising from the increasing penetration of renewable technologies have…

Recently, there has been a growing interest in distributionally robust optimization (DRO) as a principled approach to data-driven decision making. In this paper, we consider a distributionally robust two-stage stochastic optimization…

This paper investigates optimal portfolio strategies in a market where the drift is driven by an unobserved Markov chain. Information on the state of this chain is obtained from stock prices and expert opinions in the form of signals at…

With the advent of Web 2.0, various types of data are being produced every day. This has led to the revolution of big data. Huge amount of structured and unstructured data are produced in financial markets. Processing these data could help…

We study a utility maximization problem in a financial market with a stochastic drift process, combining a worst-case approach with filtering techniques. Drift processes are difficult to estimate from asset prices, and at the same time…

We study discrete-time predictable forward processes when trading times do not coincide with performance evaluation times in a binomial tree model for the financial market. The key step in the construction of these processes is to solve a…

Decision trees are highly interpretable models for solving classification problems in machine learning (ML). The standard ML algorithms for training decision trees are fast but generate suboptimal trees in terms of accuracy. Other discrete…

Evolutionary game theory is a framework to formalize the evolution of collectives ("populations") of competing agents that are playing a game and, after every round, update their strategies to maximize individual payoffs. There are two…