Articles

1. Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives

   • Allan Jonathan da Silva
   • Jack Baczynski

   Original Paper 27 April 2024 Article: 29

   

2. Decomposition methods for monotone two-time-scale stochastic optimization problems

   • Tristan Rigaut
   • Pierre Carpentier
   • Michel De Lara

   Original Paper 21 April 2024 Article: 28

   

3. Handling of long-term storage in multi-horizon stochastic programs

   • Michal Kaut

   Original Paper Open access 10 April 2024 Article: 27

   

4. A financial trading system with optimized indicator setting, trading rule definition, and signal aggregation through Particle Swarm Optimization

   • Marco Corazza
   • Claudio Pizzi
   • Andrea Marchioni

   Original Paper 20 March 2024 Article: 26

   

5. Using interpolated implied volatility for analysing exogenous market changes

   • Matúš Maciak
   • Sebastiano Vitali

   Original Paper Open access 11 March 2024 Article: 25

   

6. Notes on random optimal control equilibrium problem via stochastic inverse variational inequalities

   • Annamaria Barbagallo
   • Bruno Antonio Pansera
   • Massimiliano Ferrara

   Original Paper Open access 11 March 2024 Article: 24

   

7. Multiple obnoxious facility location: the case of protected areas

   • Malgorzata Miklas-Kalczynska
   • Pawel Kalczynski

   Original Paper 27 February 2024 Article: 23

   

8. A distributed approach to meteorological predictions: addressing data imbalance in precipitation prediction models through federated learning and GANs

   • Elaheh Jafarigol
   • Theodore B. Trafalis

   Original Paper 19 February 2024 Article: 22

   

9. Distributed continuous-time optimization for convex problems with coupling linear inequality constraints

   • Oleg O. Khamisov

   Original Paper 18 February 2024 Article: 21

   

10. Reverse auctions with transportation and convex costs

    • Benjamin Heymann
    • Alejandro Jofré

    Original Paper 05 February 2024 Article: 20

11. Implicitly normalized forecaster with clipping for linear and non-linear heavy-tailed multi-armed bandits

    • Yuriy Dorn
    • Nikita Kornilov
    • Alexander Gasnikov

    Original Paper 29 January 2024 Article: 19

    

12. Analysis of weakly correlated nodes in market network

    • Dmitry Semenov
    • Alexander Koldanov
    • Petr Koldanov

    Original Paper 23 January 2024 Article: 18

    

13. Evaluation of strategy portfolios

    • Anlan Wang
    • Aleš Kresta
    • Tomáš Tichý

    Original Paper Open access 20 January 2024 Article: 17

    

14. Nested Benders’s decomposition of capacity-planning problems for electricity systems with hydroelectric and renewable generation

    • Kenjiro Yagi
    • Ramteen Sioshansi

    Original Paper Open access 13 January 2024 Article: 16

    

15. Primal-dual gradient methods for searching network equilibria in combined models with nested choice structure and capacity constraints

    • Meruza Kubentayeva
    • Demyan Yarmoshik
    • Alexey Shurupov

    Original Paper 04 January 2024 Article: 15

    

16. Preconditioning meets biased compression for efficient distributed optimization

    • Vitali Pirau
    • Aleksandr Beznosikov
    • Alexander Gasnikov

    Original Paper 24 December 2023 Article: 14

    

17. Affiliations based bibliometric analysis of publications on parkinson’s disease

    • Fuad Aleskerov
    • Olga Khutorskaya
    • Ksenia Zinovyeva

    Original Paper 21 December 2023 Article: 13

18. Decentralized convex optimization on time-varying networks with application to Wasserstein barycenters

    • Olga Yufereva
    • Michael Persiianov
    • Dmitry Kovalev

    Original Paper 16 December 2023 Article: 12

    

19. Addressing the economic and demographic complexity via a neural network approach: risk measures for reverse mortgages

    • E. Di Lorenzo
    • G. Piscopo
    • M. Sibillo

    Original Paper Open access 08 December 2023 Article: 11

    

20. Decentralized optimization with affine constraints over time-varying networks

    • Demyan Yarmoshik
    • Alexander Rogozin
    • Alexander Gasnikov

    Original Paper 07 December 2023 Article: 10

    

21. Potts game on graphs: static equilibria

    • Andrey Leonidov

    Original Paper 05 December 2023 Article: 9

    

22. Decentralized optimization over slowly time-varying graphs: algorithms and lower bounds

    • Dmitry Metelev
    • Aleksandr Beznosikov
    • Anton Proskurnikov

    Original Paper 28 November 2023 Article: 8

    

23. A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series

    • Carlin C. F. Chu
    • Simon S. W. Li

    Original Paper Open access 17 November 2023 Article: 7

    

24. A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures

    • Massimiliano Kaucic
    • Filippo Piccotto
    • Gabriele Sbaiz

    Original Paper Open access 08 November 2023 Article: 6

    

25. Decentralized saddle-point problems with different constants of strong convexity and strong concavity

    • Dmitry Metelev
    • Alexander Rogozin
    • Dmitry Kovalev

    Original Paper 06 November 2023 Article: 5

    

26. The Value of Shared Information for allocation of drivers in ride-hailing: a proof-of-concept study

    • Gianfranco Liberona
    • David Salas
    • Léonard von Niederhäusern

    Original Paper 03 November 2023 Article: 4

    

27. Approximate option pricing under a two-factor Heston–Kou stochastic volatility model

    • Youssef El-Khatib
    • Zororo S. Makumbe
    • Josep Vives

    Original Paper Open access 03 November 2023 Article: 3

    

28. A refinement of the gravity model for competitive facility location

    • Zvi Drezner
    • Dawit Zerom

    Original Paper 02 November 2023 Article: 2

    

29. Emergency exit layout planning using optimization and agent-based simulation

    • Maren S. Barth
    • Katharina Palm
    • Andreas Krüger

    Original Paper Open access 30 October 2023 Article: 1

    

30. Non-smooth setting of stochastic decentralized convex optimization problem over time-varying Graphs

    • Aleksandr Lobanov
    • Andrew Veprikov
    • Dmitry Kovalev

    Original Paper 24 October 2023 Article: 48

    

31. Integration of inventory control, maintenance policy, and quality control for selling products under warranty

    • Ali Salmasnia
    • Soudabeh Hajihaji
    • Mohammad Reza Maleki

    Original Paper 18 October 2023 Article: 47

    

32. Wrong Way Risk corrections to CVA in CIR reduced-form models

    • Fabio Antonelli
    • Alessandro Ramponi
    • Sergio Scarlatti

    Original Paper Open access 16 October 2023 Article: 46

    

33. Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making

    • Wei Wang
    • Huifu Xu

    Original Paper 05 October 2023 Article: 45

    

34. An ALNS-based matheuristic algorithm for a multi-product many-to-many maritime inventory routing problem

    • Nooshin Heidari
    • Ahmad Hemmati

    Original Paper Open access 30 September 2023 Article: 44

    

35. Approximate variational inequalities and equilibria

    • Giancarlo Bigi
    • Lorenzo Lampariello
    • Valerio Giuseppe Sasso

    Original Paper Open access 25 September 2023 Article: 43

    

36. On efficiency and the Jain’s fairness index in integer assignment problems

    • Nahid Rezaeinia
    • Julio C. Góez
    • Mario Guajardo

    Original Paper Open access 22 September 2023 Article: 42

    

37. Renewable electricity capacity planning with uncertainty at multiple scales

    • Michael C. Ferris
    • Andy Philpott

    Original Paper Open access 08 September 2023 Article: 41

    

38. Mathematical modeling for further improving task scheduling on Big Data systems

    • Stavros Souravlas
    • Sofia Anastasiadou
    • Angelo Sifaleras

    Original Paper Open access 06 September 2023 Article: 40

    

39. Competitive facility location under attrition

    • Zvi Drezner
    • Dawit Zerom

    Original Paper 29 August 2023 Article: 39

    

40. Solving linear multiplicative programs via branch-and-bound: a computational experience

    • R. Cambini
    • R. Riccardi
    • D. Scopelliti

    Original Paper Open access 29 August 2023 Article: 38

41. Gradient-free methods for non-smooth convex stochastic optimization with heavy-tailed noise on convex compact

    • Nikita Kornilov
    • Alexander Gasnikov
    • Darina Dvinskikh

    Original Paper 28 August 2023 Article: 37

    

42. Accelerated methods for weakly-quasi-convex optimization problems

    • Sergey Guminov
    • Alexander Gasnikov
    • Ilya Kuruzov

    Original Paper 27 July 2023 Article: 36

    

43. Complementarity formulation of games with random payoffs

    • Rossana Riccardi
    • Giorgia Oggioni
    • Abdel Lisser

    Original Paper Open access 22 July 2023 Article: 35

    

44. Modularity in planted partition model

    • Mikhail Koshelev

    Original Paper 17 July 2023 Article: 34

45. Online decision making for trading wind energy

    • Miguel Angel Muñoz
    • Pierre Pinson
    • Jalal Kazempour

    Original Paper Open access 28 June 2023 Article: 33

    

46. Implied volatility smoothing at COVID-19 times

    • Sebastiano Vitali
    • Miloš Kopa
    • Gabriele Giana

    Original Paper Open access 27 June 2023 Article: 32

    

47. A fast Monte Carlo scheme for additive processes and option pricing

    • Michele Azzone
    • Roberto Baviera

    Original Paper Open access 25 June 2023 Article: 31

    

48. On quasidifferentiable mathematical programs with equilibrium constraints

    • Vivek Laha
    • Harsh Narayan Singh

    Original Paper 21 June 2023 Article: 30

49. Robust selective maintenance optimization of series–parallel mission-critical systems subject to maintenance quality uncertainty

    • Hamzea Al-Jabouri
    • Ahmed Saif
    • Claver Diallo

    Original Paper 15 June 2023 Article: 29

    

50. Optimization of mixture models on time series networks encoded by visibility graphs: an analysis of the US electricity market

    • Carlo Mari
    • Cristiano Baldassari

    Original Paper Open access 30 May 2023 Article: 28