Buyback problem with discrete concave valuation functions

We discuss an online discrete optimization problem called the buyback problem. In the literature of the buyback problem, the valuation function representing the total value of selected elements is given by a linear function. In this paper, we consider a generalization of the buyback problem using nonlinear valuation functions. We propose an online algorithm for the problem with discrete concave valuation functions, and show that it achieves the tight competitive ratio, i.e., the competitive ratio of the proposed algorithm is equal to the known lower bound for the problem.     

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??In this paper, we consider the optimal dividend problem in the spectrally positive L\'{e}vy model with regime switching. By an auxiliary optimal problem, the principle of dynamic programming and the fluctuation theory of L\'{e}vy processes, we show that optimal strategy is a modulated barrier strategy. The value function and the optimal dividend barrier are obtained by iteration.     

One approach to the problem of nonparametric estimation in statistics of random processes based on the method of ill-posed problem

We consider the problem of estimation of integrated volatility, i.e., of the integral of the diffusion coefficient squared, in a stochastic differential equation for a random process that corresponds to geometric Brownian motion. In additon to purely theoretical interest, this problem is of interest for applications since the problem of evaluation of integrated volatility for financial assets is an important part of financial engineering topics. In the present paper, we suggest a new approach to the above-mentioned problem. We derive an integral equation whose solution determines the value of integrated volatility. This integral equation is a typical ill-posed problem of mathematical physics. The main idea of the proposed reduction of the original problem to an ill-posed problem consists of making its solution robust with respect to anomalous values of statistical data which are generated, for example, by market microstructure effects, such as the bid-ask spread. Bibliography: 7 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 351, 2007, pp. 117–128.     

Improving port performance in developing countries—A case study

Exchange algorithms are an important class of heuristics for hard combinatorial optimization problems as, e.g., salesman problems or quadratic assignment problems. In Kirkpatrick's and Cerny's exchange algorithms for the travelling salesman problem and placement problem they propose to perform an exchange not only if the objective function value decreases by this exchange, but also in certain cases if the objective function value increases. An exchange increasing the objective function value is performed stochastically depending on the size of the increment.Computational tests with quadratic assignment problems revealed an excellent behaviour in such an approach. Suboptimal solutions differing 1–2% from the best known solutions are obtained by a simple program in short time. By starting this program several times with different starting values all known minimal objective function values were reached. Thus this approach is well suited also for smaller computers and leads in short time to acceptable solutions.     

Competitive evaluation of threshold functions in the priced information model

In Charikar et al. (J. Comput. Syst. Sci. 64(4):785–819, 2002) the authors proposed a new model for studying the function evaluation problem based on a variant of the classical decision tree problem for Boolean functions. In this variant each variable of the function to evaluate has an associated cost which has to be paid in order to read the value of the variable. Given a function f and an assignment σ to the variables of f, the performance of an algorithm for evaluating f is measured via the competitive ratio, i.e., the ratio of the total cost spent by the algorithm and the cost of the cheapest set of variables constituting a certificate for the value of the function on the given assignment.     

On infinite horizon optimal stopping of general random walk

The objective of this study is to provide an alternative characterization of the optimal value function of a certain Black–Scholes-type optimal stopping problem where the underlying stochastic process is a general random walk, i.e. the process constituted by partial sums of an IID sequence of random variables. Furthermore, the pasting principle of this optimal stopping problem is studied.      

An initial-boundary value problem for the Maxwell equations

In this paper, by using methods from complex analysis and quaternionic analysis, we investigate an initial-boundary value problem for the Maxwell equations and obtain the general solutions and solvable conditions of the problem respectively in different cases. In addition, by using a similar method, we also discuss an initial-boundary value problem for a hyperbolic complex system of first order equations in R³.     

Optimal switching problems with an infinite set of modes: An approach by randomization and constrained backward SDEs

We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes, i.e. the possible values of the piecewise-constant control process). We allow all the given coefficients in the model to be path-dependent, that is, their value at any time depends on the past trajectory of the controlled system. The main aim is to introduce a suitable (scalar) backward stochastic differential equation (BSDE), with a constraint on the martingale part, that allows to give a probabilistic representation of the value function of the given problem. This is achieved by randomization of control, i.e. by introducing an auxiliary optimization problem which has the same value as the starting optimal switching problem and for which the desired BSDE representation is obtained. In comparison with the existing literature we do not rely on a system of reflected BSDE nor can we use the associated Hamilton–Jacobi–Bellman equation in our non-Markovian framework.     

Optimization of polymer extrusion with genetic algorithms

In the manufacture of plastics parts by extrusion or injectionmoulding, polymers are usually plasticized in single-screw units.The mechanisms involved are complex and dependent on the material,the geometry, and the type of operation. Usually, process optimizationis based on trial and error—a very inefficient method.A more efficient approach is to solve the inverse problem, i.e.to determine the operating conditions that produce the desiredoutput and/or product characteristics. An alternative strategyconsists in maximizing the value of an objective function, bysolving the direct problem iteratively. The nature of the objectivefunction—with conflicting criteria—and the characteristicsof the search space make an approach based on genetic algorithmsworth investigating. Therefore, a modelling package, an objectivefunction, and a genetic algorithm are interrelated to solvethe industrial extrusion problem. The advantages and disadvantagesof this implementation are discussed.     

Two boundary value problems for a strongly anisotropic inhomogeneous elastic ring

The second boundary value problem (displacements are given on the boundary) and the improper mixed problem for a cylindrically orthotropic ring are studied. It is assumed that the coefficients of elasticity are continuously differentiable functions of the coordinates and depend on a small parameter in a specific manner. The form of the dependence of the coefficients on the small parameter is selected in such a way that in the case of constant coefficients it describes bonding of the ring by two families of very rigid fibers located along the radius vectors and concentric circles, where the stiffness of the fiber families is of identical order. Consequently, the coefficients of elasticity are represented in the form of products of constants which will later be called provisionally the “stiffnesses”, and functions of the coordinates. It is assumed that the stiffnesses in the radial and circumferential directions are equal and exceed and shear stiffness considerably. The asymptotic form of the solution of the boundary value problems under consideration is constructed when the ratio between the shear stiffness and the stiffness in the radial direction is used as the small parameter. In the case of the second boundary value problem the limit boundary value problem is described by a hyperbolic system of equations and is not solvable uniquely, since one of the families of characteristics is parallel to the boundary. When constructing the asymptotic form the necessity arises to average the coefficients of elasticity with respect to the circumferential coordinate. In this respect, there is an analogy with the results obtained in /1/ where the boundary value problem was studied for a second-order elliptic equation.