Computational Management Science

2003 - 2025

Current editor(s): Ruediger Schultz

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Volume 14, issue 4, 2017

Special issue on the 13th international conference on computational management science pp. 461-463

A. Alonso-Ayuso and F. Maggioni

Chebyshev reduced basis function applied to option valuation pp. 465-491

Javier Frutos and Víctor Gatón

Using tropical optimization to solve constrained minimax single-facility location problems with rectilinear distance pp. 493-518

Nikolai Krivulin

A discrete optimality system for an optimal harvesting problem pp. 519-533

Hacer Öz Bakan, Fikriye Yılmaz and Gerhard-Wilhelm Weber

On the impact of conditional expectation estimators in portfolio theory pp. 535-557

Sergio Ortobelli, Noureddine Kouaissah and Tomáš Tichý

Implied volatility and state price density estimation: arbitrage analysis pp. 559-583

Miloš Kopa, Sebastiano Vitali, Tomáš Tichý and Radek Hendrych

Centered solutions for uncertain linear equations pp. 585-610

Jianzhe Zhen and Dick Hertog

Volume 14, issue 3, 2017

Pricing catastrophe bonds with multistage stochastic programming pp. 297-312

Nick Georgiopoulos

Fast binomial procedures for pricing Parisian/ParAsian options pp. 313-331

Marcellino Gaudenzi and Antonino Zanette

Quality evaluation of scenario-tree generation methods for solving stochastic programming problems pp. 333-365

Julien Keutchayan, Michel Gendreau and Antoine Saucier

Regularised gradient boosting for financial time-series modelling pp. 367-391

Alexandros Agapitos, Anthony Brabazon and Michael O’Neill

Regularized decomposition of large scale block-structured robust optimization problems pp. 393-421

Wim Ackooij, Nicolas Lebbe and Jérôme Malick

Optimal trial duration times for multiple change points products lifetime distributions pp. 423-441

Rachele Foschi

A joint model of probabilistic/robust constraints for gas transport management in stationary networks pp. 443-460

T. González Grandón, H. Heitsch and R. Henrion

Volume 14, issue 2, 2017

Volatility forecasting via SVR–GARCH with mixture of Gaussian kernels pp. 179-196

Pedro Correia S. Bezerra and Pedro Henrique M. Albuquerque

A comparison between the robust risk-aware and risk-seeking managers in R&D portfolio management pp. 197-213

Shuyi Wang and Aurélie Thiele

Numerical solutions to dynamic portfolio problems with upper bounds pp. 215-227

Mark Broadie and Weiwei Shen

Log-robust portfolio management with parameter ambiguity pp. 229-256

Ban Kawas and Aurelie Thiele

Novel approaches for portfolio construction using second order stochastic dominance pp. 257-280

Cristiano Arbex Valle, Diana Roman and Gautam Mitra

A developed slope order index (SOI) for bottlenecks in projects and production lines pp. 281-291

Mehdi Rajabi Asadabadi

Erratum to: Polyhedral approximation of ellipsoidal uncertainty sets via extended formulations: a computational case study pp. 293-296

Andreas Bärmann, Andreas Heidt, Alexander Martin, Sebastian Pokutta and Christoph Thurner

Volume 14, issue 1, 2017

Special issue on the 12th international conference on computational management science pp. 1-4

Miloš Kopa and Wolfram Wiesemann

A scenario-based framework for supply planning under uncertainty: stochastic programming versus robust optimization approaches pp. 5-44

Francesca Maggioni, Florian A. Potra and Marida Bertocchi

Robust optimization of uncertain multistage inventory systems with inexact data in decision rules pp. 45-66

Frans J. C. T. Ruiter, Aharon Ben-Tal, Ruud Brekelmans and Dick Hertog

SDDP for multistage stochastic programs: preprocessing via scenario reduction pp. 67-80

Jitka Dupačová and Václav Kozmík

Goldbach’s conjecture in max-algebra pp. 81-89

Peter Szabó

Direct solution to constrained tropical optimization problems with application to project scheduling pp. 91-113

Nikolai Krivulin

Robust shift generation in workforce planning pp. 115-134

Dori Hulst, Dick Hertog and Wim Nuijten

Optimal pension fund composition for an Italian private pension plan sponsor pp. 135-160

Sebastiano Vitali, Vittorio Moriggia and Miloš Kopa

Flow-based formulations for operational fixed interval scheduling problems with random delays pp. 161-177

Martin Branda and Štěpán Hájek

Volume 13, issue 4, 2016

A moment matching approach to log-normal portfolio optimization pp. 501-520

Elçin Çetinkaya and Aurélie Thiele

On the customer lifetime value: a mathematical perspective pp. 521-539

R. Ferrentino, M. T. Cuomo and C. Boniello

Bootstrap estimation of the efficient frontier pp. 541-570

Begoña Font

On the minimum-cost $$\lambda $$ λ -edge-connected k-subgraph problem pp. 571-596

Elham Sadeghi and Neng Fan

Advance selling to strategic consumers pp. 597-626

Michelle M. H. Şeref, Onur Şeref, Aydın Alptekinoğlu and S. Selçuk Erengüç

Volume 13, issue 3, 2016

An improved Lagrangian relaxation and dual ascent approach to facility location problems pp. 317-348

Kurt Jörnsten and Andreas Klose

Economics of collective monitoring: a study of environmentally constrained electricity generators pp. 349-369

J. Contreras, Jacek Krawczyk and James Zuccollo

Accelerating viability kernel computation with CUDA architecture: application to bycatch fishery management pp. 371-391

Antoine Brias, Jean-Denis Mathias and Guillaume Deffuant

Monotonic bounds in multistage mixed-integer stochastic programming pp. 423-457

Francesca Maggioni, Elisabetta Allevi and Marida Bertocchi

Protecting the data-driven newsvendor against rare events: a correction-term approach pp. 459-482

Gokhan Metan and Aurélie Thiele

Investment in electric energy storage under uncertainty: a real options approach pp. 483-500

Ida Bakke, Stein-Erik Fleten, Lars Ivar Hagfors, Verena Hagspiel, Beate Norheim and Sonja Wogrin

Volume 13, issue 2, 2016

Polyhedral approximation of ellipsoidal uncertainty sets via extended formulations: a computational case study pp. 151-193

Andreas Bärmann, Andreas Heidt, Alexander Martin, Sebastian Pokutta and Christoph Thurner

Decomposition for adjustable robust linear optimization subject to uncertainty polytope pp. 219-239

Josette Ayoub and Michael Poss

On the average performance of the adjustable RO and its use as an offline tool for multi-period production planning under uncertainty pp. 293-315

Michal Melamed, Aharon Ben-Tal and Boaz Golany

Volume 13, issue 1, 2016

Computational Management Science Special Issue on “Optimisation methods and applications in the energy sector” pp. 1-3

Stein-Erik Fleten, Daniel Kuhn and Afzal Siddiqui

Computational Management Science Special Issue on “Optimisation methods and applications in the energy sector” pp. 1-3

Stein-Erik Fleten, Daniel Kuhn and Afzal Siddiqui

The impact of wind uncertainty on the strategic valuation of distributed electricity storage pp. 5-27

Pedro Crespo Del Granado, Stein Wallace and Zhan Pang

Solution sensitivity-based scenario reduction for stochastic unit commitment pp. 29-62

Yonghan Feng and Sarah Ryan

The natural hedge of a gas-fired power plant pp. 63-86

Xiaojia Guo, Alexandros Beskos and Afzal Siddiqui

A leader-followers model of power transmission capacity expansion in a market driven environment pp. 87-118

Paolo Pisciella, Marida Bertocchi and Maria Vespucci

A dynamic programming model of energy storage and transformer deployments to relieve distribution constraints pp. 119-146

Xiaomin Xi and Ramteen Sioshansi