Browsing by Author "Mitra, Gautam"

Now showing items 1-5 of 5

2010-11-29Buch

A computational study of a solver system forprocessing two-stage stochastic linearprogramming problems

Zverovich, Victor; Fábián, C.; Ellison, Francis; Mitra, Gautam
2005-04-11Buch

Extending algebraic modelling languages for Stochastic Programming

Valente, P.; Mitra, Gautam; Sadki, M.; Fourer, R.

The algebraic modelling languages (AML) have gained wide acceptance and use in Mathematical Programming by researchers and practitioners. At a basic level, stochastic programming models can be defined using these languages ...
2008-07-02Buch

Processing Second-Order Stochastic Dominance models using cutting-plane representations

Fabian, Csaba I.; Mitra, Gautam; Roman, Diana

Second-order stochastic dominance (SSD) is widely recognised as an important decision criteria in portfolio selection. Unfortunately, stochastic dominance models can be very demanding from a computational point of view. ...
2006-10-27Buch

Robust solution and risk measures for a supply chain planning problem under uncertainty

Poojari, Chandra A.; Lucas, Cormac; Mitra, Gautam

We consider a strategic supply chain planning problem formulated as a two-stageStochastic Integer Programming (SIP) model. The strategic decisions include sitelocations, choices of production, packing and distribution ...
2004-06-15Buch

Treasury management model with foreign exchange exposure

Volosov, Konstantin; Mitra, Gautam; Spagnolo, Fabio; Lucas, Cormac

In this paper we formulate a model for foreign exchange exposure management and (international) cash management taking into consideration random fluctuations of exchange rates. A vector error correction model (VECM) is ...