We study a financial model with one risk-free and one risky asset subject to liquidity risk and price impact. In this market, an investor may transfer funds between the two assets at any discrete time. Each purchase or sale policy decision affects the price of the risky asset and incurs some fixed transaction cost. The objective is to maximize the expected utility from terminal liquidation valu...

In this paper, the combined sensitivity and gain margin problem for SISO linear systems is formulated and solved using a complex function interpolation technique. It is proved that this problem always has a real rational solution provided it is solvable in the complex irrational sense. The sensitivity minimization problem subject to a gain margin constraint and its dual problem are also conside...

neighborhood search strategy, our polynomial time algorithm finds the optimum solution in an exponential-size solution sub-space. The final output is a buffered rectilinear Steiner routing tree that connects the driver of a net to its sink nodes. The two variants of the problem, i.e., maximizing the required time at the driver subject to a maximum total area constraint and minimizing the total ...

This paper describes efficient algorithms for determining how buffer space should be allocated in a flow line. We analyze two problems: a primal problem, which minimizes total buffer space subject to a production rate constraint; and a dual problem, which maximizes production rate subject to a total buffer space constraint. The dual problem is solved by means of a gradient method, and the prima...

Adaptive finite element methods for optimization problems for second order linear elliptic partial differential equations subject to pointwise constraints on the `-norm of the gradient of the state are considered. In a weak duality setting, i.e. without assuming a constraint qualification such as the existence of a Slater point, residual based a posteriori error estimators are derived. To overc...

We present a survey of complexity results for hybrid constraint satisfaction problems (CSPs) and valued constraint satisfaction problems (VCSPs). These are classes of (V)CSPs defined by restrictions that are not exclusively language-based or structure-based. 1998 ACM Subject Classification F.4.1 Mathematical Logic, G.2.1 Combinatorics, G.2.2 Graph Theory, F.1.3 Complexity Measures and Classes, ...

We present a brief survey of some of the key results on the interplay between algebraic and graph-theoretic methods in the study of the complexity of digraph-based constraint satisfaction problems. 1998 ACM Subject Classification A.1 Introductory and Survey, D.3.2 Constraint and Logic Languages, F.2.2 Computations on Discrete Structures

In this article, I will consider Markov Decision Processes with two criteria, each defined as the expected value of an infinite horizon cumulative return. The second criterion is either itself subject to an inequality constraint, or there is maximum allowable probability that the single returns violate the constraint. I describe and discuss three new reinforcement learning approaches for solvin...

We investigate three classes of constraints in a thermoelastic body: (i) a deformationtemperature constraint, (ii) a deformation-entropy constraint, and (iii) a deformationenergy constraint. These constraints are obtained as limits of unconstrained thermoelastic materials and we show that constraints (ii) and (iii) are equivalent. By using a limiting procedure, we show that for the constraint (...

the problem of scheduling with multi agent has been studiedfor more than one decade and significant advances have been madeover the years. however, most work has paid more attention to the conditionthat machines are available during planning horizon. motivatedby the observations, this paper studies a two-agent scheduling modelwith multiple availability constraint. each agent aims at minimizing ...