A lot sizing and scheduling problem from a foundry is considered in which key materials are produced and then transformed into many products on a single machine. A mixed integer programming (MIP) model is developed, taking into account sequence-dependent setup costs and times, and then adapted for rolling horizon use. A relax-and-fix (RF) solution heuristic is proposed and computationally teste...

Changes in prices of metals in London Metal Exchange during the last ten years are analyzed, to check possibilities of their forecasting in medium-term horizon (from 1 month to 1 year ahead). The predictions based on extrapolation of linear trends and cyclic components are proposed. It is shown that a cycle period can be selected by analysis of rolling Fourier spectra of the series. The predict...

We consider a stochastic version of a dynamic resource allocation problem. In this setting, reusable resources must be assigned to tasks that arise randomly over time. We solve the problem using an adaptive dynamic programming algorithm that uses nonlinear functional approximations that give the value of resources in the future. Our functional approximations are piecewise linear and naturally p...

We investigate the black hole string transition in the two-dimensional Lorentzian black hole system from the exact boundary states that describe the rolling D-brane falling down into the two-dimensional black hole. The black hole string phase transition is one of the fundamental properties of the non-supersymmetric black holes in string theory, and we will reveal the nature of the phase transit...

Flexible manufacturing and customization is a considerable topic in modern manufacturing automobile industry. However, challenges still remain on the responsiveness of production system to the fluctuation of production demand. In this paper we developed a flexible machine layout that is not restricted to equal size machines. The layout optimizes the trade-offs between increased material handlin...

Optimal asset allocation well-fitting the investors goals is a pressing challenge in risk management. In spite of Sharpe ratio, Sortino-Satchell, Generalized Rachev and Farinelli-Tibiletti ratios are new parameter-dependent performance ratios able to suit the investor risk profile. Five investor prototypes are studied and fifteen tailormade optimal asset paths are traced over a rolling twelve m...

This paper presents an application of risk sensitive control theory in financial decision making. Specifically, we develop optimal, risk-sensitive investment strategies for a long-term investor who is interested in optimal allocation of her/his capital between cash, equities and fixed income instruments. The long-term fixed income instruments used are so called rolling-horizon bonds. In order t...

The paper is motivated by making use of solar energy in public lighting services via an intermediate battery storage. The aim is to develop algorithms for controlling the energy flow in the system, in such a way that robustness against power outages is guaranteed and the total energy cost is minimized. A novel approach is proposed which predicts energy production and consumption by fitting stoc...