This paper extends the traditional Markowitz’s mean-variance optimization to a two-stage dynamic multi-period portfolio optimization. The underlying assets time series data are supposed to follow a discrete time triangular cointegrated vector model, and in addition random quadratic transaction costs are taken into consideration. A twostage dynamic multi-period approach is proposed, and the opti...

Mechanism design (MD) has recently become a very popular approach in the design of distributed systems of autonomous agents. Also called ‘inverse game theory’ [4], MD is concerned with designing the games or systems in which agents interact, and to do this in such a way that rational agent behavior in those games leads to certain desirable properties for the system as a whole. A key assumption ...

Many Information Retrieval (IR) models make use of offline statistical techniques to score documents for ranking over a single period, rather than use an online, dynamic system that is responsive to users over time. In this paper, we explicitly formulate a general Multi Period Information Retrieval problem, where we consider retrieval as a stochastic yet controllable process. The ranking action...

We consider power portfolio optimization of real and contractual assets, including derivative instruments in a multi-period setting. A model is introduced that incorporates fixed transmission rights in a three-node unidirectional network in order to evaluate the significance of transmission constraints. We use data from the PJM, which is located in the eastern United States for model implementa...

The traditional Markowitz MVO approach is based on a single-period model. Single period models do not utilize any data or decisions beyond the rebalancing time horizon with the result that their policies are myopic in nature. For long-term investors, multi-period optimization offers the opportunity to make wait-and-see policy decisions by including approximate forecasts and long-term policy dec...

This paper considers the Dynamic Multi-Period Vehicle Routing Problem which deals with the distribution of orders from a depot to a set of customers over a multi-period time horizon. Customer orders and their feasible service periods are dynamically revealed over time. The objectives are to minimize total travel costs and customer waiting, and to balance the daily workload over the planning hor...

the evaluation and selection of recommender systems is a difficult decision making process. this difficulty is partially due to the large diversity of published evaluation criteria in addition to lack of standardized methods of evaluation. as such, a systematic methodology is needed that explicitly considers multiple, possibly conflicting metrics and assists decision makers to evaluate and find...

this paper is a research on the ordering planning of a supply chain with one supplier, multi buyer and multi deteriorating items. items have fixed life time and expire dates. the ordering period is taken as variable and must be computed the proposed models. the problem is studied via two different approaches the first is the joint replenishment, based on the hwang and chew's model [3] and ...

Reverse logistics, as defined by the European Working Group on Reverse Logistics, is the process of planning, implementing and controlling backward flows of raw materials, in process inventory, packaging and finished goods, from a manufacturing, distribution or use point, to a point of recovery or point of proper disposal. In the broadest sense, this process involves collection, inspection, rec...

In this paper, a multi-period assignment problem is studied that arises as part of a weekly planning problem at mail processing and distribution centers. These facilities contain a wide variety of automation equipment that is used to cancel, sort, and sequence the mail. The input to the problem is an equipment schedule that indicates the number of machines required for each job or operation dur...