In the CRR model we introduce a transaction cost structure which covers piecewise proportional, fixed and constant costs. For a general utility function we formulate the problem of maximizing the expected utility of terminal wealth as a Markov control problem. An existence result is given and optimal strategies can be described by solutions of the dynamic programming equation. For logarithmic u...

background & aim: nowadays, home health care services play significant roles in modern societies. such services allow the elderly and needy people to pass their treatment process at their own houses in a friendly environment. in this paper, weekly routing and scheduling problem of home health care personnel was investigated. methods & materials: insufficient number of expert personnel or overla...

We introduce the Stochastic multistage fixed charge transportation problem in which a producer has to ship an uncertain load to a customer within a deadline. At each time period, a fixed transportation price can be paid to buy a transportation capacity. If the transportation capacity is used, the supplier also pays an uncertain unit transportation price. A unit inventory cost is charged for the...

This paper presents an evolutionary algorithm for the fixed-charge multicommodity network design problem (MCNDP), which concerns routing multiple commodities from origins to destinations by designing a network through selecting arcs, with an objective of minimizing the fixed costs of the selected arcs plus the variable costs of the flows on each arc. The proposed algorithm evolves a pool of sol...

We consider a minimum-cost dynamic network-flow problem on a very special network. This network flow problem models an infinite-horizon, lot-sizing problem with deterministic demand and periodic data. We permit two different objectives: minimize long-run average-cost per period and minimize the discounted cost. In both cases we give polynomial algorithms when certain arc costs are fixed charge ...

It is known in the telecommunications network facility design area that a transmission system cost function may be decomposed into a fixed charge part and a linear cost part. The fixed charge part represents the initial investment cost of installing a transmission system on a link and the linear cost part represents the cost of installing circuits of the system. Using the cost function of this ...