发帖
雷达卡
128212.pdf
(3.27 MB, 需要: 10 个论坛币)
https://bbs.pinggu.org/X_AdvCom_Get.asp?UserID=293184
作者：Erricos J. Kontoghiorghes, Cristian GatuB. Rustem, London, UK（editors)
格式：英文PDF
出版社：springer
Advanced computational methods are often employed for the solution of modelling and decision-making problems. This book addresses issues associated with the interface of computing, optimisation, econometrics and financial modelling. Emphasis is given to computational optimisation methods and techniques. The first part of the book addresses optimisation problems and decision modelling, with special attention to applications of supply chain and worst-case modelling as well as advances in the methodological aspects of optimisation techniques. The second part of the book is devoted to optimisation heuristics, filtering, signal extraction and various time series models. The chapters in this part cover the application of threshold accepting in econometrics, the structure of threshold autoregressive moving average models, wavelet analysis and signal extraction techniques in time series. The third and final part of the book is about the use of optimisation in portfolio selection and real option modelling.
格式：英文PDF
出版社：springer
Advanced computational methods are often employed for the solution of modelling and decision-making problems. This book addresses issues associated with the interface of computing, optimisation, econometrics and financial modelling. Emphasis is given to computational optimisation methods and techniques. The first part of the book addresses optimisation problems and decision modelling, with special attention to applications of supply chain and worst-case modelling as well as advances in the methodological aspects of optimisation techniques. The second part of the book is devoted to optimisation heuristics, filtering, signal extraction and various time series models. The chapters in this part cover the application of threshold accepting in econometrics, the structure of threshold autoregressive moving average models, wavelet analysis and signal extraction techniques in time series. The third and final part of the book is about the use of optimisation in portfolio selection and real option modelling.
Part I Optimisation Models and Methods
A Supply Chain Network Perspective
for Electric Power Generation, Supply, Transmission,
and Consumption
Anna Nagurney, Dmytro Matsypura . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Worst-Case Modelling for Management Decisions
under Incomplete Information,
with Application to Electricity Spot Markets
Mercedes Esteban-Bravo, Berc Rustem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
An Approximate Winner Determination Algorithm
for Hybrid Procurement Mechanisms in Logistics
Chetan Yadati, Carlos A.S. Oliveira, Panos M. Pardalos . . . . . . . . . . . . . . 51
Proximal-ACCPM: A Versatile Oracle Based
Optimisation Method
Fr´ed´eric Babonneau, Cesar Beltran, Alain Haurie, Claude Tadonki,
Jean-Philippe Vial . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
A Survey of Different Integer Programming Formulations
of the Travelling Salesman Problem
A.J. Orman, H.P. Williams . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
A Supply Chain Network Perspective
for Electric Power Generation, Supply, Transmission,
and Consumption
Anna Nagurney, Dmytro Matsypura . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Worst-Case Modelling for Management Decisions
under Incomplete Information,
with Application to Electricity Spot Markets
Mercedes Esteban-Bravo, Berc Rustem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
An Approximate Winner Determination Algorithm
for Hybrid Procurement Mechanisms in Logistics
Chetan Yadati, Carlos A.S. Oliveira, Panos M. Pardalos . . . . . . . . . . . . . . 51
Proximal-ACCPM: A Versatile Oracle Based
Optimisation Method
Fr´ed´eric Babonneau, Cesar Beltran, Alain Haurie, Claude Tadonki,
Jean-Philippe Vial . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
A Survey of Different Integer Programming Formulations
of the Travelling Salesman Problem
A.J. Orman, H.P. Williams . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
Part II Econometric Modelling and Prediction
The Threshold Accepting Optimisation Algorithm
in Economics and Statistics
Peter Winker, Dietmar Maringer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107
The Autocorrelation Functions in SETARMA Models
Alessandra Amendola, Marcella Niglio, Cosimo Vitale . . . . . . . . . . . . . . . . 127
Trend Estimation and De-Trending
Stephen Pollock . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143
Non-Dyadic Wavelet Analysis
Stephen Pollock, Iolanda Lo Cascio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167
Measuring Core Inflation
by Multivariate Structural Time Series Models
Tommaso Proietti . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 205
Part III Financial Modelling
Random Portfolios for Performance Measurement
Patrick Burns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227
Real Options with Random Controls, Rare Events,
and Risk-to-Ruin
Nicos Koussis, Spiros H. Martzoukos, Lenos Trigeorgis . . . . . . . . . . . . . . . 251
Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 273
京公网安备 11010802022788号
