Optimal control problems, which form a central pillar in applied mathematics and engineering, involve determining control strategies that steer physical, economic or biological systems to achieve a ...

We had our first taste of the problem with mean-variance optimization at a hedge fund some years back. We loaded the positions into an optimizer, pressed the button, and discovered 25% of the ...

Bicycle sharing systems have become an attractive option to alleviate traffic in congested cities. However, rebalancing the number of bikes at each port as time passes is essential, and finding the ...

There are, generally speaking, two types of people in the mathematical optimization software field: • Optimization solver developers: The technical experts who devise and implement the algorithms that ...

We walk through an optimization problem step by step, clearly explaining how to identify variables, set up the correct function, apply derivatives, and find maximum or minimum values. Each step is ...

We were visiting a hedge fund some years back when we had our first taste of the problem with mean-variance optimization—the tool advisors use to balance risk and reward in client portfolios. We ...

Over the course of my 25-year career in the mathematical optimization software industry, I’ve lost count of how many times I’ve been asked this question: “Can you tell me what mathematical ...

In this paper we consider a method of solving optimal stopping problems in discrete and continuous time based on their dual representation. A novel and generic simulation-based optimization algorithm ...