Learn More
We propose a semidefinite optimization approach to the problem of deriving tight moment inequalities for P (X ∈ S), for a set S defined by polynomial inequalities and a random vector X defined on Ω ⊆ R n that has a given collection of up to kth-order moments. In the univariate case, we provide optimal bounds on P (X ∈ S), when the first k moments of X are(More)
The idea of investigating the relation of option and stock prices based just on the no-arbitrage assumption, but without assuming any model for the underlying price dynamics, has a long history in the financial economics literature. We introduce convex and, in particular semidefinite optimization methods, duality, and complexity theory to shed new light on(More)
W e investigate dynamic policies for allocating scarce inventory to stochastic demand for multiple fare classes, in a network environment so as to maximize total expected revenues. Typical applications include sequential reservations for an airline network, hotel, or car rental service. We propose and analyze a new algorithm based on approximate dynamic(More)
We provide an optimization framework for computing optimal upper and lower bounds on functional expectations of distributions with special properties, given moment constraints. Bertsimas and Popescu have already shown how to obtain optimal moment inequalities for arbitrary distributions via semidefinite programming. These bounds are not sharp if the(More)
We introduce a measure of elasticity of stochastic demand, called the elasticity of the lost-sales rate, which offers a unifying perspective on the well-known newsvendor with pricing problem. This new concept provides a framework to characterize structural results for coordinated and uncoordinated pricing and inventory strategies. Concavity and(More)
We provide a method for deriving robust solutions to certain stochastic optimization problems, based on mean-covariance information about the distributions underlying the uncertain vector of returns. We prove that for a general class of objective functions, the robust solutions amount to solving a certain deterministic parametric quadratic program. We first(More)
An approach to generate river cross-sections from the Advanced Spaceborne Thermal Emission and Reflection Radiometer Global Digital Elevation Model (ASTER GDEM) is discussed. The low resolution and the inadequate vertical accuracy of such global data present difficulties in differentiating features of hydraulic importance, which necessitate pre-processing(More)
OBJECTIVE Structural neuroimaging studies have suggested an association between schizophrenia and abnormalities in brain morphology such as ventricular enlargement and differences in gray matter distribution. Less consistently reported are findings of regional abnormalities such as selective differences in thalamic volume. The authors applied an unbiased(More)