H. Luethi - Academia.edu (original) (raw)

Papers by H. Luethi

Research paper thumbnail of Fast Solutions of Complementarity Formulations in American Put Pricing

Social Science Research Network, Nov 13, 2005

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Research paper thumbnail of System Modeling and Optimization What will we learn?

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Research paper thumbnail of Expert systems

European Journal of Operational Research, 1990

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Research paper thumbnail of Spezielle Triangulation von Rn

Lecture Notes in Economics and Mathematical Systems, 1976

Bevor der Algorithmus in seiner endgultigen Form dargestellt wird, ist es notwendig, kurz auf spe... more Bevor der Algorithmus in seiner endgultigen Form dargestellt wird, ist es notwendig, kurz auf spezielle Triangulationen einzugehen.

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Research paper thumbnail of Selected papers of the International Conference on Operations Research (OR 2011), August 30 - September 2, 2011, Zurich, Switzerland

Springer eBooks, 2012

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Research paper thumbnail of Technik der Triangulation

Lecture Notes in Economics and Mathematical Systems, 1976

Die simpliziale Zerlegung (Triangulation) einer Teilmenge des Rn ist ein in der Mathematik gut be... more Die simpliziale Zerlegung (Triangulation) einer Teilmenge des Rn ist ein in der Mathematik gut bekanntes Verfahren, welches beispielsweise fur den Beweis gewisser Fixpunktsatze verwendet wurde. Diese Technik war zwar theoretisch sehr brauchbar, konnte aber im allgemeinen zu konstruktiven Zwecken nicht verwendet werden. (Man denke zum Beispiel an das “Sperner”-Lemma.)

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Research paper thumbnail of Spezielle Klassen von Matrizen

Lecture Notes in Economics and Mathematical Systems, 1976

In diesem Abschnitt werden Matrizen charakterisiert, fur welche der Lemke-Algorithmus eine Losung... more In diesem Abschnitt werden Matrizen charakterisiert, fur welche der Lemke-Algorithmus eine Losung findet oder dann feststellt, dass das Problem (q| M) uberhaupt keine zulassige Losung besitzt.

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Research paper thumbnail of Scheduling to Minimize Maximum Workload

Management Science, Nov 1, 1985

ABSTRACT We pose the following problem: given m jobs, each of which requires a certain total amou... more ABSTRACT We pose the following problem: given m jobs, each of which requires a certain total amount of labour that must be performed within specified time periods, how should one schedule the jobs' execution to obtain a total workload that is as even as possible? A related question is: what is the minimal work capacity needed to accomplish all jobs? These questions can be formulated as a linear program, but the number of variables and constraints required usually will be large. Using linear duality theory we instead derive a purely combinatorial problem whose resolution leads to the needed minimal capacity, and thus to the imposed bottleneck. Then we concentrate on the important special case where the time constraints for performing each job are in the form of a single time interval: We detail a simple procedure that efficiently determines the minimal capacity and the bottleneck. A second efficient combinatorial algorithm determines a feasible execution schedule which minimizes the maximum total workload. These algorithms require a computational time of the order of m2 and negligible core memory, and for most practical applications can be implemented on microcomputers.

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Research paper thumbnail of Ein Algorithmus zur Approximation von Lösungen des nichtlinearen Komplementaritätsproblems

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Research paper thumbnail of Anwendung der Fixpunktalgorithmen

Springer eBooks, 1976

Die Unterteilung dieses Kapitels in 3 Abschnitte, namlich in Anwendungen aus der Oekonomie, der m... more Die Unterteilung dieses Kapitels in 3 Abschnitte, namlich in Anwendungen aus der Oekonomie, der mathematischen Optimierung und der Spieltheorie, ist willkurlich und allein zur besseren Gliederung vorgenommen worden. Es sollte sich lohnen, alle Anwendungen zu studieren, wird doch vor allem die Methode gezeigt, wie sich verschiedene Probleme einheitlich als Fixpunktaufgaben formulieren lassen.

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Research paper thumbnail of Linear complementarity problem with upper bounds

European Journal of Operational Research, Jun 1, 1989

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Research paper thumbnail of On Value of Flexibility in Energy Risk Management. Concepts, Models, Solutions

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Research paper thumbnail of Decision Support Systems And Expert Systems: A Complementary Relationship?

Decision Support Systems And Expert Systems: A Complementary Relationship? Rolf Pfeifer Departmen... more Decision Support Systems And Expert Systems: A Complementary Relationship? Rolf Pfeifer Department of Computer Science University of Zurich Zurich, Switzerland Hans-Jakob Liitbi Institute of Operations Research Swiss Federal Institute of Technology Zurich, Switzerland ...

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Research paper thumbnail of Risk management in power markets: The Hedging value of production flexibility

European Journal of Operational Research, Dec 1, 2009

Since the 1990s power markets are being restructured worldwide and nowadays electrical power is t... more Since the 1990s power markets are being restructured worldwide and nowadays electrical power is traded as a commodity. The liber- alization and with it the uncertainty in gas, fuel and electrical power prices requires an effective management of production facilities and financial contracts. Thereby derivatives build essential instruments to exchange volume as well as price risks. The challenge for participants

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Research paper thumbnail of Der Markierungsprozess

Springer eBooks, 1976

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Research paper thumbnail of Maximum Loss for Risk Measurement of Portfolios

Operations research proceedings, 1997

Effective risk management requires adequate risk measurement. A basic problem herein is the quant... more Effective risk management requires adequate risk measurement. A basic problem herein is the quantification of market risks: what is the overall effect on a portfolio if market rates change? First, a mathematical problem statement is given and the concept of “Maximum Loss” (ML) is introduced as a method for identifying the worst case in a given scenario space, called “Trust Region”. Next, a technique for calculating efficiently ML for quadratic functions is described; the algorithm is based on the Levenberg-Marquardt theorem, which reduces the high dimensional optimization problem to a one dimensional root finding.

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Research paper thumbnail of Convex risk measures for portfolio optimization and concepts of flexibility

Mathematical Programming, Jul 14, 2005

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Research paper thumbnail of Pricing American Put Options by Fast Solutions of the Linear Complementarity Problem

Springer eBooks, 2002

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Research paper thumbnail of Fast solutions of complementarity formulations in American put pricing

Journal of Computational Finance, 2005

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Research paper thumbnail of The Existence of a Short Sequence of Admissible Pivots to an Optimal Basis in LP and LCP

International Transactions in Operational Research, Jul 1, 1997

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Research paper thumbnail of Fast Solutions of Complementarity Formulations in American Put Pricing

Social Science Research Network, Nov 13, 2005

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Research paper thumbnail of System Modeling and Optimization What will we learn?

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Expert systems

European Journal of Operational Research, 1990

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Spezielle Triangulation von Rn

Lecture Notes in Economics and Mathematical Systems, 1976

Bevor der Algorithmus in seiner endgultigen Form dargestellt wird, ist es notwendig, kurz auf spe... more Bevor der Algorithmus in seiner endgultigen Form dargestellt wird, ist es notwendig, kurz auf spezielle Triangulationen einzugehen.

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Research paper thumbnail of Selected papers of the International Conference on Operations Research (OR 2011), August 30 - September 2, 2011, Zurich, Switzerland

Springer eBooks, 2012

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Research paper thumbnail of Technik der Triangulation

Lecture Notes in Economics and Mathematical Systems, 1976

Die simpliziale Zerlegung (Triangulation) einer Teilmenge des Rn ist ein in der Mathematik gut be... more Die simpliziale Zerlegung (Triangulation) einer Teilmenge des Rn ist ein in der Mathematik gut bekanntes Verfahren, welches beispielsweise fur den Beweis gewisser Fixpunktsatze verwendet wurde. Diese Technik war zwar theoretisch sehr brauchbar, konnte aber im allgemeinen zu konstruktiven Zwecken nicht verwendet werden. (Man denke zum Beispiel an das “Sperner”-Lemma.)

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Research paper thumbnail of Spezielle Klassen von Matrizen

Lecture Notes in Economics and Mathematical Systems, 1976

In diesem Abschnitt werden Matrizen charakterisiert, fur welche der Lemke-Algorithmus eine Losung... more In diesem Abschnitt werden Matrizen charakterisiert, fur welche der Lemke-Algorithmus eine Losung findet oder dann feststellt, dass das Problem (q| M) uberhaupt keine zulassige Losung besitzt.

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Research paper thumbnail of Scheduling to Minimize Maximum Workload

Management Science, Nov 1, 1985

ABSTRACT We pose the following problem: given m jobs, each of which requires a certain total amou... more ABSTRACT We pose the following problem: given m jobs, each of which requires a certain total amount of labour that must be performed within specified time periods, how should one schedule the jobs' execution to obtain a total workload that is as even as possible? A related question is: what is the minimal work capacity needed to accomplish all jobs? These questions can be formulated as a linear program, but the number of variables and constraints required usually will be large. Using linear duality theory we instead derive a purely combinatorial problem whose resolution leads to the needed minimal capacity, and thus to the imposed bottleneck. Then we concentrate on the important special case where the time constraints for performing each job are in the form of a single time interval: We detail a simple procedure that efficiently determines the minimal capacity and the bottleneck. A second efficient combinatorial algorithm determines a feasible execution schedule which minimizes the maximum total workload. These algorithms require a computational time of the order of m2 and negligible core memory, and for most practical applications can be implemented on microcomputers.

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Research paper thumbnail of Ein Algorithmus zur Approximation von Lösungen des nichtlinearen Komplementaritätsproblems

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Anwendung der Fixpunktalgorithmen

Springer eBooks, 1976

Die Unterteilung dieses Kapitels in 3 Abschnitte, namlich in Anwendungen aus der Oekonomie, der m... more Die Unterteilung dieses Kapitels in 3 Abschnitte, namlich in Anwendungen aus der Oekonomie, der mathematischen Optimierung und der Spieltheorie, ist willkurlich und allein zur besseren Gliederung vorgenommen worden. Es sollte sich lohnen, alle Anwendungen zu studieren, wird doch vor allem die Methode gezeigt, wie sich verschiedene Probleme einheitlich als Fixpunktaufgaben formulieren lassen.

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Linear complementarity problem with upper bounds

European Journal of Operational Research, Jun 1, 1989

Bookmarks Related papers MentionsView impact

Research paper thumbnail of On Value of Flexibility in Energy Risk Management. Concepts, Models, Solutions

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Decision Support Systems And Expert Systems: A Complementary Relationship?

Decision Support Systems And Expert Systems: A Complementary Relationship? Rolf Pfeifer Departmen... more Decision Support Systems And Expert Systems: A Complementary Relationship? Rolf Pfeifer Department of Computer Science University of Zurich Zurich, Switzerland Hans-Jakob Liitbi Institute of Operations Research Swiss Federal Institute of Technology Zurich, Switzerland ...

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Risk management in power markets: The Hedging value of production flexibility

European Journal of Operational Research, Dec 1, 2009

Since the 1990s power markets are being restructured worldwide and nowadays electrical power is t... more Since the 1990s power markets are being restructured worldwide and nowadays electrical power is traded as a commodity. The liber- alization and with it the uncertainty in gas, fuel and electrical power prices requires an effective management of production facilities and financial contracts. Thereby derivatives build essential instruments to exchange volume as well as price risks. The challenge for participants

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Der Markierungsprozess

Springer eBooks, 1976

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Maximum Loss for Risk Measurement of Portfolios

Operations research proceedings, 1997

Effective risk management requires adequate risk measurement. A basic problem herein is the quant... more Effective risk management requires adequate risk measurement. A basic problem herein is the quantification of market risks: what is the overall effect on a portfolio if market rates change? First, a mathematical problem statement is given and the concept of “Maximum Loss” (ML) is introduced as a method for identifying the worst case in a given scenario space, called “Trust Region”. Next, a technique for calculating efficiently ML for quadratic functions is described; the algorithm is based on the Levenberg-Marquardt theorem, which reduces the high dimensional optimization problem to a one dimensional root finding.

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Convex risk measures for portfolio optimization and concepts of flexibility

Mathematical Programming, Jul 14, 2005

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Pricing American Put Options by Fast Solutions of the Linear Complementarity Problem

Springer eBooks, 2002

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Fast solutions of complementarity formulations in American put pricing

Journal of Computational Finance, 2005

Bookmarks Related papers MentionsView impact

Research paper thumbnail of The Existence of a Short Sequence of Admissible Pivots to an Optimal Basis in LP and LCP

International Transactions in Operational Research, Jul 1, 1997

Bookmarks Related papers MentionsView impact