H. Luethi - Academia.edu (original) (raw)
Papers by H. Luethi
Social Science Research Network, Nov 13, 2005
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European Journal of Operational Research, 1990
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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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Springer eBooks, 2012
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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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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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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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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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European Journal of Operational Research, Jun 1, 1989
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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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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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Springer eBooks, 1976
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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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Mathematical Programming, Jul 14, 2005
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Springer eBooks, 2002
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Journal of Computational Finance, 2005
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International Transactions in Operational Research, Jul 1, 1997
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Social Science Research Network, Nov 13, 2005
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
European Journal of Operational Research, 1990
Bookmarks Related papers MentionsView impact
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.
Bookmarks Related papers MentionsView impact
Springer eBooks, 2012
Bookmarks Related papers MentionsView impact
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.)
Bookmarks Related papers MentionsView impact
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.
Bookmarks Related papers MentionsView impact
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.
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
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
European Journal of Operational Research, Jun 1, 1989
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
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
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
Springer eBooks, 1976
Bookmarks Related papers MentionsView impact
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
Mathematical Programming, Jul 14, 2005
Bookmarks Related papers MentionsView impact
Springer eBooks, 2002
Bookmarks Related papers MentionsView impact
Journal of Computational Finance, 2005
Bookmarks Related papers MentionsView impact
International Transactions in Operational Research, Jul 1, 1997
Bookmarks Related papers MentionsView impact