Title:

On the inverse problem and some related problems in combinatorial optimization

Subtitle:

Raport Badawczy = Research Report ; RB/52/2001

Creator:

Libura, Marek

Publisher:

Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences

Place of publishing:

Warszawa

Date issued/created:

2001

Description:

14 pages ; 21 cm ; Bibliography p. 10-13

Subject and Keywords:

Combinatorial optimization ; Optymalizacja kombinatoryczna ; Bgm model ; Hjm model ; Calibration ; Bermudan swaptions ; Brady bonds ; Kalibracja

Abstract:

This paper presents the adjustment problem corresponding to the generic combinatorial optimization problem. It consists in finding less costly perturbations of weights in the original problem, which guarantee that the opimal solution of the perturbed problem belong to the specified subset of feasible solutions. The properties of the adjustment problem an its relations to the standard inverse problem in combinatorial optimization were investigated.

Relation:

Raport Badawczy = Research Report

Resource type:

Text

Detailed Resource Type:

Report

Source:

RB-2001-52

Language:

eng

Language of abstract:

eng

Rights:

Creative Commons Attribution BY 4.0 license

Terms of use:

Copyright-protected material. [CC BY 4.0] May be used within the scope specified in Creative Commons Attribution BY 4.0 license, full text available at: ; -

Digitizing institution:

Systems Research Institute of the Polish Academy of Sciences

Original in:

Library of Systems Research Institute PAS

Projects co-financed by:

Operational Program Digital Poland, 2014-2020, Measure 2.3: Digital accessibility and usefulness of public sector information; funds from the European Regional Development Fund and national co-financing from the state budget.

Access:

Open