We derive a new compact high-order finite difference scheme for option pricing in stochastic volatility models. The scheme is fourth order accurate in space and second order accurate in time. To prove results on the unconditional stability in the sense of von Neumann we perform a thorough Fourier analysis of the problem and deduce convergence of our scheme. We present results of numerical exper...

We consider a variant of the vehicle routing problems with time windows, where the objective includes the inconvenience cost modeled by a convex function on each node. We formulate this mixed integer convex program using a novel set partitioning formulation, by considering all combinations of routes and block structures over the routes. We apply a branch-and-price framework to solve this formul...

This paper proposes an analysis method to check the schedulability of a set of sporadic tasks under earliest deadline first (EDF) scheduler. The sporadic task model consists of subtasks with precedence constraints, arbitrary arrival times and deadlines. In order to determine the schedulability, we present an approach to find exact worst case response time (WCRT) of subtatsks. With the technique...

The objective of this paper is the development and solution of nonlinear and mixed-integer (MIP) optimization models for real-world planning and scheduling problems in petroleum refineries. Firstly, we present a nonlinear planning model that represents a general refinery topology and allows implementation of nonlinear process models as well as blending relations. The optimization model is able ...

Purpose: In this study, a mixed-integer programming model is developed to minimize the total lateness and completion time of jobs in an automotive company. order respond rapidly continuous customer demand through production, work schedule engineers research development department considered flexibly. Methodology: supported by analytical hierarchy process determine weighted values tardiness time...

The task of job shop scheduling – determining the sequence and timing of jobs on available resources – is one of the most discussed practical problems in operations management. There are many appropriate problem definitions for job shop scheduling due to the complex and dynamic nature of the problem with a large number of variables and constraints linked to jobs and resources, such as specific ...

Quantum entanglement is a particularly useful characterization of topological orders which lack conventional order parameters. In this work, we study the in topologically ordered states between two arbitrary spatial regions, using distinct mixed-state measures: so-called computable cross-norm or realignment (CCNR) negativity, and more well-known partial-transpose (PT) negativity. We first gener...