Artificial intelligence combined with nonlinear optimization techniques and their application for yield curve optimization
Roya Soltani Seyed Jafar Sadjadi Mona Rahnama
Journal of Industrial & Management Optimization 2017, 13(4): 1701-1721 doi: 10.3934/jimo.2017014

This study makes use of the artificial intelligence approaches combined with some nonlinear optimization techniques for optimization of a well-known problem in financial engineering called yield curve. Yield curve estimation plays an important role on making strategic investment decisions. In this paper, we use two well-known parsimonious estimation models, Nelson-Siegel and Extended Nelson-Siegel, for the yield curve estimation. The proposed models of this paper are formulated as continuous nonlinear optimization problems. The resulted models are then solved using some nonlinear optimization and meta-heuristic approaches. The optimization techniques include hybrid GPSO parallel trust region-dog leg, Hybrid GPSO parallel trust region-nearly exact, Hybrid GPSO parallel Levenberg-Marquardt and Hybrid genetic electromagnetism like algorithm. The proposed models of this paper are examined using some real-world data from the bank of England and the results are analyzed.

keywords: Artificial intelligence nonlinear programming gradient search methods, meta-heuristic approaches yield curve optimization parsimonious method financial engineering
An economic order quantity for deteriorating items with allowable rework of deteriorated products
Mahdi Karimi Seyed Jafar Sadjadi Alireza Ghasemi Bijaghini
Journal of Industrial & Management Optimization 2017, 13(5): 1-23 doi: 10.3934/jimo.2018126

This paper presents an inventory model for deteriorating items with variable demand when shortage is permitted and quantity discount in purchase cost, and rework on deteriorating products are also allowed. The main idea of this research is to study the effects of the discount and the rework on the inventory costs. In this paper, it is assumed that for a certain quantity of purchased items, the seller would offer a discount and the manager would have the choice to either accept the discount or dismiss. On the other hand, there is also a similar decision-making scenario, where the manager makes a decision to reduce the total costs by using the rework and reducing the shortage periods or reducing the total costs by ignoring the rework cost and increasing the shortage periods. The implementation of the mathematical model is illustrated with a numerical example and sensitivity analysis describes the effects of the parameters on the total costs. The results show that the rework will decrease the total costs of the inventory system, significantly.

keywords: Inventory deteriorating items time-varying demand rework discount partial backlogging

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