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Periods of peak consumer demand in today’s electricity sector are expensive to satisfy and can be the source of power failures. One possible solution is the use of demand-side management (DSM) applying dynamic pricing mechanisms. However, instead of reduci ...
We study trade policy in a two-sector Krugman (1980) trade model, allowing for production, import and export subsidies/taxes. We consider non-cooperative and cooperative trade policy, first for each individual instrument and then for the situation where al ...
This article investigates the latest developments in longevity-risk modelling, and explores the key risk management challenges for both the financial and insurance industries. The article discusses key definitions that are crucial for the enhancement of th ...
Pricing is considered an effective management policy to reduce traffic congestion in transportation networks. In this paper we combine a macroscopic model of traffic congestion in urban networks with an agent-based simulator to study congestion pricing sch ...
In airline schedule planning models, the demand and price information are usually taken as inputs to the model. Therefore schedule and capacity decisions are taken separately from pricing decisions. In this paper we present an integrated scheduling, fleeti ...
We study survival, price impact, and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas long-run portfolio impact is equivalent to survival ...
Seaport container terminals are source of many interesting large-scale optimization problems, that arise in the management of operations at several decision levels. In this work we study exact methods to solve the Tactical Berth Allocation Problem with Qua ...
In this paper we study the simultaneous optimization of berth allocation and quay crane assignment in seaport container terminals. We propose a model based on an exponential number of variables that is solved via column generation. An exact branch-and-pric ...
Parametric option pricing models are largely used in Finance. These models capture several features of asset price dynamics. However, their pricing performance can be significantly enhanced when they are combined with nonparametric learning approaches that ...
The Vehicle Routing Problem with Soft Time Windows consists in computing a minimum cost set of routes for a fleet of vehicles of limited capacity that must visit a given set of customers with known demand, with the additional feature that each customer exp ...