Showing papers by "Abraham Charnes published in 1961"

Management Models and Industrial Applications of Linear Programming

Abstract: An accelerating increase in linear programming applications to industrial problems has made it virtually impossible to keep abreast of them, not only because of their number and diversity but also because of the conditions under which many are carried out. Industrial and governmental secrecy is often present. Other conditions also bar access to ascertainment and assessment of the pattern of applications. Lack of a tradition for publication is one. Failure to ascertain the general significance of particular findings is another, as is discouragement arising from the fact that similar applications have previously been published by others. Immediate remedies are not available for these difficulties. Presumably conventions such as this will help, over a period of time, by encouraging informal contacts between interested persons. A talk on “industrial applications of linear programming” must be altered to suit these circumstances. In place of a survey or evaluation of industrial studies, two broad issues which are relevant to all such applications will be discussed. These are, 1 use of linear programming models as guides to data collection and 2 analysis and prognosis of fruitful areas of additional research, especially those which appear to have been opened by industrial applications.

Inter-Temporal Analysis and Optimization of Bank Portfolios

Abstract: This paper is concerned with formulating, exploring and interpreting the uses and constructs which may be derived from a mathematical model of programming type which expresses more realistically than past efforts the actual conditions of current operations. It is an attempt to provide a means of attaining thereby an objective understanding of the implications of actual Federal Reserve liquidity policy on the actions and opportunities of banking institutions. The model presented corresponds to the problem of determining an optimal portfolio for an individual bank over several time periods in accordance with requirements laid down by bank examiners which are interpreted as defining limits within which the level of risk associated with the return on the portfolio is an acceptable one. The problem is transformed into an equivalent one offering advantages of analysis and of computation. Some methods of effective computation are explored.