Optimisation of physical and financial power purchase portfolios

The deregulation of the European power market brings new sales prospects for the power-suppliers as well as an appreciable increase of entrepreneurial risks. In order to handle the novel price- and volume-risks the optimisation of decisionmaking under uncertain boundary conditions is of essential interest. The former task of resource management in energy-supply was the minimisation … Read more

Optimal Portfolios using Linear Programming Models

The classical Quadratic Programming formulation of the well known portfolio selection problem, is cumbersome, time consuming and relies on two important assumptions: (a) the expected return is multivariate normally distributed; (b) the investor is risk averter. This paper formulates two alternative models, (i) maximin, and (ii) minimization of absolute deviation. Data from a very simple … Read more

SDPARA : SemiDefinite Programming Algorithm PARAllel Version

Abstract: The SDPA (SemiDefinite Programming Algorithm) is known as efficient computer software based on primal-dual interior-point method for solving SDPs (Semidefinite Programs). In many applications, however, some SDPs become larger and larger, too large for the SDPA to solve on a single processor. In execution of the SDPA applied to large scale SDPs, the computation … Read more


Given an undirected graph G with nonnegative edges costs and nonnegative vertex penalties, the prize collecting Steiner problem in graphs (PCSPG) seeks a tree of G with minimum weight. The weight of a tree is the sum of its edge costs plus the sum of the penalties of those vertices not spanned by the tree. … Read more

Hierarchical Network Design Using Simulated Annealing

The hierarchical network problem is the problem of finding the least cost network, with nodes divided into groups, edges connecting nodes in each groups and groups ordered in a hierarchy. The idea of hierarchical networks comes from telecommunication networks where hierarchies exist. Hierarchical networks are described and a mathematical model is proposed for a two … Read more

The continuous assignment problem and its application to preemptive and non-preemptive scheduling with irregular cost functions

It is with the aim of solving scheduling problems with irregular cost functions that this paper focuses on the continuous assignment problem. It consists in partitioning a d dimensional region into subregions of prescribed volumes so that the total cost is minimized. The dual problem of the continuous assignment problem is an unconstrained maximisation of … Read more

Scheduling a sequence of tasks with general completion costs

Scheduling a sequence of tasks – in the acceptation of finding the execution times – is not a trivial problem when the optimization criterion is irregular as for instance in earliness-tardiness problems. This paper presents an efficient Dynamic Programming algorithm to solve the problem with general cost functions depending on the end time of the … Read more

Facets of a polyhedron closely related to the integer knapsack-cover problem

We investigate the polyhedral structure of an integer program with a single functional constraint: the integer capacity-cover polyhedron. Such constraints arise in telecommunications planning and facility location applications, and feature the use of general integer (rather than just binary) variables. We derive a large class of facet-defining inequalities by using an augmenting technique that builds … Read more