Month: November 2014

A new bottom-up search method for determining all maximal efficient faces in multiple objective linear programming

  • Ta Van Van Tu
    • Categories Multi-Criteria Optimization

    Bottom-up search methods for determining the efficient set of a multiple objective linear programming (MOLP) problem have a valuable advantage that they can quickly give efficient subsets of the MOLP problem to the decision makers. Main difficulties of the previously appeared bottom-up search methods are finding all efficient extreme points adjacent to and enumerating all … Read more

    On Truck dock assignment problem with operational time constraint within cross docks

  • Shahin Gelareh
    • Categories Applications - OR and Management Sciences, Combinatorial Optimization, Transportation

    An integer programming model for the truck dock assignment problem with operational time constraint within cross docks has been proposed in (Miao, Z.,Lim, A.,Ma, H., 2009. Truck dock assignment problem with operational time constraint within crossdocks. European Journal of Operational Research 192 (1), 105–115). We address the following issues in this formulation: 1) from among … Read more

    Machine Learning and Portfolio Optimization

  • Gah-Yi Ban
  • Noureddine El Karoui
  • Andrew E.B. Lim
    • Categories Applications - OR and Management Sciences, Finance and Economics Tags , , , ,

    The portfolio optimization model has limited impact in practice due to estimation issues when applied with real data. To address this, we adapt two machine learning methods, regularization and cross-validation, for portfolio optimization. First, we introduce performance-based regularization (PBR), where the idea is to constrain the sample variances of the estimated portfolio risk and return, … Read more

    The Multi-Hour Bandwidth Packing Problem with Queuing Delays: Bounds and Exact Solution Approach

  • Arjun Bhardwaj
  • Niraj Sinha
  • Navneet Vidyarthi
    • Categories Applications - OR and Management Sciences Tags , , , , , , ,

    The multi-hour bandwidth packing problem arises in telecommunication networks that span several time horizon. The problem seeks to select and route a set of messages from a given list of messages with prespecified requirement on demand for bandwidth under time varying traffic conditions on an undirected communication network such that the total profit is maximized. … Read more

    Totally Unimodular Multistage Stochastic Programs

  • Andrew J. Schaefer
  • Oleg V. Shylo
  • Ruichen (Richard) Sun
    • Categories Stochastic Programming

    We consider totally unimodular multistage stochastic programs, that is, multistage stochastic programs whose extensive-form constraint matrices are totally unimodular. We establish several sufficient conditions and identify examples that have arisen in the literature. CitationRuichen (Richard) Sun, Oleg V. Shylo, Andrew J. Schaefer, Totally unimodular multistage stochastic programs, Operations Research Letters, Volume 43, Issue 1, January … Read more

    A NEW PARTIAL SAMPLE AVERAGE APPROXIMATION METHOD FOR CHANCE CONSTRAINED PROBLEM

  • Jianqiang Cheng
  • Abdel Lisser
  • Céline Gicquel
    • Categories Stochastic Programming Tags , ,

    In this paper, we present a new scheme of a sampling method to solve chance constrained programs. First of all, a modified sample average approximation, namely Partial Sample Average Approximation (PSAA) is presented. The main advantage of our approach is that the PSAA problem has only continuous variables whilst the standard sample average approximation (SAA) … Read more