Ahmadi-Javid Amir

Risk-aware Logic-based Benders Decomposition for a Location-Allocation-Pricing Problem with Stochastic Price-Sensitive Demands

  • Maryam Daryalal
  • Ahmadi-Javid Amir
    • Categories (Mixed) Integer Linear Programming, Facility Planning and Design, Stochastic Programming Tags , ,

    We consider a capacitated location-allocation-pricing problem in a single-commodity supply chain with stochastic price-sensitive demands, where the location, allocation and pricing decisions are made simultaneously. Under a general risk measure representing an arbitrary risk tolerance policy, the problem is modeled as a two-stage stochastic mixed-integer program with a translation-invariant monotone risk measure. To solve the … Read more

    Location and Capacity Planning of Facilities with General Service-Time Distributions Using Conic Optimization

  • Ahmadi-Javid Amir
  • Oded Berman
  • Pooya Hoseinpour
    • Categories (Mixed) Integer Nonlinear Programming, Applications - OR and Management Sciences, Facility Planning and Design

    This paper studies a stochastic congested location problem in the network of a service system that consists of facilities to be established in a finite number of candidate locations. Population zones allocated to each open service facility together creates a stream of demand that follows a Poisson process and may cause congestion at the facility. … Read more

    Convexification of Queueing Formulas by Mixed-Integer Second-Order Cone Programming: An Application to a Discrete Location Problem with Congestion

  • Ahmadi-Javid Amir
  • Pooya Hoseinpour
    • Categories (Mixed) Integer Nonlinear Programming, Applications - OR and Management Sciences, Second-Order Cone Programming

    Mixed-Integer Second-Order Cone Programs (MISOCPs) form a nice class of mixed-inter convex programs, which can be solved very efficiently due to the recent advances in optimization solvers. Our paper bridges the gap between modeling a class of optimization problems and using MISOCP solvers. It is shown how various performance metrics of M/G/1 queues can be … Read more

    Portfolio Optimization with Entropic Value-at-Risk

  • Ahmadi-Javid Amir
  • Fallah-Tafti Malihe
    • Categories Constrained Nonlinear Optimization, Finance and Economics, Stochastic Programming

    The entropic value-at-risk (EVaR) is a new coherent risk measure, which is an upper bound for both the value-at-risk (VaR) and conditional value-at-risk (CVaR). As important properties, the EVaR is strongly monotone over its domain and strictly monotone over a broad sub-domain including all continuous distributions, while well-known monotone risk measures, such as VaR and … Read more

    An Analytical Study of Norms and Banach Spaces Induced by the Entropic Value-at-Risk

  • Ahmadi-Javid Amir
  • Alois Pichler
    • Categories Finance and Economics, Robust Optimization, Stochastic Programming Tags , , , , , , , , , ,

    This paper addresses the Entropic Value-at-Risk (EVaR), a recently introduced coherent risk measure. It is demonstrated that the norms induced by EVaR induce the same Banach spaces, irrespective of the confidence level. Three spaces, called the primal, dual, and bidual entropic spaces, corresponding with EVaR are fully studied. It is shown that these spaces equipped … Read more