Martine Labbé

On Multidimensonal Disjunctive Inequalities for Chance-Constrained Stochastic Problems with Finite Support

  • Diego Cattaruzza
  • Martine Labbé
  • Matteo Petris
  • Marius Roland
  • Martin Schmidt
    • Categories (Mixed) Integer Linear Programming, Stochastic Programming Tags , , , ,

    We consider mixed-integer linear chance-constrained problems for which the random vector that parameterizes the feasible region has finite support. Our key objective is to improve branch-and-bound or -cut approaches by introducing new types of valid inequalities that improve the dual bounds and, by this, the overall performance of such methods. We introduce so-called primal-dual as … Read more

    A Generalized Voting Game for Categorical Network Choices

  • Lin Yueh
  • Stefano Nasini
  • Martine Labbé
    • Categories Combinatorial Optimization, Data Science Algorithms, Game Theory Tags , , ,

    This paper presents a game-theoretical framework for data classification and network discovery, focusing on pairwise influences in multivariate choices. The framework consists of two complementary games in which individuals, connected through a signed weighted graph, exhibit network similarity. A voting rule captures the influence of an individual’s neighbors, categorized as attractive (friend-like) or repulsive (enemy-like), … Read more

    Toll Setting with Robust Wardrop Equilibrium Conditions Under Budgeted Uncertainty

  • Yasmine Beck
  • Martine Labbé
  • Martin Schmidt
    • Categories (Mixed) Integer Nonlinear Programming, Robust Optimization, Transportation Tags , , , ,

    We consider two variants of the toll-setting problem in which a traffic authority uses tolls either to maximize revenue or to alleviate bottlenecks in the traffic network. The users of the network are assumed to act according to Wardrop’s user equilibrium so that the overall toll-setting problems are modeled as mathematical problems with equilibrium constraints. … Read more

    Playing Stackelberg security games in perfect formulations

  • Victor Bucarey
  • Pamela Bustamante-Faúndez
  • Vladimir
  • Martine Labbé
  • Fernando Ordóñez
    • Categories Applications - OR and Management Sciences, Game Theory, Network Optimization

    Protecting critical infrastructure from intentional damage requires foreseeing the strategies of possible attackers. The problem faced by the defender of such infrastructure can be formulated as a Stackelberg security game. A defender must decide what specific targets to protect with limited resources, maximizing their expected utility (e.g., minimizing damage value) and considering that a second … Read more

    Dendrograms, Minimum Spanning Trees and Feature Selection

  • Martine Labbé
  • Mercedes Landete
  • Marina Leal
    • Categories (Mixed) Integer Linear Programming, Applications - OR and Management Sciences, Combinatorial Optimization Tags , , , ,

    Feature selection is a fundamental process to avoid overfitting and to reduce the size of databases without significant loss of information that applies to hierarchical clustering. Dendrograms are graphical representations of hierarchical clustering algorithms that for single linkage clustering can be interpreted as minimum spanning trees in the complete network defined by the database. In … Read more

    Exact and Heuristic Solution Techniques for Mixed-Integer Quantile Minimization Problems

  • Diego Cattaruzza
  • Martine Labbé
  • Matteo Petris
  • Marius Roland
  • Martin Schmidt
    • Categories (Mixed) Integer Linear Programming, Applications - Science and Engineering, Stochastic Programming Tags , , , ,

    We consider mixed-integer linear quantile minimization problems that yield large-scale problems that are very hard to solve for real-world instances. We motivate the study of this problem class by two important real-world problems: a maintenance planning problem for electricity networks and a quantile-based variant of the classic portfolio optimization problem. For these problems, we develop … Read more

    A Bilevel Optimization Approach to Decide the Feasibility of Bookings in the European Gas Market

  • Martine Labbé
  • Martin Schmidt
  • Johannes Thürauf
  • Fränk Plein
    • Categories (Mixed) Integer Nonlinear Programming, Applications - OR and Management Sciences, Robust Optimization Tags , , , ,

    The European gas market is organized as a so-called entry-exit system with the main goal to decouple transport and trading. To this end, gas traders and the transmission system operator (TSO) sign so-called booking contracts that grant capacity rights to traders to inject or withdraw gas at certain nodes up to this capacity. On a … Read more

    Multi-market Portfolio Optimization with Conditional Value at Risk

  • Luce Brotcorne
  • Martine Labbé
  • Stefano Nasini
    • Categories Applications - OR and Management Sciences, Cutting Plane Approaches, Integer Programming

    In this paper we propose an optimization framework for multi-markets portfolio management, where a central headquarter relies upon local affiliates for the market-wise selection of investment options. Being averse to risk, the headquarter endogenously selects the maximum expected loss (conditional value at risk) for the affiliates, who respond designing portfolios and selecting management fees. In … Read more

    A Survey on Mixed-Integer Programming Techniques in Bilevel Optimization

  • Thomas Kleinert
  • Martine Labbé
  • Ivana Ljubić
  • Martin Schmidt
    • Categories (Mixed) Integer Linear Programming, (Mixed) Integer Nonlinear Programming Tags , , , , ,

    Bilevel optimization is a field of mathematical programming in which some variables are constrained to be the solution of another optimization problem. As a consequence, bilevel optimization is able to model hierarchical decision processes. This is appealing for modeling real-world problems, but it also makes the resulting optimization models hard to solve in theory and … Read more

    A dynamic programming approach to segmented isotonic regression

  • Victor Bucarey
  • Martine Labbé
  • Juan M. Morales
  • Salvador Pineda
    • Categories Data-Mining, Dynamic Programming, Energy Tags , , , , ,

    This paper proposes a polynomial-time algorithm to construct the monotone stepwise curve that minimizes the sum of squared errors with respect to a given cloud of data points. The fitted curve is also constrained on the maximum number of steps it can be composed of and on the minimum step length. Our algorithm relies on … Read more