High-dimensional risk-constrained dynamic asset allocation via Markov stochastic dual dynamic programming

Dynamic portfolio optimization has a vast literature exploring different simplifications by virtue of computational tractability of the problem. Previous works provide solution methods considering unrealistic assumptions, such as no transactional costs, small number of assets, specific choices of utility functions and oversimplified price dynamics. Other more realistic strategies use heuristic solution approaches to obtain suitable … Read more

New Benchmark Instances for the Capacitated Vehicle Routing Problem

The recent research on the CVRP is being slowed down by the lack of a good set of benchmark instances. The existing sets suff er from at least one of the following drawbacks: (i) became too easy for current algorithms; (ii) are too arti cial; (iii) are too homogeneous, not covering the wide range of characteristics found … Read more

Improved Bounds for Large Scale Capacitated Arc Routing Problem

The Capacitated Arc Routing Problem (CARP) stands among the hardest combinatorial problems to solve or to find high quality solutions. This becomes even more true when dealing with large instances. This paper investigates methods to improve on lower and upper bounds of instances on graphs with over two hundred vertices and three hundred edges, dimensions … Read more

Algorithms over Arc-time Indexed Formulations for Single and Parallel Machine Scheduling Problems

This paper presents algorithms for single and parallel identical machine scheduling problems. While the overall algorithm can be viewed as a branch-cut-and-price over a very large extended formulation, a number of auxiliary techniques are necessary to make the column generation effective. Those techniques include a powerful fixing by reduced costs and a new proposed dual … Read more

Robust Branch-Cut-and-Price Algorithms for Vehicle Routing Problems

This article presents techniques for constructing robust Branch-Cutand-Price algorithms on a number of Vehicle Routing Problem variants. The word “robust” stress the effort of controlling the worst-case complexity of the pricing subproblem, keeping it pseudo-polynomial. Besides summarizing older research on the topic, some promising new lines of investigation are also presented, specially the development of … Read more

A Robust Branch-Cut-and-Price Algorithm for the Heterogeneous Fleet Vehicle Routing Problem

This paper presents a robust branch-cut-and-price algorithm for the Heterogeneous Fleet Vehicle Routing Problem (HFVRP), vehicles may have distinct capacities and costs. The columns in the formulation are associated to q-routes, a relaxation of capacitated elementary routes that makes the pricing problem solvable in pseudo-polynomial time. Powerful new families of cuts are also proposed, which … Read more

A Robust Branch-Cut-and-Price Algorithm for the Heterogeneous Fleet Vehicle Routing Problem

This paper presents a robust branch-cut-and-price algorithm for the Heterogeneous Fleet Vehicle Routing Problem (HFVRP), vehicles may have various capacities and fixed costs. The columns in the formulation are associated to $q$-routes, a relaxation of capacitated elementary routes that makes the pricing problem solvable in pseudo-polynomial time. Powerful new families of cuts are also proposed, … Read more

Robust Branch-Cut-and-Price for the Capacitated Minimum Spanning Tree Problem over a Large Extended Formulation

This paper presents a robust branch-cut-and-price algorithm for the Capacitated Minimum Spanning Tree Problem (CMST). The variables are associated to $q$-arbs, a structure that arises from a relaxation of the capacitated prize-collecting arborescence probem in order to make it solvable in pseudo-polynomial time. Traditional inequalities over the arc formulation, like Capacity Cuts, are also used. … Read more

Stabilized Branch-and-cut-and-price for the Generalized Assignment Problem

The Generalized Assignment Problem (GAP) is a classic scheduling problem with many applications. We propose a branch-and-cut-and-price for that problem featuring a stabilization mechanism to accelerate column generation convergence. We also propose ellipsoidal cuts, a new way of transforming the exact algorithm into a powerful heuristic, in the same spirit of the cuts recently proposed … Read more

New Benchmark Instances for the Steiner Problem in Graphs

We propose in this work 50 new test instances for the Steiner problem in graphs. These instances are characterized by large integrality gaps and symmetry aspects which make them harder to both exact methods and heuristics than the test problems currently in use for the evaluation and comparison of existing and newly developed algorithms. Our … Read more