Stefano Nasini

The Minimization of the Weighted Completion Time Variance in a Single Machine: A Specialized Cutting-Plane Approach

  • Stefano Nasini
  • Rabia Nessah
    • Categories (Mixed) Integer Linear Programming, Branch and Cut Algorithms, Scheduling

    This study addresses the problem of minimizing the weighted completion time variance (WCTV) in single-machine scheduling. Unlike the unweighted version, which has been extensively studied, the weighted variant introduces unique challenges due to the absence of theoretical properties that could guide the design of efficient algorithms. We propose a mathematical programming framework based on a … Read more

    A Generalized Voting Game for Categorical Network Choices

  • Lin Yueh
  • Stefano Nasini
  • Martine LabbĂ©
    • 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

    Nash Bargaining Partitioning in Decentralized Portfolio Management

  • Francisco Benita
  • Stefano Nasini
  • Rabia Nessah
    • Categories Finance and Economics, Game Theory, Stochastic Programming Tags , , , ,

    In the context of decentralized portfolio management, understanding how to distribute a fixed budget among decentralized intermediaries is a relevant question for financial investors. We consider the Nash bargaining partitioning for a class of decentralized investment problems, where intermediaries are in charge of the portfolio construction in heterogeneous local markets and act as risk/disutility minimizers. … Read more

    An Almost Exact Multi-Machine Scheduling Solution for Homogeneous Processing

  • Stefano Nasini
  • Rabia Nessah
    • Categories (Mixed) Integer Nonlinear Programming, Combinatorial Optimization, Scheduling

    In the context of job scheduling in parallel machines, we present a class of asymptotically exact binary programs for the minimization of the $\tau$-norm of completion time variances. Building on overlooked properties of the min completion time variance in a single machine and on an equivalent bilevel formulation, our approach provides an asymptotic approximation (with … Read more

    Multi-market Portfolio Optimization with Conditional Value at Risk

  • Luce Brotcorne
  • Martine LabbĂ©
  • 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

    An Almost Exact Solution to the Min Completion Time Variance in a Single Machine

  • Stefano Nasini
  • Rabia Nessah
    • Categories 0-1 Programming, Combinatorial Optimization, Scheduling Tags , , ,

    We consider a single machine scheduling problem to minimize the completion time variance of n jobs. This problem is known to be NP-hard and our contribution is to establish a novel bounding condition for a characterization of an optimal sequence. Specifically, we prove a necessary and sufficient condition (which can be verified in O(n\log n)) … Read more

    An integrated planning model in centralized power systems

  • Francisco Lopez-Ramos
  • Stefano Nasini
  • Mohamed Sayed
    • Categories Applications - OR and Management Sciences, Network Optimization, Stochastic Programming

    In the context of centralized electricity markets, we propose an integrated planning model for power pricing and network expansion, which endogenizes the scaling costs from power losses. While the substitutability pattern between pricing and expansion has been overlooked in the power flow optimization literature, this becomes particularly relevant in centralized electricity markets (where the headquarters … Read more

    A specialized interior-point algorithm for huge minimum convex cost flows in bipartite networks

  • Jordi Castro
  • Stefano Nasini
    • Categories Linear Programming, Network Optimization

    The computation of the Newton direction is the most time consuming step of interior-point methods. This direction was efficiently computed by a combination of Cholesky factorizations and conjugate gradients in a specialized interior-point method for block-angular structured problems. In this work we apply this algorithmic approach to solve very large instances of minimum cost flows … Read more

    On geometrical properties of preconditioners in IPMs for classes of block-angular problems

  • Jordi Castro
  • Stefano Nasini
    • Categories Linear Programming Tags , , , ,

    One of the most efficient interior-point methods for some classes of block-angular structured problems solves the normal equations by a combination of Cholesky factorizations and preconditioned conjugate gradient for, respectively, the block and linking constraints. In this work we show that the choice of a good preconditioner depends on geometrical properties of the constraints structure. … Read more

    A cutting-plane approach for large-scale capacitated multi-period facility location using a specialized interior-point method

  • Jordi Castro
  • Stefano Nasini
  • Francisco Saldanha-da-Gama
    • Categories (Mixed) Integer Linear Programming, Cutting Plane Approaches, Linear Programming

    We propose a cutting-plane approach (namely, Benders decomposition) for a class of capacitated multi-period facility location problems. The novelty of this approach lies on the use of a specialized interior-point method for solving the Benders subproblems. The primal block-angular structure of the resulting linear optimization problems is exploited by the interior-point method, allowing the (either … Read more