Somayeh Moazeni

Resource Allocation for Contingency Planning: An Inexact Bundle Method for Stochastic Optimization

  • Ricardo A. Collado
  • Somayeh Moazeni
    • Categories Nonsmooth Optimization, Production and Logistics, Stochastic Programming Tags , , , ,

    Resource allocation models in contingency planning aim to mitigate unexpected failures in supply chains due to disruptions with rare occurrence but disastrous consequences. This paper formulates this problems as a two-stage stochastic optimization with a risk-averse recourse function, and proposes a novel computationally tractable solution approach. The method relies on an inexact bundle method and … Read more

    Effects of Uncertain Requirements on the Architecture Selection Problem

  • Somayeh Moazeni
  • Roshanak Nilchiani
    • Categories Applications - Science and Engineering, Multidisciplinary Design Optimization, Robust Optimization Tags , , ,

    The problem of identifying a specific design or architecture that allows to satisfy all the system requirements becomes more difficult when uncertainties are taken into account. When a requirement is subject to uncertainty there are a number approaches available to the system engineer, each one with its own benefits and disadvantages. Classical robust optimization is … Read more

    Nonstationary Direct Policy Search for Risk-Averse Stochastic Optimization

  • Belgacem Bouzaiene-Ayari
  • Somayeh Moazeni
  • Boris Defourny
  • Warren B. Powell
    • Categories Dynamic Programming, Parallel Algorithms, Stochastic Programming Tags , ,

    This paper presents an approach to non-stationary policy search for finite-horizon, discrete-time Markovian decision problems with large state spaces, constrained action sets, and a risk-sensitive optimality criterion. The methodology relies on modeling time variant policy parameters by a non-parametric response surface model for an indirect parametrized policy motivated by the Bellman equation. Through the interpolating … Read more

    A Non-Parametric Structural Hybrid Modeling Approach for Electricity Prices

  • Ismael Arciniegas Rueda
  • Somayeh Moazeni
  • Michael Coulon
  • Warren B. Powell
  • Boyang Song
    • Categories Finance and Economics, Optimization Software and Modeling Systems, Stochastic Programming

    We develop a stochastic model of zonal/regional electricity prices, designed to reflect information in fuel forward curves and aggregated capacity and load as well as zonal or regional price spreads. We use a nonparametric model of the supply stack that captures heat rates and fuel prices for all generators in the market operator territory, combined … Read more

    An Improvised Approach to Robustness in Linear Optimization

  • Mehdi Karimi
  • Somayeh Moazeni
  • Levent Tunçel
    • Categories Applications - OR and Management Sciences, Robust Optimization Tags ,

    We treat uncertain linear programming problems by utilizing the notion of weighted analytic centers and notions from the area of multi-criteria decision making. In addition to many practical advantages, due to the flexibility of our approach, we are able to prove that the robust optimal solutions generated by our algorithms are at least as desirable … Read more

    Optimal Execution Under Jump Models For Uncertain Price Impact

  • Thomas F. Coleman
  • Yuying Li
  • Somayeh Moazeni
    • Categories Dynamic Programming, Finance and Economics, Stochastic Programming Tags , , ,

    In the execution cost problem, an investor wants to minimize the total expected cost and risk in the execution of a portfolio of risky assets to achieve desired positions. A major source of the execution cost comes from price impacts of both the investor’s own trades and other concurrent institutional trades. Indeed price impact of … Read more

    Effective Strategies to Teach Operations Research to Non-Mathematics Majors

  • Somayeh Moazeni
    • Categories Basic Sciences Applications, Other Topics Tags

    Operations Research (OR) is the discipline of applying advanced analytical methods to help make better decisions (Horner (2003)). OR is characterized by its broad applicability and its interdisciplinary nature. Currently, in addition to mathematics, many other undergraduate programs such as management sciences, business, economics, electrical engineering, civil engineering, chemical engineering, and related fields, have incorporated … Read more