Applications – OR and Management Sciences

Risk-averse portfolio selection of renewable electricity generator investments in Brazil: An optimised multi-market commercialisation strategy

  • Sebastian Maier
  • Kenneth McKinnon
  • Alexandre Street
    • Categories Applications - Science and Engineering, Finance and Economics, Stochastic Programming Tags , , , ,

    Investment decisions in renewable energy sources such as small hydro, wind power, biomass and solar are frequently made in the context of enormous uncertainty surrounding both intermittent generation and the highly volatile electricity spot prices that are used for clearing of trades. This paper presents a new portfolio-based approach for selecting long-term investments in small-scale … Read more

    The Vehicle Routing Problem with Occasional Drivers

  • Claudia Archetti
  • Martin Savelsbergh
  • M. Grazia Speranza
    • Categories (Mixed) Integer Linear Programming, Meta Heuristics, Transportation Tags , ,

    We consider a setting in which a company not only has a fleet of capacitated vehicles and drivers available to make deliveries, but may also use the services of occasional drivers who are willing to make a single delivery using their own vehicle in return for a small compensation if the delivery location is not … Read more

    A branch-price-and-cut algorithm for the vehicle routing problem with time windows and multiple deliverymen

  • Reinaldo Morabito
  • Pedro Munari
    • Categories Combinatorial Optimization, Integer Programming, Transportation Tags , , , , , ,

    We address a variant of the vehicle routing problem with time windows (VRPTW) that includes the decision of how many deliverymen should be assigned to each vehicle. In this variant, the service time at each customer depends on the size of the respective demand and on the number of deliverymen assigned to visit this customer. … Read more

    Vehicle Routing with Roaming Delivery Locations

  • Damian Reyes
  • Martin Savelsbergh
  • Alejandro Toriello
    • Categories Transportation Tags ,

    We propose the vehicle routing problem with roaming delivery locations (VRPRDL) to model an innovation in last-mile delivery where a customer’s order is delivered to the trunk of his car. We develop construction and improvement heuristics for the VRPRDL based on two problem-specific techniques: (1) efficiently optimizing the delivery locations for a fixed customer delivery … Read more

    Infinite horizon optimal policy for an inventory system with two types of products sharing common hardware platforms

  • Mabel C. Chou
  • Chee-Khian Sim
  • Xiao-Ming Yuan
    • Categories Applications - OR and Management Sciences

    We consider a periodic review inventory system and present its optimal policy in the infinite horizon setting. The optimal inventory policy that maximizes the infinite horizon expected discount profit for the model is analytically obtained by relating to the finite horizon setting using results from variational analysis. Results are provided that elucidate the operations of … Read more

    Bulk Ship Fleet Renewal and Deployment under Uncertainty: A Multi-Stage Stochastic Programming Approach

  • Ayse Nur Arslan
  • Dimitri J. Papageorgiou
    • Categories Stochastic Programming, Supply Chain Management, Transportation Tags , , , , ,

    We study a maritime fleet renewal and deployment problem under demand and charter cost uncertainty. A decision-maker for an industrial bulk shipping company must determine a suitable fleet size, mix, and deployment strategy to satisfy stochastic demand over a given planning horizon. She may acquire vessels in two ways: time chartering and voyage chartering. Time … Read more

    ADMM for the SDP relaxation of the QAP

  • Danilo Oliveira
  • Henry Wolkowicz
  • Yangyang Xu
    • Categories Applications - OR and Management Sciences, Combinatorial Optimization, Linear, Cone and Semidefinite Programming Tags , , ,

    The semidefinite programming (SDP) relaxation has proven to be extremely strong for many hard discrete optimization problems. This is in particular true for the quadratic assignment problem (QAP), arguably one of the hardest NP-hard discrete optimization problems. There are several difficulties that arise in efficiently solving the SDP relaxation, e.g., increased dimension; inefficiency of the … Read more

    Strengthening the SDP Relaxation of AC Power Flows with Convex Envelopes, Bound Tightening, and Lifted Nonlinear Cuts

  • Carleton Coffrin
  • Hassan L. Hijazi
  • Pascal Van Hentenryck
    • Categories Applications - OR and Management Sciences, Constrained Nonlinear Optimization, Semi-definite Programming Tags , , ,

    This paper considers state-of-the-art convex relaxations for the AC power flow equations and introduces new valid cuts based on convex envelopes and lifted nonlinear constraints. These valid linear inequalities strengthen existing semidefinite and quadratic programming relaxations and dominate existing cuts proposed in the litterature. Together with model intersections and bound tightening, the new linear cuts … Read more

    On the Polyhedral Structure of Two-Level Lot-Sizing Problems with Supplier Selection

  • Ayse Nur Arslan
  • Yongpei Guan
  • Jean-Philippe P. Richard
    • Categories (Mixed) Integer Linear Programming, Production and Logistics Tags , , ,

    In this paper, we study a two-level lot-sizing problem with supplier selection (LSS). This NP-hard problem arises in different production planning and supply chain management applications. We first present a dynamic programming algorithm for LSS that is polynomial when the number of plants is fixed. We use this algorithm to describe the convex hull of … Read more

    Robust Nonparametric Testing for Causal Inference in Observational Studies

  • Md. Noor-E-Alam
  • Cynthia Rudin
    • Categories (Mixed) Integer Linear Programming, Applications - OR and Management Sciences, Data-Mining Tags , , , , ,

    We consider the decision problem of making causal conclusions from observational data. Typically, using standard matched pairs techniques, there is a source of uncertainty that is not usually quanti fied, namely the uncertainty due to the choice of the experimenter: two di fferent reasonable experimenters can easily have opposite results. In this work we present an alternative … Read more