Applications – OR and Management Sciences

A CVaR Scenario-based Framework: Minimizing Downside Risk of Multi-asset Class Portfolios

Categories Applications - OR and Management Sciences, Finance and Economics, Stochastic Programming Tags , ,

Multi-asset class (MAC) portfolios can be comprised of investments in equities, fixed-income, commodities, foreign-exchange, credit, derivatives, and alternatives such as real-estate and private equity. The return for such {\em non-linear} portfolios is {\em asymmetric} with significant tail risk. The traditional Markowitz Mean-Variance Optimization (MVO) framework, that linearizes all the assets in the portfolio and uses … Read more

Exact Algorithms for the Chance-Constrained Vehicle Routing Problem

Categories 0-1 Programming, Stochastic Programming, Transportation Tags , ,

We study the chance-constrained vehicle routing problem (CCVRP), a version of the vehicle routing problem (VRP) with stochastic demands, where a limit is imposed on the probability that each vehicle’s capacity is exceeded. A distinguishing feature of our proposed methodologies is that they allow correlation between random demands, whereas nearly all existing exact methods for … Read more

Towards an accurate solution of wireless network design problems

Categories (Mixed) Integer Linear Programming, Telecommunications

The optimal design of wireless networks has been widely studied in the literature and many optimization models have been proposed over the years. However, most models directly include the signal-to-interference ratios representing service coverage conditions. This leads to mixed-integer linear programs with constraint matrices containing tiny coefficients that vary widely in their order of magnitude. … Read more

An Exact Algorithm for a Resource Allocation Problem in Mobile Wireless Communications

Categories (Mixed) Integer Nonlinear Programming, Telecommunications Tags ,

We consider a challenging resource allocation problem arising in mobile wireless communications. The goal is to allocate the available channels and power in a so-called OFDMA system, in order to maximise the transmission rate, subject to quality of service (QoS) constraints. Standard MINLP software struggled to solve even small instances of this problem. Using outer … Read more

Accelerated first-order methods for large-scale convex minimization

Categories Applications - OR and Management Sciences, Convex and Nonsmooth Optimization, Convex Optimization Tags , , , , ,

This paper discusses several (sub)gradient methods attaining the optimal complexity for smooth problems with Lipschitz continuous gradients, nonsmooth problems with bounded variation of subgradients, weakly smooth problems with H\”older continuous gradients. The proposed schemes are optimal for smooth strongly convex problems with Lipschitz continuous gradients and optimal up to a logarithmic factor for nonsmooth problems … Read more

Resource-constrained scheduling with non-constant capacity and non-regular activities

Categories (Mixed) Integer Linear Programming, Applications - Science and Engineering, Scheduling Tags , , , , , , ,

This work is inspired by very challenging issues arising in space logistics. The problem of scheduling a number of activities, in a given time elapse, optimizing the resource exploitation is discussed. The available resources are not constant, as well as the request, relative to each job. The mathematical aspects are illustrated, providing a time-indexed MILP … Read more

A Traffic Model for the International Space Station: An MIP Approach

Categories (Mixed) Integer Linear Programming, Applications - OR and Management Sciences, Applications - Science and Engineering Tags , , , ,

The International Space Station poses very challenging issues from the logistic point of view. Its on-orbit stay is to be significantly extended in the near future and ever increasing experimental activity in microgravity is expected, giving rise to a renewed interest in the related optimization aspects. A permanent logistic support is necessary to guarantee its … Read more

A stochastic program with tractable time series and affine decision rules for the reservoir management problem

Categories Applications - OR and Management Sciences, Robust Optimization, Stochastic Programming Tags , , , , ,

This paper proposes a multi-stage stochastic programming formulation for the reservoir management problem. Our problem specifically consists in minimizing the risk of floods over a fixed time horizon for a multi-dimensional hydro-electrical complex. We consider well-studied linear time series model and enhance the approach to consider heteroscedasticity. Using these stochastic processes under very general distributional … Read more

Multistage Robust Unit Commitment with Dynamic Uncertainty Sets and Energy Storage

Categories Applications - OR and Management Sciences, Robust Optimization Tags , , , , ,

The deep penetration of wind and solar power is a critical component of the future power grid. However, the intermittency and stochasticity of these renewable resources bring significant challenges to the reliable and economic operation of power systems. Motivated by these challenges, we present a multistage adaptive robust optimization model for the unit commitment (UC) … Read more

A Non-metric Bilevel Location Problem

Categories Applications - OR and Management Sciences, Facility Planning and Design, Finance and Economics Tags , ,

We address a bilevel location problem where a leader first decides which facilities to open and their access prices; then, customers make individual decisions minimizing individual costs. In this note we prove that, when access costs do not fulfill metric properties, the problem is NP-hard even if facilities can be opened at no fixed cost. … Read more