We consider the following freight train routing problem (FTRP). Given is a transportation network with fixed routes for passenger trains and a set of freight trains (requests), each defined by an origin and destination station pair. The objective is to calculate a feasible route for each freight train such that a sum of all expected … Read more
We analyze the properties of the optimal portfolio policy for a multiperiod mean-variance investor facing multiple risky assets in the presence of general transaction costs such as proportional, market impact, and quadratic transaction costs. For proportional transaction costs, we find that a buy-and-hold policy is optimal: if the starting portfolio is outside a parallelogram-shaped no-trade … Read more
We developed a modular framework to obtain exact and approximate solutions to a class of linear optimization problems with recourse with the goal to minimize the worst-case expected objective over an ambiguity set of distributions. The ambiguity set is specified by linear and conic quadratic representable expectation constraints and the support set is also linear … Read more
We consider a model in which a consumer of a resource over several periods must pay a per unit charge for the resource as well as a peak charge. The consumer has the ability to reduce his consumption in any period at some given cost, subject to a constraint on the total amount of reduction … Read more
In the surface mining industry, the Equipment Selection Problem involves choosing an appropriate fleet of trucks and loaders such that the long-term mine plan can be satisfied. An important characteristic for multi-location (multi-location and multi-dumpsite) mines is that the underlying problem is a multi-commodity flow problem. The problem is therefore at least as difficult as … Read more
Robust optimization is a methodology that has gained a lot of attention in the recent years. This is mainly due to the simplicity of the modeling process and ease of resolution even for large scale models. Unfortunately, the second property is usually lost when the cost function that needs to be robustified is not concave … Read more
This work introduces a robust formulation of the uncertain set covering problem combining the concepts of robust and probabilistic optimization. It is shown that the proposed robust uncertain set covering problem can be stated as a compact mixed-integer linear programming model which can be solved with modern computer software. This model is a natural extension … Read more
Mixed Integer Nonlinear Programming (MINLP) techniques are increasingly used to address challenging problems in robotics, especially Multi-Vehicle Motion Planning (MVMP). The main contribution of this paper is a discrete time-distributed Receding Horizon Mixed Integer Nonlinear Programming (RH-MINLP) formulation of the underwater multi-vehicle path coordination problem with constraints on kinematics, dynamics, collision avoidance, and acoustic communication … Read more
This work reports on modeling and numerical experience in solving the long-term design and operation planning problem of the Brazilian natural gas network. A stochastic approach to address uncertainties related to the gas demand is considered. Representing uncertainties by finitely many scenarios increases the size of the resulting optimization problem, and therefore the difficulty to … Read more
We consider the problem of scheduling on uniform processors with nonsimultaneous machine available times with the purpose of mini\-mi\-zing the maximum completion time. We give a variant of the Multifit algorithm which generates schedules which end within $1.382$ times the optimal maximum completion times. This results from properties of the Multifit algorithm when used for … Read more