We introduce a framework for robustifying portfolio selection problems with respect to ambiguity in the distribution of the random asset losses. In particular, we are interested in convex, version independent risk measures. To robustify these risk measures, we use an ambiguity set which is defined as a neighborhood around a reference probability measure which represents … Read more
Due to intrinsic complexity and sophistication of decision problems in tourism and recreation, respective decision making processes can not be implemented without making use of modern computer technologies and operations research approaches. In this paper, we review research works on modeling recreational systems. CitationAnnals of Operations Research (accepted)ArticleDownload View PDF
We consider the economic lot-sizing game with general concave ordering cost functions. It is well-known that the core of this game is nonempty when the inventory holding costs are linear. The main contribution of this work is a combinatorial, primal-dual algorithm that computes a cost allocation in the core of these games in polynomial time. … Read more
In this paper, we propose a new robust cycle-based control policy for single installation inventory models with non-stationary uncertain demand. The policy is simple, flexible, easily implementable and preliminary numerical experiments suggest that the policy has very promising empirical performance. The policy can be used both when the excess demand is backlogged as well as … Read more
We investigate the sensitivity of the Colley Matrix (CM) rankings—one of six computer rankings used by the Bowl Championship Series—to (hypothetical) changes in the outcomes of (actual) games. Specifically, we measure the shift in the rankings of the top 25 teams when the win-loss outcome of, say, a single game between two teams, each with … Read more
This paper provides a new multi-objective integer programming model for the daily scheduling of nurses in operating suites. The model is designed to assign nurses to di erent surgery cases based on their specialties and competency levels, subject to a series of hard and soft constraints related to nurse satisfaction, idle time, overtime, and job changes … Read more
This paper studies the solution of two problems—bound-constrained quadratic programs and linear complementarity problems—by two-phase methods that consist of an active set prediction phase and a subspace phase. The algorithms enjoy favorable convergence properties under weaker assumptions than those assumed for other methods in the literature. The active set prediction phase employs matrix splitting iterations … Read more
The routing of the rolling stock depends strongly on the rolling stock assignment to di erent opera- tions and the shunting schedule. Therefore, the integration of these decision making is justi ed and is appropriate to introduce robustness in the model. We propose a new approach to obtain better circula- tions of the rolling stock material, solving … Read more
We address rapid transit network design problems characterized by uncertainty in the input data. Network design has a determinant impact on the future e ective- ness of the system. Design decisions are made with a great degree of uncertainty about the conditions under which the system will be required to operate. The de- mand is one … Read more
In this paper we discuss representations of law invariant coherent risk measures in a form of integrals of the Average Value-at-Risk measures. We show that such integral representation exists iff the dual set of the considered risk measure is generated by one of its elements, and this representation is uniquely defined. On the other hand, … Read more