Applications – OR and Management Sciences

Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences

  • Birgit Rudloff
  • Alexandre Street
  • Davi Valladão
    • Categories Finance and Economics, Stochastic Programming Tags , , , ,

    This paper aims at resolving a major obstacle to practical usage of time-consistent risk-averse decision models. The recursive objective function, generally used to ensure time consistency, is complex and has no clear/direct interpretation. Practitioners rather choose a simpler and more intuitive formulation, even though it may lead to a time inconsistent policy. Based on rigorous … Read more

    Cost-sharing mechanisms for scheduling under general demand settings

  • Sindhura Balireddi
  • Nelson A. Uhan
    • Categories Game Theory, Scheduling

    We investigate cost-sharing mechanisms for scheduling cost-sharing games. We assume that the demand is general—that is, each player can be allocated one of several levels of service. We show how to design mechanisms for these games that are weakly group strategyproof, approximately budget-balanced, and approximately efficient, using approximation algorithms for the underlying scheduling problems. We … Read more

    Symmetry in Scheduling Problems

  • Miguel F. Anjos
  • James Ostrowski
  • Anthony Vannelli
    • Categories Integer Programming, Scheduling Tags , ,

    The presence of symmetry is common in certain types of scheduling problems. Symmetry can occur when one is scheduling a collection of jobs on multiple identical machines, or if one is determining production schedules for identical machines. General symmetry-breaking methods can be strengthened by taking advantage of the special structure of the symmetry group in … Read more

    Robust Timing of Markdowns

  • Daniela Caro
  • Aurelie Thiele
  • Michael Dziecichowicz
    • Categories Robust Optimization, Yield Management Tags , , ,

    We propose an approach to the timing of markdowns over a finite time horizon that does not require the precise knowledge of the underlying probabilities, instead relying on range forecasts for the arrival rates of the demand processes, and that captures the degree of the manager’s risk aversion through intuitive budget-of-uncertainty functions. These budget functions … Read more

    A heuristic block coordinate descent approach for controlled tabular adjustment

  • Jordi Castro
  • Jose Antonio Gonzalez
    • Categories Applications - OR and Management Sciences Tags , , , , , ,

    One of the main concerns of national statistical agencies (NSAs) is to publish tabular data. NSAs have to guarantee that no private information from specific respondents can be disclosed from the released tables. The purpose of the statistical disclosure control field is to avoid such a leak of private information. Most protection techniques for tabular … Read more

    Radio Planning of Energy-Aware Cellular Networks

  • Capone Antonio
  • Silvia Boiardi
  • Brunilde Sansò
    • Categories Telecommunications Tags , , , , ,

    The role of the Information and Communication Technology sector on productivity and economic growth is constantly increasing and, due to its pervasiveness, the ICT power consumption can no longer be ignored. Some energy-aware models and approaches have already been proposed for cellular networks, they aim at reducing power expenditures while decreasing network operators costs. However, … Read more

    Robust Unit Commitment Problem with Demand Response and Wind Energy

  • Bo Zeng
  • Long Zhao
    • Categories Robust Optimization, Scheduling Tags , , , ,

    To improve the efficiency in power generation and to reduce the greenhouse gas emission, both Demand Response (DR) strategy and intermittent renewable energy have been proposed or applied in electric power systems. However, the uncertainty and the generation pattern in wind farms and the complexity of demand side management pose huge challenges in power system … Read more

    Construction of Risk-Averse Enhanced Index Funds

  • Miguel A. Lejeune
  • Gulay Samatli-Pac
    • Categories (Mixed) Integer Nonlinear Programming, Finance and Economics, Stochastic Programming Tags , , , ,

    We propose a partial replication strategy to construct risk-averse enhanced index funds. Our model takes into account the parameter estimation risk by defining the asset returns and the return covariance terms as random variables. The variance of the index fund return is forced to be below a low-risk threshold with a large probability, thereby limiting … Read more

    Stochastic Sequencing of Surgeries for a Single Surgeon Operating in Parallel Operating Rooms

  • Camilo Mancilla
  • Robert H. Storer
    • Categories Applications - OR and Management Sciences, Scheduling, Stochastic Programming Tags , ,

    We develop algorithms for a stochastic two-machine single-server sequencing problem with waiting time, idle time and overtime costs. Scheduling surgeries for a single surgeon operating in two parallel operating rooms (ORs) motivates the work. The basic idea is that staff perform cleanup and setup in one OR while the surgeon is operating in the other. … Read more

    Two-Stage Robust Power Grid Optimization Problem

  • Ruiwei Jiang
  • Yongpei Guan
  • Guang Li
  • Muhong Zhang
    • Categories Applications - OR and Management Sciences, Robust Optimization Tags , , , ,

    Under the deregulated energy market environment, plus the integration of renewable energy generation, both the supply and demand of a power grid system are volatile and under uncertainty. Accordingly, a large amount of spinning reserve is required at each bus to maintain the reliability of the power grid system in the traditional approach. In this … Read more