Applications – OR and Management Sciences

Computational and Economic Limitations of Dispatch Operations in the Next-Generation Power Grid

  • Audun Botterud
  • Emil M. Constantinescu
  • Victor M. Zavala
  • Jianhui Wang
    • Categories Dynamic Programming, Linear Programming, Production and Logistics Tags , , , , ,

    We study the interactions between computational and economic performance of dispatch operations under highly dynamic environments. In particular, we discuss the need for extending the forecast horizon of the dispatch formulation in order to anticipate steep variations of renewable power and highly elastic loads. We present computational strategies to solve the increasingly larger optimization problems … Read more

    Randomized heuristics for the regenerator location problem

  • Abraham Duarte
  • Mauricio G.C. Resende
  • Ricardo M. A. Silva
  • Rafael Martí
    • Categories Meta Heuristics, Network Optimization, Telecommunications Tags , , , ,

    Telecommunication systems make use of optical signals to transmit information. The strength of a signal in an optical network deteriorates and loses power as it gets farther from the source, mainly due to attenuation. Therefore, to enable the signal to arrive at its intended destination with good quality, it is necessary to regenerate it periodically … Read more

    Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds

  • David B. Brown
  • James E. Smith
    • Categories Applications - OR and Management Sciences, Dynamic Programming, Finance and Economics Tags ,

    We consider the problem of dynamic portfolio optimization in a discrete-time, finite-horizon setting. Our general model considers risk aversion, portfolio constraints (e.g., no short positions), return predictability, and transaction costs. This problem is naturally formulated as a stochastic dynamic program. Unfortunately, with non-zero transaction costs, the dimension of the state space is at least as … Read more

    A biased random-key genetic algorithm for road congestion minimization

  • Luciana S. Buriol
  • Michael J. Hirsch
  • Panos M. Pardalos
  • Mauricio G.C. Resende
  • T. Querido
  • M. Ritt
    • Categories Combinatorial Optimization, Meta Heuristics, Transportation Tags , , , , , ,

    One of the main goals in transportation planning is to achieve solutions for two classical problems, the traffic assignment and toll pricing problems. The traffic assignment problem aims to minimize total travel delay among all travelers. Based on data derived from the first problem, the toll pricing problem determines the set of tolls and corresponding … Read more

    A parallel multi-population biased random-key genetic algorithm for a container loading problem

  • José Fernando Gonçalves
  • Mauricio G.C. Resende
    • Categories Combinatorial Optimization, Meta Heuristics, Production and Logistics Tags , , , ,

    This paper presents a multi-population biased random-key genetic algorithm (BRKGA) for the Single Container Loading Problem (CLP) where several rectangular boxes of different sizes are loaded into a single rectangular container. The approach uses a maximal-space representation to manage the free spaces in the container. The proposed algorithm hybridizes a novel placement procedure with a … Read more

    On the Safety First portfolio selection

  • Serhiy Boyko
  • Vladimir I. Norkin
    • Categories Finance and Economics, Stochastic Programming Tags , , , ,

    A.D.Roy’s (1952) safety first (SF) approach to a financial portfolio selection is improved. Safety first means minimization of probability of poor returns. Improvement concerns a better estimation of the poor return probabilities by means of shortfall risk functions. Optimal SF-portfolio is sought similar to Roy’s geometric method but with a different efficient frontier. In case … Read more

    Cutting Stock with Bounded Open Stacks: a New Integer Linear Programming Model

  • Claudio Arbib
  • Fabrizio Marinelli
  • Paolo Ventura
    • Categories (Mixed) Integer Linear Programming, Production and Logistics Tags ,

    We address a 1-dimensional cutting stock problem where, in addition to trim-loss minimization, we require that the set of cutting patterns forming the solution can be sequenced so that the number of stacks of parts maintained open throughout the process never exceeds a given $s$. For this problem, we propose a new integer linear programming … Read more

    Development and Calibration of Currency Market Strategies by Global Optimization

  • Mustafa Çağlayan
  • János Pintér
    • Categories Finance and Economics, Global Optimization Applications, Optimization Software and Modeling Systems

    We have developed a new financial indicator – called the Interest Rate Differential Adjusted for Volatility (IRDAV) measure – to assist investors in currency markets. On a monthly basis, we rank currency pairs according to this measure and generate a basket of pairs with the highest IRDAV values. Under positive market conditions, an IRDAV based … Read more

    Multistage Stochastic Portfolio Optimisation in Deregulated Electricity Markets Using Linear Decision Rules

  • Daniel Kuhn
  • Paula Rocha
    • Categories Applications - OR and Management Sciences, Stochastic Programming Tags , , , ,

    The deregulation of electricity markets increases the financial risk faced by retailers who procure electric energy on the spot market to meet their customers’ electricity demand. To hedge against this exposure, retailers often hold a portfolio of electricity derivative contracts. In this paper, we propose a multistage stochastic mean-variance optimisation model for the management of … Read more

    A heuristic approach for packing rectangles in convex regions.

  • Andrea Cassioli
  • Marco Locatelli
    • Categories Applications - OR and Management Sciences, Global Optimization, Nonlinear Optimization Tags , , ,

    In this paper we propose a heuristic approach for the problem of packing equal rectangles within a convex region. The approach is based on an Iterated Local Search scheme (or, using a terminology employed for continuous problems, a Monotonic Basin Hopping), in which the key step is the perturbation move. Different perturbation moves, both combinatorial … Read more