In this paper we consider two problems regarding the scheduling of available personnel in order to perform a given quantity of work, which can be arbitrarily decomposed into a sequence of activities. We are interested in schedules which minimize the overall dissatisfaction, where each employee’s dissatisfaction is modeled as a time-dependent linear function. For the … Read more
We provide a closed-form solution to the problem of computing the sharpest static-arbitrage upper bound on the price of a European basket option, given the prices of vanilla call options in the underlying securities. Unlike previous approaches to this problem, our solution technique is entirely based on linear programming. This also allows us to obtain … Read more
This paper presents algorithms for single and parallel identical machine scheduling problems. While the overall algorithm can be viewed as a branch-cut-and-price over a very large extended formulation, a number of auxiliary techniques are necessary to make the column generation effective. Those techniques include a powerful fixing by reduced costs and a new proposed dual … Read more
We investigate the problem of simultaneously determining the location of facilities and the design of vehicle routes to serve customer demands under vehicle and facility capacity restrictions. We present a set-partitioning-based formulation of the problem and study the relationship between his formulation and the graph-based formulations that have been used in previous studies of this … Read more
This paper addresses the one machine scheduling problem in which $n$ jobs have distinct due dates with earliness and tardiness costs. Fast neighborhoods are proposed for the problem. They are based on a block representation of the schedule and can be computed in $O(n^2)$. A timing operator is presented as well as swap and extract-and-reinsert … Read more
In this paper I investigate several offline and online data transfer scheduling problems and propose efficient algorithms and techniques for addressing them. In the offline case, I present a novel, heuristic, algorithm for scheduling files with divisible sizes on multiple disjoint paths, in order to maximize the total profit (the problem is equivalent to the … Read more
The problem of routing and wavelength assignment (RWA) in wavelength division multiplexing (WDM) optical networks consists in routing a set of lightpaths and assigning a wavelength to each of them, such that lightpaths whose routes share a common fiber are assigned different wavelengths. This problem was shown to be NP-hard when the objective is to … Read more
The main goal of this paper is to develop a numerical procedure for construction of covariance matrices such that for a given covariance structural model and a discrepancy function the corresponding minimizer of the discrepancy function has a specified value. Often construction of such matrices is a first step in Monte Carlo studies of statistical … Read more
This paper presents a robust branch-cut-and-price algorithm for the Heterogeneous Fleet Vehicle Routing Problem (HFVRP), vehicles may have distinct capacities and costs. The columns in the formulation are associated to q-routes, a relaxation of capacitated elementary routes that makes the pricing problem solvable in pseudo-polynomial time. Powerful new families of cuts are also proposed, which … Read more
This article presents techniques for constructing robust Branch-Cutand-Price algorithms on a number of Vehicle Routing Problem variants. The word “robust” stress the effort of controlling the worst-case complexity of the pricing subproblem, keeping it pseudo-polynomial. Besides summarizing older research on the topic, some promising new lines of investigation are also presented, specially the development of … Read more