This paper deals with the so-called transportation problem of linear stochastic fractional programming, and emphasizes the wide applicability of LSFP. The transportation problem, received this name because many of its applications involve in determining how to optimally transport goods. However, some of its applications (e.g., production scheduling) actually have nothing to do with transportation. The … Read more
This paper describes a problem of interdicting/jamming wireless communication networks in uncertain environments. Jamming communication networks is an important problem with many applications, but has received relatively little attention in the literature. Most of the work on network interdiction is focused on preventing jamming and analyzing network vulnerabilities. Here, we consider the case where there … Read more
The block layout problem for a multi-floor facility is an important sub class of the facility layout problem with practical applications when the price of land is high or when a compact building allows for more efficient environmental control. Several alternative formulations for the block layout problem of a multi-floor facility are presented, where the … Read more
We present experimental results on portfolio optimization problems with return errors under the robust optimization framework. We use several a histogram-like model for return deviations, and a model that allows correlation among errors, together with a cutting-plane algorithm which proves effective for large, real-life data sets. CitationColumbia Center for Financial Engineering Report 2007-01 Columbia University, … Read more
In this paper, we study extensions of the classical Markowitz mean-variance portfolio optimization model. First, we consider that the expected asset returns are stochastic by introducing a probabilistic constraint which imposes that the expected return of the constructed portfolio must exceed a prescribed return threshold with a high confidence level. We study the deterministic equivalents … Read more
In adversarial environments, disabling the communication capabilities of the enemy is a high priority. We introduce the problem of determining the optimal number and locations for a set of jamming devices in order to neutralize a wireless communication network. This problem is known as the WIRELESS NETWORK JAMMING PROBLEM. We develop several mathematical programming formulations … Read more
We consider revenue management models for pricing a product line with several customer segments, working under the assumption that every customer’s product choice is determined entirely by their reservation price. We model the customer choice behavior by several probabilistic choice models and formulate the problems as mixed-integer programming problems. We study special properties of these … Read more
Hayrapetyan, Tardos and Wexler recently introduced a framework to study the impact of collusion in congestion games on the quality of Nash equilibria. We adopt their framework to network games and focus on the well established price of anarchy as a measure of this impact. We first investigate nonatomic network games with coalitions. For this … Read more
We construct an integrated multi-period inventory-production-distribution replenishment plan for three-stage supply chains. The supply chain maintains close-relationships with a small group of suppliers, and the nature of the products (bulk, chemical, etc.) makes it more economical to rely upon a direct shipment, full-truck load distribution policy between supply chain nodes. In this paper, we formulate … Read more
The robust portfolio selection problems have recently been studied by several researchers (e.g., see \cite{GoIy03,ErGoIy04,HaTu04,TuKo04}). In their work, the “separable” uncertainty sets of the problem parameters (e.g., mean and covariance of the random returns) were considered. These uncertainty sets share two common drawbacks: i) the actual confidence level of the uncertainty set is unknown, and … Read more