This paper deals with the issue of buy-in thresholds in portfolio optimization using the Markowitz approach. Optimal values of invested fractions calculated using, for instance, the classical minimum-risk problem can be unsatisfactory in practice because they imply that very small amounts of certain assets are purchased. Realistically, we want to impose a disjoint restriction so … Read more
An alternate formulation of the classical vehicle routing problem with stochastic demands (VRPSD)is considered. We propose a new heuristic method to solve the problem. The algorithm is a modified version of the so-called Cross-Entropy method, which has been proposed in the literature as a heuristics for deterministic combinatorial optimization problems based upon concepts of rare-event … Read more
In this paper, we propose to solve the linear multicommodity flow problem using a partial Lagrangian relaxation. The relaxation is restricted to the set of arcs that are likely to be saturated at the optimum. This set is itself approximated by an active set strategy. The partial Lagrangian dual is solved with Proximal-ACCPM, a variant … Read more
This paper discusses that major problem is the construction project scheduling mathematical model and a simple algorithm in the uncertain resource environments. The project scheduling problem with uncertain resource constraints comprised mainly three parties: one of which its maximal limited capacity is fixed throughout the project duration; second maximal limited resource capacity is random variable; … Read more
Pointillism is a painting technique in which the painter places dots of paint on the canvas in such a way that they blend together into desired forms when viewed from a distance. In this brief note, we describe how to use linear programming to construct a pointillist portrait. CitationDept. of Mathematics, Oberlin College, Oberlin, OH … Read more
We present the optimization component of a decision support system developed for a sedan service provider. The system assists supervisors and dispatchers in scheduling driver shifts and routing the fleet throughout the day to satisfy customer demands within tight time windows. We periodically take a snapshot of the dynamic data and formulate an integer program, … Read more
Computing the optimal portfolio policy of an investor facing capital gains tax is a challenging problem: because the tax to be paid depends on the price at which the security was purchased (the tax basis), the optimal policy is path dependent and the size of the problem grows exponentially with the number of time periods. … Read more
Given a Markov process we are interested in the numerical computation of the moments of the exit time from a bounded domain. We use a moment approach which, together with appropriate semidefinite positivity moment conditions, yields a sequence of semidefinite programs (or SDP relaxations), depending on the number of moments considered, that provide a sequence … Read more
We show in this work how the problem of routing and wavelength assignment in all-optical networks may be solved by a combined approach involving the computation of alternative routes for the lightpaths, followed by the solution of a partition coloring problem in a conflict graph. A new tabu search heuristic is also proposed for the … Read more
In this study, a lifting procedure is applied to some existing formulations of the Diameter Constrained Minimum Spanning Tree Problem. This problem typically models network design applications where all vertices must communicate with each other at minimum cost, while meeting or surpassing a given quality requirement. An alternative formulation is also proposed for instances of … Read more