The paper proposes a constrained Nonlinear Programming methodology for volatility estimation with GARCH models. These models are usually developed and solved as unconstrained optimization problems whereas they actually fit into nonlinear, nonconvex problems. Computational results on FTSE 100 and S & P 500 indices with up to 1500 data points are given and contrasted to … Read more
The `Progressive Party Problem’ [smith1995] has long been considered a problem intractable for branch-and-bound mixed integer solvers. Quite impressive results have been reported with constraint programming systems for this problem. As a result the problem has become a standard example in texts on constraint programming. Fortunately, there has been progress in the mixed integer programming … Read more
A frame relay service offers virtual private networks to customers by provisioning a set of long-term private virtual circuits (PVCs) between customer endpoints on a large backbone network. During the provisioning of a PVC, routing decisions are made without any knowledge of future requests. Over time, these decisions can cause inefficiencies in the network and … Read more
We introduce a new distribution center (DC) location model that incorporates working inventory and safety stock inventory costs at the distribution centers. In addition, the model incorporates transport costs from the suppliers to the DCs that explicitly reflect economies of scale through the use of a fixed cost term. The model is formulated as a … Read more
We study the polyhedron associated with a network design problem which consists in determining at minimum cost a two-connected network such that the shortest cycle to which each edge belongs (a “ring”) does not exceed a given length K. We present here a new formulation of the problem and derive facet results for different classes … Read more
We propose and describe a hybrid GRASP with weight perturbations and adaptive path-relinking heuristic (HGP+PR) for the Steiner problem in graphs. In this multi-start approach, the greedy randomized construction phase of a GRASP is replaced by the use of several construction heuristics with a weight perturbation strategy that combines intensification and diversification elements, as in … Read more
In this paper we consider the labor constrained scheduling problem (LCSP), in which a set of jobs to be processed is subject to precedence and labor requirement constraints. Each job has a specified processing time and a labor requirements profile, which typically varies as the job is processed. Given the amount of labor available at … Read more
This paper presents a novel integration of interior point cutting plane methods within branch-and-price algorithms. Unlike the classical method, columns are generated at a “central” dual solution by applying the analytic centre cutting plane method (ACCPM) on the dual of the full master problem. First, we introduce improvements to ACCPM. We propose a new procedure … Read more
The National Football League (NFL) in the United States will expand to 32 teams in 2002 with the addition of a team in Houston. At that point, the league will be realigned into eight divisions, each containing four teams. We describe a branch-and-cut algorithm for minimizing the sum of intradivisional travel distances. We consider first … Read more
For the $r$-stage open shop problem with identical parallel machines at each stage and the minimum makespan criterion, an approximation scheme is constructed with running time $O(nrm + C(m,\eps))$ , where $n$ is the number of jobs, $m$ is the total number of machines, and $C(m,\eps)$ is a function independent of $n$. Citation Discrete Appl. … Read more