For a set of financial securities specified by their expected returns and variance/covariances we propose the concept of minimum risk arbitrage, characterize conditions under which such opportunities may exist. We use conic duality and convex analysis to derive these characterizations. For practical computation a decidability result on the existence of an arbitrage opportunity is derived. … Read more
We consider the multi-stage multiprocessor flowshop scheduling problem with uniform machines at each stage and the minimum makespan objective. Using a vector summation technique, three polynomial-time heuristics are developed with absolute worst-case performance guarantees. As a direct corollary, in the special case of the ordinary flowshop problem we come to the best approximation algorithms (both … Read more
Networks 39 (2002), 216-231. Citation Networks 39 (2002), 216-231.
This paper addresses a multi-period investment model for capacity expansion in an uncertain environment. Using a scenario tree approach to model the evolution of uncertain demand and cost parameters, and fixed-charge cost functions to model the economies of scale in expansion costs, we develop a multi-stage stochastic integer programming formulation for the problem. A reformulation … Read more
We deal with the linear programming relaxation of set partitioning problems arising in airline crew scheduling. Some of these linear programs have been extremely difficult to solve with the traditional algorithms. We have used an extension of the subgradient algorithm, the volume algorithm, to produce primal solutions that might violate the constraints by at most … Read more
Attempts at reducing the externalities of freight transport in Europe are generally focused on the incorporation of a more significant use of rail into freight itineraries. One new scenario for increasing the share of rail in intermodal transport involves the development of a dedicated subnetwork of freight rail lines. Within this European Union project, the … Read more
In this paper we address a general Goal Programming problem with linear objectives, convex constraints, and an arbitrary componentwise nondecreasing norm to aggregate deviations with respect to targets. In particular, classical Linear Goal Programming problems, as well as several models in Location and Regression Analysis are modeled within this framework. In spite of its generality, … Read more
This paper surveys frequency assignment problems coming up in planning wireless communication services. It particularly focuses on cellular mobile phone systems such as GSM, a technology that revolutionizes communication. Traditional vertex coloring provides a conceptual framework for the mathematical modeling of many frequency planning problems. This basic form, however, needs various extensions to cover technical … Read more
In this paper we describe the results of a computational study towards the (re)optimization of signaling transfer points (STPs) in telecommunication networks. The best performance of an STP is achieved whenever the traffic load is evenly distributed among the internal components. Due to the continuously changing traffic pattern, the load of the components has to … Read more
We present a nontrivial family of facet-defining inequalities for the p-median polytope. We incorporate the inequalities in a branch-and-cut scheme, and we report computational results that demonstrate their effectiveness. Citation Department of Industrial Engineering, State University of New York at Buffalo, submitted Article Download View A Family of Facets for the p-Median Polytope