Applications – OR and Management Sciences

Modeling uncertainty processes for multi-stage optimization of strategic energy planning: An auto-regressive and Markov chain formulation

  • Esnil Guevara
  • Frédéric Babonneau
  • Tito Homem-de-Mello
    • Categories Applications - OR and Management Sciences, Stochastic Programming Tags , , ,

    This paper deals with the modeling of stochastic processes in long-term multistage energy planning problems when little information is available on the degree of uncertainty of such processes. Starting from simple estimates of variation intervals for uncertain parameters, such as energy demands and costs, we model the temporal correlation of these parameters through autoregressive (AR) … Read more

    Intraday Power Trading: Towards an Arms Race in Weather Forecasting?

  • Thomas Kuppelwieser
  • David Wozabal
    • Categories Finance and Economics, Stochastic Programming Tags , , , ,

    We propose the first weather-based algorithmic trading strategy on a continuous intraday power market. The strategy uses neither production assets nor power demand and generates profits purely based on superior information about aggregate output of weather-dependent renewable production. We use an optimized parametric policy based on state-of-the-art intraday updates of renewable production forecasts and evaluate … Read more

    Exact Solutions to a Carsharing Pricing and Relocation Problem under Uncertainty

  • Giovanni Pantuso
    • Categories Stochastic Programming, Transportation Tags , ,

    In this article we study the problem of jointly deciding carsharing prices and vehicle relocations. We consider carsharing services operating in the context of multi-modal urban transportation systems. Pricing decisions take into account the availability of alternative transport modes, and customer preferences with respect to these. In order to account for the inherent uncertainty in … Read more

    An efficient solution methodology for the airport slot allocation problem with preprocessing and column generation

  • Paula Fermín Cueto
  • Sergio García
  • Miguel F. Anjos
    • Categories Airline Optimization, Scheduling, Transportation Tags , , , ,

    Airport coordination is a demand control mechanism that maximizes the use of existing infrastructure at congested airports. Aircraft operators submit a list of regular flights that they wish to operate over a five to seven-month period and a designated coordinator is responsible for allocating the available airport slots, which represent the permission to operate a … Read more

    Randomized Policy Optimization for Optimal Stopping

  • Xinyi Guan
  • Velibor Mišić
    • Categories Dynamic Programming, Finance and Economics, Unconstrained Optimization Tags , , , ,

    Optimal stopping is the problem of determining when to stop a stochastic system in order to maximize reward, which is of practical importance in domains such as finance, operations management and healthcare. Existing methods for high-dimensional optimal stopping that are popular in practice produce deterministic linear policies — policies that deterministically stop based on the … Read more

    Efficient Formulations for Multiple Allocation Hub Network Interdiction Problems

  • Prasanna Ramamoorthy
  • Sachin Jayaswal
  • Ankur Sinha
  • Navneet Vidyarthi
    • Categories Applications - OR and Management Sciences, Production and Logistics, Transportation Tags , , , ,

    In this paper, we study a network interdiction problem on a multiple allocation, uncapacitated hub network. The problem is formulated as a bilevel Stackelberg game between an attacker and a defender, where the attacker identifies r out of p hubs to interdict so as to maximize the worst-case post-interdiction performance of the system with the … Read more

    Parallel Dual Dynamic Integer Programming for Large-Scale Hydrothermal Unit-Commitment

  • Bruno Colonetti
  • Erlon Finardi
  • Victor M. Zavala
  • Samuel Brito
    • Categories Dynamic Programming, Parallel Algorithms, Scheduling Tags , , ,

    Unit commitment has been at the center of power system operation for well over 50 years. Yet, this problem cannot be considered solved due to its size and complexity. Today, operators rely on off-the-shelf optimization solvers to tackle this challenging problem, and often resort to simplifications to make the problem more tractable and solvable in … Read more

    Revisiting Degeneracy, Strict Feasibility, Stability, in Linear Programming

  • Haesol Im
  • Henry Wolkowicz
    • Categories Applications - OR and Management Sciences, Linear Programming Tags , , , , , ,

    Currently, the simplex method and the interior point method are indisputably the most popular algorithms for solving linear programs, LPs. Unlike general conic programs, LPs with a finite optimal value do not require strict feasibility in order to establish strong duality. Hence strict feasibility is seldom a concern, even though strict feasibility is equivalent to … Read more

    A Novel Model for Transfer Synchronization in Transit Networks and a Lagrangian-based Heuristic Solution Method

  • Zahra Ansarilari
  • Merve Bodur
  • Amer Shalaby
    • Categories (Mixed) Integer Linear Programming, Transportation Tags , ,

    To realize the benefits of network connectivity in transfer-based transit networks, it is critical to minimize transfer disutility for passengers by synchronizing timetables of intersecting routes. We propose a mixed-integer linear programming timetable synchronization model that incorporates new features, such as dwell time determination and vehicle capacity limit consideration, which have been largely overlooked in … Read more

    An Exact Algorithm for the Two-echelon Vehicle Routing Problem with Drones

  • Hang Zhou
  • Hu Qin
  • Chun Cheng
  • Louis-Martin Rousseau
    • Categories Applications - OR and Management Sciences, Transportation Tags , ,

    This paper studies a new variant of the vehicle routing problem with drones, i.e., the two-echelon vehicle routing problem with drones, where multiple vehicles and drones work collaboratively to serve customers. Drones can perform multiple back-and-forth trips when their paired vehicle stops at a customer node, forming a two-echelon network. Several practical constraints such as … Read more