Applications – OR and Management Sciences

Distributionally Robust Optimization under Decision-Dependent Ambiguity Set with an Application to Machine Scheduling

  • Miguel A. Lejeune
  • Nilay Noyan
  • Gabor Rudolf
    • Categories Scheduling, Stochastic Programming

    We introduce a new class of distributionally robust optimization problems under decision dependent ambiguity sets. In particular, as our ambiguity sets, we consider balls centered on a decision-dependent probability distribution. The balls are based on a class of earth mover’s distances that includes both the total variation distance and the Wasserstein metrics. We discuss the … Read more

    Gamma-Robust Electricity Market Equilibrium Models with Transmission and Generation Investments

  • Emre Çelebi
  • Vanessa Krebs
  • Martin Schmidt
    • Categories Applications - OR and Management Sciences, Robust Optimization Tags , , , ,

    We consider uncertain robust electricity market equilibrium problems including transmission and generation investments. Electricity market equilibrium modeling has a long tradition but is, in most of the cases, applied in a deterministic setting in which all data of the model are known. Whereas there exist some literature on stochastic equilibrium problems, the field of robust … Read more

    Equilibrium selection for multi-portfolio optimization

  • Lorenzo Lampariello
  • Christoph Neumann
  • Simone Sagratella
  • Oliver Stein
  • Jacopo Maria Ricci
    • Categories Complementarity and Variational Inequalities, Finance and Economics Tags , , , ,

    This paper studies a Nash game arising in portfolio optimization. We introduce a new general multi-portfolio model and state sufficient conditions for the monotonicity of the underlying Nash game. This property allows us to treat the problem numerically and, for the case of nonunique equilibria, to solve hierarchical problems of equilibrium selection. We also give … Read more

    Optimal Control with Distorted Probability Distributions

  • Kerem Ugurlu
    • Categories Applications - OR and Management Sciences

    We study a robust optimal control of discrete time Markov chains with finite terminal T and bounded costs using probability distortion. The time inconsistency of these operators and hence its lack of dynamic programming are discussed. Due to that, dynamic versions of these operators are introduced and its availability for dynamic programming are demonstrated. Based … Read more

    Imposing contiguity constraints in political districting models

  • Austin Buchanan
  • Eugene Lykhovyd
  • Hamidreza Validi
    • Categories Applications - OR and Management Sciences, Combinatorial Optimization, Integer Programming

    Beginning in the 1960s, techniques from operations research began to be used to generate political districting plans. A classical example is the integer programming model of Hess et al. (Operations Research 13(6):998–1006, 1965). Due to the model’s compactness-seeking objective, it tends to generate contiguous or nearly-contiguous districts, although none of the model’s constraints explicitly impose … Read more

    Equal Risk Pricing and Hedging of Financial Derivatives with Convex Risk Measures

  • Erick Delage
  • Jonathan Yu-Meng Li
  • Saeed Marzban
    • Categories Dynamic Programming, Finance and Economics, Robust Optimization Tags , , , , ,

    In this paper, we consider the problem of equal risk pricing and hedging in which the fair price of an option is the price that exposes both sides of the contract to the same level of risk. Focusing for the first time on the context where risk is measured according to convex risk measures, we … Read more

    Estimation of Marginal Cost to Serve Individual Customers

  • Jeffrey E. Arbogast
  • Chrysanthos E. Gounaris
  • Gildas Bonnier
  • Akang Wang
  • Zachary Wilson
    • Categories Supply Chain Management, Transportation Tags , , , ,

    This paper proposes a scenario sampling-based framework to estimate the expected incremental routing cost required so as to incorporate a target customer into an inherently stochastic supply chain network. Inspired from a real-life setting arising in the distribution of industrial gases, we demonstrate our framework and elucidate the quality of the marginal cost estimates it … Read more

    Substitution-based Equipment Balancing in Service Networks with Multiple Equipment Types

  • Natashia Boland
  • Alan L. Erera
  • Martin Savelsbergh
  • Yassine Ridouane
  • Yu Yang
    • Categories Applications - OR and Management Sciences, Transportation

    We investigate substitution-based equipment balancing for a package express carrier operating multiple equipment types in its service network. The weekly schedule of movements used to transport packages through the service network leads to changes in equipment inventory at the facilities in the network. We seek to reduce this change, i.e., the equipment imbalance associated with … Read more

    Robust location-transportation problems with integer-valued demand

  • Ahmadreza Marandi
  • Geert-Jan van Houtum
  • Abbas Khademi
    • Categories Applications - OR and Management Sciences, Network Optimization, Robust Optimization Tags , , ,

    A location-transportation problem concerns designing a company’s distribution network consisting of one central warehouse with ample stock and multiple local warehouses for a long but finite time horizon. The network is designed to satisfy the demands of geographically dispersed customers for multiple products within given delivery time targets. The company needs to first decide on … Read more

    On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty

  • Laureano F. Escudero
  • Antonio M. Rodríguez-Chía
  • Juan F. Monge
    • Categories Applications - OR and Management Sciences

    This study focuses on the development of a mixed binary primal-dual bilinear model for multi-period bilevel network expansion planning under uncertainty, where pricing-based equilibrated strategic and operational decisions are to be made. The periodwise dependent parameters’ uncertainty is represented by a _nite set of scenarios. Pricing-based equilibrium is required in the models to be optimized … Read more