Applications – OR and Management Sciences – Page 60

Distributionally Robust Facility Location Problem under Decision-dependent Stochastic Demand

Published: 2019/12/11, Updated: 2020/01/07

Robust Optimization, Supply Chain Management

Facility location decisions significantly impact customer behavior and consequently the resulting demand in a wide range of businesses. Furthermore, sequentially realized uncertain demand enforces strategically determining locations under partial information. To address these issues, we study a facility location problem where the distribution of customer demand is dependent on location decisions. We represent moment information … Read more

Finite State Approximations for Robust Markov Decision Processes

Published: 2019/12/10

Kerem Ugurlu

Applications - OR and Management Sciences

We give a finite state approximation scheme to countable state controlled robust/risk-averse Markov chains, where there is uncertainty in the transition probability. A convergence theorem along with the corresponding rate for this approximation is established. An approximation to the stationary optimal policy is also given. Our results show a fundamental difference between the finite state … Read more

Exact and Heuristic Approaches for a New Circular Layout Problem

Published: 2019/12/10, Updated: 2020/04/04

(Mixed) Integer Linear Programming, Meta Heuristics, Production and Logistics circular layout, exact approaches, facility planning and design, heuristics, linear ordering problem

We discuss a new facility layout problem, the so-called Directed Circular Facility Layout Problem (DCFLP). The DCFLP aims to find an optimal arrangement of machines on a circular material handling system such that the total weighted sum of the center-to-center distances between all pairs of machines measured in clockwise direction is minimized. Several real-world applications, … Read more

The Impact of Neighboring Markets on Renewable Locations, Transmission Expansion, and Generation Investment

Published: 2019/12/03, Updated: 2020/10/30

(Mixed) Integer Nonlinear Programming, Applications - OR and Management Sciences, Global Optimization benders decomposition, multiobjective optimization, neighboring markets, network expansion, renewables

Many long-term investment planning models for liberalized electricity markets either optimize for the entire electricity system or focus on confined jurisdictions, abstracting from adjacent markets. In this paper, we provide models for analyzing the impact of the interdependencies between a core electricity market and its neighboring markets on key long-run decisions. This we do both … Read more

Compact Formulations for Split Delivery Routing Problems

Published: 2019/12/01, Updated: 2021/10/15

Pedro Munari

Martin Savelsbergh

Branch and Cut Algorithms, Production and Logistics, Transportation branch-and-cut, Compact models, split-delivery, vehicle routing

Split delivery routing problems are concerned with serving the demand of a set of customers with a fleet of capacitated vehicles at minimum cost, where a customer can be served by more than one vehicle if beneficial. They generalize traditional variants of routing problems and have applications in commercial as well as humanitarian logistics. Previously, … Read more

Deciding Feasibility of a Booking in the European Gas Market on a Cycle is in P for the Case of Passive Networks

Published: 2019/11/12, Updated: 2020/11/20

Applications - OR and Management Sciences, Network Optimization bookings, complexity, cycle, european entry-exit market, gas networks, potential-based flows

We show that the feasibility of a booking in the European entry-exit gas market can be decided in polynomial time on single-cycle networks that are passive, i.e., do not contain controllable elements. The feasibility of a booking can be characterized by solving polynomially many nonlinear potential-based flow models for computing so-called potential-difference maximizing load flow … Read more

The Convex Hull Heuristic for Nonlinear 0-1 Programming Problems with Linear Constraints

Published: 2019/11/10

Aykut Ahlatçıoğlu

Monique Guignard

Applications - OR and Management Sciences convex hull, nonlinear 0-1 integer programming, primal relaxation, quadratic 0-1 programs with linear constraints, simplicial decomposi- tion

The Convex Hull Heuristic (CHH) is a heuristic for mixed-integer programming problems with a nonlinear objective function and linear constraints. It is a matheuristic in two ways: it is based on the mathematical programming algorithm called simplicial decomposition, or SD, and at each iteration, one solves a mixed-integer programming problem with a linear objective function … Read more

Dynamic Portfolio Selection with Linear Control Policies for Coherent Risk Minimization

Published: 2019/11/09

Jun-ya Gotoh

Yuichi Takano

Finance and Economics, Robust Optimization coherent risk measure, control policy, portfolio optimization, robust optimization

This paper is concerned with a linear control policy for dynamic portfolio selection. We develop this policy by incorporating time-series behaviors of asset returns on the basis of coherent risk minimization. Analyzing the dual form of our optimization model, we demonstrate that the investment performance of linear control policies is directly connected to the intertemporal … Read more

Supermodularity in Two-Stage Distributionally Robust Optimization

Published: 2019/11/06, Updated: 2022/06/28

Daniel Zhuoyu Long

Jin Qi

Aiqi Zhang

Applications - OR and Management Sciences, Linear Programming, Robust Optimization

In this paper, we solve a class of two-stage distributionally robust optimization problems which have the property of supermodularity. We exploit the explicit upper bounds on the expectation of supermodular functions and derive the worst-case distribution for the robust counterpart. This enables us to develop an efficient method to derive an exact optimal solution of … Read more