Pricing of access to energy networks is an important issue in liberalized energy sectors because of the natural monopoly character of the underlying transport infrastructures. We introduce a general pricing framework for potential-based energy flows in arbitrarily structured transport networks. In different specifications of our general pricing model we discuss first- and second-best pricing results … Read more
Maintenance optimization has been extensively studied in the past decades. However, most of the existing maintenance models focus on single-component systems. Multi-component maintenance optimization, which joins the stochastic failure processes with the combinatorial maintenance grouping problems, remains as an open issue. To address this challenge, we study this problem in a finite planning horizon by … Read more
We analyze a problem of dynamic logistics planning given uncertain demands for a multi-location production-inventory system with transportable modular production capacity. In such systems, production modules provide capacity, and can be moved from one location to another to produce stock and satisfy demand. We formulate a dynamic programming model for a planning problem that considers … Read more
CitationDepartment of Industrial and Systems Engineering University of Tennessee, Knoxville, TN 37996 November 2018ArticleDownload View PDF
We develop a unifying framework to prove the existence of optimal policies for a large class of inventory systems. The framework is based on the transformation of the inventory control problem into a game, each round of which corresponds to a single replenishment cycle. By using parametrized optimization methods we show that finding the equilibrium … Read more
Traditionally, stochastic project planning problems are modeled using the Program Evaluation and Review Technique (PERT). PERT is an attractive technique that is commonly used in practice as it requires specification of only a few characteristics of the activities’ duration. Moreover, its computational burden is extremely low. Over the years, four main disadvantages of PERT have … Read more
High school timetabling problems consist in building periodic timetables for class-teacher meetings considering compulsory and non-compulsory requisites. This family of problems has been widely studied since the 1950s, mostly via mixed-integer programming and metaheuristic techniques. However, the efficient obtention of optimal or near-optimal solutions is still a challenge for many problems of practical size. In … Read more
The sparse portfolio selection problem is one of the most famous and frequently-studied problems in the optimization and financial economics literatures. In a universe of risky assets, the goal is to construct a portfolio with maximal expected return and minimum variance, subject to an upper bound on the number of positions, linear inequalities and minimum … Read more
An optimization approach is proposed to construct sparse portfolios with mean-reverting price behaviors. Our objectives are threefold: (i) design a multi-asset long-short portfolio that best fits an Ornstein-Uhlenbeck process in terms of maximum likelihood, (ii) select portfolios with desirable characteristics of high mean reversion and low variance though penalization, and (iii) select a parsimonious portfolio … Read more
This work studies a Robust Multi-product Newsvendor Model with Substitution (R-MNMS), where the demand and the substitution rates are stochastic and are subject to cardinality-constrained uncertainty sets. The goal of this work is to determine the optimal order quantities of multiple products to maximize the worst-case total profit. To achieve this, we first show that … Read more