Applications – OR and Management Sciences

Maximum Likelihood Probability Measures over Sets and Applications to Data-Driven Optimization

  • Juan Borrero
  • Denis Saure
    • Categories Applications - OR and Management Sciences, Optimization in Data Science, Robust Optimization Tags , ,

    \(\) Motivated by data-driven approaches to sequential decision-making under uncertainty, we study maximum likelihood estimation of a distribution over a general measurable space when, unlike traditional setups, realizations of the underlying uncertainty are not directly observable but instead are known to lie within observable sets. While extant work studied the special cases when the observed … Read more

    Modeling risk for CVaR-based decisions in risk aggregation

  • Yuriy Zinchenko
    • Categories Applications - OR and Management Sciences, Finance and Economics

    Title Modeling risk for CVaR-based decisions in risk aggregation. Abstract Measuring the risk aggregation is an important exercise for any risk bearing carrier. It is not restricted to evaluation of the known portfolio risk position only, and could include complying with regulatory requirements, diversification, etc. The main difficulty of risk aggregation is creating an underlying … Read more

    Worst-Case Conditional Value at Risk for Asset Liability Management: A Novel Framework for General Loss Functions

  • Alireza Ghahtarani
  • Ahmed Saif
  • Alireza Ghasemi
    • Categories Applications - OR and Management Sciences, Finance and Economics, Robust Optimization Tags , , , ,

    Asset-liability management (ALM) is a challenging task faced by pension funds due to the uncertain nature of future asset returns and interest rates. To address this challenge, this paper presents a new mathematical model that uses aWorst-case Conditional Value-at-Risk (WCVaR) constraint to ensure that the funding ratio remains above a regulator-mandated threshold with a high … Read more

    Water resources management: A bibliometric analysis and future research directions

  • Frédéric Babonneau
    • Categories Applications - OR and Management Sciences, Stochastic Programming Tags , , , ,

    The stochastic dual dynamic programming (SDDP) algorithm introduced by Pereira and Pinto in 1991 has sparked essential research in the context of water resources management, mainly due to its ability to address large-scale multistage stochastic problems. This paper aims to provide a tutorial-type review of 32 years of research since the publication of the SDDP … Read more

    Fair stochastic vehicle routing with partial deliveries

  • Natasja Sluijk
  • Walter Rei
  • Joris Kinable
  • Michel Gendreau
  • Tom Van Woensel
    • Categories Branch and Cut Algorithms, Stochastic Programming, Transportation Tags , , ,

    A common assumption in the models for the vehicle routing problem with stochastic demands is that all demands must be satisfied. This is achieved by including recourse actions in two-stage stochastic programming formulations or by ensuring with a high probability that all demand fits within the vehicle capacity (chance-constrained formulations). In this work, we relax … Read more

    Multi-model Partially Observable Markov Decision Processes

  • Weiyu Li
  • Brian T. Denton
    • Categories Applications - OR and Management Sciences, Biomedical Applications, Stochastic Programming Tags , , ,

    We propose a new multi-model partially observable Markov decision process (MPOMDP) model to address the issue of model ambiguity in partially observable Markov decision process. Here, model ambiguity is defined as the case where there are multiple credible optimization models with the same structure but different model parameters. The proposed MPOMDP model aims to learn … Read more

    Application of a Gas Market Model with Linear Programming. The Influence of the Dollar Exchange Rate on the Wholesale Price of Natural Gas in Northwest Europe until 2040

  • Maik Günther
    • Categories Finance and Economics, Linear Programming, Optimization of Simulated Systems Tags , , , , , , , , ,

    The price of natural gas at wholesale markets in Northwest Europe is influenced by numerous parameters. The USD to EUR exchange rate is one of these parameters. Using the LP-based gas market model WEGA, this paper will examine the impact of USD exchange rates on wholesale natural gas prices in Northwest Europe from 2025 to … Read more

    Optimal Planning for the Electrification of Bus Fleets in Public Transit Systems

  • Filipe Cabral
  • Xu Andy Sun
    • Categories Applications - OR and Management Sciences, Integer Programming, Transportation Tags , , ,

    Electric vehicles (EV) pave a promising way towards low-carbon transportation, but the transition to all EV fleets creates new challenges for the public transportation sector. Despite increasing adoption of electric buses, the main challenges presented by the battery electric bus technology include the lack of charging facilities, the reduced operating capacity per battery charge compared … Read more

    Characterizing Rational Transplant Program Response to Outcome-Based Regulation

  • David T. Mildebrath
  • Taewoo Lee
  • Saumya Sinha
  • Andrew J. Schaefer
    • Categories Applications - OR and Management Sciences Tags , , ,

    Organ transplantation is an increasingly common therapy for many types of end-stage organ failure, including lungs, hearts, kidneys and livers. The past twenty years have seen increased scrutiny of post-transplant outcomes in the United States, in order to ensure the efficient utilization of the scarce organ supply. Under regulations by the Organ Procurement Transplantation Network … Read more

    The Online Shortest Path Problem: Learning Travel Times Using A Multi-Armed Bandit Framework

  • Tomas Lagos
  • Ramon Auad
  • Felipe Lagos
    • Categories Applications - OR and Management Sciences, Data Science Algorithms, Transportation Tags , , , , ,

    In the age of e-commerce, many logistic companies must operate in large road networks without accurate knowledge of travel times for their specific fleet of vehicles. Moreover, millions of dollars are spent on routing services that do not accurately capture the specific characteristics of the companies’ drivers and the types of vehicles they must use. … Read more