Applications – OR and Management Sciences

Regularized Stochastic Dual Dynamic Programming for convex nonlinear optimization problems

  • Vincent Guigues
  • Miguel A. Lejeune
  • Wajdi Tekaya
    • Categories Dynamic Programming, Finance and Economics, Stochastic Programming Tags , , , ,

    We define a regularized variant of the Dual Dynamic Programming algorithm called REDDP (REgularized Dual Dynamic Programming) to solve nonlinear dynamic programming equations. We extend the algorithm to solve nonlinear stochastic dynamic programming equations. The corresponding algorithm, called SDDP-REG, can be seen as an extension of a regularization of the Stochastic Dual Dynamic Programming (SDDP) … Read more

    Worst-Case Expected Shortfall with Univariate and Bivariate Marginals

  • Bikramjit Das
  • Karthik Natarajan
  • Anulekha Dhara
    • Categories Finance and Economics Tags , , ,

    Worst-case bounds on the expected shortfall risk given only limited information on the distribution of the random variables has been studied extensively in the literature. In this paper, we develop a new worst-case bound on the expected shortfall when the univariate marginals are known exactly and additional expert information is available in terms of bivariate … Read more

    Differentiated oligopolistic markets with concave cost functions via Ky Fan inequalities

  • Giancarlo Bigi
  • Mauro Passacantando
    • Categories Complementarity and Variational Inequalities, Finance and Economics Tags , , , ,

    A model for Nash-Cournot oligopolistic markets with concave cost functions and a differentiated commodity is analysed. Equilibrium states are characterized through Ky Fan inequalities. Relying on the minimization of a suitable merit function, a general algorithmic scheme for solving them is provided. Two concrete algorithms are therefore designed that converge under suitable convexity and monotonicity … Read more

    A Stochastic Programming Approach for Electric Vehicle Charging Network Design

  • Ratna Chinnam
  • Sina Faridimehr
  • Saravanan Venkatachalam
    • Categories Stochastic Programming, Transportation Tags , , ,

    Advantages of electric vehicles (EV) include reduction of greenhouse gas and other emissions, energy security, and fuel economy. The societal benefits of large-scale adoption of EVs cannot be realized without adequate deployment of publicly accessible charging stations. We propose a two-stage stochastic programming model to determine the optimal network of charging stations for a community … Read more

    The Robust Uncapacitated Lot Sizing Model with Uncertainty Range

  • Dong Li
  • Dolores Romero Morales
    • Categories (Mixed) Integer Linear Programming, Production and Logistics, Robust Optimization Tags , , ,

    We study robust versions of the uncapacitated lot sizing problem, where the demand is subject to uncertainty. The robust models are guided by three parameters, namely, the total scaled uncertainty budget, the minimum number of periods in which one would like the demand to be protected against uncertainty, and the minimum scaled protection level per … Read more

    Optimal Price Zones of Electricity Markets: A Mixed-Integer Multilevel Model and Global Solution Approaches

  • Veronika Grimm
  • Frauke Liers
  • Martin Schmidt
  • Thomas Kleinert
  • Gregor Zöttl
    • Categories (Mixed) Integer Nonlinear Programming, Applications - OR and Management Sciences, Global Optimization Tags , , , ,

    Mathematical modeling of market design issues in liberalized electricity markets often leads to mixed-integer nonlinear multilevel optimization problems for which no general-purpose solvers exist and which are intractable in general. In this work, we consider the problem of splitting a market area into a given number of price zones such that the resulting market design … Read more

    The Selective Traveling Salesman Problem with Draught Limits

  • Shahin Gelareh
  • Said Hanafi
  • Rahimeh Neamatian Monemi
    • Categories Transportation Tags

    This paper introduces the Selective Traveling Salesman Problem with Draught Limits, an extension of Traveling Salesman Problem with Draught Limits, wherein the goal is to design maximal profit tour respecting draught limit constraints of the visited ports. We propose a mixed integer linear programming formulation for this problem. The proposed mixed integer program is used … Read more

    An optimization-based approach for delivering radio-pharmaceuticals to medical imaging centers

  • Ioannis G. Akrotirianakis
  • Amit Chakraborty
    • Categories Applications - OR and Management Sciences, Integer Programming, Network Optimization Tags , , , ,

    It is widely recognized that early diagnosis of most types of cancers can increase the chances of full recovery or substantially prolong the life of patients. Positron Emission Tomography (PET) has become the standard way to diagnose many types of cancers by generating high quality images of the affected organs. In order to create an … Read more

    Recent Progress Using Matheuristics for Strategic Maritime Inventory Routing

  • Myun-Seok Cheon
  • George L. Nemhauser
  • Dimitri J. Papageorgiou
  • Stuart Harwood
  • Francisco Trespalacios
    • Categories (Mixed) Integer Linear Programming, Meta Heuristics, Transportation Tags , , , ,

    This paper presents an extensive computational study of simple, but prominent matheuristics (i.e., heuristics that rely on mathematical programming models) to fi nd high quality ship schedules and inventory policies for a class of maritime inventory routing problems. Our computational experiments are performed on a set of the publicly available MIRPLib instances. This class of inventory … Read more

    Flow formulations for curriculum-based course timetabling

  • Niels-Christian F. Bagger
  • Thomas R. Stidsen
  • Simon Kristiansen
  • Matias Sørensen
    • Categories (Mixed) Integer Linear Programming, Network Optimization, Scheduling Tags , , ,

    In this paper we present two mixed-integer programming formulations for the curriculum based course timetabling problem (CTT). We show that the formulations contain underlying network structures by dividing the CTT into two separate models and then connect the two models using flow formulation techniques. The first mixed-integer programming formulation is based on an underlying minimum … Read more