In this paper, we consider the control problem with the Average-Value-at-Risk (AVaR) criteria of the possibly unbounded L 1 -costs in infinite horizon on a Markov Decision Process (MDP). With a suitable state aggregation and by choosing a priori a global variable s heuristically, we show that there exist optimal policies for the infinite horizon … Read more
SAP’s decision support systems for optimized supply network planning rely on mixed-integer programming as the core engine to compute optimal or near-optimal solutions. The modeling flexibility and the optimality guarantees provided by mixed-integer programming greatly aid the design of a robust and future-proof decision support system for a large and diverse customer base. In this … Read more
In this paper we analyze the rate of local convergence of the augmented Lagrange method for solving optimization problems with equality constraints and the objective function expressed as the sum of a convex function and a twice continuously differentiable function. The presence of the non-smoothness of the convex function in the objective requires extensive tools … Read more
We present a generalization of the average shadow price in 0-1-Mixed Integer Linear Programming problems and its relation with bottlenecks including the analysis relative to the coefficients matrix of resource constraints. A mathematical programming approach to find the strategy for investment in resources is presented. CitationEscuela de Computación, Facultad de Ciencias, Universidad Central de VenezuelaArticleDownload … Read more
Consider a multi-user multi-carrier communication system where multiple users share multiple discrete subcarriers. To achieve high spectrum efficiency, the users in the system must choose their transmit power dynamically in response to fast channel fluctuations. Assuming perfect channel state information, two formulations for the spectrum management (power control) problem are considered in this paper: the … Read more
This paper addresses the problem of optimal planning of a line for a barge container shipping company. Given estimated weekly splittable demands between pairs of ports and bounds for the turnaround time, our goal is to determine the subset of ports to be called and the amount of containers to be shipped between each pair … Read more
A mathematical programming approach to deal with the global configuration of resource constraints is presented. A specialized parametric programming algorithm to obtain the pareto set for the biobjective problem that appears to deal with the global configuration for 0-1-Integer Linear Programing problems is presented and implemented. Computational results for Multiconstrained Knapsack problems and Bounded Knapsack … Read more
We study same-day delivery systems by formulating the Dynamic Dispatch Waves Problem (DDWP), which models a distribution center where geographically located delivery orders realize dynamically throughout the day. At each decision epoch (wave), the system’s operator chooses whether or not to dispatch a vehicle route loaded with orders ready for service, to minimize vehicle travel … Read more
This paper presents an economic framework for designing demand curves in Forward Capacity Market (FCM). Capacity demand curves have been recognized as a way to reduce the price volatility inherited from fixed capacity requirements. However, due to the lack of direct demand bidding in FCM, obtaining demand curves that appropriately reflect load’s willingness to pay … Read more
Worst-case risk measures refer to the calculation of the largest value for risk measures when only partial information of the underlying distribution is available. For the popular risk measures such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR), it is now known that their worst-case counterparts can be evaluated in closed form when only the first … Read more