The block layout problem for a multi-floor facility is an important sub class of the facility layout problem with practical applications when the price of land is high or when a compact building allows for more efficient environmental control. Several alternative formulations for the block layout problem of a multi-floor facility are presented, where the … Read more
We study the Master Equality Polyhedron (MEP) which generalizes the Master Cyclic Group Polyhedron and the Master Knapsack Polyhedron. We present an explicit characterization of the polar of the nontrivial facet-defining inequalities for the MEP. This result generalizes similar results for the Master Cyclic Group Polyhedron by Gomory (1969) and for the Master Knapsack Polyhedron … Read more
We present experimental results on portfolio optimization problems with return errors under the robust optimization framework. We use several a histogram-like model for return deviations, and a model that allows correlation among errors, together with a cutting-plane algorithm which proves effective for large, real-life data sets. CitationColumbia Center for Financial Engineering Report 2007-01 Columbia University, … Read more
Given $z\in C^n$ and $A\in Z^{m\times n}$, we consider the problem of evaluating the counting function $h(y;z):=\sum\{z^x : x \in Z^n; Ax = y, x \geq 0\}$. We provide an explicit expression for $h(y;z)$ as well as an algorithm with possibly numerous but simple computations. In addition, we exhibit finitely many fixed convex cones of … Read more
In this paper, we study extensions of the classical Markowitz mean-variance portfolio optimization model. First, we consider that the expected asset returns are stochastic by introducing a probabilistic constraint which imposes that the expected return of the constructed portfolio must exceed a prescribed return threshold with a high confidence level. We study the deterministic equivalents … Read more
In this paper we address the following probabilistic version (PSC) of the set covering problem: $min \{ cx \ |\ {\mathbb P} (Ax\ge \xi) \ge p,\ x_{j}\in \{0,1\}^N\}$ where $A$ is a 0-1 matrix, $\xi$ is a random 0-1 vector and $p\in (0,1]$ is the threshold probability level. We formulate (PSC) as a mixed integer … Read more
In adversarial environments, disabling the communication capabilities of the enemy is a high priority. We introduce the problem of determining the optimal number and locations for a set of jamming devices in order to neutralize a wireless communication network. This problem is known as the WIRELESS NETWORK JAMMING PROBLEM. We develop several mathematical programming formulations … Read more
We consider revenue management models for pricing a product line with several customer segments, working under the assumption that every customer’s product choice is determined entirely by their reservation price. We model the customer choice behavior by several probabilistic choice models and formulate the problems as mixed-integer programming problems. We study special properties of these … Read more
This paper is a survey of and some minor extensions to the theory of duality for mixed-integer linear programs. The theory of duality for linear programs is well-developed and has been extremely successful in both theory and practice. Much of this broad framework can be extended to MILPs in principle, but this has proven largely … Read more
We construct an integrated multi-period inventory-production-distribution replenishment plan for three-stage supply chains. The supply chain maintains close-relationships with a small group of suppliers, and the nature of the products (bulk, chemical, etc.) makes it more economical to rely upon a direct shipment, full-truck load distribution policy between supply chain nodes. In this paper, we formulate … Read more