We describe a dual approach to stochastic dynamic programming: we relax the constraint that the chosen policy must be temporally feasible and impose a penalty that punishes violations of temporal feasibility. We describe the theory underlying this dual approach and demonstrate its use in dynamic programming models related to inventory control, option pricing, and oil … Read more
In this paper, we propose a new recombination operator and test its performance in the context of the multiobjective 0/1 knapsack problem (MOKP). The proposed recombination operator generates only one offspring solution from a selected pair of parents according to the two following stages. In the first stage, called genetic shared-information stage or similarity-preserving stage, … Read more
We propose an extension of Newton’s Method for unconstrained multiobjective optimization (multicriteria optimization). The method does not scalarize the original vector optimization problem, i.e. we do not make use of any of the classical techniques that transform a multiobjective problem into a family of standard optimization problems. Neither ordering information nor weighting factors for the … Read more
Conventional Lagrangean preprocessing for the network Weight Constrained Shortest Path Problem (WCSPP calculates lower bounds on the cost of using each node and edge in a feasible path using a single optimal Lagrange multiplier for the relaxation of the WCSPP. These lower bounds are used in conjunction with an upper bound to eliminate nodes and … Read more
An affine supply function equilibrium (SFE) approach is used to discuss voltage constraints and reactive power issues in the modeling of strategic behavior. Generation companies (GenCos) can choose their bid parameters with no restrictions for both energy and spinning reserves. The strategic behavior of generators is formulated as a multi-leader single-follower game. Each GenCo is … Read more
In this paper, oligopolistic competition in a centralized power market is characterized by a multi-leader single-follower game, and formulated as a nonlinear programming (NLP) problem. An AC network is used to represent the transmission system and is modeled using rectangular coordinates. The follower is composed of a set of competitive suppliers, demands, and the system … Read more
This article presents the Multiple Objective Spanning Trees repository – MOST – Project. As the name suggests, the MOST Project intends to maintain a repository of tests for the MOST related problems, mainly addressing real-life situations. MOST is motivated by the scarcity of repositories for the problems in the referred field. This entails difficulty in … Read more
Partly due to lack of test problems, the impact of the Pareto set (PS) shapes on the performance of evolutionary algorithms has not yet attracted much attention. This paper introduces a general class of continuous multiobjective optimization test instances with arbitrary prescribed PS shapes, which could be used for studying the ability of MOEAs for … Read more
The problem of estimating underlying trends in time series data arises in a variety of disciplines. In this paper we propose a variation on Hodrick-Prescott (H-P) filtering, a widely used method for trend estimation. The proposed l_1 trend filtering method substitutes a sum of absolute values (i.e., l_1-norm) for the sum of squares used in … Read more
In this paper we formulate the fuzzy bilevel programming problem and describe one possible approach for formulating a crisp optimization problem being attached to it. Due to the nature of fuzzy bilevel programming this is a crisp bilevel programming problem. We compare our approach with one using multicriterial optimization and show, that both approaches are … Read more