diversification – Optimization Online

Using diversification, communication and parallelism to solve mixed-integer linear programs

Published: 2013/05/30

(Mixed) Integer Linear Programming, Optimization Software and Modeling Systems, Parallel Algorithms Branch-and-Bound, communication, diversification, integer programming, parallelism, performance variability

Performance variability of modern mixed-integer programming solvers and possible ways of exploiting this phenomenon present an interesting opportunity in the development of algorithms to solve mixed-integer linear programs (MILPs). We propose a framework using multiple branch-and-bound trees to solve MILPs while allowing them to share information in a parallel execution. We present computational results on … Read more

A Multi-Product Risk-Averse Newsvendor with Law Invariant Coherent Measures of Risk

Published: 2009/11/25, Updated: 2011/04/14

Sungyong Choi

Andrzej Ruszczyński

Yao Zhao

Production and Logistics, Supply Chain Management coherent risk measure, diversification, multiple products, newsvendor, risk averse

We consider a multi-product newsvendor under the law-invariant coherent risk measures. We first establish a few fundamental properties of the model regarding the convexity of the problem, the symmetry of the solution and the impact of risk aversion. Specifically, we show that for identical products with independent demands, increased risk aversion leads to decreased orders. … Read more