toggle visibility Search & Display Options

Select All    Deselect All
 |   | 
Details
   print
  Records Links
Author Ritt, M.; Pereira, J. doi  openurl
  Title Heuristic and exact algorithms for minimum-weight non-spanning arborescences Type
  Year 2020 Publication European Journal Of Operational Research Abbreviated Journal Eur. J. Oper. Res.  
  Volume (down) 287 Issue 1 Pages 61-75  
  Keywords Minimum-weight non-spanning arborescence; Heuristic; Iterated Local Search; Branch-and-cut  
  Abstract We address the problem of finding an arborescence of minimum total edge weight rooted at a given vertex in a directed, edge-weighted graph. If the arborescence must span all vertices the problem is solvable in polynomial time, but the non-spanning version is NP-hard. We propose reduction rules which determine vertices that are required or can be excluded from optimal solutions, a modification of Edmonds algorithm to construct arborescences that span a given set of selected vertices, and embed this procedure into an iterated local search for good vertex selections. Moreover, we propose a cutset-based integer linear programming formulation, provide different linear relaxations to reduce the number of variables in the model and solve the reduced model using a branch-and-cut approach. We give extensive computational results showing that both the heuristic and the exact methods are effective and obtain better solutions on instances from the literature than existing approaches, often in much less time. (C) 2020 Elsevier B.V. All rights reserved.  
  Address [Ritt, Marcus] Univ Fed Rio Grande do Sul, Inst Informat, Av Bento Goncalves 9500, Porto Alegre, RS, Brazil, Email: marcus.ritt@inf.ufrgs.br;  
  Corporate Author Thesis  
  Publisher Elsevier Place of Publication Editor  
  Language English Summary Language Original Title  
  Series Editor Series Title Abbreviated Series Title  
  Series Volume Series Issue Edition  
  ISSN 0377-2217 ISBN Medium  
  Area Expedition Conference  
  Notes WOS:000541072800005 Approved  
  Call Number UAI @ eduardo.moreno @ Serial 1187  
Permanent link to this record
 

 
Author Carrasco, R.A.; Iyengar, G.; Stein, C. pdf  doi
openurl 
  Title Resource cost aware scheduling Type
  Year 2018 Publication European Journal Of Operational Research Abbreviated Journal Eur. J. Oper. Res.  
  Volume (down) 269 Issue 2 Pages 621-632  
  Keywords Scheduling; Approximation algorithms; Resource aware scheduling; Speed-scaling  
  Abstract We are interested in the scheduling problem where there are several different resources that determine the speed at which a job runs and we pay depending on the amount of each resource that we use. This work is an extension of the resource dependent job processing time problem and the energy aware scheduling problems. We develop a new constant factor approximation algorithm for resource cost aware scheduling problems: the objective is to minimize the sum of the total cost of resources and the total weighted completion time in the one machine non-preemptive setting, allowing for arbitrary precedence constraints and release dates. Our algorithm handles general job-dependent resource cost functions. We also analyze the practical performance of our algorithms, showing that it is significantly superior to the theoretical bounds and in fact it is very close to optimal. The analysis is done using simulations and real instances, which are left publicly available for future benchmarks. We also present additional heuristic improvements and we study their performance in other settings. (C) 2018 Elsevier B.V. All rights reserved.  
  Address [Carrasco, Rodrigo A.] Univ Adolfo Ibanez, Fac Sci & Engn, Santiago, Chile, Email: rax@uai.cl;  
  Corporate Author Thesis  
  Publisher Elsevier Science Bv Place of Publication Editor  
  Language English Summary Language Original Title  
  Series Editor Series Title Abbreviated Series Title  
  Series Volume Series Issue Edition  
  ISSN 0377-2217 ISBN Medium  
  Area Expedition Conference  
  Notes WOS:000432502600016 Approved  
  Call Number UAI @ eduardo.moreno @ Serial 871  
Permanent link to this record
 

 
Author Ljubic, I.; Moreno, E. pdf  doi
openurl 
  Title Outer approximation and submodular cuts for maximum capture facility location problems with random utilities Type
  Year 2018 Publication European Journal Of Operational Research Abbreviated Journal Eur. J. Oper. Res.  
  Volume (down) 266 Issue 1 Pages 46-56  
  Keywords Combinatorial optimization; Branch-and-cut; Maximum capture; Random utility model; Competitive facility location  
  Abstract We consider a family of competitive facility location problems in which a “newcomer” company enters the market and has to decide where to locate a set of new facilities so as to maximize its market share. The multinomial logit model is used to estimate the captured customer demand. We propose a first branch-and-cut approach for this family of difficult mixed-integer non-linear problems. Our approach combines two types of cutting planes that exploit particular properties of the objective function: the first one are the outer-approximation cuts and the second one are the submodular cuts. The approach is computationally evaluated on three datasets from the recent literature. The obtained results show that our new branch-and-cut drastically outperforms state-of-the-art exact approaches, both in terms of the computing times, and in terms of the number of instances solved to optimality. (C) 2017 Elsevier B.V. All rights reserved.  
  Address [Ljubic, Ivana] ESSEC Business Sch, 3 Av Bernard Hirsch,BP 50105, F-95021 Cergy Pontoise, France, Email: ivana.ljubic@essec.edu;  
  Corporate Author Thesis  
  Publisher Elsevier Science Bv Place of Publication Editor  
  Language English Summary Language Original Title  
  Series Editor Series Title Abbreviated Series Title  
  Series Volume Series Issue Edition  
  ISSN 0377-2217 ISBN Medium  
  Area Expedition Conference  
  Notes WOS:000423646500005 Approved  
  Call Number UAI @ eduardo.moreno @ Serial 815  
Permanent link to this record
 

 
Author Pereira, J.; Vasquez, O.C. pdf  doi
openurl 
  Title The single machine weighted mean squared deviation problem Type
  Year 2017 Publication European Journal Of Operational Research Abbreviated Journal Eur. J. Oper. Res.  
  Volume (down) 261 Issue 2 Pages 515-529  
  Keywords Scheduling; Single machine; JIT; Branch-and-cut; Dominance properties  
  Abstract This paper studies a single machine problem related to the just-In-Time (JIT) production objective in which the goal is to minimize the sum of weighted mean squared deviation of the completion times with respect to a common due date. In order to solve the problem, several structural and dominance properties of the optimal solution are investigated. These properties are then integrated within a branch and-cut approach to solve a time-indexed formulation of the problem. The results of a computational experiment with the proposed algorithm show that the method is able to optimally solve instances with up to 300 jobs within reduced running times, improving other integer programming approaches. (C) 2017 Elsevier B.V. All rights reserved.  
  Address [Pereira, Jordi] Univ Adolfo Ibanez, Dept Engn & Sci, Av Padre Hurtado 750,Off C216, Vina Del Mar, Chile, Email: jorge.pereira@uai.cl;  
  Corporate Author Thesis  
  Publisher Elsevier Science Bv Place of Publication Editor  
  Language English Summary Language Original Title  
  Series Editor Series Title Abbreviated Series Title  
  Series Volume Series Issue Edition  
  ISSN 0377-2217 ISBN Medium  
  Area Expedition Conference  
  Notes WOS:000401206300009 Approved  
  Call Number UAI @ eduardo.moreno @ Serial 730  
Permanent link to this record
 

 
Author Moreno, E.; Rezakhah, M.; Newman, A.; Ferreira, F. pdf  doi
openurl 
  Title Linear models for stockpiling in open-pit mine production scheduling problems Type
  Year 2017 Publication European Journal Of Operational Research Abbreviated Journal Eur. J. Oper. Res.  
  Volume (down) 260 Issue 1 Pages 212-221  
  Keywords OR in natural resources; Stockpiling; Linear and integer programming; Mine planning; Open pit mining  
  Abstract The open pit mine production scheduling (OPMPS) problem seeks to determine when, if ever, to extract each notional, three-dimensional block of ore and/or waste in a deposit and what to do with each, e.g., send it to a particular processing plant or to the waste dump. This scheduling model maximizes net present value subject to spatial precedence constraints, and resource capacities. Certain mines use stockpiles for blending different grades of extracted material, storing excess until processing capacity is available, or keeping low-grade ore for possible future processing. Common models assume that material in these stockpiles, or “buckets,” is theoretically immediately mixed and becomes homogeneous. We consider stockpiles as part of our open pit mine scheduling strategy, propose multiple models to solve the OPMPS problem, and compare the solution quality and tractability of these linear-integer and nonlinear-integer models. Numerical experiments show that our proposed models are tractable, and correspond to instances which can be solved in a few seconds up to a few minutes in contrast to previous nonlinear models that fail to solve. (C) 2016 Elsevier B.V. All rights reserved.  
  Address [Moreno, Eduardo; Ferreira, Felipe] Univ Adolfo Ibanez, Fac Sci & Engn, Avda Diagonal Torres 2700, Santiago, Chile, Email: eduardo.moreno@uai.cl;  
  Corporate Author Thesis  
  Publisher Elsevier Science Bv Place of Publication Editor  
  Language English Summary Language Original Title  
  Series Editor Series Title Abbreviated Series Title  
  Series Volume Series Issue Edition  
  ISSN 0377-2217 ISBN Medium  
  Area Expedition Conference  
  Notes WOS:000396952000018 Approved  
  Call Number UAI @ eduardo.moreno @ Serial 715  
Permanent link to this record
 

 
Author Villena, M.J.; Reus, L. pdf  doi
openurl 
  Title On the strategic behavior of large investors: A mean-variance portfolio approach Type
  Year 2016 Publication European Journal Of Operational Research Abbreviated Journal Eur. J. Oper. Res.  
  Volume (down) 254 Issue 2 Pages 679-688  
  Keywords Investment analysis; Large investors; Strategic behavior; Markowitz portfolio allocation; Nash equilibrium  
  Abstract One key assumption of Markowitz's model is that all traders act as price takers. In this paper, we extend this mean-variance approach in a setting where large investors can move prices. Instead of having an individual optimization problem, we find the investors' Nash equilibrium and redefine the efficient frontier in this new framework. We also develop a simplified application of the general model, with two assets and two investors to shed light on the potential strategic behavior of large and atomic investors. Our findings validate the claim that large investors enhance their portfolio performance in relation to perfect market conditions. Besides, we show under which conditions atomic investors can benefit in relation to the standard setting, even if they have not total influence on their eventual performance. The 'two investors-two assets' setting allows us to quantify performance and do sensitivity analysis regarding investors' market power, risk tolerance and price elasticity of demand. Finally, for a group of well known ETFs, we empirically show how price variations change depending on the volume traded. We also explain how to set up and use our model with real market data. (C) 2016 Elsevier B.V. All rights reserved.  
  Address [Villena, Marcelo J.; Reus, Lorenzo] Univ Adolfo Ibanez, Fac Sci & Engn, Diagonal Torres 2640, Santiago, Chile, Email: marcelo.villena@uai.cl;  
  Corporate Author Thesis  
  Publisher Elsevier Science Bv Place of Publication Editor  
  Language English Summary Language Original Title  
  Series Editor Series Title Abbreviated Series Title  
  Series Volume Series Issue Edition  
  ISSN 0377-2217 ISBN Medium  
  Area Expedition Conference  
  Notes WOS:000377732300026 Approved  
  Call Number UAI @ eduardo.moreno @ Serial 627  
Permanent link to this record
 

 
Author Reus, L.; Mulvey, J.M. pdf  doi
openurl 
  Title Dynamic allocations for currency futures under switching regimes signals Type
  Year 2016 Publication European Journal Of Operational Research Abbreviated Journal Eur. J. Oper. Res.  
  Volume (down) 253 Issue 1 Pages 85-93  
  Keywords Investment analysis; Currency futures; Carry trade; Regime identification; Mean-semivariance portfolio optimization  
  Abstract Over the last decades, speculative investors in the FX market have profited in the well known currency carry trade strategy (CT). However, during currencies or global financial crashes, CT produces substantial losses. In this work we present a methodology that enhances CT performance significantly. For our final strategy, constructed backtests show that the mean-semivolatility ratio can be more than doubled with respect to benchmark CT. To do the latter, we first identify and classify CT returns according to their behavior in different regimes, using a Hidden Markov Model (HMM). The model helps to determine when to open and close positions, depending whether the regime is favorable to CT or not. Finally we employ a mean-semivariance allocation model to improve allocations when positions are opened. (C) 2016 Elsevier B.V. All rights reserved.  
  Address [Reus, Lorenzo] Univ Adolfo Ibanez, Dept Sci & Engn, Diagonal Las Torres 2640, Santiago, Chile, Email: lorenzo.reus@uai.cl;  
  Corporate Author Thesis  
  Publisher Elsevier Science Bv Place of Publication Editor  
  Language English Summary Language Original Title  
  Series Editor Series Title Abbreviated Series Title  
  Series Volume Series Issue Edition  
  ISSN 0377-2217 ISBN Medium  
  Area Expedition Conference  
  Notes WOS:000374613900007 Approved  
  Call Number UAI @ eduardo.moreno @ Serial 612  
Permanent link to this record
 

 
Author Freire, A.S.; Moreno, E.; Yushimito, W.F. pdf  doi
openurl 
  Title A branch-and-bound algorithm for the maximum capture problem with random utilities Type
  Year 2016 Publication European Journal Of Operational Research Abbreviated Journal Eur. J. Oper. Res.  
  Volume (down) 252 Issue 1 Pages 204-212  
  Keywords Facility location; Branch and bound; Maximum capture; Random utility model  
  Abstract The MAXIMUM CAPTURE PROBLEM WITH RANDOM UTILITIES seeks to locate new facilities in a competitive market such that the captured demand of users is maximized, assuming that each individual chooses among all available facilities according to the well-know a random utility model namely the multinomial logit. The problem is complex mostly due to its integer nonlinear objective function. Currently, the most efficient approaches deal with this complexity by either using a nonlinear programing solver or reformulating the problem into a Mixed-Integer Linear Programing (MILP) model. In this paper, we show how the best MILP reformulation available in the literature can be strengthened by using tighter coefficients in some inequalities. We also introduce a new branch-and-bound algorithm based on a greedy approach for solving a relaxation of the original problem. Extensive computational experiments are presented, bench marking the proposed approach with other linear and non-linear relaxations of the problem. The computational experiments show that our proposed algorithm is competitive with all other methods as there is no method which outperforms the others in all instances. We also show a large-scale real instance of the problem, which comes from an application in park-and-ride facility location, where our proposed branch-and-bound algorithm was the most effective method for solving this type of problem. (C) 2015 Elsevier B.V. All rights reserved.  
  Address [Moreno, Eduardo; Yushimito, Wilfredo F.] Univ Adolfo Ibanez, Fac Sci & Engn, Santiago, Chile, Email: afreire@ime.usp.br;  
  Corporate Author Thesis  
  Publisher Elsevier Science Bv Place of Publication Editor  
  Language English Summary Language Original Title  
  Series Editor Series Title Abbreviated Series Title  
  Series Volume Series Issue Edition  
  ISSN 0377-2217 ISBN Medium  
  Area Expedition Conference  
  Notes WOS:000371939700018 Approved  
  Call Number UAI @ eduardo.moreno @ Serial 601  
Permanent link to this record
 

 
Author Pereira, J. pdf  doi
openurl 
  Title Procedures for the bin packing problem with precedence constraints Type
  Year 2016 Publication European Journal Of Operational Research Abbreviated Journal Eur. J. Oper. Res.  
  Volume (down) 250 Issue 3 Pages 794-806  
  Keywords Bin packing; Precedence constraints; Lower bounds; Dynamic programming; Branch-and-bound  
  Abstract The bin packing problem with precedence constraints (BPP-P) is a recently proposed variation of the classical bin packing problem (BPP), which corresponds to a basic model featuring many underlying characteristics of several scheduling and assembly line balancing problems. The formulation builds upon the BPP by incorporating precedence constraints among items, which force successor items to be packed into later bins than their predecessors. In this paper we propose a dynamic programming based heuristic, and a modified exact enumeration procedure to solve the problem. These methods make use of several new lower bounds and dominance rules tailored for the problem in hand. The results of a computational experiment show the effectiveness of the proposed methods, which are able to close all of the previous open instances from the benchmark instance set within very reduced running times. (C) 2015 Elsevier B.V. and Association of European Operational Research Societies (EURO) within the International Federation of Operational Research Societies (IFORS). All rights reserved.  
  Address [Pereira, Jordi] Univ Adolfo Ibanez, Fac Sci & Engn, Ave Padre Hurtado 750,Off C216, Vina Del Mar, Chile, Email: jorge.pereira@uai.cl  
  Corporate Author Thesis  
  Publisher Elsevier Science Bv Place of Publication Editor  
  Language English Summary Language Original Title  
  Series Editor Series Title Abbreviated Series Title  
  Series Volume Series Issue Edition  
  ISSN 0377-2217 ISBN Medium  
  Area Expedition Conference  
  Notes WOS:000369192500011 Approved  
  Call Number UAI @ eduardo.moreno @ Serial 581  
Permanent link to this record
 

 
Author Munoz, F.D.; Hobbs, B.F.; Watson, J.P. pdf  doi
openurl 
  Title New bounding and decomposition approaches for MILP investment problems: Multi-area transmission and generation planning under policy constraints Type
  Year 2016 Publication European Journal Of Operational Research Abbreviated Journal Eur. J. Oper. Res.  
  Volume (down) 248 Issue 3 Pages 888-898  
  Keywords OR in energy; Stochastic programming; Benders decomposition  
  Abstract We propose a novel two-phase bounding and decomposition approach to compute optimal and near-optimal solutions to large-scale mixed-integer investment planning problems that have to consider a large number of operating subproblems, each of which is a convex optimization. Our motivating application is the planning of power transmission and generation in which policy constraints are designed to incentivize high amounts of intermittent generation in electric power systems. The bounding phase exploits Jensen's inequality to define a lower bound, which we extend to stochastic programs that use expected-value constraints to enforce policy objectives. The decomposition phase, in which the bounds are tightened, improves upon the standard Benders' algorithm by accelerating the convergence of the bounds. The lower bound is tightened by using a Jensen's inequality-based approach to introduce an auxiliary lower bound into the Benders master problem. Upper bounds for both phases are computed using a sub-sampling approach executed on a parallel computer system. Numerical results show that only the bounding phase is necessary if loose optimality gaps are acceptable. However, the decomposition phase is required to attain optimality gaps. Use of both phases performs better, in terms of convergence speed, than attempting to solve the problem using just the bounding phase or regular Benders decomposition separately. (C) 2015 Elsevier B.V. and Association of European Operational Research Societies (EURO) within the International Federation of Operational Research Societies (IFORS). All rights reserved.  
  Address [Munoz, F. D.] Univ Adolfo Ibanez, Fac Sci & Engn, Santiago, Chile, Email: fdmunoz@uai.cl;  
  Corporate Author Thesis  
  Publisher Elsevier Science Bv Place of Publication Editor  
  Language English Summary Language Original Title  
  Series Editor Series Title Abbreviated Series Title  
  Series Volume Series Issue Edition  
  ISSN 0377-2217 ISBN Medium  
  Area Expedition Conference  
  Notes WOS:000364603700013 Approved  
  Call Number UAI @ eduardo.moreno @ Serial 535  
Permanent link to this record
 

 
Author Lagos, G.; Espinoza, D.; Moreno, E.; Vielma, J.P. pdf  doi
openurl 
  Title Restricted risk measures and robust optimization Type
  Year 2015 Publication European Journal Of Operational Research Abbreviated Journal Eur. J. Oper. Res.  
  Volume (down) 241 Issue 3 Pages 771-782  
  Keywords Risk management; Stochastic programming; Uncertainty modeling  
  Abstract In this paper we consider characterizations of the robust uncertainty sets associated with coherent and distortion risk measures. In this context we show that if we are willing to enforce the coherent or distortion axioms only on random variables that are affine or linear functions of the vector of random parameters, we may consider some new variants of the uncertainty sets determined by the classical characterizations. We also show that in the finite probability case these variants are simple transformations of the classical sets. Finally we present results of computational experiments that suggest that the risk measures associated with these new uncertainty sets can help mitigate estimation errors of the Conditional Value-at-Risk. (C) 2014 Elsevier B.V. All rights reserved.  
  Address [Lagos, Guido] Georgia Inst Technol, H Milton Stewart Sch Ind & Syst Engn, Atlanta, GA 30332 USA, Email: glagos@gatech.edu;  
  Corporate Author Thesis  
  Publisher Elsevier Science Bv Place of Publication Editor  
  Language English Summary Language Original Title  
  Series Editor Series Title Abbreviated Series Title  
  Series Volume Series Issue Edition  
  ISSN 0377-2217 ISBN Medium  
  Area Expedition Conference  
  Notes WOS:000347605100018 Approved  
  Call Number UAI @ eduardo.moreno @ Serial 438  
Permanent link to this record
 

 
Author Gonzalez, E.; Villena, M. pdf  doi
openurl 
  Title Spatial Lanchester models Type
  Year 2011 Publication European Journal Of Operational Research Abbreviated Journal Eur. J. Oper. Res.  
  Volume (down) 210 Issue 3 Pages 706-715  
  Keywords OR in military; Lanchester theory; Combat modeling; Partial differential equations  
  Abstract Lanchester equations have been widely used to model combat for many years, nevertheless, one of their most important limitations has been their failure to model the spatial dimension of the problems. Despite the fact that some efforts have been made in order to overcome this drawback, mainly through the use of Reaction-Diffusion equations, there is not yet a consistently clear theoretical framework linking Lanchester equations with these physical systems, apart from similarity. In this paper, a spatial modeling of Lanchester equations is conceptualized on the basis of explicit movement dynamics and balance of forces, ensuring stability and theoretical consistency with the original model. This formulation allows a better understanding and interpretation of the problem, thus improving the current treatment, modeling and comprehension of warfare applications. Finally, as a numerical illustration, a new spatial model of responsive movement is developed, confirming that location influences the results of modeling attrition conflict between two opposite forces. (C) 2010 Elsevier B.V. All rights reserved.  
  Address [Gonzalez, Eduardo; Villena, Marcelo] Univ Adolfo Ibanez, Fac Sci & Engn, Santiago, Chile, Email: eduardo.gonzalez@uai.cl  
  Corporate Author Thesis  
  Publisher Elsevier Science Bv Place of Publication Editor  
  Language English Summary Language Original Title  
  Series Editor Series Title Abbreviated Series Title  
  Series Volume Series Issue Edition  
  ISSN 0377-2217 ISBN Medium  
  Area Expedition Conference  
  Notes WOS:000287617400025 Approved  
  Call Number UAI @ eduardo.moreno @ Serial 123  
Permanent link to this record
Select All    Deselect All
 |   | 
Details
   print

Save Citations:
Export Records: