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What is the minimal systemic risk in financial exposure networks?

JOURNAL OF ECONOMIC DYNAMICS & CONTROL 2020年 116卷 103900-103900页

作者： Diem, Christian Pichler, Anton Thurner, Stefan WU Vienna Univ Econ & Business Inst Stat & Math Welthandelspl 1 A-1020 Vienna Austria Complex Sci Hub Vienna Josefstadter Str 39 A-1080 Vienna Austria Univ Oxford Inst New Econ Thinking Manor Rd Oxford OX1 3UQ England Univ Oxford Math Inst Woodstock Rd Oxford OX1 3LP England IIASA Schlosspl 1 A-2361 Laxenburg Austria Med Univ Vienna Sect Sci Complex Syst Spitalgasse 23 A-1090 Vienna Austria Santa Fe Inst 1399 Hyde Pk Rd Santa Fe NM 87501 USA

We quantify how much systemic risk can be eliminated in financial contract networks by rearranging their network topology. By using mixed integer linear programming, financial linkages are optimally organized, whereas the overall economic conditions of banks, such as capital buffers, total interbank assets and liabilities, and average risk-weighted exposure remain unchanged. We apply the new optimization procedure to 10 snapshots of the Austrian interbank market where we focus on the largest 70 banks covering 71% of the market volume. The optimization reduces systemic risk (measured in DebtRank) by about 70%, showing the huge potential that changing the network structure has on the mitigation of financial contagion. Existing capital levels would need to be scaled up by a factor of 3.3 to obtain similar levels of DebtRank. These findings underline the importance of macroprudential rules that focus on the structure of financial networks. The new optimization procedure allows us to benchmark actual networks to networks with minimal systemic risk. We find that simple topological measures, like link density, degree assortativity, or clustering coefficient, fail to explain the large differences in systemic risk between actual and optimal networks. We find that if the most systemically relevant banks are tightly connected, overall systemic risk is higher than if they are unconnected. (C) 2020 The Author(s). Published by Elsevier B.V.

关键词： Systemic risk-efficiency Interbank market Financial networks Contagion Network optimization mixed-integer linear programming DebtRank Network topology measures and Systemic risk

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Optimal blending management of biomass resources used for biochemical conversion

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BIOFUELS BIOPRODUCTS & BIOREFINING-BIOFPR 2018年第4期12卷 624-648页

作者： Roni, Mohammad S. Thompson, David Hartley, Damon Searcy, Erin Quang Nguyen Idaho Natl Lab Bioenergy Technol Dept Idaho Falls ID 83402 USA

This research develops an optimization model to describe the tradeoff among blend components in the least-cost biomass blend, based on resource availability, quality requirements, and logistics cost for a biochemical conversion. A mixed-integer linear programming model is developed to determine the least-cost blend from a set of candidate feedstocks. A case study - based on a biorefinery located in western Kansas that uses three-pass corn stover, two-pass corn stover, switchgrass, miscanthus, and municipal solid waste fractions to meet biochemical conversion specifications and feedstock demand - shows that the delivered cost of an optimal blend that meets carbohydrate and ash specifications is 12.12% higher than the delivered cost of optimal blend that meets a carbohydrate specification only. The results indicate that a least-cost blend that meets both carbohydrate and ash specifications consists of miscanthus (48.2%) and switchgrass (29.4%) whereas the least-cost blend meeting carbohydrate specification only comprises three-pass corn stover (55.4%) and two-pass corn stover (20.4%). An optimal blend uses a low-cost municipal solid waste fraction in all cases, implying that blending could be a potential strategy to reduce delivered feedstock cost. Published 2018. This article is a U.S. Government work and is in the public domain in the USA. Biofuels, Bioproducts and Biorefining published by Society of Industrial Chemistry and John Wiley & Sons Ltd.

关键词： blending feedstock optimization biochemical conversion mixed-integer linear programming

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Robust Joint Expansion Planning of Electrical Distribution Systems and EV Charging Stations

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IEEE TRANSACTIONS ON SUSTAINABLE ENERGY 2018年第2期9卷 884-894页

作者： Arias, Nataly Banol Tabares, Alejandra Franco, John F. Lavorato, Marina Romero, Ruben Sao Paulo State Univ UNESP Dept Elect Engn BR-15385000 Ilha Solteira Brazil Sao Paulo State Univ UNESP BR-19274000 Rosana Brazil Pontifical Catholic Univ Campinas CEATEC BR-13086900 Campinas SP Brazil

Electrical distribution systems (EDSs) should be prepared to cope with demand growth in order to provide a quality service. The future increase in electric vehicles (EVs) represents a challenge for the planning of the EDS due to the corresponding increase in the load. Therefore, methods to support the planning of the EDS, considering the uncertainties of conventional loads and EV demand, should be developed. This paper proposes a mixed-integer linear programming (MILP) model to solve the robust multistage joint expansion planning of EDSs and the allocation of EV charging stations (EVCSs). Chance constraints are used in the proposed robust formulation to deal with load uncertainties, guaranteeing the fulfillment of the substation capacity within a specified confidence level. The expansion planning method considers the construction/reinforcement of substations, EVCSs, and circuits, as well as the allocation of distributed generation units and capacitor banks along the different stages in which the planning horizon is divided. The proposed MILP model guarantees optimality by applying classical optimization techniques. The effectiveness and robustness of the proposed method is verified via two distribution systems with 18 and 54 nodes. Additionally, Monte Carlo simulations are carried out, aiming to verify the compliance of the proposed chance constraint.

关键词： Chance constraint electrical distribution systems electric vehicle charging stations mixed-integer linear programming multistage expansion planning

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Real-time energy consumption minimization in railway networks

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TRANSPORTATION RESEARCH PART D-TRANSPORT AND ENVIRONMENT 2018年 65卷 524-539页

作者： Montrone, Teresa Pellegrini, Paola Nobili, Paolo ESTECO Spa AREA Sci PkPadriciano 99 I-34149 Trieste Italy Univ Lille Nord France F-59000 Lille France LEOST COSYS IFSTTAR Rue Elisee ReclusBP 70317 F-59650 Villeneuve Dascq France Univ Salento Via Arnesano I-73100 Lecce Italy

A new timetable must be calculated in real-time when train operations are perturbed. Although energy consumption is becoming a central issue both from the environmental and economic perspective, it is usually neglected in the timetable recalculation. In this paper, we formalize the real-time Energy Consumption Minimization Problem (rtECMP). It finds in real-time the driving regime combination for each train that minimizes energy consumption, respecting given routing and precedences between trains. In the possible driving regime combinations, train routes are split in subsections for which one of the regimes resulting from the Pontryagin's Maximum Principle is to be chosen. We model the trade-off between minimizing energy consumption and total delay by considering as objective function their weighted sum. We propose an algorithm to solve the rtECMP, based on the solution of a mixed-integer linear programming model. We test this algorithm on the Pierrefitte-Gonesse control area, which is a critical area in France with dense mixed traffic. The results show that the problem is tractable and an optimal solution of the model tackled can often be found in real-time for most instances.

关键词： Railway traffic management Energy consumption mixed-integer linear programming

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Flexible job shop scheduling with lot streaming and sublot size optimisation

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INTERNATIONAL JOURNAL OF PRODUCTION RESEARCH 2018年第19期56卷 6391-6411页

作者： Bozek, Andrzej Werner, Frank Rzeszow Univ Technol Dept Comp & Control Engn Rzeszow Poland Otto Von Guericke Univ Inst Math Optimizat Magdeburg Germany

Models and optimisation approaches are developed for a flexible job shop scheduling problem with lot streaming and lot sizing of the variable sublots. A two-stage optimisation procedure is proposed. First, the makespan value is minimised with the smallest sublots defined for the problem instance. This makes it possible to shorten the makespan significantly, because each sublot is transferred separately to the next operation of a job. In the second stage, the sizes of the sublots are maximised without increasing the obtained makespan value. In this way, the quantity of sublots and transport activities is limited together with the related manufacturing cost. Two objectives are defined for the second stage. The first one is the maximisation of the sum of the sublot sizes of all operations, the second one is the maximisation of the number of the operations which do not need to be split at all. mixed-integer linear programming, constraint programming and graph-based models are implemented for the problem. Two optimisation approaches are developed and compared in computational experiments for each stage and objective, one approach is based on a third-party solver, and the second one on an independent own implementation, namely a tabu search and a greedy constructive heuristic.

关键词： flexible job shop lot streaming lot sizing mixed-integer linear programming tabu search constraint programming

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Balancing and cyclically sequencing synchronous, asynchronous, and hybrid unpaced assembly lines

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INTERNATIONAL JOURNAL OF PRODUCTION ECONOMICS 2018年 203卷 216-224页

作者： Lopes, Thiago Cantos Michels, Adalberto Sato Stall Sikora, Celso Gustavo Molina, Rafael Gobbi Magatao, Leandro Fed Univ Technol Parana UTFPR Grad Program Elect & Comp Engn CPGEI BR-80230901 Curitiba Parana Brazil Univ Hamburg Hamburg Business Sch Inst Operat Res D-20148 Hamburg Germany

mixed-model assembly lines are product-oriented production layouts often employed for large scale manufacturing of similar products. The unpaced variant of these lines employs a conveyor to discretely move pieces between stations either synchronously or asynchronously. Workload balancing and product sequencing are common optimization problems associated with these lines. While many works detail balancing and sequencing separately, few explicitly combine these degrees of freedom. Furthermore, hybrid (i.e. partly synchronous and partly asynchronous) lines are not explicitly described by previous optimization models. This paper presents a mixed-integer linear programming model capable of representing such unpaced lines and explicitly combine balancing, sequencing and cyclical scheduling. The application of the proposed method to a new dataset demonstrates the advantages of simultaneously balancing and sequencing lines, generating more efficient solutions than previously described models for 238 out of 240 instances. These results implied, however, in greater computational costs required to combine the degrees of freedom. Furthermore, a direct performance comparison study between synchronous, asynchronous, and hybrid lines is conducted. This allows line designers and managers to explicitly evaluate economical trade-offs between these line types.

关键词： Unpaced assembly line balancing mixed-model sequencing Cyclical scheduling mixed-integer linear programming

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Optimal design of oilfield surface pipeline networks for the cyclic water injection development method

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JOURNAL OF PETROLEUM SCIENCE AND ENGINEERING 2018年 171卷 1400-1408页

作者： Wang, Bohong Liang, Yongtu Yuan, Meng Wang, Jinghui Zhang, Haoran Li, Xingju China Univ Petr Natl Engn Lab Pipeline Safety MOE Key Lab Petr Engn Beijing Key Lab Urban Oil & Gas Distribut Technol Fuxue Rd 18 Beijing 102249 Peoples R China China Univ Petr Minist Educ Key Lab Petr Engn Fuxue Rd 18 Beijing 102249 Peoples R China Univ Tokyo Ctr Spatial Informat Sci 5-1-5 Kashiwanoha Chiba 2778568 Japan

Pipeline networks in oil fields, including gathering pipeline networks (GPNs) and water injection pipeline networks (WIPNs), are characterized by varied and complex structures and large investments. Optimizing the design of these networks is the key to reducing the development costs of oilfields. In the development method of cyclic water injection, some pipelines can be used for both production gathering and water injection;thus, GPN and WIPN can be designed simultaneously. Currently, separate designs do not form a unified scheme, and the cost is high. In view of these shortages, the integrated network should be considered. Based on mass and energy balance equations for networks, this paper proposes a mixed integer linear programming (MILP) model that takes the minimum construction investment as the objective function. The piecewise method is used to deal with the nonlinear terms in this model. Two common connection structures of pipeline networks, stellated pipeline networks (SPNs) and cascade dendritic pipeline networks (CDPNs) can be calculated by adjusting several constraints. Decision variables for the optimal locations of the central processing facility (CPF) and manifolds, detailed topological structure, diameter and route of each pipeline, pipeline flow and node pressure are obtained integrally by solving this model with the Gurobi solver. Two cases are studied to verify the effectiveness of the model. The results illustrate that the model can satisfy the needs of the designers in the actual design process, avoiding a qualitative or univariate decision in the comparison of different schemes. Comparing the results with those of the separated design scheme, the proposed model is proved to achieve lower investment costs. Therefore, the proposed model is feasible and practical.

关键词： Oilfield design Gathering pipeline network Water injection pipeline network Topological structure mixed-integer linear programming A* algorithm

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Operation optimization strategy for wind-concentrated solar power hybrid power generation system

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ENERGY CONVERSION AND MANAGEMENT 2018年 160卷 243-250页

作者： Yang, Yong Guo, Su Liu, Deyou Li, Rong Chu, Yinghao Hohai Univ Nanjing 210098 Jiangsu Peoples R China Nanjing Inst Technol Sch Energy & Power Engn Nanjing 211167 Jiangsu Peoples R China Shenzhen WeAI Zhinengkeji Ltd Shenzhen 518000 Guangdong Peoples R China

This paper presents a new hybrid system to reduce wind curtailment and improve scheduling flexibility. This hybrid system includes a wind farm, a concentrated solar power plant with thermal energy storage, and an electric heater. The major role of the electric heater is to convert the redundant wind power into thermal energy, and the thermal energy is stored in the thermal energy storage of the concentrated solar power plant. The optimal scheduling of this hybrid system is formulated as a mixed-integer linear programming problem to maximize the profit subjected to technical constraints. The effects of the electric heater on the system are studied under different weather conditions. The test results show that the electric heater is helpful for reduction of the both deviation from generation plan and wind curtailment. The maximum relative deviation falls from 5.15% to 0% during the clear sky day, and 47.49% to 31.74% during the partial cloudy day. The wind curtailment rate decreases by 52.59% and 100% for clear and partial cloudy days, respectively. An annual simulation for the system shows that the overall daily cumulative deviations of the new system are significantly decreased, and the wind curtailment can be reduced by greater than 90% for 151 days, validating the effectiveness of the proposed system.

关键词： Wind farm Concentrated solar power Thermal energy storage Electric heater mixed-integer linear programming

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Minimization of rest mismatches in round robin tournaments

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COMPUTERS & OPERATIONS RESEARCH 2018年 99卷 78-89页

作者： Atan, Tankut Cavdaroglu, Burak Isik Univ Dept Ind Engn TR-34980 Istanbul Turkey Kadir Has Univ Dept Ind Engn TR-34083 Istanbul Turkey

In sports tournaments, an occurrence of a difference in the rest periods of opponent teams in a game, which we refer to as a rest mismatch, will disadvantage the less rested team. Thus, it is only fair to expect opposing teams to have rested equally before their game. In this work, we introduce and study the Rest Mismatch Problem where the goal is to minimize the number of rest mismatches in a round robin tournament. Two integer linear formulations and a constraint programming formulation are provided, and their computational performances are compared for several problem instances. Moreover, a heuristic algorithm is developed which finds a single round robin schedule with zero mismatches when the number of teams in the tournament is a multiple of 8, and four mismatches when it is a multiple of 4 but not 8. (C) 2018 Elsevier Ltd. All rights reserved.

关键词： Round robin scheduling League fairness Rest mismatch mixed-integer linear programming Constraint programming Near optimal solution

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Analysis of Sparse Cutting Planes for Sparse MILPs with Applications to Stochastic MILPs

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MATHEMATICS OF OPERATIONS RESEARCH 2018年第1期43卷 304-332页

作者： Dey, Santanu S. Molinaro, Marco Wang, Qianyi Georgia Inst Technol Sch Ind & Syst Engn Atlanta GA 30332 USA Pontifical Catholic Univ Rio de Janeiro Comp Sci Dept BR-22451 Rio De Janeiro Brazil

In this paper, we present an analysis of the strength of sparse cutting planes for mixed integer linear programs (MILP) with sparse formulations. We examine three kinds of problems: packing problems, covering problems, and more general MILPs with the only assumption that the objective function is nonnegative. Given an MILP instance of one of these three types, assume that we decide on the support of cutting planes to be used and the strongest inequalities on these supports are added to the linear programming relaxation. We present bounds on the ratio of optimal value of the LP relaxation after adding cuts and the optimal value of the MILP that depends only on the sparsity structure of the constraint matrix and the support of sparse cuts selected, that is, these bounds are completely data independent. These results also shed light on the strength of single-scenario cuts for two-stage stochastic MILPs.

关键词： cutting planes mixed-integer linear programming sparsity

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