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A Characterization of the SSD-Efficient Frontier of Portfolio Weights by Means of a Set of mixed-integer linear Constraints

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MANAGEMENT SCIENCE 2016年第12期62卷 3549-3554页

作者： Longarela, Inaki R. Stockholm Univ Stockholm Business Sch SE-10691 Stockholm Sweden UiT Arctic Univ Norway Sch Business & Econ N-9037 Tromso Norway

In this paper, the set of all second-order stochastic dominance (SSD)-efficient portfolios is characterized by using a series of mixed-integer linear constraints. Our derivation employs a combination of the first-order conditions of the utility maximization problem together with a judicious use of binary variables. This result opens the door to the formulation of optimizations whose objective function is free to select a particular portfolio out of the entire SSD-efficient set.

关键词： stochastic dominance mixed-integer linear programming portfolio theory

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Stochastic Unit Commitment in Isolated Systems With Renewable Penetration Under CVaR Assessment

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IEEE TRANSACTIONS ON SMART GRID 2016年第3期7卷 1356-1367页

作者： Asensio, Miguel Contreras, Javier Univ Castilla La Mancha ETS Ingenieros Ind E-13071 Ciudad Real Spain

Isolated regions and islands are facing imported fossil-fuel dependency, higher electricity prices, and vulnerability to climate change. At the same time, they are increasing their renewable penetration and, therefore, risk for electric utilities. Integrating stochastic energy resources in noninterconnected systems may take advantage of an intelligent and optimized risk-averse unit commitment (UC) model. This paper presents a two-stage stochastic UC model with high renewable penetration including reserve requirements for the efficient management of uncertainty. In order to account for the uncertainty around the true outcomes of load, wind, and photovoltaic (PV) generation, a minimum conditional value at risk term has been included in the model formulation. A stochastic measure of the value of the stochastic solution is used to evaluate the benefits of using stochastic programming. The model considers the need for reserves dependent on the forecasting horizon and the amount of renewable generation. Active power demand, and wind and PV generations are considered as probability distribution functions. The model is applied to the Lanzarote-Fuerteventura system in the Canary Islands, Spain, and Crete, Greece.

关键词： Conditional value at risk (CVaR) mean-risk value of the stochastic solution (MRVSS) mixed-integer linear programming risk aversion two-stage stochastic programming unit commitment (UC)

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Using cross-docking operations in a reverse logistics network design: a new approach

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PRODUCTION ENGINEERING-RESEARCH AND DEVELOPMENT 2016年第2期10卷 175-184页

作者： Kheirkhah, Amirsaman Rezaei, Saeid Bu Ali Sina Univ Sch Engn Dept Ind Engn Hamadan Iran

Increasing development of competitive market has forced organizations to make great efforts in supplying, production and distribution of goods in their company so that they are capable of responding the customers different needs at the minimum delivery time and lowest cost. Cross-docking is a practical strategy in distribution cycle which has significantly attracted the attention of experts and industrialists in different areas. In this paper, the problem of designing a multi-echelon reverse logistics network with applying cross-docking centers is presented-as the first attempt to propose the new approach of using cross-docking centers in reverse logistics network. In this regard, a mixed-integer linear programming is utilized to model the problem for the goals of increasing shipment rate, decreasing fixed, variable costs and better management of returned products. Finally, the validation and sensitivity analysis are done by using the GAMS software. Considered the above requirements, the model facilitates objective-oriented reverse logistic performance.

关键词： Reverse logistics Cross-docking operations Multi-echelon logistics network design mixed-integer linear programming

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A robust optimization model for agile and build-to-order supply chain planning under uncertainties

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ANNALS OF OPERATIONS RESEARCH 2016年第2期240卷 435-470页

作者： Lalmazloumian, Morteza Wong, Kuan Yew Govindan, Kannan Kannan, Devika Univ Teknol Malaysia Fac Mech Engn Dept Mfg & Ind Engn Skudai Malaysia Univ Southern Denmark Dept Econ & Business Odense Denmark Aalborg Univ Dept Mech & Mfg Engn DK-2450 Copenhagen Denmark

Supply chain planning as one of the most important processes within the supply chain management concept, has a great impact on firms' success or failure. This paper considers a supply chain planning problem of an agile manufacturing company operating in a build-to-order environment under various kinds of uncertainty. An integrated optimization approach of procurement, production and distribution costs associated with the supply chain members has been taken into account. A robust optimization scenario-based approach is used to absorb the influence of uncertain parameters and variables. The formulation is a robust optimization model with the objective of minimizing the expected total supply chain cost while maintaining customer service level. The developed multi-product, multiperiod, multi-echelon robust mixed-integer linear programming model is then solved using the CPLEX optimization studio and guidance related to future areas of research is given.

关键词： Agile manufacturing Build-to-order Supply chain planning Robust optimization mixed-integer linear programming

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Integrated strategic and tactical supply chain planning with price-sensitive demands

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ANNALS OF OPERATIONS RESEARCH 2016年第2期242卷 423-456页

作者： Fattahi, M. Mahootchi, M. Husseini, S. M. Moattar Amirkabir Univ Technol Dept Ind Engn & Management Syst Tehran Iran

This paper deals with the supply chain network design and planning for a multi-commodity and multi-layer network over a planning horizon with multiple periods in which demands of customer zones are considered to be price dependent. These prices determine the demands using plausible price-demand relationships of customer zones. The net income of the supply chain is maximized, while satisfying budget constraints for investment in network design. In addition, a new approach is considered for capacity planning to make the problem more realistic. In this regard, when production plants are opened and expanded, capacity options are taken into account for manufacturing operations. Furthermore, several aspects relevant to real world applications are captured in the problem. Different interconnected time periods in the planning horizon are considered for strategic and tactical decisions in the problem and then, a mixed-integer linear programming (MILP) model is developed. The performance and applications of the model are investigated by several test problems with reasonable sizes. The numerical results illustrate that obtained solutions after solving the MILP model by using CPLEX solver are acceptable. Moreover, using an alternative pricing approach, a tight upper bound is provided for the problem. In addition, a deep sensitivity analysis is conducted to show the validity and performance of the proposed model.

关键词： Supply chain network design Strategic and tactical decisions Capacity expansion mixed-integer linear programming Dynamic pricing approach

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A Hybrid Stochastic/Deterministic Unit Commitment Based on Projected Disjunctive MILP Reformulation

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IEEE TRANSACTIONS ON POWER SYSTEMS 2016年第6期31卷 5200-5201页

作者： Tan, Wen-Shan Shaaban, Mohamed Univ Teknol Malaysia Inst Future Energy Ctr Elect Energy Syst Utm 81310 Johor Bahru Malaysia Port Said Univ Dept Elect Engn Fac Engn Port Fouad 42523 Port Said Egypt

This letter presents a new expression of the chance constraint, representing ramping and operating reserve, in the context of the mixed integer linear programming (MILP) formulation for solving the hybrid stochastic/deterministic unit commitment (SDUC) problem. Based on projected disjunctive programming, the nonlinear chance constraint is converted into a set of linear constraints that has a more compact size. Numerical simulations highlight the primacy of the proposed MILP-SDUC reformulation as compared with other formulation approaches.

关键词： Chance-constrained optimization mixed-integer linear programming unit commitment variable renewable sources

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More MILP models for integrated process planning and scheduling

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INTERNATIONAL JOURNAL OF PRODUCTION RESEARCH 2016年第14期54卷 4387-4402页

作者： Jin, Liangliang Tang, Qiuhua Zhang, Chaoyong Shao, Xinyu Tian, Guangdong Huazhong Univ Sci & Technol State Key Lab Digital Mfg Equipment & Technol Wuhan Peoples R China Huazhong Univ Sci & Technol Sch Mech Sci & Engn Wuhan Peoples R China Wuhan Univ Sci & Technol Sch Mech Engn Wuhan Peoples R China Northeast Forestry Univ Transportat Coll Harbin Peoples R China

The integration of process planning and scheduling is important for an efficient utilisation of manufacturing resources. In general, there are two types of models for this problem. Although some MILP models have been reported, most existing models belong to the first type and they cannot realise a true integration of process planning and scheduling. Especially, they are completely powerless to deal with the cases where jobs are expressed by network graphs because generating all the process plans from a network graph is difficult and inefficient. The network graph-specific models belong to the other type, and they have seldom been deliberated on. In this research, some novel MILP models for integrated process planning and scheduling in a job shop flexible manufacturing system are developed. By introducing some network graph-oriented constraints to accommodate different operation permutations, the proposed models are able to express and utilise flexibilities contained in network graphs, and hence have the power to solve network graph-based instances. The established models have been tested on typical test bed instances to verify their correctness. Computational results show that this research achieves the anticipant purpose: the proposed models are capable of solving network graph-based instances.

关键词： flexible manufacturing mixed-integer linear programming integration of process planning and scheduling

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Comparison between Optimal Control Allocation with mixed Quadratic & linear programming Techniques

Comparison between Optimal Control Allocation with Mixed Qua...

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10th IFAC Conference on Control Applications in Marine Systems (CAMS)

作者： Grechi, Simone Caiti, Andrea Univ Pisa Dept Informat Engn Pisa Italy Univ Pisa Ctr E Piaggio Pisa Italy Interuniv Ctr Integrated Syst Marine Environm ISM Genoa Italy

The paper provides a comparison between different control allocation techniques in over-actuated Autonomous Underwater Vehicles. The pseudoinverse, linear programming (LP), Quadratic programming (QP), mixed integer linear programming (MILP) and mixed integer Quadratic programming (MIQP) are evaluated in simulation on the V-Fides vehicle model. The MILP and MIQP techniques allow to include in their implementations a more detailed characterization of the non-linear static behaviour of the actuators. This customizability can be also exploited to improve the practical stability of the system. The metrics used for comparison include the maximum attainable forces and torques, the integral of the error allocation and the required thrusters effort. Our simulation results show that, in particular with respect to thrusters effort, MILP and MIQP are the preferred allocation methods. The computational complexity associated to both methods is not such to compromise their implementation in operating vehicles;in particular, the MILP version is currently implemented in the V-Fides vehicle. (C) 2016, IFAC (International Federation of Automatic Control) Hosting by Elsevier Ltd. All rights reserved.

关键词： Optimal Control allocation Quadratic programming linear programming mixed-integer linear programming mixed-integer Quadratic programming

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QFix: Demonstrating Error Diagnosis in Query Histories 16

QFix: Demonstrating Error Diagnosis in Query Histories

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ACM SIGMOD International Conference on Management of Data

作者： Wang, Xiaolan Meliou, Alexandra Wu, Eugene Univ Massachusetts Sch Comp Sci Amherst MA 01003 USA Columbia Univ Comp Sci New York NY 10027 USA

ISBN: (纸本)9781450335317

An increasing number of applications in all aspects of society rely on data. Despite the long line of research in data cleaning and repairs, data correctness has been an elusive goal. Errors in the data, can be extremely disruptive, and are detrimental to the effectiveness and proper function of data-driven applications. Even when data, is cleaned, new errors can be introduced by applications and users who interact with the data. Subsequent valid updates can obscure these errors and propagate them through the dataset causing more discrepancies. Any discovered errors tend to be corrected superficially, on a case-by-case basis, further obscuring the true underlying cause, and snaking detection of the remaining errors harder. In this demo proposal, we outline the design of QFix, a query-centric framework that derives explanations and repairs for discrepancies in relational data based on potential errors in the queries that operated on the data. This is a marked departure from traditional data-centric techniques that directly fix the data. We then describe how users will use QFix in a demonstration scenario. Participants will be able to select from a number of transactional benchmarks, introduce errors into the queries that are executed, and compare the fixes to the queries proposed by QFix as well as existing alternative algorithms such as decision trees.

关键词： query provenance data cleaning mixed-integer linear programming

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An MILP Model for the Analysis of Operation of Energy Storage Devices in Distribution Systems

An MILP Model for the Analysis of Operation of Energy Storag...

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IEEE PES Transmission & Distribution Conference and Exposition-Latin America (PES T&D-LA)

作者： Macedo, Leonardo H. Franco, John F. Romero, Ruben Rider, Marcos J. Sao Paulo State Univ Dept Elect Engn Ilha Solteira Brazil Univ Estadual Campinas Dept Syst & Energy Campinas SP Brazil

ISBN: (纸本)9781509028757

This paper presents a mixed-integer linear programming model to define the optimal operation of energy storage devices in radial distribution systems. The objective considered is the reduction of the energy purchase cost from the distribution substation. The modeling of the energy storage devices determines both the charging and discharging periods, and the injected and extracted power. In addition, the number of daily charge/discharge cycles of the storage devices is limited to avoid an excessive reduction of their lifespan. The proposed model was used to analyze the influence of the location of energy storage devices in the operation of a system. The efficiency of the methodology was tested in several cases, using a 136-node distribution system.

关键词： Energy storage devices mixed-integer linear programming operation of distribution systems

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