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Linear stochastic programming provides a flexible toolbox for analyzing real-life decision situations, but it can become computationally cumbersome when recourse decisions are involved. The latter are usually modeled as decision rules, i.e., functions of t ...
The deregulation of electricity markets increases the financial risk faced by retailers who procure electric energy on the spot market to meet their customers’ electricity demand. To hedge against this exposure, retailers often hold a portfolio of electric ...
We propose a resource allocation model for project scheduling. Our model accommodates multiple resources and decision-dependent activity durations inspired by microeconomic theory. First, we elaborate a deterministic problem formulation. In a second stage, ...
The purpose of software partitioning is to assign code segments of a given computer program to a range of execution locations such as general-purpose processors or specialist hardware components. These execution locations differ in speed, communication cha ...
Stochastic programming and robust optimization are disciplines concerned with optimal decision-making under uncertainty over time. Traditional models and solution algorithms have been tailored to problems where the order in which the uncertainties unfold i ...
Multi-stage stochastic programming provides a versatile framework for optimal decision making under uncertainty, but it gives rise to hard functional optimization problems since the adaptive recourse decisions must be modeled as functions of some or all un ...
We propose a tractable approximation scheme for convex (not necessarily linear) multi-stage robust optimization problems. We approximate the adaptive decisions by finite linear combinations of prescribed basis functions and demonstrate how one can optimize ...
We investigate routing policies for shortest path problems with uncertain arc lengths. The objective is to minimize a risk measure of the total travel time. We use the conditional value-at-risk (CVaR) for when the arc lengths (durations) have known distrib ...
Temporal networks describe workflows of time-consuming tasks whose processing order is constrained by precedence relations. In many cases, the durations of the network tasks can be influenced by the assignment of resources. This leads to the problem of sel ...
Continuous linear programs have attracted considerable interest due to their potential for modeling manufacturing, scheduling, and routing problems. While efficient simplex-type algorithms have been developed for separated continuous linear programs, crude ...
