Related papers: The Integrated Size and Price Optimization Problem
Multi-period portfolio optimization is important for real portfolio management, as it accounts for transaction costs, path-dependent risks, and the intertemporal structure of trading decisions that single-period models cannot capture.…
In the development of industrial digital twins, the optimization problem of technological and business processes often arises. In many cases, this problem can be reduced to a large-scale linear programming (LP) problem. The article is…
Optimization problems involving sequential decisions in a stochastic environment were studied in Stochastic Programming (SP), Stochastic Optimal Control (SOC) and Markov Decision Processes (MDP). In this paper we mainly concentrate on SP…
We introduce the class of multistage stochastic optimization problems with a random number of stages. For such problems, we show how to write dynamic programming equations and detail the Stochastic Dual Dynamic Programming algorithm to…
We study the optimal liquidation problem in a market model where the bid price follows a geometric pure jump process whose local characteristics are driven by an unobservable finite-state Markov chain and by the liquidation rate. This model…
We present HIghly Parallelisable Pareto Optimisation (HIPPO) -- a batch acquisition function that enables multi-objective Bayesian optimisation methods to efficiently exploit parallel processing resources. Multi-Objective Bayesian…
We study huge-scale assortment optimization problems to maximize expected revenue under customer choice, addressing a fundamental challenge in industries such as transportation, retail, and healthcare. The choice-based linear programming…
Hyperparameter optimization (HPO) is concerned with the automated search for the most appropriate hyperparameter configuration (HPC) of a parameterized machine learning algorithm. A state-of-the-art HPO method is Hyperband, which, however,…
Distributed algorithms for solving additive or consensus optimization problems commonly rely on first-order or proximal splitting methods. These algorithms generally come with restrictive assumptions and at best enjoy a linear convergence…
We consider a general class of two-stage distributionally robust optimization (DRO) problems where the ambiguity set is constrained by fixed marginal probability laws that are not necessarily discrete. We derive primal and dual formulations…
This paper proposes a novel method to co-optimize distribution system operation and repair crew routing for outage restoration after extreme weather events. A two-stage stochastic mixed integer linear program is developed. The first stage…
We introduce a stochastic version of the cutting-plane method for a large class of data-driven Mixed-Integer Nonlinear Optimization (MINLO) problems. We show that under very weak assumptions the stochastic algorithm is able to converge to…
We investigate an optimization problem in a queueing system where the service provider selects the optimal service fee p and service capacity \mu to maximize the cumulative expected profit (the service revenue minus the capacity cost and…
This work tackles a class of optimization problems in which fixing some well-chosen combinations of the variables makes the problem substantially easier to solve. We consider that the variables space may be partitioned into subsets that fix…
Column-sparse packing problems arise in several contexts in both deterministic and stochastic discrete optimization. We present two unifying ideas, (non-uniform) attenuation and multiple-chance algorithms, to obtain improved approximation…
This paper considers the vehicle routing problem with stochastic demands (VRPSD) under optimal restocking. We develop an exact algorithm that is effective for solving instances with many vehicles and few customers per route. In our…
The problem of designing a profit-maximizing, Bayesian incentive compatible and individually rational mechanism with flexible consumers and costly heterogeneous supply is considered. In our setup, each consumer is associated with a…
This study develops a scalable co-optimization strategy for the joint bidding of cascaded hydropower, wind, and solar energy units, treated as a unified entity in the day-ahead market. Although hydropower flexibility can manage the…
Peak/off-peak spreads on European electricity forward and spot markets are eroding due to the ongoing nuclear phaseout in Germany and the steady growth in photovoltaic capacity. The reduced profitability of peak/off-peak arbitrage forces…
Transmission system operators employ reserves to deal with unexpected variations of demand and generation to guarantee the security of supply. The French transmission system operator RTE dynamically sizes the required margins using a…