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MC05 2 - A Cutting-plane Algorithm for the Slitherlink Puzzle Tony Hürlimann, Research Fellow, University of Fribourg, Perolles 90, Fribourg, CH-1700, Switzerland, tony.huerlimann@unifr.ch This document presents a mathematical modeling approach to solve difficult Slitherlink puzzles. We show how such puzzles can be formulated as MIP models which then are solved using a Branch-and-Cut method. The method solves the puzzle by adding repeatedly valid integer cuts to a MIP model. It is show that this method is very efficient in solving difficult puzzles. An complete implementation in a mathematical modeling language is also presented. 3 - Heuristics for Mixed Integer Nonlinear Programs and Their Implementation in Bonmin João Goncalves, IBM Research, 1101 Kitchawan Road, Yorktown Heights, NY, United States of America, jpgoncal@us.ibm.com, Pierre Bonami We show how several heuristics for finding feasible solutions of Mixed Integer Linear programs can be adapted to Mixed Integer Nonlinear programs (MINLPs) and describe their implementation in the open source solver Bonmin. We present computational results on a set of convex MINLP instances and show that they can help the branch-and-bound algorithm reduce the computational time to solve those instances. ■ MC05 Velez Sarfield- Second Floor Case Studies in Multiple Criteria Decision Aiding Cluster: Multicriteria Analysis and Optimization Invited Session Chair: Luiz F. Autran M. Gomes, Ibmec Business School, Av. Presidente Wilson, 118, Oficina 1110, Rio de Janeiro, Brazil, autran@ibmecrj.br 1 - Using SMAA to Assess the Cost-effectiveness of Healthcare Interventions: A Case Study Dowe Postmus, University Medical Center Groningen, PO Pox 30.001, Groningen, 9700 RB, Netherlands, d.postmus@epi.umcg.nl, Tommi Tervonen, Hans Hillege, Erik Buskens In cost-effectiveness analysis (CEA), competing healthcare interventions are evaluated in terms of their costs and effects. So-called cost effectiveness acceptability curves offer a useful way of representing decision uncertainty when there are two alternatives, but their interpretation becomes less clear when three or more alternatives are being considered. I will use a case study in heart failure to show how SMAA can be used as an improved method for representing decision uncertainty in CEA. 2 - A Case Study on Municipal Economic Comparison in Sinaloa, Mexico Juan Carlos Leyva López, Universidad de Occidente, Blvd. Lola Beltran y Blvd Rolando Arjona, Culiacan, Mexico, jleyva@culiacan.udo.mx, Katia Paez, Edmundo Resenos In this paper, we present a real case study dealing with the comparison of municipal economic situations. To do so, we employ a multicriteria model to compare basic economic variables comprehensively. We present the problem situation and an appropriate problem formulation. Moreover, a detailed version of the multicriteria evaluation model is also presented. 3 - The MACBETH Approach to Deal with Social Responsibility Concerns in Development Cooperation Ramiro Sanchez-Lopez, Researcher, CEG-IST, Technical University of Lisbon, c/ Doctor Esquerdo 126, Madrid, 28007, Spain, ramirosanchezl@gmail.com, Carlos Bana e Costa One topical question in the field of development cooperation how to appraise projects and programs from the perspective of social responsibility, articulating effectively what is known as cross-cutting issues. The difficulty found on the design of evaluation and monitoring models lies on the intangible and qualitative nature of those issues. We describe how the MACBETH socio-technical multicriteria approach was used for this purpose, in a rural development Programme in Bolivia. 4 - Electronic Payment – Alternatives Evaluation using a Multicriteria Support Decision Carlos Gomes, Ibmec Business School, Rio de Janeiro, Brazil, cgomes@ibmecrj.br, Thiago Qualharini This paper presents some of the electronic payments available in Brazil and in the world. This study includes some of the new technologies and concepts of current means of payment in particular the credit and debit cards. The results allowed ordering technological alternatives that can attend the expanded use of credit card market, and the world. Three technological alternatives were compared by fourteen criteria. The work is based on a real case study in Brazil carried on through MCDA Thor, a decision support system that implements algorithms based on the concepts of electre family developed in Brazil. Fuzzy Set and Rough Set was used to quantify the imprecision and uncertainty. The work is based on a real case study in Brazil. ALIO / INFORMS International – 2010 62 ■ MC06 Aula 352- Third Floor Financial Engineering Contributed Session Chair: Suleyman Ozekici, Professor, Koç University, Department of Industrial Engineering, Istanbul, Turkey, sozekici@ku.edu.tr 1 - Supply Chain Configuration Under Uncertainty- An Approach using Real Options Victor Jiménez, Universidad del Valle, Calle 13 # 100-00, Cali, Colombia, victorj@colombia.com, Diego Fernando Manotas One of the most important decisions in logistics is the configuration of the supply network, which mainly considers variables related to the flow of products, but those should also be considered depending on the market and can influence a large scale in the expected results. This article presents a methodology for network design in supply chains, based on real options theory including the uncertainty associated with variables such as demand, exchange rates and interest rates. 2 - Optimal Portfolio Allocations with Hedge Funds Jerome Detemple, Professor, Boston University, 595 Commonwealth Avenue, Boston, MA, 02215, United States of America, detemple@bu.edu, Marcel Rindisbacher, Rene Garcia This paper analyzes optimal investment decisions, in the presence of non-redundant hedge funds, for investors with constant relative risk aversion. Factor regression models with option-like risk factors and no-arbitrage principles are used to identify and estimate the market price of hedge fund risk. The paper examines the optimal portfolio behavior and the impact of timing and selection abilities. 3 - Can Oil Prices Help Estimate Commodity Futures Prices? The Cases of Copper and Silver Gonzalo Cortazar, Pontificia Universidad Católica de Chile, Vicuna Mackenna 4860, Santiago, Chile, gcortaza@ing.puc.cl, Francisco Eterovic We use prices of long term oil futures contracts to estimate copper and silver prices. We show that the Cortazar et al (2008) multi-commodity model applied to oilcopper and oil-silver which have low correlation seems not to be effective. We then propose a modified multi-commodity model that uses the non-stationary long term process of oil to help estimate long term copper and silver futures prices, achieving a much better fit than using available individual or multi-commodity models. 4 - Monte Carlo Simulation as an Aid to Determining the Value at Risk: Applications to a Peruvian Stock Market’s Portfolio Christian Cornejo, Pontificia Universidad Católica Del Perú, Av. Universitaria 1801. San Miguel, Lima, Peru, cscornejo@pucp.edu.pe, Eduardo Carbajal The applied study of risk factors define a portfolio, and from a representative sample of these, specifies its randomized to outline, from a large number of tests, a response to how they affect the portfolio. 5 - Portfolio Selection with Random Risk Tolerance Suleyman Ozekici, Professor, Koç University, Department of Industrial Engineering, Istanbul, Turkey, sozekici@ku.edu.tr, Turan Bulmus We analyze a single-period portfolio selection problem where the investor maximizes the expected utility of the terminal wealth. The utility function is exponential, but the risk tolerance is random. It is well-known that an investor is memoryless in wealth for exponential utility functions with a known risk tolerance. However, we show that this is no longer true if risk tolerance is random and obtain characterizations on the structure of the optimal policy. ■ MC07 Aula 353- Third Floor Inventory Management Contributed Session Chair: Joaquin Sicilia, Professor, Universidad de La Laguna, Fac. de Matematicas, Dpto. Estadistica, La Laguna, 38271, Spain, jsicilia@ull.es 1 - An Algorithm Based on Linear Programming to Solve the Constrained Joint Replenishment Problem Jimmy Alexander Carvajal Beltrán, Universidad De Los Andes, Carrera 1 N∞ 18A 10 oficina ml-752, Bogotá, Colombia, ja.carvajal911@uniandes.edu.co, Ciro Alberto Amaya This paper examines the joint replenishment problem under deterministic demand and resource constraints(C-JRP). This problem is solved using a method based on linear programming; a comparative analysis highlighting the efficiency of the proposed process in relation to existing algorithms in literature.
2 - Bicriteria Optimization in the Newsvendor Problem Francisco Arcelus, Universidad Pública de Navarra, Dpto. Gestión de Empresas, Campus de Arrosadía, Pamplona, Na, 31006, Spain, arcelus@unb.ca, Satyendra Kumar, Gopalan Srinivasan This paper analytically addresses the bicriteria decision newsvendor problem of a retailer with the conflicting goals of maximizing the expected profit and the probability of exceeding it and obtains a closed form solution for a uniformly distributed demand. The search for optimality reduces to simple comparisons between parameters and the estimation of a critical weight. A numerical example highlights the nature of the solutions. 3 - Improvement in the Inventory Management of a Company of Mass Consumption Products, using Aggregate Assessment José Rau, PUCP, Av. Universitaria 1801, Lima, Peru, jrau@pucp.edu.pe, Domingo Gonzalez A. Inventory management has two opposite aspects:need minimizing inventory investment to allocate resources and must be sure that the enterprise has adequate stock. Commercial and financial areas will have to deal by the fact that the first products need to respond quickly to customers, while the other must not have money tied up as it represents an opportunity cost. Exchange curves can be used to find actions for managing inventory to optimizes it. 4 - An Inventory Model Where Backordered Demand Ratio is Exponentially Decreasing with the Waiting Time Joaquin Sicilia, Professor, Universidad de La Laguna, Fac. de Matematicas, Dpto. Estadistica, La Laguna, 38271, Spain, jsicilia@ull.es, Luis-Augusto San-José, Juan García-Laguna We analyze an inventory system with a mixture of backorders and lost sales, where the backordered demand rate is an exponential function of time the customers wait before receiving the item. Stockout costs (backorder cost and lost sales cost) include a fixed cost and a cost proportional to the length of the shortage period. A procedure for determining the optimal policy and the maximum inventory profit is presented. This work extends several inventory models of the existing literature. ■ MC08 Aula 355- Third Floor Decision Analysis I Contributed Session Chair: Danielle Aguiar de Araujo, IEAv/CTA, Rodovia dos Tamoios, km 5,5 - Putim, São José dos Campos, SP, 12.228-001, Brazil, danielleaa@ieav.cta.br 1 - Materials Management and Marketing Milan Gasovic, Professor, Faculty of Economics, Segedinski put, 9-11, Subotica, 24000, Serbia-Montenegro, lsmg@ptt.rs Materials management system is connected to all functional fields of firms (procurement, production and planning, product development, capacity planning, maintenance, transportation, distribution). Market research is connected to marketing as to provide optimal cost structure and level along with acceptable product quality. In this paper, relations of materials management with systems theory and mathematical modeling that strengthen inventory control and distribution are investigated. 2 - Monte Carlo Simulation: Analysis of Different Yield Insurance Schemes Ariadna Maria Berger, Jefe Practicos, Universidad Buenos Aires, Av. San Martin 4453, Buenos Aires, 1417, Argentina, aberger@ciudad.com.ar, Susana Pena De Ladaga, Julia Barriga Agricultural production in the Pampeana Region is associated to an important meteorological risk which has both direct and indirect influence over yields. In developed countries yield insurance is frequently used, but this is not the case in Argentina. In this paper we analyze, with Monte Carlo Simulation, economic results of a farm fully devoted to agriculture, located in Junin, with and without yield insurance. Interesting conclusions about different schemes of yield insurance are obtained. 3 - Model of Planning and Programming of the Production in Companies of the Sector of Wood of Bogotá Ever Angel Fuentes Rojas, Universidad Libre, Cra 66 No. 53-44, Bogotá D.C., Colombia, ever.fuentes@gmail.com The owners of the companies of wood have developing activities of empirical form, until a few years ago this methodology had worked, but the changes that they have presented place of manifest that the lack of policies, strategies and courses of action for the rational utilization of the resources, demonstrates the need to generate processes of planeaciÛn and programming of the production, which they allow the transformation of the projections of the demand in a master production schedule. ALIO / INFORMS International – 2010 MC09 63 4 - Decision Analysis Model for Aerospace Defense Against Air Strike Package Danielle Aguiar de Araujo, IEAv/CTA, Rodovia dos Tamoios, km 5,5 - Putim, São José dos Campos, SP, 12.228-001, Brazil, danielleaa@ieav.cta.br, Mónica Maria De Marchi, Nilton Lessa, Mischel Carmen Belderrain Aerospace defense is a complex task where critical decision making occurs in a dynamic environment. This study proposes a decision support model in the context of aerospace defense against air strike package, aiming to minimize the effectiveness of the hostile actions. In addition to this, the effectiveness of the model solution is examined and the sensitivity analysis with respect to some defense weapon systems parameters is performed. ■ MC09 Aula 356- Third Floor Computational Stochastic Programming Cluster: Special Invited Sessions Invited Session Chair: Miguel Lejeune, Assistant Professor in Decision Sciences, The George Washington University, 2201 G Street, NW, Washington, DC, 20052, United States of America, mlejeune@gwu.edu 1 - p-Order Conic Programming in Stochastic Optimization Pavlo Krokhmal, University of Iowa, 3131 Seamans Center, Iowa City, IA, United States of America, krokhmal@engineering.uiowa.edu, Policarpio Soberanis We discuss modeling of risk preferences in stochastic programs via p-order conic constraints. As an illustration, a portfolio optimization problem is considered. Several solution approaches are presented, including reduction to second-order conic programming and polyhedral approximations of p-order cones, as well as a branch-and-bound scheme for mixed-integer problems with p-conic constraints. Computational results of portfolio optimization case studies are discussed. 2 - Linear Reformulation of Probabilistic Programming Problems using Combinatorial Patterns Miguel Lejeune, Assistant Professor in Decision Sciences, The George Washington University, 2201 G Street, NW, Washington, DC, 20052, United States of America, mlejeune@gwu.edu We propose a new combinatorial pattern methodology for the solution of probabilistic optimization problems. We develop a mathematical programming approach for the derivation of combinatorial patterns. The generation of a pattern with large coverage (resp., a disjunctive normal form) permits the derivation of a tight linear programming outer approximation (resp., an MIP equivalent) of the probabilistic problem. Computational results will be presented. 3 - Portfolio Optimization with Probabilistic Constraint and Transactions Costs Tiago Filomena, PhD Student, George Washington University, 1776 G Street NW, Washington, DC, 20005, United States of America, tiagopf@gwu.edu, Miguel Lejeune We consider a stochastic portfolio optimization problem with transaction costs. A probabilistic constraint is included to account for the stochasticity of the asset returns and to alleviate the estimation risk. Proportional and fixed transaction costs are considered. We derive several deterministic equivalent formulations, analyzed their computational tractability, and propose a new solution method. Computational results will be presented.
Page 1 and 2: How to Navigate the Technical Sessi
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Page 5 and 6: 2 - A Ship Track Anomaly Detection
Page 7 and 8: 3 - A Scatter Search Approach to a
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Ratio Method. It is worth pointing
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2 - Housings Localization for Homes
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4 - A GRASP Algorithm for Designing
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methods can reduce the inference ex
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P Palominos, Pedro SB17 Parada, Ví
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Breton, Michéle WB01 Brito, Daniel
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Gay, David M. TB04 Gazzola, Rosaura
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Medaglia, Andrés L. SB20, MA08, MB
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