Operations Research articles from May 2006

Operations Research archives from May 2006

In this issue.
May 1, 2006... How Good Is Your Portfolio Strategy? Solving for optimal portfolio strategies is a difficult task in many of today's financial models. Complex security price dynamics, portfolio constraints, parameter uncertainty, and trading frictions all...

Evaluating portfolio policies: a duality approach.(financial market)
May 1, 2006... The performance of a given portfolio policy can in principle be evaluated by comparing its expected utility with that of the optimal policy. Unfortunately, the optimal policy is usually not computable, in which case a direct comparison is...

Design and control of a large call center: asymptotic analysis of an LP-based method.(linear programming)
May 1, 2006... This paper analyzes a call center model with m customer classes and r agent pools. The model is one with doubly stochastic arrivals, which means that the m-vector [lambda] of instantaneous arrival rates is allowed to vary both temporally and...

Global optimality conditions for discrete and nonconvex optimization--with applications to Lagrangian heuristics and column generation.
May 1, 2006... The well-known and established global optimality conditions based on the Lagrangian formulation of an optimization problem are consistent if and only if the duality gap is zero. We develop a set of global optimality conditions that are...

Dual-optimal inequalities for stabilized column generation.(linear programming)
May 1, 2006... Column generation is one of the most successful approaches for solving large-scale linear programming problems. However, degeneracy difficulties and long-tail effects are known to occur as problems become larger. In recent years, several...

On the asymptotic optimality of a simple on-line algorithm for the stochastic single-machine weighted completion time problem and its extensions.
May 1, 2006... We consider the stochastic single-machine problem, when the objective is to minimize the expected total weighted completion time of a set of jobs that are released over time. We assume that the existence and the parameters of each job including...

On the asymptotic validity of fully sequential selection procedures for steady-state simulation.
May 1, 2006... We present fully sequential procedures for steady-state simulation that are designed to select the best of a finite number of simulated systems when "best" is defined by the largest or smallest long-run average performance. We also provide a...

Adaptive importance sampling technique for Markov chains using stochastic approximation.
May 1, 2006... For a discrete-time finite-state Markov chain, we develop an adaptive importance sampling scheme to estimate the expected total cost before hitting a set of terminal states. This scheme updates the change of measure at every transition using...

Multiproduct systems with both setup times and costs: fluid bounds and schedules.
May 1, 2006... This paper considers a multiproduct, single-server production system where both setup times and costs are incurred whenever the server changes product. The system is make-to-order with a per unit backlogging cost. The objective is to minimize...

The multiple-family ELSP with safety stocks.(economic lot scheduling problem)
May 1, 2006... The multiple-family economic lot scheduling problem with safety stocks (MFELSP-SS) with normally distributed, time-stationary demand is considered in a manufacturing setting where the relevant costs include family setup costs, item setup costs,...

Optimal policy for a multiechelon inventory system with remanufacturing.
May 1, 2006... We analyze a multiechelon inventory system with inventory stages arranged in series. In addition to traditional forward material flows, used products are returned to a recovery facility, where they can be stored, disposed, or remanufactured and...

A multiproduct, multicriterion supply-demand network equilibrium model.
May 1, 2006... We consider a multiproduct supply-demand network equilibrium model on the basis of Wardrop's equilibrium principle. We prove that such a network equilibrium model with both a single criterion and multiple criteria are each equivalent to a...

Order assignment and scheduling in a supply chain.
May 1, 2006... We consider the supply chain of a manufacturer who produces time-sensitive products that have a large variety, a short life cycle, and are sold in a very short selling season. The supply chain consists of multiple overseas plants and a domestic...

A branch-and-cut algorithm for the dial-a-ride problem.
May 1, 2006... In the dial-a-ride problem, users formulate requests for transportation from a specific origin to a specific destination. Transportation is carried out by vehicles providing a shared service. The problem consists of designing a set of...

A new bottom-left-fill heuristic algorithm for the two-dimensional irregular packing problem.
May 1, 2006... This paper presents a new heuristic algorithm for the two-dimensional irregular stock-cutting problem, which generates significantly better results than the previous state of the art on a wide range of established benchmark problems. The...

A note on probability distributions with increasing generalized failure rates.(TECHNICAL NOTE)
May 1, 2006... Distributions with an increasing generalized failure rate (IGFR) have useful applications in pricing and supply chain contracting problems. We provide alternative characterizations of the IGFR property that lead to simplify verifying whether...