Multiperiod Dispatching and Routing for On-Time Delivery in a Dynamic and Stochastic Environment

On-demand delivery has become increasingly popular around the world. Brick-and-mortar grocery stores, restaurants, and pharmacies are providing fast delivery services to satisfy the growing home delivery demand. Motivated by a large meal and grocery delivery company, we model and solve a multiperiod driver dispatching and routing problem for last-mile delivery systems where on-time performance is the main target. The operator of this system needs to dispatch a set of drivers and specify their delivery routes in a stochastic environment, in which random demand arrives over a fixed number of periods. The resulting dynamic program is challenging to solve due to the curse of dimensionality. We propose a novel approximation framework to approximate the value function via a simplified dispatching program. We then develop efficient exact algorithms for this problem based on Benders decomposition and column generation. We validate the superior performance of our framework and algorithms via extensive numerical experiments. Tested on a real-world data set, we quantify the value of adaptive dispatching and routing in on-time delivery and highlight the need of coordinating these two decisions in a dynamic setting. We show that dispatching multiple vehicles with short trips is preferable for on-time delivery, as opposed to sending a few vehicles with long travel times

A parsimonious model for generating arbitrage-free scenario trees

Simulation models of economic, financial and business risk factors are widely used to assess risks and support decision-making. Extensive literature on scenario generation methods aims at describing some underlying stochastic processes with the least number of scenarios to overcome the ‘curse of dimensionality’. There is, however, an important requirement that is usually overlooked when one departs from the application domain of security pricing: the no-arbitrage condition. We formulate a moment matching model to generate multi-factor scenario trees for stochastic optimization satisfying no-arbitrage restrictions with a minimal number of scenarios and without any distributional assumptions. The resulting global optimization problem is quite general. However, it is non-convex and can grow significantly with the number of risk factors, and we develop convex lower bounding techniques for its solution exploiting the special structure of the problem. Applications to some standard problems from the literature show that this is a robust approach for tree generation. We use it to price a European basket option in complete and incomplete markets

Satellite Network, Design, Optimization, and Management

We introduce several network design and planning problems that arise in the context of commercial satellite networks. At the heart of most of these problems we deal with a traffic routing problem over an extended planning horizon. In satellite networks route changes are associated with significant monetary penalties that are usually in the form of discounts (up to 40%) offered by the satellite provider to the customer that is affected. The notion of these rerouting penalties requires the network planners to consider management problems over multiple time periods and introduces novel challenges that have not been considered previously in the literature. Specifically, we introduce a multiperiod traffic routing problem and a multiperiod network design problem that incorporate rerouting penalties. For both of these problems we present novel path-based reformulations and develop branch-and-price-and-cut approaches to solve them. The pricing problems in both cases present new challenges and we develop special purpose approaches that can deal with them. We also show how these results can be extended to deal with traffic routing and network design decisions in other settings with much more general rerouting penalties. Our computational work demonstrates the benefits of using the branch-and-price-and-cut procedure developed that can deal with the multiperiod nature of the problem as opposed to straightforward, myopic period-by-period optimization approaches. In order to deal with cases in which future demand is not known with certainty we present the stochastic version of the multiperiod traffic routing problem and formulate it as a stochastic multistage recourse problem with integer variables at all stages. We demonstrate how an appropriate path-based reformulation and an associated branch-and-price-and-cut approach can solve this problem and other more general multistage stochastic integer multicommodity flow problems. Finally, we motivate the notion of reload costs that refer to variable (i.e., per unit of flow) costs for the usage of pairs of edges, as opposed to single edges. We highlight the practical and theoretical significance of these cost structures and present two extended graphs that allow us to easily capture these costs and generate strong formulations

Analysis of the supply chain design and planning issues: Models and algorithms

Ph.DDOCTOR OF PHILOSOPH

Modelling Financial Data and Portfolio Optimization Problems

This doctoral dissertation in management science, entitled “Modelling Financial Data and Portfolio Optimization Problems”, consists of two independent parts, whose unifying theme is the construction and solution of mathematical programming models motivated by portfolio selection problems. As such, this work is located at the interface of operations research and of finance. It draws heavily on techniques and theoretical results originating in both disciplines. The first part of the dissertation (Chapter 2) deals with an extension of Markowitz model and takes into account some of the side-constraints faced by a decision-maker when composing an investment portfolio, viz. lower and upper bounds on the quantities traded, and upper bounds on the number of assets included in the portfolio. We focus on the algorithmic difficulties raised by this model and we describe an original simulated annealing heuristic for its solution. The second (and largest) part of the thesis deals with a new multiperiod model for the optimization of a portfolio of options linked to a single index (Chapters 4-10). The objective of the model is to maximize the expected return of the portfolio under constraints limiting its value-at-risk. The model contains several interesting features, like the possibility to rebalance the portfolio with options introduced at the start of each period, explicit consideration of transaction costs, realistic pricing of options, consideration of advanced probability models to represent the future, etc. Some deep theoretical results from the financial literature are exploited in order to enrich the model and to extend its applicability. In particular, several available schemes for the generation of scenarios and for option pricing have been critically examined, and the most appropriate ones have been implemented. Furthermore, several optimization approaches (heuristic or exact procedures) have also been developed, implemented and tested. The models investigated in the dissertation bear on very different portfolio problems, draw on separate streams of scientific literature, and are handled by distinct algorithmic techniques. Therefore, the corresponding parts of the dissertation are fully independent, and each part contains its own specific introduction and literature review

Modeling Industrial Lot Sizing Problems: A Review

In this paper we give an overview of recent developments in the field of modeling single-level dynamic lot sizing problems. The focus of this paper is on the modeling various industrial extensions and not on the solution approaches. The timeliness of such a review stems from the growing industry need to solve more realistic and comprehensive production planning problems. First, several different basic lot sizing problems are defined. Many extensions of these problems have been proposed and the research basically expands in two opposite directions. The first line of research focuses on modeling the operational aspects in more detail. The discussion is organized around five aspects: the set ups, the characteristics of the production process, the inventory, demand side and rolling horizon. The second direction is towards more tactical and strategic models in which the lot sizing problem is a core substructure, such as integrated production-distribution planning or supplier selection. Recent advances in both directions are discussed. Finally, we give some concluding remarks and point out interesting areas for future research

MULTIPERIOD PORTFOLIO OPTIMIZATION WITH TRANSACTION COSTS

Ph.DDOCTOR OF PHILOSOPH

Towards the reduction of greenhouse gas emissions : models and algorithms for ridesharing and carbon capture and storage

Avec la ratification de l'Accord de Paris, les pays se sont engagés à limiter le réchauffement climatique bien en dessous de 2, de préférence à 1,5 degrés Celsius, par rapport aux niveaux préindustriels. À cette fin, les émissions anthropiques de gaz à effet de serre (GES, tels que CO2) doivent être réduites pour atteindre des émissions nettes de carbone nulles d'ici 2050. Cet objectif ambitieux peut être atteint grâce à différentes stratégies d'atténuation des GES, telles que l'électrification, les changements de comportement des consommateurs, l'amélioration de l'efficacité énergétique des procédés, l'utilisation de substituts aux combustibles fossiles (tels que la bioénergie ou l'hydrogène), le captage et le stockage du carbone (CSC), entre autres. Cette thèse vise à contribuer à deux de ces stratégies : le covoiturage (qui appartient à la catégorie des changements de comportement du consommateur) et la capture et le stockage du carbone. Cette thèse fournit des modèles mathématiques et d'optimisation et des algorithmes pour la planification opérationnelle et tactique des systèmes de covoiturage, et des heuristiques pour la planification stratégique d'un réseau de captage et de stockage du carbone. Dans le covoiturage, les émissions sont réduites lorsque les individus voyagent ensemble au lieu de conduire seuls. Dans ce contexte, cette thèse fournit de nouveaux modèles mathématiques pour représenter les systèmes de covoiturage, allant des problèmes d'affectation stochastique à deux étapes aux problèmes d'empaquetage d'ensembles stochastiques à deux étapes qui peuvent représenter un large éventail de systèmes de covoiturage. Ces modèles aident les décideurs dans leur planification opérationnelle des covoiturages, où les conducteurs et les passagers doivent être jumelés pour le covoiturage à court terme. De plus, cette thèse explore la planification tactique des systèmes de covoiturage en comparant différents modes de fonctionnement du covoiturage et les paramètres de la plateforme (par exemple, le partage des revenus et les pénalités). De nouvelles caractéristiques de problèmes sont étudiées, telles que l'incertitude du conducteur et du passager, la flexibilité de réappariement et la réservation de l'offre de conducteur via les frais de réservation et les pénalités. En particulier, la flexibilité de réappariement peut augmenter l'efficacité d'une plateforme de covoiturage, et la réservation de l'offre de conducteurs via les frais de réservation et les pénalités peut augmenter la satisfaction des utilisateurs grâce à une compensation garantie si un covoiturage n'est pas fourni. Des expériences computationnelles détaillées sont menées et des informations managériales sont fournies. Malgré la possibilité de réduction des émissions grâce au covoiturage et à d'autres stratégies d'atténuation, des études macroéconomiques mondiales montrent que même si plusieurs stratégies d'atténuation des GES sont utilisées simultanément, il ne sera probablement pas possible d'atteindre des émissions nettes nulles d'ici 2050 sans le CSC. Ici, le CO2 est capturé à partir des sites émetteurs et transporté vers des réservoirs géologiques, où il est injecté pour un stockage à long terme. Cette thèse considère un problème de planification stratégique multipériode pour l'optimisation d'une chaîne de valeur CSC. Ce problème est un problème combiné de localisation des installations et de conception du réseau où une infrastructure CSC est prévue pour les prochaines décennies. En raison des défis informatiques associés à ce problème, une heuristique est introduite, qui est capable de trouver de meilleures solutions qu'un solveur commercial de programmation mathématique, pour une fraction du temps de calcul. Cette heuristique comporte des phases d'intensification et de diversification, une génération améliorée de solutions réalisables par programmation dynamique, et une étape finale de raffinement basée sur un modèle restreint. Dans l'ensemble, les contributions de cette thèse sur le covoiturage et le CSC fournissent des modèles de programmation mathématique, des algorithmes et des informations managériales qui peuvent aider les praticiens et les parties prenantes à planifier des émissions nettes nulles.With the ratification of the Paris Agreement, countries committed to limiting global warming to well below 2, preferably to 1.5 degrees Celsius, compared to pre-industrial levels. To this end, anthropogenic greenhouse gas (GHG) emissions (such as CO2) must be reduced to reach net-zero carbon emissions by 2050. This ambitious target may be met by means of different GHG mitigation strategies, such as electrification, changes in consumer behavior, improving the energy efficiency of processes, using substitutes for fossil fuels (such as bioenergy or hydrogen), and carbon capture and storage (CCS). This thesis aims at contributing to two of these strategies: ridesharing (which belongs to the category of changes in consumer behavior) and carbon capture and storage. This thesis provides mathematical and optimization models and algorithms for the operational and tactical planning of ridesharing systems, and heuristics for the strategic planning of a carbon capture and storage network. In ridesharing, emissions are reduced when individuals travel together instead of driving alone. In this context, this thesis provides novel mathematical models to represent ridesharing systems, ranging from two-stage stochastic assignment problems to two-stage stochastic set packing problems that can represent a wide variety of ridesharing systems. These models aid decision makers in their operational planning of rideshares, where drivers and riders have to be matched for ridesharing on the short-term. Additionally, this thesis explores the tactical planning of ridesharing systems by comparing different modes of ridesharing operation and platform parameters (e.g., revenue share and penalties). Novel problem characteristics are studied, such as driver and rider uncertainty, rematching flexibility, and reservation of driver supply through booking fees and penalties. In particular, rematching flexibility may increase the efficiency of a ridesharing platform, and the reservation of driver supply through booking fees and penalties may increase user satisfaction through guaranteed compensation if a rideshare is not provided. Extensive computational experiments are conducted and managerial insights are given. Despite the opportunity to reduce emissions through ridesharing and other mitigation strategies, global macroeconomic studies show that even if several GHG mitigation strategies are used simultaneously, achieving net-zero emissions by 2050 will likely not be possible without CCS. Here, CO2 is captured from emitter sites and transported to geological reservoirs, where it is injected for long-term storage. This thesis considers a multiperiod strategic planning problem for the optimization of a CCS value chain. This problem is a combined facility location and network design problem where a CCS infrastructure is planned for the next decades. Due to the computational challenges associated with that problem, a slope scaling heuristic is introduced, which is capable of finding better solutions than a state-of-the-art general-purpose mathematical programming solver, at a fraction of the computational time. This heuristic has intensification and diversification phases, improved generation of feasible solutions through dynamic programming, and a final refining step based on a restricted model. Overall, the contributions of this thesis on ridesharing and CCS provide mathematical programming models, algorithms, and managerial insights that may help practitioners and stakeholders plan for net-zero emissions

Advanced Optimization and Statistical Methods in Portfolio Optimization and Supply Chain Management

This dissertation is on advanced mathematical programming with applications in portfolio optimization and supply chain management. Specifically, this research started with modeling and solving large and complex optimization problems with cone constraints and discrete variables, and then expanded to include problems with multiple decision perspectives and nonlinear behavior. The original work and its extensions are motivated by real world business problems.The first contribution of this dissertation, is to algorithmic work for mixed-integer second-order cone programming problems (MISOCPs), which is of new interest to the research community. This dissertation is among the first ones in the field and seeks to develop a robust and effective approach to solving these problems. There is a variety of important application areas of this class of problems ranging from network reliability to data mining, and from finance to operations management.This dissertation also contributes to three applications that require the solution of complex optimization problems. The first two applications arise in portfolio optimization, and the third application is from supply chain management. In our first study, we consider both single- and multi-period portfolio optimization problems based on the Markowitz (1952) mean/variance framework. We have also included transaction costs, conditional value-at-risk (CVaR) constraints, and diversification constraints to approach more realistic scenarios that an investor should take into account when he is constructing his portfolio. Our second work proposes the empirical validation of posing the portfolio selection problem as a Bayesian decision problem dependent on mean, variance and skewness of future returns by comparing it with traditional mean/variance efficient portfolios. The last work seeks supply chain coordination under multi-product batch production and truck shipment scheduling under different shipping policies. These works present a thorough study of the following research foci: modeling and solution of large and complex optimization problems, and their applications in supply chain management and portfolio optimization.Ph.D., Business Administration -- Drexel University, 201