Optimised search heuristics: combining metaheuristics and exact methods to solve scheduling problems

Tese dout., Matemática, Investigação Operacional, Universidade do Algarve, 2009Scheduling problems have many real life applications, from automotive industry to air traffic control. These problems are defined by the need of processing a set of jobs on a shared set of resources. For most scheduling problems there is no known deterministic procedure that can solve them in polynomial time. This is the reason why researchers study methods that can provide a good solution in a reasonable amount of time. Much attention was given to the mathematical formulation of scheduling problems and the algebraic characterisation of the space of feasible solutions when exact algorithms were being developed; but exact methods proved inefficient to solve real sized instances. Local search based heuristics were developed that managed to quickly find good solutions, starting from feasible solutions produced by constructive heuristics. Local search algorithms have the disadvantage of stopping at the first local optimum they find when searching the feasible region. Research evolved to the design of metaheuristics, procedures that guide the search beyond the entrapment of local optima. Recently a new class of hybrid procedures, that combine local search based (meta) heuristics and exact algorithms of the operations research field, have been designed to find solutions for combinatorial optimisation problems, scheduling problems included. In this thesis we study the algebraic structure of scheduling problems; we address the existent hybrid procedures that combine exact methods with metaheuristics and produce a mapping of type of combination versus application and finally we develop new innovative metaheuristics and apply them to solve scheduling problems. These new methods developed include some combinatorial optimisation algorithms as components to guide the search in the solution space using the knowledge of the algebraic structure of the problem being solved. Namely we develop two new methods: a simple method that combines a GRASP procedure with a branch-and-bound algorithm; and a more elaborated procedure that combines the verification of the violation of valid inequalities with a tabu search. We focus on the job-shop scheduling problem

Distributionally Robust Optimization: A Review

The concepts of risk-aversion, chance-constrained optimization, and robust optimization have developed significantly over the last decade. Statistical learning community has also witnessed a rapid theoretical and applied growth by relying on these concepts. A modeling framework, called distributionally robust optimization (DRO), has recently received significant attention in both the operations research and statistical learning communities. This paper surveys main concepts and contributions to DRO, and its relationships with robust optimization, risk-aversion, chance-constrained optimization, and function regularization

Ambiguity in asset pricing and portfolio choice: a review of the literature

A growing body of empirical evidence suggests that investors’ behavior is not well described by the traditional paradigm of (subjective) expected utility maximization under rational expectations. A literature has arisen that models agents whose choices are consistent with models that are less restrictive than the standard subjective expected utility framework. In this paper we conduct a survey of the existing literature that has explored the implications of decision-making under ambiguity for financial market outcomes, such as portfolio choice and equilibrium asset prices. We conclude that the ambiguity literature has led to a number of significant advances in our ability to rationalize empirical features of asset returns and portfolio decisions, such as the empirical failure of the two-fund separation theorem in portfolio decisions, the modest exposure to risky securities observed for a majority of investors, the home equity preference in international portfolio diversification, the excess volatility of asset returns, the equity premium and the risk-free rate puzzles, and the occurrence of trading break-downs.Capital assets pricing model ; Investments

Distributionally robust views on queues and related stochastic models

This dissertation explores distribution-free methods for stochastic models. Traditional approaches operate on the premise of complete knowledge about the probability distributions of the underlying random variables that govern these models. In contrast, this work adopts a distribution-free perspective, assuming only partial knowledge of these distributions, often limited to generalized moment information. Distributionally robust analysis seeks to determine the worst-case model performance. It involves optimization over a set of probability distributions that comply with this partial information, a task tantamount to solving a semiinfinite linear program. To address such an optimization problem, a solution approach based on the concept of weak duality is used. Through the proposed weak-duality argument, distribution-free bounds are derived for a wide range of stochastic models. Further, these bounds are applied to various distributionally robust stochastic programs and used to analyze extremal queueing models—central themes in applied probability and mathematical optimization

Distributionally robust views on queues and related stochastic models

This dissertation explores distribution-free methods for stochastic models. Traditional approaches operate on the premise of complete knowledge about the probability distributions of the underlying random variables that govern these models. In contrast, this work adopts a distribution-free perspective, assuming only partial knowledge of these distributions, often limited to generalized moment information. Distributionally robust analysis seeks to determine the worst-case model performance. It involves optimization over a set of probability distributions that comply with this partial information, a task tantamount to solving a semiinfinite linear program. To address such an optimization problem, a solution approach based on the concept of weak duality is used. Through the proposed weak-duality argument, distribution-free bounds are derived for a wide range of stochastic models. Further, these bounds are applied to various distributionally robust stochastic programs and used to analyze extremal queueing models—central themes in applied probability and mathematical optimization