Optimizing electricity distribution using two-stage integer recourse models

We consider two planning problems faced by an electricity distributor. Electricity can be ob-tained both from power plants and small generators such as hospitals and greenhouses, whereas the future demand for electricity is uncertain. The price of electricity obtained from the power plants depends on quota that are to be determined in a yearly contract, whereas the (given) contracts with small generators contain various constraints on switching them on or off.

Fast heuristics for a dynamic paratransit problem

In a previous paper we developed a non-standard two-stage recourse model for the dynamic day-ahead paratransit planning problem. Two heuristics, which are frequently applied in the recourse model, contain many details which leads to large CPU times to solve instances of relatively small size. In this paper we simplify both heuristics to decrease CPU time considerably while maintaining the quality of the obtained solutions as much as possible. Numerical experiments on (semi-)realistic instances, inspired by practice, show that our recourse model with fast heuristics provides acceptable solutions within reasonable time.

An ALM Model for Pension Funds using Integrated Chance Constraints

We discuss integrated chance constraints in their role of short-term risk constraints in a strategic ALM model for Dutch pension funds. The problem is set up as a multistage recourse model, with special attention for modeling the guidelines proposed by the regulating authority for Dutch pension funds. The paper concludes with a numerical illustration of the importance of such short-term risk constraints.

Asset liability management modeling using multi-stage mixed-integer stochastic programming

A pension fund has to match the portfolio of long-term liabilities with the portfolio of assets. Key instruments in strategic Asset Liability Management (ALM) are the adjustments of the contribution rate of the sponsor and the reallocation of the investments in several asset classes at various points of time. We formulate a multistage mixed-integer stochastic program to model this ALM process. Special attention is paid to the use of binary variables.

Optimizing electricity distribution using two-stage integer recourse models

We consider two planning problems faced by an electricity distributor. Electricity can be ob-tained both from power plants and small generators such as hospitals and greenhouses, whereas the future demand for electricity is uncertain. The price of electricity obtained from the power plants depends on quota that are to be determined in a yearly contract, whereas the (given) contracts with small generators contain various constraints on switching them on or off