Introducing Financial Derivatives into Football Transfer Markets

Εθνικό Μετσόβιο Πολυτεχνείο--Μεταπτυχιακή Εργασία. Διεπιστημονικό-Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών (Δ.Π.Μ.Σ.) “Μαθηματική Προτυποποίηση σε Σύγχρονες Τεχνολογίες και στα Χρηματοοικονομικά

Weighted tardiness minimization for unrelated machines with sequence-dependent and resource-constrained setups

Motivated by the need of quick job (re-)scheduling, we examine an elaborate scheduling environment under the objective of total weighted tardiness minimization. The examined problem variant moves well beyond existing literature, as it considers unrelated machines, sequence-dependent and machine-dependent setup times and a renewable resource constraint on the number of simultaneous setups. For this variant, we provide a relaxed MILP to calculate lower bounds, thus estimating a worst-case optimality gap. As a fast exact approach appears not plausible for instances of practical importance, we extend known (meta-)heuristics to deal with the problem at hand, coupling them with a Constraint Programming (CP) component - vital to guarantee the non-violation of the problem's constraints - which optimally allocates resources with respect to tardiness minimization. The validity and versatility of employing different (meta-)heuristics exploiting a relaxed MILP as a quality measure is revealed by our extensive experimental study, which shows that the methods deployed have complementary strengths depending on the instance parameters. Since the problem description has been obtained from a textile manufacturer where jobs of diverse size arrive continuously under tight deadlines, we also discuss the practical impact of our approach in terms of both tardiness decrease and broader managerial insights

One Benders cut to rule all schedules in the neighbourhood

Logic-Based Benders Decomposition (LBBD) and its Branch-and-Cut variant, namely Branch-and-Check, enjoy an extensive applicability on a broad variety of problems, including scheduling. Although LBBD offers problem-specific cuts to impose tighter dual bounds, its application to resource-constrained scheduling remains less explored. Given a position-based Mixed-Integer Linear Programming (MILP) formulation for scheduling on unrelated parallel machines, we notice that certain $k-$OPT neighbourhoods could implicitly be explored by regular local search operators, thus allowing us to integrate Local Branching into Branch-and-Check schemes. After enumerating such neighbourhoods and obtaining their local optima - hence, proving that they are suboptimal - a local branching cut (applied as a Benders cut) eliminates all their solutions at once, thus avoiding an overload of the master problem with thousands of Benders cuts. However, to guarantee convergence to optimality, the constructed neighbourhood should be exhaustively explored, hence this time-consuming procedure must be accelerated by domination rules or selectively implemented on nodes which are more likely to reduce the optimality gap. In this study, the realisation of this idea is limited on the common 'internal (job) swaps' to construct formulation-specific $4$-OPT neighbourhoods. Nonetheless, the experimentation on two challenging scheduling problems (i.e., the minimisation of total completion times and the minimisation of total tardiness on unrelated machines with sequence-dependent and resource-constrained setups) shows that the proposed methodology offers considerable reductions of optimality gaps or faster convergence to optimality. The simplicity of our approach allows its transferability to other neighbourhoods and different sequencing optimisation problems, hence providing a promising prospect to improve Branch-and-Check methods