This paper presents a novel optimization based methodology to allocate Flexible AC Transmission Systems (FACTS) devices in an attempt to improve the previously mentioned researches in this field. Static voltage stability enhancement, voltage profile improvement, line congestion alleviation, and FACTS devices investment cost reduction, have been considered, simultaneously, as objective funct...

In this paper, we consider the problem of a decision maker who is concerned with the management of a portfolio over a finite horizon. The portfolio optimization problem involves portfolio rebalancing decisions in response to new information on market future prices of the risky assets. Rebalancing decisions are manifested in the revision of holdings through sales and purchases of assets. We assu...

A fast al/lorithm for solving large scale MV (mean-variance) portfolio optimization problems is proposed. It is shown that by using T independent dat.a representing the rate of return of the assets, the MV model consisting of n assets can be put into a quadratic program with n + T variables, T linear const.raints and T quadratic terms in the objective function. As a result, the computation t.im...

Traditionally, portfolio optimization is associated with finding the ideal trade-off between return and risk by maximizing the expected utility. Investor’s preferences are commonly assumed to follow a quadratic or power utility function, and asset returns are often assumed to follow a Gaussian distribution. Investment analysis has therefore long been focusing on the first two moments of the dis...

Location-Routing Problem (LRP) emerges as one of the hybrid optimization problems in distribution networks in which, total cost of the system would be reduced significantly by simultaneous optimization of locating a set of facilities among candidate locations and routing vehicles. In this paper, a mixed integer linear programming model is presented for a two-echelon location-routing problem wit...

This paper extends the traditional Markowitz’s mean-variance optimization to a two-stage dynamic multi-period portfolio optimization. The underlying assets time series data are supposed to follow a discrete time triangular cointegrated vector model, and in addition random quadratic transaction costs are taken into consideration. A twostage dynamic multi-period approach is proposed, and the opti...

This paper discusses an Interval Quadratic Programming (IQP) problem, where the constraints coefficients and the right-hand sides are represented by interval data. First, the focus is on a common method for solving Interval Linear Programming problem. Then the idea is extended to the IQP problem. Based on this method each IQP problem is reduced to two classical Quadratic Programming (QP) proble...