We describe a challenging class of large mixed-integer second-order cone programming models which arise in computing the maximum price that a buyer is willing to disburse to acquire an American contingent claim in an incomplete financial market with no arbitrage opportunity. Taking the viewpoint of an investor who is willing to allow a controlled amount of risk by replacing the classical no-arb...

in this paper, we consider a flow shop scheduling problem with availability constraints (fsspac) for the objective of minimizing the makespan. in such a problem, machines are not continuously available for processing jobs due to preventive maintenance activities. we proposed a mixed-integer linear programming (milp) model for this problem which can generate non-permutation schedules. furthermor...

Clustering is a popular unsupervised learning tool often used to discover groups within larger population such as customer segments, or patient subtypes. However, despite its use for subgroup discovery and description few state-of-the-art algorithms provide any rationale behind the clusters found. We propose novel approach interpretable clustering that both data points constructs polytopes arou...

in this paper, we study the problem of integrated capacitated hub location problem and seat inventory control considering concept and techniques of revenue management. we consider an airline company maximizes its revenue by utilizing the best network topology and providing proper booking limits for all itineraries and fare classes. the transportation system arises in the form of a star/star net...

Robust supplier selection problem, in a scenario-based approach has been proposed, when the demand and exchange rates are subject to uncertainties. First, a deterministic multi-objective mixed integer linear programming is developed; then, the robust counterpart of the proposed mixed integer linear programming is presented using the recent extension in robust optimization theory. We discuss dec...

We formulate and solve a new stochastic integer programming model for dynamic sequencing and scheduling of appointments to a single stochastic server. We assume that service durations and the number of customers to be served on a particular day are uncertain. Customers are sequenced and scheduled dynamically (on-line) one at a time as they request appointments. We present a two-stage stochastic...

We formulate the NP-hard absolute value equation as linear complementary problem when the singular values of A exceed one, and we proposed a mixed integer linear programming method to absolute value equation problem. The effectiveness of the method is demonstrated by its ability to solve random problems.

In this article we study a network design problem that arises in the exploitation of wind energy. We formulate this problem as a mixed integer programming problem, relate this formulation to other problems in combinatorial optimization, strengthen the formulation and propose cutting planes, and finally present experimental results for real-world instances of the collection network design problem.