This paper studies a scenario-based mean-CVaR portfolio optimization problem with nonconvex transaction costs. This problem can be framed as a mixed integer linear programming (MILP) problem by making a piecewise linear approximation of the transaction cost function. Nevertheless, large-scale problems are computationally intractable even with state-of-the-art MILP solvers. To efficiently solve ...

An MILP model for the optimal scheduling of a lube oil and paraffin production plant is presented. The plant is composed of processing units that operate in continuous and discontinuous modes, and some are also duplicated. The raw materials for the process are stored in dedicated tanks, and the plant presents finite intermediate storage. The mathematical formulation was developed under a contin...

Many hybrid systems can be conveniently modeled as Piecewise Affine Discrete Time Hybrid Systems PA-DTHS. As well known Bounded Model Checking (BMC) for such systems comes down to solve a Mixed Integer Linear Programming (MILP) feasibility problem. We present a SAT based BMC algorithm for automatic verification of PA-DTHSs. Using Counterexample Guided Abstraction Refinement (CEGAR) our algorith...

In this work a mixed integer linear programming (MILP) formulation for the design of a class of linear-phase FIR filters are presented. The formulation can be solved using general purpose MILP solvers to obtain filter implementation with a minimum number of signed-power-of-two (SPT) terms given a filter specification. The filter structures considered are based on reduced complexity polyphase de...

The Alternative Subgraphs Assembly Line Balancing Problem (ASALBP) considers assembly alternatives that determine task processing times and/or precedence relations among the tasks. Capacho and Pastor [3] formalized this problem and developed a mathematical programming model (MILP) in which the assembly alternatives are determined by combining all available processing alternatives of each existi...

The aim of this work is to propose a mathematical programming model for the Economic Lot Scheduling Problem (ELSP) with performance decay. The main difficulties related to this model are the nonlinearities and/or nonconvexities associated with the dynamic behavior of the system with time. Firstly, the problem is formulated as a Mixed Integer Non Linear Program (MINLP), which is found to be nonc...

In this paper, we consider the problem of partner selection in a virtual organisation (VO); specifically, we develop mixed integer linear programming (MILP) models to support the configuration of VOs in a virtual organisation breeding environment (VBE). Apart from the basic model which focuses on the minimisation of total fixed and variable costs we present extensions which capture transportati...

In this paper branching for attacking MILP is investigated. Under certain circumstances branches can be done concurrently. By introducing a new calculus it is shown there are restrictions for dual values. As a second result of this study a new class of cuts for MILP is found, which are defined by those values. This class is a superclass of all other classes of cuts. Furthermore the restrictions...

Linear programming problems with alternate solutions are challenging due to the choice of multiple strategiesresulting in the same optimal value of the objective function. However, searching for these solutions is atedious task, especially when using mixed integer linear programming (MILP), as previously applied tometabolic models. Therefore, judgment on plurality of optimal m...

The inclusion of ChaCha20 and Poly1305 into the list of supported ciphers in TLS 1.3 necessitates a security evaluation of those ciphers with all the state-of-the-art tools and innovative cryptanalysis methodologies. Mixed Integer Linear Programming (MILP) has been successfully applied to find more accurate characteristics of several ciphers such as SIMON and SPECK. In our research, we use MILP...