Volume

OASIcs, Volume 50

5th Student Conference on Operational Research (SCOR 2016)



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Event

SCOR 2016, April 8-10, 2016, Nottingham, UK

Editors

Bradley Hardy
Abroon Qazi
Stefan Ravizza

Publication Details

  • published at: 2016-08-23
  • Publisher: Schloss-Dagstuhl - Leibniz Zentrum für Informatik
  • ISBN: 978-3-95977-004-0
  • DBLP: db/conf/scor/scor2016

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Document
Complete Volume
OASIcs, Volume 50, SCOR'16, Complete Volume

Authors: Bradley Hardy, Abroon Qazi, and Stefan Ravizza


Abstract
OASIcs, Volume 50, SCOR'16, Complete Volume

Cite as

Bradley Hardy, Abroon Qazi, and Stefan Ravizza. OASIcs, Volume 50, SCOR'16, Complete Volume. In 5th Student Conference on Operational Research (SCOR 2016). Open Access Series in Informatics (OASIcs), Volume 50, Schloss Dagstuhl - Leibniz-Zentrum für Informatik (2016)


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@Proceedings{hardy_et_al:OASIcs.SCOR.2016,
  title =	{{OASIcs, Volume 50, SCOR'16, Complete Volume}},
  booktitle =	{5th Student Conference on Operational Research (SCOR 2016)},
  series =	{Open Access Series in Informatics (OASIcs)},
  ISBN =	{978-3-95977-004-0},
  ISSN =	{2190-6807},
  year =	{2016},
  volume =	{50},
  editor =	{Hardy, Bradley and Qazi, Abroon and Ravizza, Stefan},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/OASIcs.SCOR.2016},
  URN =		{urn:nbn:de:0030-drops-65887},
  doi =		{10.4230/OASIcs.SCOR.2016},
  annote =	{Keywords: Performance and Reliability, Design Tools and Techniques, Nonnumerical Algorithms and Problems, Optimization, Applications, Learning}
}
Document
Front Matter
Front Matter, Table of Contents, Preface, Organisation, List of Authors

Authors: Bradley Hardy, Abroon Qazi, and Stefan Ravizza


Abstract
Front Matter, Table of Contents, Preface, Organisation, List of Authors

Cite as

Bradley Hardy, Abroon Qazi, and Stefan Ravizza. Front Matter, Table of Contents, Preface, Organisation, List of Authors. In 5th Student Conference on Operational Research (SCOR 2016). Open Access Series in Informatics (OASIcs), Volume 50, pp. 0:i-0:xii, Schloss Dagstuhl - Leibniz-Zentrum für Informatik (2016)


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@InProceedings{hardy_et_al:OASIcs.SCOR.2016.0,
  author =	{Hardy, Bradley and Qazi, Abroon and Ravizza, Stefan},
  title =	{{Front Matter, Table of Contents, Preface, Organisation, List of Authors}},
  booktitle =	{5th Student Conference on Operational Research (SCOR 2016)},
  pages =	{0:i--0:xii},
  series =	{Open Access Series in Informatics (OASIcs)},
  ISBN =	{978-3-95977-004-0},
  ISSN =	{2190-6807},
  year =	{2016},
  volume =	{50},
  editor =	{Hardy, Bradley and Qazi, Abroon and Ravizza, Stefan},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/OASIcs.SCOR.2016.0},
  URN =		{urn:nbn:de:0030-drops-65124},
  doi =		{10.4230/OASIcs.SCOR.2016.0},
  annote =	{Keywords: Front Matter, Table of Contents, Preface, Organisation, List of Authors}
}
Document
Utilizing Dual Information for Moving Target Search Trajectory Optimization

Authors: Manon Raap, Maximilian Moll, Martin Zsifkovits, and Stefan Pickl


Abstract
Various recent events have shown the enormous importance of maritime search-and-rescue missions. By reducing the time to find floating victims at sea, the number of casualties can be reduced. A major improvement can be achieved by employing autonomous aerial systems for autonomous search missions, allowed by the recent rise in technological development. In this context, the need for efficient search trajectory planning methods arises. The objective is to maximize the probability of detecting the target at a certain time k, which depends on the estimation of the position of the target. For stationary target search, this is a function of the observation at time k. When considering the target movement, this is a function of all previous observations up until time k. This is the main difficulty arising in solving moving target search problems when the duration of the search mission increases. We present an intermediate result for the single searcher single target case towards an efficient algorithm for longer missions with multiple aerial vehicles. Our primary aim in the development of this algorithm is to disconnect the networks of the target and platform, which we have achieved by applying Benders decomposition. Consequently, we solve two much smaller problems sequentially in iterations. Between the problems, primal and dual information is exchanged. To the best of our knowledge, this is the first approach utilizing dual information within the category of moving target search problems. We show the applicability in computational experiments and provide an analysis of the results. Furthermore, we propose well-founded improvements for further research towards solving real-life instances with multiple searchers.

Cite as

Manon Raap, Maximilian Moll, Martin Zsifkovits, and Stefan Pickl. Utilizing Dual Information for Moving Target Search Trajectory Optimization. In 5th Student Conference on Operational Research (SCOR 2016). Open Access Series in Informatics (OASIcs), Volume 50, pp. 1:1-1:10, Schloss Dagstuhl - Leibniz-Zentrum für Informatik (2016)


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@InProceedings{raap_et_al:OASIcs.SCOR.2016.1,
  author =	{Raap, Manon and Moll, Maximilian and Zsifkovits, Martin and Pickl, Stefan},
  title =	{{Utilizing Dual Information for Moving Target Search Trajectory Optimization}},
  booktitle =	{5th Student Conference on Operational Research (SCOR 2016)},
  pages =	{1:1--1:10},
  series =	{Open Access Series in Informatics (OASIcs)},
  ISBN =	{978-3-95977-004-0},
  ISSN =	{2190-6807},
  year =	{2016},
  volume =	{50},
  editor =	{Hardy, Bradley and Qazi, Abroon and Ravizza, Stefan},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/OASIcs.SCOR.2016.1},
  URN =		{urn:nbn:de:0030-drops-65134},
  doi =		{10.4230/OASIcs.SCOR.2016.1},
  annote =	{Keywords: Search Theory, UAV, Vehicle Routing, Benders Decomposition}
}
Document
Reliability Modelling of Automated Guided Vehicles by the Use of Failure Modes Effects and Criticality Analysis, and Fault Tree Analysis

Authors: Rundong Yan, Sarah J. Dunnett, and Lisa M. Jackson


Abstract
Automated Guided Vehicles (AGVs) are being increasingly used for intelligent transportation and distribution of materials in warehouses and auto-production lines. In this paper, a preliminary hazard analysis of an AGV's critical components is conducted by the approach of Failure Modes Effects and Criticality Analysis (FMECA). To implement this research, a particular AGV transport system is modelled as a phased mission. Then, Fault Tree Analysis (FTA) is adopted to model the causes of phase failure, enabling the probability of success in each phase and hence mission success to be determined. Through this research, a promising technical approach is established, which allows the identification of the critical AGV components and crucial mission phases of AGVs at the design stage.

Cite as

Rundong Yan, Sarah J. Dunnett, and Lisa M. Jackson. Reliability Modelling of Automated Guided Vehicles by the Use of Failure Modes Effects and Criticality Analysis, and Fault Tree Analysis. In 5th Student Conference on Operational Research (SCOR 2016). Open Access Series in Informatics (OASIcs), Volume 50, pp. 2:1-2:11, Schloss Dagstuhl - Leibniz-Zentrum für Informatik (2016)


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@InProceedings{yan_et_al:OASIcs.SCOR.2016.2,
  author =	{Yan, Rundong and Dunnett, Sarah J. and Jackson, Lisa M.},
  title =	{{Reliability Modelling of Automated Guided Vehicles by the Use of Failure Modes Effects and Criticality Analysis, and Fault Tree Analysis}},
  booktitle =	{5th Student Conference on Operational Research (SCOR 2016)},
  pages =	{2:1--2:11},
  series =	{Open Access Series in Informatics (OASIcs)},
  ISBN =	{978-3-95977-004-0},
  ISSN =	{2190-6807},
  year =	{2016},
  volume =	{50},
  editor =	{Hardy, Bradley and Qazi, Abroon and Ravizza, Stefan},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/OASIcs.SCOR.2016.2},
  URN =		{urn:nbn:de:0030-drops-65144},
  doi =		{10.4230/OASIcs.SCOR.2016.2},
  annote =	{Keywords: Reliability, Fault Tree Analysis, Automated Guided Vehicles, FMECA}
}
Document
Petri Net Modelling for Enhanced IT Asset Recycling Solutions

Authors: Christina Latsou, Sarah J. Dunnett, and Lisa M. Jackson


Abstract
From preliminary design through product sustainment to end of life removal, optimal performance through the entire life cycle, is one of the most important design considerations in engineering systems. There are a number of mathematical modelling techniques available to determine the performance of any system, or process design. This paper focuses on the Petri Net technique for the representation and simulation of complex cases with the future aim of automatically generating a model from the system, or process description. If the model can be automatically generated changes can be investigated easily, enabling different designs to be investigated. Within this research, a Petri Net model is developed for a process of recycling IT assets. The model developed here will be used in future work to validate the automation process. This model is simulated and programmed in Matlab. The model enables the simulation of various flow paths through the recycling process, giving an understanding of the current process limiting factors. These can then be used to identify possible ways of improving the efficiency of the recycling process and enhancing the current IT asset management strategy. The future aim of this research is the automatic generation of a system model for complex industrial systems and processes by converting the SysML–based specifications into Petri Nets.

Cite as

Christina Latsou, Sarah J. Dunnett, and Lisa M. Jackson. Petri Net Modelling for Enhanced IT Asset Recycling Solutions. In 5th Student Conference on Operational Research (SCOR 2016). Open Access Series in Informatics (OASIcs), Volume 50, pp. 3:1-3:10, Schloss Dagstuhl - Leibniz-Zentrum für Informatik (2016)


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@InProceedings{latsou_et_al:OASIcs.SCOR.2016.3,
  author =	{Latsou, Christina and Dunnett, Sarah J. and Jackson, Lisa M.},
  title =	{{Petri Net Modelling for Enhanced IT Asset Recycling Solutions}},
  booktitle =	{5th Student Conference on Operational Research (SCOR 2016)},
  pages =	{3:1--3:10},
  series =	{Open Access Series in Informatics (OASIcs)},
  ISBN =	{978-3-95977-004-0},
  ISSN =	{2190-6807},
  year =	{2016},
  volume =	{50},
  editor =	{Hardy, Bradley and Qazi, Abroon and Ravizza, Stefan},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/OASIcs.SCOR.2016.3},
  URN =		{urn:nbn:de:0030-drops-65154},
  doi =		{10.4230/OASIcs.SCOR.2016.3},
  annote =	{Keywords: Petri Net, simulation, modelling, asset management}
}
Document
Simulation Combined Approach to Police Patrol Services Staffing

Authors: Hanjing Zhang, Antuela Tako, Lisa M. Jackson, and Jiyin Liu


Abstract
Motivated by the squeeze on public service expenditure, staffing is an important issue for service systems, which are required to maintain or even improve their service levels in order to meet general public demand. This paper considers Police Patrol Service Systems (PPSSs) where staffing issues are extremely serious and important because they have an impact on service costs, quality and public-safety. Police patrol service systems are of particularly interest because the demand for service exhibits large time-varying characteristics. In this case, incidents with different urgent grades have different targets of patrol officers’ immediate attendances. A new method is proposed which aims to determine appropriate staffing levels. This method starts at a refinement of the Square Root Staffing (SRS) algorithm which introduces the possibility of a delay in responding to a priority incident. Simulation of queueing systems will then be implemented to indicate modifications in shift schedules. The proposed method is proved to be effective on a test instance generated from real patrol activity records in a local police force.

Cite as

Hanjing Zhang, Antuela Tako, Lisa M. Jackson, and Jiyin Liu. Simulation Combined Approach to Police Patrol Services Staffing. In 5th Student Conference on Operational Research (SCOR 2016). Open Access Series in Informatics (OASIcs), Volume 50, pp. 4:1-4:11, Schloss Dagstuhl - Leibniz-Zentrum für Informatik (2016)


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@InProceedings{zhang_et_al:OASIcs.SCOR.2016.4,
  author =	{Zhang, Hanjing and Tako, Antuela and Jackson, Lisa M. and Liu, Jiyin},
  title =	{{Simulation Combined Approach to Police Patrol Services Staffing}},
  booktitle =	{5th Student Conference on Operational Research (SCOR 2016)},
  pages =	{4:1--4:11},
  series =	{Open Access Series in Informatics (OASIcs)},
  ISBN =	{978-3-95977-004-0},
  ISSN =	{2190-6807},
  year =	{2016},
  volume =	{50},
  editor =	{Hardy, Bradley and Qazi, Abroon and Ravizza, Stefan},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/OASIcs.SCOR.2016.4},
  URN =		{urn:nbn:de:0030-drops-65168},
  doi =		{10.4230/OASIcs.SCOR.2016.4},
  annote =	{Keywords: Police patrol service system, Time dependent queue, Priority queue, Square root staffing, Simulation}
}
Document
A Column Generation Approach for Pure Parsimony Haplotyping

Authors: Veronica Dal Sasso, Luigi De Giovanni, and Martine Labbé


Abstract
The knowledge of nucleotides chains that compose the double DNA chain of an individual has a relevant role in detecting diseases and studying populations. However, determining experimentally the single nucleotides chains that, paired, form a certain portion of the DNA is expensive and time-consuming. Mathematical programming approaches have been proposed instead, e.g. formulating the Haplotype Inference by Pure Parsimony problem (HIPP). Abstractly, we are given a set of genotypes (strings over a ternary alphabet {0,1,2}) and we want to determine the smallest set of haplotypes (binary strings over the set {0,1}) so that each genotype can be "generated" by some pair of haplotypes, meaning that they are compatible with the genotype and can fully explain its structure. A polynomial-sized Integer Programming model was proposed by Catanzaro, Godi and Labbé (2010), which is highly efficient but hardly scalable to instances with a large number of genotypes. In order to deal with larger instances, we propose a new model involving an exponential number of variables to be solved via column generation, where variables are dynamically introduced into the model by iteratively solving a pricing problem. We compared different ways of solving the pricing problem, based on integer programming, smart enumeration and local search heuristic. The efficiency of the approach is improved by stabilization and by a heuristic to provide a good initial solution. Results show that, with respect to the linear relaxations of both the polynomial and exponential-size models, our approach yields a tighter formulation and outperforms in both efficiency and effectiveness the previous model for instances with a large number of genotypes.

Cite as

Veronica Dal Sasso, Luigi De Giovanni, and Martine Labbé. A Column Generation Approach for Pure Parsimony Haplotyping. In 5th Student Conference on Operational Research (SCOR 2016). Open Access Series in Informatics (OASIcs), Volume 50, pp. 5:1-5:11, Schloss Dagstuhl - Leibniz-Zentrum für Informatik (2016)


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@InProceedings{dalsasso_et_al:OASIcs.SCOR.2016.5,
  author =	{Dal Sasso, Veronica and De Giovanni, Luigi and Labb\'{e}, Martine},
  title =	{{A Column Generation Approach for Pure Parsimony Haplotyping}},
  booktitle =	{5th Student Conference on Operational Research (SCOR 2016)},
  pages =	{5:1--5:11},
  series =	{Open Access Series in Informatics (OASIcs)},
  ISBN =	{978-3-95977-004-0},
  ISSN =	{2190-6807},
  year =	{2016},
  volume =	{50},
  editor =	{Hardy, Bradley and Qazi, Abroon and Ravizza, Stefan},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/OASIcs.SCOR.2016.5},
  URN =		{urn:nbn:de:0030-drops-65174},
  doi =		{10.4230/OASIcs.SCOR.2016.5},
  annote =	{Keywords: computational biology, haplotyping, column generation, integer programming, combinatorial optimization}
}
Document
Model Validation and Testing in Simulation: a Literature Review

Authors: Naoum Tsioptsias, Antuela Tako, and Stewart Robinson


Abstract
Model validation is a key activity undertaken during the model development process in simulation. There is a large body of literature on model validation, albeit there exists little convergence in terms of the definitions, types of validity, and tests used. Yet it is not clear what standards should be taken into consideration to avoid developing what could be considered to be invalid or wrong models. In this paper we examine existing literature on model validation with the view to identifying the existing validation approaches and types of tests used to assess model validity. In this review we focus our attention on three domains that usually overlap in methods and techniques: general Operational Research (OR), Modelling & Simulation (M&S) and Computer Science (CS). We analyze each field to identify the aspects of validity considered including the tests used, the validation approach taken, i.e. the suggested level of validity achieved (if this applies) and the reported outcome. The analysis shows that there are common validation practices used in all three fields as well as new ideas that could be adopted in discrete event simulation. Some main points of concurrence include the lack of universal validation, the continuous need for validation, and, the indispensable need for modelers and users to work closely together during the model validation process. This review provides an initial categorization of literature on model validation which can in turn be used as a basis for future work in investigating how and to what extent models are considered sufficiently valid.

Cite as

Naoum Tsioptsias, Antuela Tako, and Stewart Robinson. Model Validation and Testing in Simulation: a Literature Review. In 5th Student Conference on Operational Research (SCOR 2016). Open Access Series in Informatics (OASIcs), Volume 50, pp. 6:1-6:11, Schloss Dagstuhl - Leibniz-Zentrum für Informatik (2016)


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@InProceedings{tsioptsias_et_al:OASIcs.SCOR.2016.6,
  author =	{Tsioptsias, Naoum and Tako, Antuela and Robinson, Stewart},
  title =	{{Model Validation and Testing in Simulation: a Literature Review}},
  booktitle =	{5th Student Conference on Operational Research (SCOR 2016)},
  pages =	{6:1--6:11},
  series =	{Open Access Series in Informatics (OASIcs)},
  ISBN =	{978-3-95977-004-0},
  ISSN =	{2190-6807},
  year =	{2016},
  volume =	{50},
  editor =	{Hardy, Bradley and Qazi, Abroon and Ravizza, Stefan},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/OASIcs.SCOR.2016.6},
  URN =		{urn:nbn:de:0030-drops-65184},
  doi =		{10.4230/OASIcs.SCOR.2016.6},
  annote =	{Keywords: Validation, Simulation, Literature review, Types of validity, Field Comparisons}
}
Document
Feature Extractors for Describing Vehicle Routing Problem Instances

Authors: Jussi Rasku, Tommi Kärkkäinen, and Nysret Musliu


Abstract
The vehicle routing problem comes in varied forms. In addition to usual variants with diverse constraints and specialized objectives, the problem instances themselves – even from a single shared source - can be distinctly different. Heuristic, metaheuristic, and hybrid algorithms that are typically used to solve these problems are sensitive to this variation and can exhibit erratic performance when applied on new, previously unseen instances. To mitigate this, and to improve their applicability, algorithm developers often choose to expose parameters that allow customization of the algorithm behavior. Unfortunately, finding a good set of values for these parameters can be a tedious task that requires extensive experimentation and experience. By deriving descriptors for the problem classes and instances, one would be able to apply learning and adaptive methods that, when taught, can effectively exploit the idiosyncrasies of a problem instance. Furthermore, these methods can generalize from previously learnt knowledge by inferring suitable values for these parameters. As a necessary intermediate step towards this goal, we propose a set of feature extractors for vehicle routing problems. The descriptors include dimensionality of the problem; statistical descriptors of distances, demands, etc.; clusterability of the vertex locations; and measures derived using fitness landscape analysis. We show the relevancy of these features by performing clustering on classical problem instances and instance-specific algorithm configuration of vehicle routing metaheuristics.

Cite as

Jussi Rasku, Tommi Kärkkäinen, and Nysret Musliu. Feature Extractors for Describing Vehicle Routing Problem Instances. In 5th Student Conference on Operational Research (SCOR 2016). Open Access Series in Informatics (OASIcs), Volume 50, pp. 7:1-7:13, Schloss Dagstuhl - Leibniz-Zentrum für Informatik (2016)


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@InProceedings{rasku_et_al:OASIcs.SCOR.2016.7,
  author =	{Rasku, Jussi and K\"{a}rkk\"{a}inen, Tommi and Musliu, Nysret},
  title =	{{Feature Extractors for Describing Vehicle Routing Problem Instances}},
  booktitle =	{5th Student Conference on Operational Research (SCOR 2016)},
  pages =	{7:1--7:13},
  series =	{Open Access Series in Informatics (OASIcs)},
  ISBN =	{978-3-95977-004-0},
  ISSN =	{2190-6807},
  year =	{2016},
  volume =	{50},
  editor =	{Hardy, Bradley and Qazi, Abroon and Ravizza, Stefan},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/OASIcs.SCOR.2016.7},
  URN =		{urn:nbn:de:0030-drops-65193},
  doi =		{10.4230/OASIcs.SCOR.2016.7},
  annote =	{Keywords: Metaheuristics, Vehicle Routing Problem, Feature extraction, Unsupervised learning, Automatic Algorithm Configuration}
}
Document
Towards the Integration of Power-Indexed Formulations in Multi-Architecture Connected Facility Location Problems for the Optimal Design of Hybrid Fiber-Wireless Access Networks

Authors: Fabio D’Andreagiovanni, Fabian Mett, and Jonad Pulaj


Abstract
Urban access networks are the external part of worldwide networks that make telecommunication services accessible to end users and represent a critical part of the infrastructures of modern cities. An important recent trend in urban access networks is the integration of fiber and wireless networks, leading to so-called fiber-wireless (Fi-Wi) networks. Fi-Wi networks get the best of both technologies, namely the high capacity offered by optical fiber networks and the mobility and ubiquity offered by wireless networks. The optimal design of fiber and wireless networks has been separately extensively studied. However, there is still a lack of mathematical models and algorithms for the integrated design problem. In this work, we propose a new Power-Indexed optimization model for the 3-architecture Connected Facility Location Problem arising in the design of urban telecommunication access networks. The new model includes additional power-indexed variables and constraints to represent the signal-to-interference formulas expressing wireless signal coverage. To solve the problem, which can prove very hard even for a state-of-the art optimization solver, we propose a new heuristic that combines a probabilistic variable fixing procedure, guided by (tight) linear relaxations, with an MIP heuristic, corresponding to an exact very large neighborhood search. Computational experiments on realistic instances show that our heuristic can find solutions of much higher quality than a state-of-the-art solver.

Cite as

Fabio D’Andreagiovanni, Fabian Mett, and Jonad Pulaj. Towards the Integration of Power-Indexed Formulations in Multi-Architecture Connected Facility Location Problems for the Optimal Design of Hybrid Fiber-Wireless Access Networks. In 5th Student Conference on Operational Research (SCOR 2016). Open Access Series in Informatics (OASIcs), Volume 50, pp. 8:1-8:11, Schloss Dagstuhl - Leibniz-Zentrum für Informatik (2016)


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@InProceedings{d'andreagiovanni_et_al:OASIcs.SCOR.2016.8,
  author =	{D’Andreagiovanni, Fabio and Mett, Fabian and Pulaj, Jonad},
  title =	{{Towards the Integration of Power-Indexed Formulations in Multi-Architecture Connected Facility Location Problems for the Optimal Design of Hybrid Fiber-Wireless Access Networks}},
  booktitle =	{5th Student Conference on Operational Research (SCOR 2016)},
  pages =	{8:1--8:11},
  series =	{Open Access Series in Informatics (OASIcs)},
  ISBN =	{978-3-95977-004-0},
  ISSN =	{2190-6807},
  year =	{2016},
  volume =	{50},
  editor =	{Hardy, Bradley and Qazi, Abroon and Ravizza, Stefan},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/OASIcs.SCOR.2016.8},
  URN =		{urn:nbn:de:0030-drops-65209},
  doi =		{10.4230/OASIcs.SCOR.2016.8},
  annote =	{Keywords: Telecommunications Access Networks, Connected Facility Location, Mixed Integer Linear Programming, Power-Indexed Formulations, MIP Heuristics}
}
Document
Portfolio Optimisation Using Risky Assets with Options as Derivative Insurance

Authors: Mohd A. Maasar, Diana Roman, and Paresh Date


Abstract
We introduce options on FTSE100 index in portfolio optimisation with shares in which conditional value at risk (CVaR) is minimised. The option considered here is the one that follows FTSE100 Index Option standards. Price of options are calculated under the risk neutral valuation. The efficient portfolio composed under this addition of options shows that put option will be selected as part of the investment for every level of targeted returns. Main finding shows that the use of options does indeed decrease downside risk, and leads to better in-sample portfolio performance. Out-of-sample and back-testing also shows better performance of CVaR efficient portfolios in which index options are included. All models are coded using AMPL and the results are analysed using Microsoft Excel. Data used in this study are obtained from Datastream. We conclude that adding a put index option in addition to stocks, in order to actively create a portfolio, can substantially reduce the risk at a relatively low cost. Further research work will consider the case when short positions are considered, including writing call options.

Cite as

Mohd A. Maasar, Diana Roman, and Paresh Date. Portfolio Optimisation Using Risky Assets with Options as Derivative Insurance. In 5th Student Conference on Operational Research (SCOR 2016). Open Access Series in Informatics (OASIcs), Volume 50, pp. 9:1-9:17, Schloss Dagstuhl - Leibniz-Zentrum für Informatik (2016)


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@InProceedings{maasar_et_al:OASIcs.SCOR.2016.9,
  author =	{Maasar, Mohd A. and Roman, Diana and Date, Paresh},
  title =	{{Portfolio Optimisation Using Risky Assets with Options as Derivative Insurance}},
  booktitle =	{5th Student Conference on Operational Research (SCOR 2016)},
  pages =	{9:1--9:17},
  series =	{Open Access Series in Informatics (OASIcs)},
  ISBN =	{978-3-95977-004-0},
  ISSN =	{2190-6807},
  year =	{2016},
  volume =	{50},
  editor =	{Hardy, Bradley and Qazi, Abroon and Ravizza, Stefan},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/OASIcs.SCOR.2016.9},
  URN =		{urn:nbn:de:0030-drops-65216},
  doi =		{10.4230/OASIcs.SCOR.2016.9},
  annote =	{Keywords: Portfolio optimisation, portfolio insurance, option pricing, mean-CVaR}
}

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