Hellenic Operational Research Society (HELORS)
1963-2013 50th Anniversary
2nd International Symposium & 24th National Conference on Operational Research 26-28 September 2013 Athens , Greece
Book of Abstracts http://eeee2013.epu.ntua.gr/
UNDER THE AUSPICES OF THE
Book of Abstracts
Table of contents 1. Invited Speeches .................................................................................................... 6 2. Fullfilment Request Management (the approach) .............................................. 13 3. Reactive project scheduling in practice ............................................................... 14 4. A simple EOQ model with possible batch rejections ........................................... 15 5. Seismic Risk Assessment Using Mathematical Correlation and Regression ........ 16 6. Constructing Portfolios Using Argumentation Based Decision Making and Performance Persistence of Mutual Funds ......................................................... 17 7. Project portfolio selection in a group decision making environment: Achieving convergence with the Iterative Trichotomic Approach ....................................... 18 8. Mixed integer bilevel programming with upper level decision variables that appear at the lower objective, but not in any of the lower level constraints ..... 19 9. A multi-periodic optimization modeling approach for the establishment of a bike-sharing network: a case-study of the city of Athens ................................... 20 10. Optimizing long term fleet wide crew assignment .............................................. 21 11. Least Trimmed Absolute Deviation for Robust Location using Linear Programming ....................................................................................................... 22 12. Bringing Europe and Third countries closer together through RES cooperation 23 13. Sharing expertise within Europe: The SEAP-PLUS method .................................. 24 14. Development of a Sustainable Energy Action Plan for the municipality of Chalkis to support energy policy decision making in Greece........................................... 25 15. Assessment and convergence of RES policy in EU member states...................... 26 16. Assessing Energy and Environmental Policies for SMEs ...................................... 27 17. Combining performance and importance judgment in the MUSA method ........ 28 18. Evaluation of research activity in higher education: A Data Envelopment Analysis approach .............................................................................................................. 29 19. Multi-Criteria Decision Network (MCDN) in Transportation ............................... 30 20. Regional Units Evaluation using Extended Fuzzy Analytic Hierarchy Process: The case of Central Macedonia Region ...................................................................... 31 21. Measuring the efficiency of national innovation systems ................................... 32 22. Different formulations and Βenders decomposition on TSP ............................... 33 23. Telecommunications And A New Ways Of Works ............................................... 34 24. Improvements and comparison of non-Euclidean metrics in minisum problem 35 25. Scheduling with a due-window for acceptable lead-times.................................. 36
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26. Modelling a merge in network of warehouse facilities with two modes of operation: cross docking and traditional warehousing ....................................... 37 27. Theory of attractive quality and multicriteria analysis: Analyzing customer preferences on smartphone attributes ............................................................... 38 28. A hybrid fuzzy MCDM approach for evaluating financial performance of Iranian companies ............................................................................................................ 39 29. Staff Attraction And Selection Methods: The Case Of Mobile Telecommunications Companies In Greece ........................................................ 40 30. Techno-Economic Evaluation of Energy-Saving Measures in a Public Building... 41 31. Development of a Multicriteria Decision Support System for selecting the most advantageous route of the produced biogas in Landfills .................................... 42 32. Heterogeneous management information software for supporting energyrelated decision making problems....................................................................... 43 33. Energy Consumption Evolution process .............................................................. 44 34. Agent based modelling and simulation for fuelwood consumption prediction .. 45 35. Designing A Practical Dynamic Lead-Time Quotation Policy In A Make-to-Stock Queue................................................................................................................... 46 36. Performance analysis of power saving methods in wireless systems with retransmissions: A queueing theory framework ................................................. 47 37. A batch constant retrial queue with multiple adaptive vacation policy.............. 48 38. Ordering policies for two products with demand substitution ........................... 49 39. Customer Equilibrium Policies in Observable Queues for Multiple Periods ....... 50 40. Evaluating new service development effectiveness in tourism: An ordinal regression analysis approach ............................................................................... 51 41. A Decision Support System for Choosing Higher Education Studies ................... 52 42. A similarity metric for traces in Event Logs based on an outranking approach .. 53 43. Accounting information in the prediction of securities class actions .................. 54 44. Developing an ANP and Intuitionistic Fuzzy TOPSIS for Supplier Selection ......... 55 45. Evaluation of the operational performance of Greek public hospitals using a robust multicriteria approach .............................................................................. 56 46. A stochastic location allocation model for primary health care network planning ............................................................................................................................. 57 47. The Obstetric Services in the Attica Area: Concentration Ratio and Competition ............................................................................................................................. 58 48. Medical errors in Greece: Main research findings through Greek courts’ judgments ............................................................................................................ 59
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49. Assessment of Policy Interrelationships and Impacts on Sustainability in Europe Empirical Analysis of the Energy & Climate Package ........................................... 60 50. Development of a knowledge platform on post Kyoto climate policy implications ............................................................................................................................. 62 51. A method for predicting electrical consumption in energy-intensive buildings through energy performance indicators.............................................................. 64 52. Energy priorities’ identification for the municipality of Apokoronas for the reduction of its carbon footprint ......................................................................... 65 53. Τhe Impact of Environmental Issues Upon Journalistically Mediated Nation Images: An Intercultural Content Analysis........................................................... 66 54. A robust extension of the MUSA method based on desired properties of the collective preference system ............................................................................... 68 55. Constructing robust efficient frontiers for portfolio selection under various future returns scenarios ...................................................................................... 69 56. A DSS for Robustness Analysis in Stochastic UTA ................................................ 70 57. Using Robustness Analysis of Preference Models into Disaggregation Aggregation approaches for supporting interactivity.......................................... 71 58. Process Mining in software events of Open Source Software projects............... 72 59. A Novel Formulation for the Integrated Quay Crane Assignment and Scheduling Problem................................................................................................................ 73 60. Generation of the exact Pareto set in multi-objective traveling salesman and set covering problems ............................................................................................... 74 61. Are there low-risk trading opportunities in sport betting exchange markets? ... 75 62. Value focused pharmaceutical strategy determination with multicriteria decision analysis techniques .............................................................................................. 76 63. Using process mining techniques for the analysis of the processes of an emergency department in different periods of time .......................................... 77 64. MEDUTA: Integrating Simulation Modeling and Multiple Criteria Analysis To Improve Emergency Department Performance .................................................. 78 65. Facilitating hospital department behavioral analysis using soft computing techniques............................................................................................................ 79 66. The “Setting Up Young Farmers” measure and its environmental impacts on rural areas ............................................................................................................ 80 67. The multiplicity of goals in tree-cultivating farms in Greece ............................... 81 68. From Data Envelopment Analysis to Multicriteria Decision Support: Application to Agricultural Units Evaluation in Greece........................................................... 82 69. Revenue Management of Perishable Products with Dual Sourcing and Emergency Orders ............................................................................................... 83
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70. Use of Bi-Hyperbolic Activation Function to Optimize the Performance of Artificial Neural Networks.................................................................................... 84 71. Personalized outdoor routing: Route planning techniques and algorithms ....... 85 72. Evolutionary Algorithms for Solving Resource Availability Optimization Problems related to Client Service of Different Priority Classes.......................................... 86 73. Ant colony optimization in multi-project multi-mode resource constrained project scheduling................................................................................................ 87 74. Analysis of an integrated three-echelon supply chain with stochastic demand, continuous review policies, lost sales and two-phase Coxian replenishment times ............................................................................................................................. 88 75. Centralized vs decentralized decomposition of supply chain using bi-level schema ................................................................................................................. 89 76. Maximization of customer service level through variability reduction in Six Sigma supply chains........................................................................................................ 90 77. Modeling Supply Chain Processes: A Review and Critical Evaluation of Available Reference Models ................................................................................................ 91 78. Supply chain optimization with regard to customer satisfaction: Solving with GAMS and comparing with Analytic Hierarchy Process (AHP) ............................ 92 79. From “More than Moore” to “More Supply Chain”: Open Innovation Model and Funnel Project Prioritization for Supply Chains with a focus on the semiconductor industry ....................................................................................... 93 80. Public Transport Priority Strategies: Progress and Prospects.............................. 94 81. Environmental Vehicle Routing Problem ............................................................. 96 82. Use of SARIMA models to assess rail passenger flows: a case study of Serbian Railways ............................................................................................................... 97 83. Overview of Non Linear Programming Methods Suitable for Calibration of Traffic Flow Models ......................................................................................................... 98 84. Development of an objective function for the minimisation of Greenhouse Gas (GHG) emissions from in port truck operations................................................... 99 85. Simulation Analysis of a pilot handling system for the rail transport of conventional semitrailers .................................................................................. 100 86. Towards a long-term security of supply in electricity markets: Testing capacity mechanisms in an experimental setting ............................................................ 101 87. The Feasibility of Renewable Energy in the Gulf Cooperation Council Countries ........................................................................................................................... 102 88. Evaluating long term potential natural gas supply alternatives for Greece with multicriteria decision analysis............................................................................ 103 89. The effect of Wind Power penetration on the wholesale prices in Electricity Markets .............................................................................................................. 104 nd
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90. Methodology of Forecasting Natural Gas Demand in Greece ........................... 105 91. Optimization of medium-term natural and liquified gas supply for a Distribution Company ............................................................................................................ 106 92. Public Data curation with the ENGAGE platform and OpenRefine ................... 107 93. Towards a Multicriteria Decision Support System for e-Government Benchmarking in European Union ..................................................................... 108 94. A Methodology for Determining the Value Generation Mechanism and the Improvement Priorities of Open Government Data Systems ............................ 109 95. An investigation of Open Data Infrastructures characteristics: rationale and enduser perspective................................................................................................. 110 96. Data.gov.gr Case Study ...................................................................................... 111 97. Dealing with Robustness in Government Decision-Making using Facilitated Modelling ........................................................................................................... 112
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Invited Speeches 50th Anniversary of HELORS and its role within EURO Invited Speech by Sarah Fores General Manager and Professional Officer of the Association of European Operational Research Societies (EURO) Abstract As HELORS celebrates its 50th anniversary it is appropriate to reflect on its long history and its contributions on an international level. EURO, the Association of European Operational Research Societies, was formally constituted in 1976 in order to offer effective communication between established groups within Europe and to promote Operational Research using its strength as a regional subgroup of the International Federation of Operational Research Societies (IFORS). The Greek national OR society strongly supported EURO from the very beginning and, in 1975, the draft of the agreement for EURO was signed by the representatives of ten European OR Societies (Belgium, Denmark, Finland, Germany, Great Britain, Greece, Ireland, Netherlands, Sweden, Switzerland)'. In order to succeed in its aim to promote Operational Research within Europe EURO set up instruments such as a the European Journal of Operational Research, Working Groups, and Conferences. The success of EURO then depended on the enthusiasm and contribution of members within national OR societies, especially as funds were limited. Members of HELORS have actively participated in all EURO activities over the years and their research strengths have benefited the wider community through publications and collaborations. The society itself has actively contributed to strategic decisions and new initiatives within EURO by its representations on the EURO Council. Also Greece hosted the EURO-k conference in 2004. Despite various challenges EURO has continued to strive and develop as an Association thanks to the dedication of its member societies and individuals within them. It was with pleasure that EURO was able to reward the work of Professor Panos Pardalos with the highest distinction of the EURO Gold Medal at the most recent EURO-INFORMS conference and we wish to also acknowledge the contributions of all past and current HELORS members who have furthered the theory and practice of Operational Research. EURO would therefore like to wish HELORS a very happy birthday and we look forward to a very long and productive future.
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The Problem of Covering Solids by Spheres of Different Diameters Invited Speech by Nelson Maculan Full Professor of Optimization, Dept. of Systems Engineering and Computer Science, Graduate School of Engineering, COPPE, Federal University of Rio de Janeiro. President of the International Federation of Operational Research Societies (IFORS). Abstract We propose a mathematical programming formulation (Mixed-Integer Nonlinear Programming) for the problem of covering a solid by a finite number of spheres of different radii. We use this approach to model and study a complex sphere covering problem occurring in the configuration of a gamma ray machine radiotherapy equipment unit. We illustrate some results.
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Optimization and Modeling in Energy Systems Invited Speech by Panos M. Pardalos Distinguished Professor at the University of Florida. Scientific Advisor of the LATNA Laboratory, Higher School of Economics, Moscow, Russia. 2013 EURO Gold Medal Winner at the EURO XXVI Conference Abstract Energy systems are undeniably considered as one of the most important infrastructures in the world. Energy plays a dominant role in the economy and security of each country. In this lecture, we are going to consider several difficult problems in energy networks, such as hydro-thermal scheduling modeling, electricity network expansion, liquefied natural gas and blackout detection in the smart grid.
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How the European Journal of Operational Research (EJOR) reflects the evolution of Operational Research? Invited Speech by Roman Slowinski Professor and Founding Head of the Laboratory of Intelligent Decision Support Systems within the Institute of Computing Science, Poznao University of Technology, Poland. Coordinating Editor of the European Journal of Operational Research (EJOR). Abstract The editor of EJOR will answer the question posed in the title, giving some characteristics of the journal, and explaining the approach of its editors to evaluation and selection of articles. Topics of Operational Research which recently raised the highest interest will also be pointed out. Some quantitative measures of the journal quality will be presented, along with the EJOR-R-index that has been proposed and used by the editors of EJOR to award 25 best reviewers each year. The last part of the presentation will be devoted to some advices addressed to young researchers on how to write articles about Operational Research.
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What is a Decision Problem? Invited Speech by Alexis Tsoukiàs CNRS (Centre National de laRechercheScientifique) research director at LAMSADE, Université Paris Dauphine. Former President of the Association of European OR Societies (EURO). Abstract The talk introduces a general framework through which the whole potential set of decision problems can be described. The aim of the framework is to show that only a finite number of primitive characteristics describe a decision problem, thus reducing it to a finite number of combinations. In the talk we present in some details some of these characteristics, particularly emphasising the problem statement dimension. We also provide a number of simple examples in order to show how this framework helps in categorising current decision problems, in reformulating decision problems and in constructing formal arguments for the decision aiding process.
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Steven Vajda, pioneer of OR Invited Speech by Jakob Krarup Professor Emeritus, D.Sc. & h.c. Abstract Steven Vajda (1901-1995) was a mathematician, educator, one of mathematical programming’s true pioneers, and the person who introduced LP to both Europe and Asia. Upon having retired three times he was invited by Sussex University in 1973 to become Visiting Professor of Mathematics, in which role he continued actively, teaching and writing research papers for about 22 years, probably a record unsurpassed in the U.K. and anywhere. The influence of Steven on my carrier as an operational researcher can hardly be overrated. Mentor, co-author, and friend: I am greatly indebted to him.
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Health services in the middle of the crisis: An un-ended battle Invited Speech by N. Polyzos Ex-Secretary General (SG) of Ministry of Health (MoH), Associate Professor of Health Service Management, Democritus University of Thrace, ex Secretary General (SG) of Ministry of Health (MoH) Keywords: Health Care System in Greece, Health Policy, Organization, Coordination, Cooperation Abstract Introduction: At the end of 2009, health services in Greece faced serious discrepancies, because of uncontrolled deficits, lack of planning especially in HR and procurement of NHS, the absence of evaluation criteria and data, as well as urgent public health problems (e.g. epidemic flue, intensive care units, etc.). Health Policy: Under these circumstances and the burden of economic crisis, the most urgent goals were to solve the public health problems, to guide the regional and local administration, to support the procurement system, to prepare controlling mechanisms, etc. This diagnosis led to an incremental planning and every day rules. Organization-Coordination-Cooperation: The organization and coordination of such important projects needs high level of cooperation and commitment. Minister’s and SG’s offices worked together with main services (directorates etc.) on a weekly and monthly basis. Reports were concentrated and examined before relevant meetings in order to follow the goals. Esy.net was the main data base followed hospitals’ and health centers’ activities. EOPYY was the next big step towards consolidation of funds and PHC development. Results: Total NHS expenditure was decreased 11% (2011 to 2009) while medicines and sanitary materials were reduced 38%. At the same time inpatients were increased over 10%. Thus, average cost per patient declined at 20%. Satisfaction surveys show 50% positive and 20% negative results (the medium 30% has to be examined). Roles and Obstacles: The roles of political leadership and beurocracy were strongly correlated, so cooperation was quite effective. However, obstacles were put by various professional and other bodies, because of the strict financial measures and mainly the reforms undertaken during this period. Conclusion-the way ahead: Health Care System in Greece suffered from various problems during last decades. Many changes had to be done in a small period of time recently, under the restriction of financial crisis. New vision and strategy needs to be shaped and communicated to the general society. Public policy and administration should be connected beyond tools known to the developed countries (strategic and operational planning, organization and coordination, meritocracy and evaluation of HR, control and feedback of any goal, etc.). This battle must be continued.
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Fullfilment Request Management (the approach) S. Gkoutzioupas*, G. Valiris Vaktrianis 37, Zografou Athens 15772 * email of corresponding author:
[email protected] Keywords: middleware, Application mediation, soa, esb, bpm, OM, Order Fulfillment, Service Abstract In this paper we introduce the FRM (Fullfilment Request Management). According to the FRM in a BSS / OSS system we can use a common approach in order to handle 1. orders 2. events 3. processes So systems like ESB, Order Management, Business Process Management etc can be implemented under a common architecture and a common implementation. We assume that all are 'requests' and depending the system we want to implement the request can be an event, an order, a process etc. So either we have N systems we have 1 system that covers all the above (ESB, Order Management, BPM ect) With the FRM we can have advantages as: 1. adaptation 2. interoperabillity 3. reusability 4. fast implementation 5. easy reporting In this paper we introduce the main principles in order to implement an FRM System.
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Reactive project scheduling in practice I. Petrides, E. Rokou*, K. Kirytopoulos Heroon Politechniou 9, Zografou, Greece * email of corresponding author:
[email protected] Keywords: project scheduling, reactive, multi mode, evolutionary algorithms Abstract The vast majority of the research efforts in project scheduling over the past several years has concentrated on the development of exact and suboptimal procedures for the generation of a baseline schedule assuming complete information and a deterministic environment (Herroelen and Leus, 2004). In practice, during execution projects are often subject of considerable uncertainty, which may lead to numerous minor or major schedule disruptions. In project scheduling, uncertainty can take many different forms. Activity duration estimates may be off, resources may break down, work may be interrupted due to weather delay, new unanticipated activities may be identified, etc. All of these types of uncertainty may result in the infeasibility of the project baseline schedule. In general, project management wants to avoid these schedule breakages. This can be achieved by generating a baseline schedule in a proactive way, trying to anticipate certain types of disruptions so as to minimize their effect if they occur. If the schedule would still break down despite these proactive planning efforts, a reactive scheduling policy will be needed to repair the infeasible schedule (Deblaere et al, 2011). The objective of this paper is to propose a reactive scheduling procedure that may be used to revise or re-optimize a previously developed baseline schedule when unexpected events occur. More precisely, given a baseline scheduling that has been followed and updated with actual data from the project manager in a timely fashion, we assume that at a specific point of time, one or more disruptions on the schedule have been noticed or even forecasted due to new data and/or changes of one or more environmental variables, for example a material shortage is expected due to upcoming strikes. In this case the developed baseline schedule becomes infeasible during project execution due to the occurrence of one or more resource or activity disruptions. Therefore, we need a reactive policy that dictates how to revert to a feasible schedule that deviates as little as possible from the original baseline and resolves the schedule infeasibilities caused by the disturbances that occurred during schedule execution. This paper describes a new heuristic reactive project scheduling procedures that may be used to repair multi –mode resource-constrained project baseline schedules with variable resource availabilities and requirements that suffer from multiple activity duration and/or resource disruptions during project execution. The objective is to minimize the deviations between the baseline schedule and the schedule that is actually realized. The proposed approach is based on a combination of a genetic algorithm with simulated annealing and particle swarm optimization that aims at providing quick response and multiple solution scenarios to the project manager as to efficiently handle the experienced or forecasted disruptions. Finally, we discuss the computational results obtained by applying the proposed approach on a set of randomly generated project instances and on an illustrative example based on an actual construction project.
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A simple EOQ model with possible batch rejections K. Skouri*, I. Konstantaras, A.G. Lagodimos, S. Papachristos Department of Mathematics, University of Ioannina, 45110, Ioannina, Greece; Department of Business Administration, Business Excellence Laboratory, University of Macedonia, 156 Egnatia Street, 54006 Thessaloniki, Greece; Department of Business Administration, University of Piraeus,185 34, Piraeus, Greece; Hellenic Open University, Parodos Aristotelous 18, 26 335, Patra, Greece * email of corresponding author:
[email protected] Keywords: Inventory; EOQ; Supply disruptions; Imperfect quality; Shortages Abstract We consider a simple EOQ setting with imperfect supply quality. In the literature, the simplest and most frequently used control policy to account for imperfect quality is to suppose that a fraction, say P, of goods received do not conform to quality standards. So, the parameter P is assumed to be either deterministic (fixed) or a random variable. In the later case, the form of the probability distribution function of P can be known, known but dependent from other unknown parameters, or unknown. This modelling for defectives items is known in the literature as the proportional yield (or imperfect quality) problem. In this paper, we study an alternative control policy calling for “all or none” decisions. Such a policy is usually deployed for non-itemized supplies (such as liquids, flours or grains) supplies, where the entire batch either conforms to specifications (so it is accepted) or does not conform (so it is rejected). Interesting, the proposed model can be considered as a special case of the random yield model, where the yield variable representing the fraction of defectives received takes the value 0 (the order, after inspection is not acceptable at all) or 1 (the order is fully acceptable). Under an “all or none” inspection policy which rejects all defective batches, we model system cost per unit time formally and we solve the respective optimization problem. The analysis shows that the global optimum can be obtained in closed-form, with expression being direct extensions to those of the classical EOQ (with backorders). In fact, if we assume perfect quality, these expressions degenerate to those of the latter problem. We also presented analytical results, showing that total cost per unit time is monotone increasing with increased supply quality as well as a systematic behaviour of both decision variables (i.e. the order quantity and the nominal maximum backorders level). Finally, numerical results highlighted the quantitative effects of imperfect supply quality, showing both total cost and decision variables particularly sensitive to variations of quality.
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Seismic Risk Assessment Using Mathematical Correlation and Regression C. Slave* Sos Erou Iancu Nicolae nr. 28, Voluntari, Jud Ilfov, Romania * email of corresponding author:
[email protected] Keywords: correlation function, regression function, seismic risk, seismic force Abstract The actual design methods of structures under the influence of permanent, effective and climatic (wind, snow) loads, need an elastic behaviour of the structure and a static action of loads. The dynamic aspect of seismic action and inelastic behaviour of the structures affected by major earthquakes require specific design methods, governed by seismic design regulations. In Romania the field is covered by Seismic Design Code- part III –provision for seismic evaluation of Existing buildings, indicative P 100-3/2008. The article presents a calculation model of body A, building of Faculty of Land Reclamation and Environmental Engineering, Bucharest and also correlation and regression analysis of mathematical results to seismic evaluation of buildings, using MATHCAD PROFESSIONAL Software.
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Constructing Portfolios Using Argumentation Based Decision Making and Performance Persistence of Mutual Funds K. Pendaraki, N. I. Spanoudakis* Applied Mathematics and Computers Laboratory, Technical University of Crete, University Campus, Kounoupidiana, 73100 * email of corresponding author:
[email protected] Keywords: Financial Decision making, Argumentation, Performance Persistence, Mutual Funds, Portfolio Management Abstract In this paper, an argumentation-based tool is proposed for the construction of mutual fund portfolios that outperformed the market index, based on the performance persistence of mutual funds. The sample data used in this study is provided from the Association of Greek Institutional Investors and consists of daily data of all domestic equity mutual funds (MFs) over the period 2000 to 2011. This empirical work from the field of finance uses argumentation-based decision making that provides a high level of adaptability in the decisions of the portfolio manager or investor, when his environment is changing and the characteristics of the funds are multidimensional, at the same time, taking into account his profile and preferences. Argumentation allows for combining such contexts and preferences in a way that can be optimized, thus, resulting in higher returns on the investment. Precisely, in our work we adopt the argumentation framework proposed by Kakas and Moraitis (2003), where the deliberation of a decision making process is captured through an argumentative evaluation of arguments and counter-arguments. A theory expressing the knowledge under which decisions are taken compares alternatives and arrives at a conclusion that reflects a certain policy. An analysis of the persistence of equity mutual funds is conducted, where a fund is defined to persist, if for consecutive time periods, it has returns above the median of the examined sample, relative to comparable funds. This study applies the “winner-winner, winner-loser” methodology, through the Z-test for repeat winners (Malkiel, 1995), the Odds Ratio Z-statistic (Brown and Goetzann, 1995) and the Chi-Square statistic (Khan and Rudd, 1995). For evaluating our results we defined scenarios for all years for which we had available data and for all combinations of contexts. That resulted to two investor types combined with the market status (growing or declining), plus two investor types combined with the high performance option, plus the market status combined with the high performance option, all together eight different scenarios, plus the simple contexts (5) and the general context (the sample data set provided 3,244 facts), run for eleven years each. After we confirmed our findings that there is statistically significant performance persistence for 1-year and 4-years holding periods, we applied portfolio funds participation strategies based on the persistence of mutual funds returns. Each one of the examined scenarios refers to different investment choices and leads to the selection of different number and combinations of MFs. A question we had to answer was if performance persistence of fund returns was economically significant, thus we validated the proposed methodological approach and the obtained portfolios through their comparison to the Athens Stock Exchange General Index return. Our empirical results in most of the cases outperform the general index of the target market and indicate that our tool is useful for successful mutual fund portfolios construction even though the examined period of the Greek market has been characterized by major fluctuations and certain financial crisis periods. To our knowledge, this study uses, for the first time, the combination of argumentation-based decision making for selecting the proper funds and the “winner-winner, winner-loser” methodology for composing efficient portfolios that outperform the market.
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Project portfolio selection in a group decision making environment: Achieving convergence with the Iterative Trichotomic Approach G. Mavrotas*, O. Pechak, D. Siatras, J. Psarras, E. Siskos Iroon Polytechniou 9, Zografos, Athens 15780 * email of corresponding author:
[email protected] Keywords: Project portfolio selection, MCDA, Integer Programming, Group Decision Making Abstract Project portfolio selection is the problem of selecting a subset of projects from a wider set, optimizing one or more criteria and satisfying specific constraints. The basic tools are usually Multiple Criteria Decision Analysis and mathematical programming. In the presence of multiple decision makers the preferences are not unique and there must be a negotiation approach taking into account all the points of view. In the present work we use the Iterative Trichotomic Approach (ITA) in order to seek convergence. With ITA we can draw conclusions for the acceptance of each individual project as well as for the robustness of the final portfolio. The weights of evaluation criteria differ among the decision makers so that each one of them finally selects a different “optimal” portfolio. ITA can classify the projects into three sets: the green projects (selected in the “optimal” portfolio by all the decision makers), the red projects (not selected in the “optimal” portfolio by any of the decision makers) and the grey projects which are selected by some (but not all) the decision makers. A converging Delphi like process is designed for the weights so that in the next round new weights are calculated for every decision maker. The mathematical model is updated according to the new weights and solved. As the iterative process moves from round to round the green and the red set are enriched and the grey projects are reduced. The iterative process terminates when the calculated weights for all the decision makers provide the same “optimal” portfolio. The above method is illustrated with an example involving 133 energy projects. The final outcome is the final portfolio as compromise among the decision makers as well as the degree of accordance on each one of the projects that are finally selected. Finally a consensus index for the final portfolio can be extracted according to the progress of the converging process.
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Mixed integer bilevel programming with upper level decision variables that appear at the lower objective, but not in any of the lower level constraints E. Kostarelou*, G. Kozanidis Department of Mechanical Engineering, University of Thessaly, Leof. Athinon, Pedion Areos, Volos 38334, Greece * email of corresponding author:
[email protected] Keywords: bilevel optimization, integer parametric programming, electricity markets, optimal bidding strategies Abstract We consider a class of mixed integer bilevel programs whose upper level decision variables appear at the objective of the lower level problem, but not in any of its constraints. Various optimization models exhibiting this structure are utilized to formulate the problem of devising the optimal bidding strategy of an electricity producer that participates in a dayahead energy market. For this class of problems, we develop a heuristic solution algorithm first that utilizes important findings from the theory of integer parametric programming. The heuristic works by comparing all the distinct lower level optimal solutions that can be identified by varying parametrically a single upper level decision variable, while keeping all the other fixed. After the development of the heuristic, we illustrate how the proposed methodology can be modified to enable the generation of valid inequalities for suitable relaxations of the original problem, in which the so-called bilevel feasibility of the obtained solution is not guaranteed. We present two techniques for obtaining such relaxations. The first one is quite straightforward, calling for the suppression of the follower’s objective, while the second one transforms the original problem into a single level one, utilizing the lower problem’s KKT optimality conditions. Having as test case a bilevel programming application from the context of energy market optimization, we develop an exact cutting plane solution algorithm next that utilizes these valid inequalities. Our analysis considers two alternative schemes for the clearing of the market under investigation, a pay-as-bid scheme, according to which each producer is compensated with his corresponding offer for each MWh he provides to the system, and a uniform pricing scheme, according to which every producer is compensated at the same (marginal) price. We conclude with experimental results demonstrating the computational capabilities of the proposed solution algorithms, as well as their relative performance.
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A multi-periodic optimization modeling approach for the establishment of a bikesharing network: a case-study of the city of Athens G.K.D. Saharidis*, A. Fragkogios, E. Zygouri Department of Mechanical Engineering, School of Engineering, University of Thessaly, Leoforos Athinon, PedionAreos, 38834 Volos, Greece * email of corresponding author:
[email protected] Keywords: bike-sharing network, multi-periodic, optimization Abstract This study introduces a novel mathematical formulation that addresses the strategic design of a bicycle sharing network. Bike-sharing networks have received increasing attention during the last decades and especially in the 21st century. The bike-sharing network consists of these basic elements: the docking stations, the bicycles and the information technology (IT) interfaces, that have been recently introduced to improve the quality offered to the users. This paper specifically proposes a Pure Integer Linear Program that was solved using CPLEX for deciding the number, the location and the size of the bike stations that should be constructed and the suitable distribution of the required bicycle fleet among the stations. Given a set of candidate locations of bike stations and the time-dependent demand for bikes at these locations during a single day it is necessary to know where to place the bike stations and how many parking slots and bikes should each one have. The available budget of a city for the construction of the whole bike-sharing system is predefined and so are the costs of a single bike, a single parking slot and a single station. So it is a matter of optimization for the model to decide how many stations, bikes and parking slots it will include in its solution. The walking time between the locations is another parameter of the problem used to ensure the proximity of the constructed stations as far as this is possible. As regards demand in each location, it is split into “Demand for Pick-Ups” and “Demand for Drop-Offs”. The first one depicts how many users would like to take a bike from a station and the second one shows how many riders would like to leave a bike at a station. The demand is time-dependent. The 24 hours of the day are discretized into time intervals, during which different numbers of users come to a station either to pick up or to drop off a bicycle. The proposed approach is implemented on the 1st Municipal District of the Municipality of Athens. The demand patterns of a potential bike-sharing network in Athens are assumed to resemble the usage data of the bike-sharing network Velib’ of Paris. The authors of this paper chose 50 candidate locations where bike-sharing stations could be constructed. These 50 locations were categorized into the 4 clusters depending on their location, the cluster of “Housing” including candidate locations that are in densely populated areas, “Employment” which contains the locations close to business areas, “Subway” which includes the candidate locations where a metro station exists and “Spare Time” which contains the locations which are close to restaurants, coffee bars, shops etc. Furthermore, it is necessary to mention that the beginning of the day is considered to be 4am, when the solution of the model will show how many bicycles should be at each station in order to meet the day’s demand. Finally, the problem was solved for 2 cases with different values of parameters. More specifically, in the first case, the whole demand of a location where a station is not established is transferred to the closest established station while in the second case only 50% of the potential customers of these locations are willing to walk to the nearest allocated station and pick up or drop off a bike from it. The solution of the first case proposes a total number of 34 bike stations with 517 parking slots and 253 bikes. In the results of the second case the established stations are 40 with a total number of 461 parking slots and 210 bikes.
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Book of Abstracts
Optimizing long term fleet wide crew assignment T. Varelas*, S. Archontaki, M. Livadioti 14 Akti Kondili, Piraeus 18545, Greece * email of corresponding author:
[email protected] Keywords: crew assignment, binary integer programming, multi criteria analysis Abstract We present the unique long term maritime crew planning and assignment optimization that Danaos Corporation envisaged, Danaos Management has implemented and Danaos Shipping deployed as an enrichment of its ORISMA (Operation Research in Ship Management) toolkit. The major novelty in this system is the extension of the two coordinates, the number of vessels from one to whole fleet and the time horizon from couple of weeks to several months. Another initiative is the addition of a third dimension the teamwork index of the vessels’ management team. As assignment optimization problem the definition of an objective assignment function that should be optimized is required. We analyzed the problem and found out the formulas and the variables that are needed for the calculation of coefficients in the identified individual objectives that are combined in a weighted multiobjective assignment penalty function. The extension of coordinates and the team-working dimension increases the problem complexity and is hard to achieve optimal solution with conventional heuristics. So we combine operation research genetic and muliti-index axial integer models, efficient assignment algorithms and, new developed ones into one model adjusted to specific problem requirements. System also supports strategic decisions regarding the depth determination of the availability officers’ pool, the entries’ attributes such as rank, performance, availability and nationality avoiding in one hand unfeasible solutions and keeping on the other the safety pool level as less as possible. Furthermore an alert mechanism generates the appropriate triggers for actions whenever safety levels are reached and suggests mitigation plan. From design point of view the most important novelty of the ORISMA approach is the usage of ship officers’ quadruplet as the monitoring entity instead of the individual ship officer. ORISMA is awarded from INFORMS, the Institute of Operations Research and Management Science, the Franz Edelman finalist award for 2012.
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Least Trimmed Absolute Deviation for Robust Location using Linear Programming C. Chatzinakos*, G. Zioutas Aristotle University Thessaloniki, Faculty of Engineering, Greece * email of corresponding author:
[email protected] Keywords: Mathematical programming, Robust Statistic, Outliers, Location Estimates Abstract Some robust location estimates μ are based on Least Absolute Deviations (LTAD). In this work we improve (reduce the bias) the LTAD estimates by trimming the deviations of the outliers. We develop the Least Trimmed Absolute Deviation (LTAD) estimator, where the deviations of the bad influential points (outliers) reduced to zero. Although, this is a combinatory problem and it is solved with mixed integer programming (MIP), we propose a new technique where the problem is solved with linear programming (LP). In the new LP formula the weight decisions variables wi , 0< wi