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作者：d'Aertrycke, Gauthier de Maere; Smeers, Yves
作者单位：Fondazione Mattei; Centro Euro-Mediterraneo sui Cambiamenti Climatici (CMCC); Engie; Universite Catholique Louvain
摘要：The extreme volatility of electricity prices makes their financial derivatives important instruments for asset managers. Even if the volume of derivative contracts traded on Power Exchanges has been growing since the inception of the restructuring of the sector, electricity remains considerably less liquid than other commodity markets. This paper assesses the effect of limited liquidity in power exchanges using an equilibrium model where agents cannot hedge up to their desired level. Mathemati...
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作者：Tawarmalani, Mohit; Richard, Jean-Philippe P.; Xiong, Chuanhui
作者单位：Purdue University System; Purdue University; State University System of Florida; University of Florida; University of North Carolina; University of North Carolina at Pembroke
摘要：In this paper, we derive explicit characterizations of convex and concave envelopes of several nonlinear functions over various subsets of a hyper-rectangle. These envelopes are obtained by identifying polyhedral subdivisions of the hyper-rectangle over which the envelopes can be constructed easily. In particular, we use these techniques to derive, in closed-form, the concave envelopes of concave-extendable supermodular functions and the convex envelopes of disjunctive convex functions.
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作者：Van Vyve, Mathieu
摘要：In the fixed-charge transportation problem, the goal is to optimally transport goods from depots to clients when there is a fixed cost associated to transportation or, equivalently, to opening an arc in the underlying bipartite graph. We further motivate its study by showing that it is both a special case and a strong relaxation of the big-bucket multi-item lot-sizing problem, and a generalization of a simple variant of the single-node flow set. This paper is essentially a polyhedral analysis ...
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作者：Amaral, Andre R. S.; Letchford, Adam N.
作者单位：Universidade Federal do Espirito Santo; Lancaster University
摘要：The single row facility layout problem (SRFLP) is the NP-hard problem of arranging facilities on a line, while minimizing a weighted sum of the distances between facility pairs. In this paper, a detailed polyhedral study of the SRFLP is performed, and several huge classes of valid and facet-inducing inequalities are derived. Some separation heuristics are presented, along with a primal heuristic based on multi-dimensional scaling. Finally, a branch-and-cut algorithm is described and some encou...
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作者：Pecher, Arnaud; Wagler, Annegret K.
作者单位：Universite de Bordeaux; Centre National de la Recherche Scientifique (CNRS); Universite Clermont Auvergne (UCA)
摘要：A main result of combinatorial optimization is that clique and chromatic number of a perfect graph are computable in polynomial time (Grotschel et al. in Combinatorica 1(2):169-197, 1981). Perfect graphs have the key property that clique and chromatic number coincide for all induced subgraphs; we address the question whether the algorithmic results for perfect graphs can be extended to graph classes where the chromatic number of all members is bounded by the clique number plus one. We consider...
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作者：Liu, Andrew L.; Hobbs, Benjamin F.
作者单位：Purdue University System; Purdue University; Johns Hopkins University
摘要：Harrington et al. (Math Program Ser B 104:407-435, 2005) introduced a general framework for modeling tacit collusion in which producing firms collectively maximize the Nash bargaining objective function, subject to incentive compatibility constraints. This work extends that collusion model to the setting of a competitive pool-based electricity market operated by an independent system operator. The extension has two features. First, the locationally distinct markets in which firms compete are c...
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作者：Malick, Jerome; Roupin, Frederic
作者单位：Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble; Universite Grenoble Alpes (UGA); Centre National de la Recherche Scientifique (CNRS); Inria; Universite Paris 13; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Information Sciences & Technologies (INS2I)
摘要：This article presents a family of semidefinite programming bounds, obtained by Lagrangian duality, for 0-1 quadratic optimization problems with linear or quadratic constraints. These bounds have useful computational properties: they have a good ratio of tightness to computing time, they can be optimized by a quasi-Newton method, and their final tightness level is controlled by a real parameter. These properties are illustrated on three standard combinatorial optimization problems: unconstraine...
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作者：Nesterov, Yu
作者单位：Universite Catholique Louvain
摘要：In this paper we analyze several new methods for solving optimization problems with the objective function formed as a sum of two terms: one is smooth and given by a black-box oracle, and another is a simple general convex function with known structure. Despite the absence of good properties of the sum, such problems, both in convex and nonconvex cases, can be solved with efficiency typical for the first part of the objective. For convex problems of the above structure, we consider primal and ...
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作者：Durea, Marius; Huu Tron Nguyen; Strugariu, Radu
作者单位：Alexandru Ioan Cuza University; Universite de Limoges; Centre National de la Recherche Scientifique (CNRS); GH Asachi Technical University
摘要：In this work we combine in a meaningful way two techniques of variational analysis and nonsmooth optimization. On one hand, we use the error bound approach to study the metric regularity of some special types of multifunctions and, on the other hand, we exploit the incompatibility between the metric regularity and the Pareto minimality. This method allows us to present some -Fermat rules for set-valued optimization problem in the setting of general Banach spaces. Our results are comparable to ...
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作者：Dempe, S.; Zemkoho, A. B.
作者单位：Technical University Freiberg
摘要：We consider the bilevel programming problem and its optimal value and KKT one level reformulations. The two reformulations are studied in a unified manner and compared in terms of optimal solutions, constraint qualifications and optimality conditions. We also show that any bilevel programming problem where the lower level problem is linear with respect to the lower level variable, is partially calm without any restrictive assumption. Finally, we consider the bilevel demand adjustment problem i...
