Each year the Railway Applications Section (RAS) of the Institution for Operations Research and the Management Sciences (INFORMS) posits a research problem to the world in the form of a competition. For 2012, the contest involved solving the Train Dispatching Problem (TDP) on a realistic 85 edge network for three different sets of input data. This work is an independent attempt to match or improve upon the results of the top three finishers in the contest using mixed integer programming (MIP) techniques while minimizing the use of heuristics. The primary focus is to partition the network in a manner that reduces the number of binary variables in the formulation as much as possible without compromising the ability to satisfy any of the contest requirements. This resulted in the ability to optimally solve this model for RAS Data Set 1 in 29 seconds without any problem-specific heuristics, variable restrictions, or variable fixing. Applying some assumptions about train movements allowed the same Data Set 1 solution to be found in 5.4 seconds. After breaking the larger Data Sets 2 and 3 into smaller sub-problems, solutions for Data Sets 2 and 3 were 28% and 1% better, respectively, than those of the competition winner. The time to obtain solutions for Data Sets 2 and 3 was 90 and 318 seconds, respectively.

Whereas benchmarking experiments are very frequently used to investigate the performance of statistical or machine learning algorithms for supervised and unsupervised learning tasks, overall analyses of such experiments are typically only carried out on a heuristic basis, if at all. We suggest to determine winners, and more generally, to derive a consensus ranking of the algorithms, as the linear order on the algorithms which minimizes average symmetric distance (Kemeny-Snell distance) to the performance relations on the individual benchmark data sets. This leads to binary programming problems which can typically be solved reasonably efficiently. We apply the approach to a medium-scale benchmarking experiment to assess the performance of Support Vector Machines in regression and classification problems, and compare the obtained consensus ranking with rankings obtained by simple scoring and Bradley-Terry modeling. / Series: Research Report Series / Department of Statistics and Mathematics

Master of Agribusiness / Department of Agricultural Economics / Jason Bergtold / ABSTRACT Grands Moulins d'Abidjan (GMA) is a flour milling company operating in Côte d'Ivoire. It wishes to determine the optimal blend of wheat and additives that minimizes its costs of production while meeting its quality specifications. Currently, the chief miller selects the mix of ingredients. The management of the company would like to dispose of a scientific tool that challenges the decisions of the chief miller. The thesis is about building and testing this tool, an optimization model. GMA blends up to six ingredients into flour: soft wheat, hard wheat, gluten, ascorbic acid and two types of enzyme mixes. Quality specifications are summarized into four flour characteristics: protein content, falling number, Alveograph W and specific volume of a baguette after four hours of fermentation. GMA blending problem is transformed into a set of equations. The relationships between ingredients and quality parameters are determined with reference to grains science and with the help of linear regression. The optimization model is implemented in Microsoft Office Excel 2010, in two versions. In the first one (LP for Linear Programming model), it is assumed that weights of additives can take any value. In the second one (ILP for Integer Linear Programming model), some technical constraints restrain the set of values that weights of additives can take. The two models are tested with Premium Solver V11.5 from Frontline Systems Inc., against four situations that actually occurred at GMA in 2011 and 2012,. The solutions provided by the model are sensible. They challenge the ones that were actually implemented. They may have helped GMA save money. The optimization model can nevertheless be improved. The choice of relevant quality parameters can be questioned. Equations that link ingredients and quality parameters, and particularly those determined with the help of linear regression, should be further researched. The optimization model should also take into account some hidden constraints such as logistics that actually influence the decision of GMA chief miller. Finally, sensitivity analyses may also be used to provide alternative solutions.

Management of systemic risk in financial markets is traditionally associated with setting (higher) capital requirements for market participants. There are indications that while equity ratios have been increased massively since the financial crisis, systemic risk levels might not have lowered, but even increased (see ECB data 1 ; SRISK time series 2 ). It has been shown that systemic risk is to a large extent related to the underlying network topology of financial exposures. A natural question arising is how much systemic risk can be eliminated by optimally rearranging these networks and without increasing capital requirements. Overlapping portfolios with minimized systemic risk which provide the same market functionality as empir- ical ones have been studied by Pichler et al. (2018). Here we propose a similar method for direct exposure networks, and apply it to cross-sectional interbank loan networks, consisting of 10 quarterly observations of the Austrian interbank market. We show that the suggested framework rearranges the network topol- ogy, such that systemic risk is reduced by a factor of approximately 3.5, and leaves the relevant economic features of the optimized network and its agents unchanged. The presented optimization procedure is not intended to actually re-configure interbank markets, but to demonstrate the huge potential for systemic risk management through rearranging exposure networks, in contrast to increasing capital requirements that were shown to have only marginal effects on systemic risk (Poledna et al., 2017). Ways to actually incentivize a self-organized formation toward optimal network configurations were introduced in Thurner and Poledna (2013) and Poledna and Thurner (2016). For regulatory policies concerning financial market stability the knowledge of minimal systemic risk for a given economic environment can serve as a benchmark for monitoring actual systemic risk in markets.

A presente pesquisa aborda um problema de programação de veículos rico, em que a característica mais importante é a demanda de múltiplas embarcações para atendimento a uma única tarefa. Trata-se de uma aplicação real do setor de apoio marítimo \"offshore\", das embarcações que fazem o reboque e o lançamento de linhas de ancoragem de sondas de perfuração e unidades de produção. Como método de solução, aplicaram-se duas heurísticas com uma abordagem híbrida que incluem uma inserção baseada em programação linear inteira, visando a minimização do custo total da operação, dentro de um tempo de processamento aceitável. / This research deals with a rich vehicle scheduling problem, having as the most important feature the demand of multiple vessels per task. It is a real problem present in the oil industry related to the vessels that undertake the towing and the launching of mooring lines of drilling and production units. As a solution method, two heuristics with a hybrid approach were applied which include an insertion based on integer linear programming, aiming at minimizing the total cost of the operation, within an acceptable processing time.

Les perspectives énergétiques globales soulignent une demande croissante d'énergie sur les prochaines décennies. Le pétrole brut devrait représenter environ 35% de l'offre d'énergie primaire à l'horizon 2030 d'après l'AIE. Parmi les sources d'approvisionnement, les hydrocarbures "non conventionnels" devraient contribuer significativement à l'offre de produits pétroliers, puisqu'ils présentent un intérêt stratégique en termes de réserves et d'indépendance énergétique. L'objectif de cette thèse est l'étude du potentiel de développement des ressources d'hydrocarbure non conventionnelles sous différents scénarios liés au contexte économique et environnemental. Les sables asphaltiques, principalement localisés au Canada, constituent notre cas d'application. La première partie de cette thèse a mis en évidence deux phases de développement: la première, de 1980 à 2005, correspondant à l'émergence de la filière grâce à des leviers réglementaires, économiques et géographiques; la seconde, amorcée en 2005 avec la dégradation du contexte économique, pendant laquelle le développement de la filière s'est fortement ralenti. La seconde partie de cette thèse porte sur l'analyse prospective à horizon 2050. L'élaboration d'un premier modèle basé sur la programmation linéaire a permis de quantifier l'offre tendancielle sous différents scénarios déterministes de prix et de réglementations environnementales. En particulier, la décision d'investissement apparaît significativement impactée par l'introduction d'une taxe CO2. Un second modèle basé sur la programmation dynamique a permis d'évaluer l'offre prospective en présence d'incertitudes. Un impact négatif de l'incertitude et de la volatilité des prix sur la décision d'investissement a été mis en évidence, avec ou sans réglementation environnementale. Cet impact négatif est accentué lorsqu'une incertitude supplémentaire sur le cadre réglementaire environnemental est introduite. / International energy outlook emphasizes an increasing energy demand over the next decades. Crude oil should represent about 35% of primary energy supply by 2030 according to the IEA. Among supply sources, non conventional crude oil should contribute significantly to the supply of petroleum products, being strategic in terms of reserves and energy independence. This thesis aims to evaluate the development potential of non conventional crude oil using different scenarios regarding the economic and environmental context. Oil sands, essentially located in Canada, constitute our application. The first part of this thesis highlights two development phases: the first one, from 1980 to 2005, corresponding to the emergence of the oil sands sector through regulatory, economic and geographical levers; the second one, started in 2005 with the deterioration of the economic climate, during which oil sands development slowed down significantly. The second part of this thesis focuses on the prospective analysis of the horizon 2050. Firstly, the development of a supply model based on linear programming allowed us to quantify non conventional oil trend supply under deterministic price and environmental regulation scenarios. In particular, investment decision is significantly affected by the establishment of a CO2 tax. Secondly, the development of another supply model based on dynamic programming allowed us to evaluate future non conventional crude oil supply under uncertainties. A negative impact of price uncertainty and volatility on investment decision is highlighted, under or without environmental regulation. This negative impact is strengthened by the introduction of a supplementary uncertainty in environmental legal framework.

[pt] Além do seu importante papel metalúrgico, o coque representa mais da metade do custo de produção do ferro gusa e cerca de 20% do custo de fabricação do aço. Por isso, as siderúrgicas integradas buscam misturas de custo mínimo para produção de coque que atendam aos requisitos de qualidade. Para garantir essa qualidade, elas impõem aos seus fornecedores de carvão cláusulas contratuais relativas à umidade, cinzas, enxofre, fósforo, matéria volátil, fluidez, refletância e dilatação e, eventualmente, outras. Como nem sempre essas exigências são atendidas pelos fornecedores, penalidades contratuais são especificadas com o propósito de evitar que as siderúrgicas arquem com os custos causados por desvios de especificações. Entretanto, tais penalidades nem sempre refletem os custos realmente causados, pois estes decorrem não só da redução do material aproveitável, mas, também, dos reajustes necessários na mistura para que o coque se mantenha dentro da qualidade exigida. Essa dissertação propõe um sistema para determinação do ônus efetivamente causado por desvios nas especificações de um carvão contratado. Uma apresentação detalhada do problema, sua formulação como modelo de programação linear e um procedimento para a análise são propostos. Um sistema protótipo funcional foi desenvolvido e ilustrações numéricas das análises são discutidas. / [en] In addition to its important metallurgical role, the coke accounts for more than half of the total production cost of the pig iron and around 20% of the total cost of steel production. For this reason, the integrated steelmaking mills seek minimum cost coal blends for producing coke within the quality requirements. To guarantee this quality the steelmaking mills impose to their coal vendors some contractual clauses regarding humidity, ashes, sulfur, phosphor, volatile matter, fluidity, reflectance and dilatation, and sometimes, still others. Since these requirements are not always met by the vendors, contractual penalties are specified with the purpose of avoiding that the steelmakers end up with the burden of the costs caused by such specs deviations. Nonetheless, such penalties do not always reflect the actual costs they cause, because the latter derive not only from the reduction of the usable material, but also from the blend adjustments necessary to keep the coke within the required quality. This thesis proposes a system for determining the burden effectively caused by specs deviations. A detailed presentation of the problem, its formulation as a linear programming model and a procedure for analysis are proposed. A functional prototype system was developed and numerical illustrations of the analyses are discussed.

Orientador: Edméa Cássia Baptista / Co-orientador: Edilaine Martins Soler / Banca: Antonio Roberto Balbo / Banca: Edmarcio Antonio Belati / Resumo: No presente trabalho investigamos um método, o qual foi desenvolvido para resolver problemas de programação linear e não linear de grande porte. Neste método os problemas de programação linear são resolvidos pelo método primal simplex; já nos problemas com função objetivo não linear e restrições lineares é utilizado o método do gradiente reduzido; e para resolver os problemas com função objetivo e restrições não lineares: uma linearização de Taylor de primeira ordem nas restrições não lineares, uma função Langreangeana Aumentada e o método do gradiente reduzido são utilizados. Este método está implementado no pacote de otimização MINOS. Neste contexto, propomos analisar a eficiência deste método e a influência da inicialização do parâmetro de penalidade na solução do problema de Fluxo de Potência Ótimo, o qual, é estudado na Engenharia Elétrica, na área de Sistemas Elétricos de Potência. Testes computacionais foram realizados com os problemas de Fluxo de Potencia Ótimo associados aos sistemas elétricos de 3, 14, 30, 57 e 118 barras / Abstract: In this work we investigate a method, which was developed to solve large-scale linear and nonlinear programming problems. In this method, the linear programming problems are solved by the simplex primal method; in the problems with nonlinear objective function and linear constraints is used the reduced gradient method; and for solving problems with nonlinear objective function and nonlinear constraints: a first-order Taylor's linearization in the nonlinear constraints, an Augmented langrarian Function and the reduced gradient method are used. This method is implemented in the package MINOS. In this context, we propose to analyze the efficiency of this method and the influence of the initialization of penalty parameter in the solution of Optimal Power Flow problem, which is studied in the Electrical Engineering in the Electrical Power Systems area. Computational tests were realized Optimal Power Flow problems associated with electrical systems 3, 14, 30, 57 and 118 buses / Mestre

A Agricultura Orgânica oferece, ao mercado consumidor, produtos isentos de agentes químicos. Os produtores que fazem uso do sistema convencional e estiverem interessados em adotar a tecnologia orgânica de produção deverão se credenciar junto ao Ministério da Agricultura através de uma certificadora de produtos orgânicos. A certificação pode ser por auditoria ou participativa, mas para recebê-la o agropecuarista deve seguir as normas e procedimentos estabelecidos pela legislação brasileira de produtos orgânicos. Um dos procedimentos é o processo de conversão ou transição, pelo qual a atividade agrícola em manejo convencional muda para o manejo orgânico. O tempo de transição pode variar de 12 a 18 meses, no mínimo, de acordo com a espécie vegetal ou animal e pelo histórico da unidade produtiva. No caso do café, a conversão do sistema convencional para o orgânico pode trazer consigo, entre outros benefícios, a independência de insumos externos, menor risco para a saúde e pode proporcionar maior lucro ao produtor. Esta pesquisa tem como objetivo desenvolver um planejamento de produção do café para o processo de conversão da técnica convencional para a orgânica no Sítio Terra Verde em Espírito Santo do Pinhal no estado de São Paulo. Utilizou-se a metodologia de programação linear para maximizar o lucro e minimizar o custo de produção do café em seis cenários. O plano de conversão foi de oito anos, respeitando a bienalidade do cafeeiro, passando por três fases de manejo: substituição de insumos, conversão e produção orgânica. Foram realizadas três análises sobre o planejamento de conversão. Os resultados da primeira análise mostraram que a adoção da técnica orgânica proporcionou ao cafeicultor lucros superiores aos do sistema convencional no final do período de conversão, quando ocorre aumento sobre o preço da saca. Os cenários da segunda análise identificaram uma situação de prejuízo ao cafeicultor no 4º ano do planejamento e uma condição econômica desvantajosa em relação ao sistema convencional, pois o lucro geral foi inferior, devido à redução da produtividade até o final da conversão. A terceira análise apresentou uma situação em que o produtor não recebe o incremento sobre o preço da saca de café quando em manejo orgânico, o que levou à obtenção de resultado desvantajoso ao produtor, no qual o lucro geral do sistema orgânico foi muito baixo em relação ao do sistema convencional. Conclui-se que especificamente para o Sítio Terra Verde, pode ser economicamente viável a adoção da produção orgânica na cultura do café, mas é com extrema dependência do diferencial do preço entre os sistemas convencional e orgânico. / Organic agriculture offers products to the consumer market free of chemicals. Producers who use the conventional system and are interested in adopting organic production technology must be certified by the Ministry of Agriculture through a certification of organic products. Certification may be obtained by auditing or participatory, but in order to receive it, the rural producers must follow the rules and procedures established by the Brazilian laws for organic products. One example is the process of conversion or transition, through which the agricultural activity is converted from conventional farming to the organic one. The transition time may vary from 12 to 18 months, at least, according to the vegetal or animal species and the farm history. In the case of coffee, the conversion from conventional to the organic system can bring some benefits, for example, the independence of external inputs, risk lower to health and can provide more profit to the producer. Thus, this research aims carry out a coffee a plan of partial conversion to organic production technology for a rural property called Sítio Terra Verde at Espírito Santo do Pinhal, São Paulo State, which uses the conventional system. It was used linear programming to maximize profit and minimize costs of coffee production in six scenarios. The conversion planning was established to occur in eight years, respecting the twice yearly harvesting, with three stages: input substitution, conversion and organic production. Were held three analysis on the conversion plan. The results of the first analysis showed that the adoption of organic technique provided greater profits for the producers than the conventional system at the end of the conversion period, when the coffee bag\'s price raises. The second analysis scenarios identified a prejudice situation for the producer in the 4th year of planning and a disadvantage economic condition compared to the conventional system, because the overall profit was lower due to the reduction in productivity by the end of conversion time. The third analysis showed a situation where the producer does not receive a higher price due to the organic management, with a disadvantageous result for the producer, since the overall profit of the organic system was much lower compared to the conventional system. It was concluded that specifically for Sítio Terra Verde the adoption of organic management for the coffee farming can be economically viable, but it is extremely dependent on price differential between conventional and organic systems.

Este trabalho propõe modelos matemáticos e heurísticas para a definição da malha de voos de uma empresa aérea, como parte de seu planejamento operacional, visando à maior eficiência de operação frente às restrições relacionadas aos aeroportos, a equipamentos e à demanda. Em especial, é proposta uma função objetivo, baseada no momento de transporte, para a modelagem integrada dos problemas de Programação de Voos e Alocação de Frotas que inclui elementos específicos para a consideração de slots de pouso e decolagem. A abordagem tem aplicação especialmente relevante no âmbito de empresas aéreas de pequeno e médio porte atuando em mercados regionais, cuja malha é composta principalmente por voos de curta duração, em geral operando com aeronaves de pequeno e médio porte. Nestas condições, tais empresas trabalham com margens de lucro limitadas e, portanto, podem-se beneficiar sensivelmente da definição de uma malha mais eficiente e eficaz. Os modelos desenvolvidos, baseados em programação linear inteira e na meta-heurística Ant Colony Optimization, foram aplicados com sucesso ao caso de uma empresa aérea regional, com atuação no mercado brasileiro, possibilitando a definição de malhas alternativas, bem como fornecendo subsídos para a avaliação dos impactos na malha oriundos da utilização de novas aeronaves. / This research proposes mathematical models and heuristics to define the flight mesh of an airline, as part of its operational planning, considering restrictions related to airports, equipment and demand. In particular, an objective function is formulated, based on transport momentum, proposed for the integrated modeling of Flight Scheduling and Fleet Assignment problems that includes specific elements to consider landing and takeoff slots at airports. The approach is especially relevant for small and medium airlines operating in regional markets, with short-haul flights, in general operating with small or medium size aircraft. Accordingly, these companies work with limited profit margins, and, therefore, they can take great benefit from a more efficient and effective flight mesh. The models proposed, based on integer linear programming and on the Ant Colony Optimization meta-heuristic, were successfully applied to the case of a regional airline with operations in Brazil, enabling the definition of mesh alternatives as well as providing information for the assessment of impacts in its flight network arising from the utilization of new aircraft.