Contributed Session Tue.3.H 1029

Tuesday, 15:15 - 16:45 h, Room: H 1029

Cluster 15: Multi-objective optimization [...]

Applications of multiobjective optimization

 

Chair: Gennady Zabudsky

 

 

Tuesday, 15:15 - 15:40 h, Room: H 1029, Talk 1

Ceren Tuncer Şakar
Effects of multiple criteria and different planning horizons on portfolio optimization

Coauthor: Murat Köksalan

 

Abstract:
Portfolio optimization is the problem of allocating available resources between different investments in the market. Following the pioneering work of Markowitz, Modern Portfolio Theory -which has two criteria of mean return and variance- has emerged and several approaches to the problem have been proposed. Incorporating multiple criteria to portfolio optimization and considering multi-period settings are important. Considering return, liquidity, variance and Conditional Value at Risk, we look into the effects of multiple criteria on the decision and objective spaces of portfolio optimization problems. We also employ Stochastic Programming to handle multi-period portfolio optimization and compare the effects of using different planning horizons. We demonstrate our results based on tests performed with stocks traded on Istanbul Stock Exchange.

 

 

Tuesday, 15:45 - 16:10 h, Room: H 1029, Talk 2

Lino J. Alvarez-Vazquez
Air pollution and industrial plant location: A multi-objective optimization approach

Coauthors: Nestor Garcia-Chan, Aurea Martinez, Miguel E. Vazquez-Mendez

 

Abstract:
In this talk we deal with the problem of choosing the optimal location for a new industrial plant, considering the framework of numerical simulation and multi-objective optimal control of partial differential equations (PDE). We take into account both ecological and economic objectives, and we look not only for the optimal location of the plant but also for the optimal management of its emissions to atmosphere. With these purposes in mind, we propose a mathematical model (a system of parabolic PDE) to simulate air pollution and, based on this model, we formulate the problem in the framework of multi-objective optimal control. This problem is studied here from a cooperative point of view, looking for Pareto-optimal solutions. A numerical algorithm (via a characteristics-Galerkin discretization of the adjoint model) is proposed, and preliminary numerical results for a hypothetical situation in the region of Galicia (NW Spain) are also presented.

 

 

Tuesday, 16:15 - 16:40 h, Room: H 1029, Talk 3

Gennady Zabudsky
Optimal location of rectangles on parallel lines

Coauthor: Igor Amzin

 

Abstract:
Facility location problems in the plane play an important role in mathematical programming. In the report is studied the problem of location rectangles on parallel lines such that a length and a width of rectangular cover were minimum. The problem is NP-hard. For the search of Pareto-optimal solutions we use models of integer linear programming and dynamic programming techniques. An algorithm for the search of the approximate solution of the problem with the minimum length is offered. We use IBM ILOG CPLEX package for the solution of integer linear programming problems. Results of computing experiment are presented.

 

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