2016 INFORMS Annual Meeting Program

TB18

INFORMS Nashville – 2016

TB18 106A-MCC Finance, Portfolio II Contributed Session

time. We discuss our methodology, TOpS (Transition toward the Optimal Solution), that creates optimal deployment plans for binary integer programs. TOpS illuminates the most improving steps within a specified deviation from the status quo. We implement TOpS in two popular modeling environments, and demonstrate how it can find the best improving steps while managing change from present conditions. 2 - Two-stage Stochastic Programming For Vaccine Vial Replenishment Zahra Azadi, Clemson University, zazadi@clemson.edu, Harsha Gangammnavar, Sandra D Eksioglu Multi-dose vaccine vials must be utilized within a short time if not protected in appropriate temperature. The remaining doses are discarded. Single-dose vials do not contribute to Open Vial Wastage (OVW), but have higher purchase and inventory holding costs per dose than multi-dose vaccine vials. This study presents a two-stage stochastic programming model that aids health care practitioners identify inventory replenishment and vial opening policies which minimize costs and OVW. We compare the performance of optimal with myopic policies in the presence of random demand. 3 - Optimal Quarantining Policy For Ebola Epidemic Ceyda Yaba, Clemson University, cyaba@clemson.edu, Burak Eksioglu, Amin Khademi The actions taken during a deadly epidemic can be crucial in order to eradicate the disease. We model a Markov decision model for an Ebola epidemic in two districts with the objective of minimizing incidence while quarantining infectious people. However, as the capacities of the quarantine facilities are limited, we need to find a decision rule for quarantining infectious population so that the incidence is minimized in both of the districts. TB20 106C-MCC Robust Multiobjective Optimization for Decision Making under Uncertainty and Conflict Tutorial Session Chair: Margaret M Wiecek, Clemson University, Mathematical Sciences Dept, Clemson, SC, 29634-1907, United States, wmalgor@clemson.edu 1 - Robust Multiobjective Optimization For Decision Making Under Uncertainty And Conflict Margaret M Wiecek, Clemson University, Mathematical Sciences Many real-life problems in engineering, business, and management are characterized by multiple, conflicting objectives, as well as the presence of uncertainty. The conflicting criteria originate from various ways to assess system performance and the multiplicity of decision makers, while uncertainty results from inaccurate or unknown data due to imperfect models and measurements, lack of knowledge, and volatility of the global environment. In this tutorial, the deterministic approaches to uncertainty that are integrated with multiobjective optimization to address decision making under uncertainty and conflict are discussed. The approaches are based on robust optimization and parametric optimization, both developed for single-objective settings. Six sources of uncertainty are presented, and each type of uncertainty is placed in the multiobjective optimization problem (MOP), yielding several types of uncertain MOPs (UMOPs). Some of the sources are adopted from earlier studies in (single- objective) engineering optimization, while the others result from the multiobjective optimization modus operandi. The UMOP models are classified first according to the location of the uncertainty in their formulation, second with respect to the undertaken optimization approach, and third on the basis of the proposed definition of robust efficient solutions. The models are presented along with the accompanying results on solution concepts, properties, methods, and applications that are specific to each case. It is expected that the topics selected in this tutorial and their organization may help beginners to become familiar with the area of robust multiobjective optimization while serving as a reference to researchers. Dept, Clemson, SC, 29634-1907, United States, wmalgor@clemson.edu, Garrett M Dranichak

Chair: Jonathan Liu, Stony Brook University, 61-40 163rd Street, Flushing, NY, 11365, United States, Jonathan.m.liu@stonybrook.edu 1 - Portfolio Selection With The Probabilistic Ordered Weighted Average Jose M. Merigo, Full Professor, University of Chile, Av. Diagonal Paraguay 257, Santiago, 8330015, Chile, jmerigo@fen.uchile.cl, Sigifredo Laengle, Gino Loyola This article presents a generalization of Markowitz’s mean-variance portfolio selection approach by using the probabilistic ordered weighted average. The main advantage is that it can under or overestimate the information provided in the classical portfolio approach according to the attitudinal character of the decision maker. Moreover, it includes the classical Markowitz model as a particular case when the attitudinal character is not needed, by using only the expected value which is a particular case of the probabilistic ordered weighted average. The work considers a wide range of scenarios in financial decision making problems. 2 - Structural Approach To Portfolio Analysis With Diversification Constraints Kyungchan Park, PhD Candidate, Yonsei University, Seodaemun- gu Yonsei-ro 50, School of Business (Bld.#212) Rm.#411, Seoul, 03722, Korea, Republic of, hippogras@gmail.com, Hongseon Kim, Seongmoon Kim The maximum weight of single stock in mutual fund is limited by regulations to enforce diversification. Under incomplete information with added constraints on portfolio weights, enhanced performance had been reported in previous researches. We use a structural approach to analyze the effects of additional constraints on the portfolio’s performance by computing the Euclidean distance from the tangency portfolio, as opposed to analyzing ex-post return only. We find that the diversification-constrained portfolios generally have a smaller distance than the unconstrained portfolios. Charl Chan, Tongji University, Siping Road 1500, Room 1211, Shanghai, 200092, China, charlc@yeah.net, Jiangang Shi This paper analyzes empirically the relationship among monetary policy, real estate price and policy aims using PVAR model. The results show that not all areas of real estate market as a carrier can play a normal function in the process of transmission from the policy tools to the ultimate goal. Extended McCallum rule executed against the regional real estate price bubble will affect the normal supply of the basic currency to other area. And Extended Taylor rule executed will exacerbate deflation in the areas which real estate market is ineffective as a carrier, while it can bring negative effects to other area economic fundamentals. 4 - Efficient Allocation Of Tarp Funds To U.s. Banks Jonathan Liu, Stony Brook University, 61-40 163rd Street, Flushing, NY, 11365, United States, Jonathan.m.liu@stonybrook.edu, Herbert F Lewis, Dmytro Holod In 2008 the government allocated hundreds of billions of dollars to banks all across the United States under the Troubled Asset Relief Program (TARP). The main purpose of TARP was to encourage bank lending during the financial crisis. In this paper, we apply data envelopment analysis (DEA) as part of a two-step process to measure the efficiency of the distribution of funds. DEA is a linear programming-based methodology for measuring relative efficiency of decision making units (DMU). A reallocation model is used to show how funds could have been assigned in a more efficient manner and how additional lending could have been achieved. Finally, we find common characteristics among the inefficient banks. TB19 106B-MCC Computational Methods for Healthcare Applications Sponsored: Computing Sponsored Session Chair: Burak Eksioglu, Clemson University, Clemson University, Clemson, SC, 29634, United States, burak@clemson.edu 1 - Optimal Compromises Between Efficiency And Practicality Andrew C Trapp, Worcester Polytechnic Institute, atrapp@wpi.edu In many real-world contexts, the output of an optimization model may be impractical to implement directly due to a variety of factors. For example, an optimized medical personnel schedule may specify such a large deviation from the (non-optimized) status quo, that it might only be possible to roll out over 3 - Monetary Policy And Real Estate Price Fluctuation: An Analysis On Regional Heterogeneity From China

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