Browsing Fakultet for økonomi (ØK) by Journals "Computational Management Science"
Now showing items 1-13 of 13
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A copula-based heuristic for scenario generation
(Journal article; Peer reviewed, 2013)This paper presents a new heuristic for generating scenarios for two-stage stochastic programs. The method uses copulas to describe the dependence between the marginal distributions, instead of the more common correlations. ... -
Decision-dependent probabilities in stochastic programs with recourse
(Journal article; Peer reviewed, 2018)Stochastic programming with recourse usually assumes uncertainty to be exogenous. Our work presents modelling and application of decision-dependent uncertainty in mathematical programming including a taxonomy of stochastic ... -
Decomposition methods for multi-horizon stochastic programming
(Journal article; Peer reviewed, 2024)Multi-horizon stochastic programming includes short-term and long-term uncertainty in investment planning problems more efficiently than traditional multi-stage stochastic programming. In this paper, we exploit the block ... -
Emergency exit layout planning using optimization and agent-based simulation
(Peer reviewed; Journal article, 2023)Evacuation preparedness includes ensuring proper infrastructure, resources and planning for moving people from a dangerous area to safety. This is especially important and challenging during mass gatherings, such as large ... -
Investment in electric energy storage under uncertainty: a real options approach
(Journal article; Peer reviewed, 2016)In this paper we develop a real options approach to evaluate the profitability of investing in a battery bank. The approach determines the optimal investment timing under conditions of uncertain future revenues and investment ... -
Kalman filter approach to real options with active learning
(Peer reviewed; Journal article, 2022)Technological innovations often create new markets and this gives incentives to learn about their associated profitabilities. However, this decision depends not only on the underlying uncertain profitability, but also on ... -
Multi-horizon stochastic programming
(Journal article; Peer reviewed, 2014)Infrastructure-planning models are challenging because of their combination of different time scales: while planning and building the infrastructure involves strategic decisions with time horizons of many years, one needs ... -
On the Construction of Hourly Price Forward Curves for Electricity Prices
(Journal article; Peer reviewed, 2018)There are several approaches in the literature for the derivation of price forward curves (PFCs) which distinguish among each other by the procedure employed for the derivation of seasonality shapes, smoothing technique ... -
Portfolio Stress Testing Applied to Commodity Futures
(Journal article; Peer reviewed, 2020)In this article, we construct a portfolio of commodity futures which mimics the Dow Jones Commodity Index and perform an extensive stress testing exercise with a focus on hybrid scenarios. The increased volume of investments ... -
Progressive hedging for stochastic programs with cross scenario inequality constraints
(Journal article; Peer reviewed, 2019)In this paper, we show how progressive hedging may be used to solve stochastic programming problems that involve cross-scenario inequality constraints. In contrast, standard stochastic programs involve cross-scenario ... -
Solving a maritime inventory routing problem under uncertainty using optimization and simulation
(Peer reviewed; Journal article, 2023)The problem studied in this paper is inspired by one of the world’s largest producers of aluminium. The company produces alumina in South America that needs to be transported to aluminium production plants along the west ... -
Using Lagrangian relaxation to locate hydrogen production facilities under uncertain demand: a case study from Norway
(Peer reviewed; Journal article, 2023)Hydrogen is considered a solution to decarbonize the transportation sector, an important step to meet the requirements of the Paris agreement. Even though hydrogen demand is expected to increase over the next years, the ... -
Using machine learning prediction models for quality control: a case study from the automotive industry
(Journal article; Peer reviewed, 2023)This paper studies a prediction problem using time series data and machine learning algorithms. The case study is related to the quality control of bumper beams in the automotive industry. These parts are milled during the ...