arXiv subjects

Justo Puerto

Publications and source records attributed to Justo Puerto.

At least 37 records · Page 2Linked to original sources

arXiv2024

New approximate stochastic dominance approaches for Enhanced Indexation models

In this paper, we discuss portfolio selection strategies for Enhanced Indexation (EI), which are based on stochastic dominance relations. The goal is to select portfolios that stochastically dominate a given benchmark but that, at the same time, must generate some excess return with respect to a benchmark index. To achieve this goal, we propose a new methodology that selects portfolios using the ordered weighted average (OWA) operator, which generalizes previous approaches based on minimax selection rules and still leads to solving linear programming models. We also introduce a new type of approximate stochastic dominance rule and show that it implies the almost Second-order Stochastic Dominance (SSD) criterion proposed by Lizyayev and Ruszczynski (2012). We prove that our EI model based on OWA selects portfolios that dominate a given benchmark through this new form of stochastic dominance criterion. We test the performance of the obtained portfolios in an extensive empirical analysis based on real-world datasets. The computational results show that our proposed approach outperforms several SSD-based strategies widely used in the literature, as well as the global minimum variance portfolio.

q-fin.PM↗

arXiv2023

Budget-constrained cut problems

The minimum and maximum cuts of an undirected edge-weighted graph are classic problems in graph theory. While the Min-Cut Problem can be solved in P, the Max-Cut Problem is NP-Complete. Exact and heuristic methods have been developed for solving them. For both problems, we introduce a natural extension in which cutting an edge induces a cost. Our goal is to find a cut that minimizes the sum of the cut weights but, at the same time, restricts its total cut cost to a given budget. We prove that both restricted problems are NPComplete and we also study some of its properties. Finally, we develop exact algorithms to solve both as well as a non-exact algorithm for the min-cut case based on a Lagreangean relaxation that generally provides optimal solutions. Their performance is reported by an extensive computational experience.

math.CO↗

arXiv2023

Allocating the surplus induced by cooperation in distribution chains with multiple suppliers and retailers

The coordination of actions and the allocation of profit in supply chains under decentralized control play an important role in improving the profits of retailers and suppliers in the chain. We focus on supply chains under decentralized control in which noncompeting retailers can order from multiple suppliers to replenish their stocks. Suppliers' production capacity is bounded. The goal of the firms in the chain is to maximize their individual profits. As the outcome under decentralized control is inefficient, coordination of actions between cooperating agents can improve individual profits. Cooperative game theory is used to analyze cooperation between agents. We define multi-retailer-supplier games and show that agents can always achieve together an optimal profit and they have incentives to cooperate and to form the grand coalition. Moreover, we show that there always exist stable allocations of the total profit among the firms upon which no coalition can improve. Then we propose and characterize a stable allocation of the total surplus induced by cooperation.

cs.GT↗

arXiv2023

A Mathematical Programming approach to Overlapping community detection by cluster's Shapley value

We propose a new model to detect the overlapping communities of a network that is based on cooperative games and mathematical programming. More specifically, communities are defined as stable coalitions of a weighted graph community game and they are revealed as the optimal solution of a mixed-integer linear programming problem. Exact optimal solutions are obtained for small and medium sized instances and and it is shown that they provide useful information about the network structure, improving on previous contributions. Next, a heuristic algorithm is developed to solve the largest instances and used to compare two variations of the objective function.

math.OC↗

arXiv2022

Intra-facility equity in discrete and continuous $p$-facility location problems

We consider facility location problems with a new form of equity criterion. Demand points have preference order on the sites where the plants can be located. The goal is to find the location of the facilities minimizing the envy felt by the demand points with respect to the rest of demand points allocated to the same plant. After defining this new envy criterion and the general framework based on it, we provide formulations that model this approach in both the discrete and the continuous framework. The problems are illustrated with examples and the computational tests reported show the potential and limits of each formulation on several types of instances. Although this article is mainly focused on the introduction, modelling and formulation of this new concept of envy, some improvements for all the formulations presented are developed, obtaining in some cases better solution times.

math.OC↗

arXiv2022

A Network Model for Multiple Selection Questions in Opinion Surveys

Opinion surveys can contain closed questions to which respondents can give multiple answers. We propose to model these data as networks in which vertices are eligible items and arcs are respondents. This representation opens up the possibility of using complex networks methodologies to retrieve information and most prominently, the possibility of using clustering/community detection techniques to reduce data complexity. We will take advantage of the implicit null hypothesis of the modularity function, namely, that items are chosen without any preferential pairing, to show how the hypothesis can be tested through the usual calculation of p-values. We illustrate the methodology applying it to Eurobarometer data. There, a question about national concerns can receive up to two selections. We will show that community clustering groups together concerns that can be interpreted in consistent way and in general terms, such as Economy, Security and Welfare issues. Moreover, we will show that in this way cleavages between social sectors can be determined.

physics.soc-ph↗

arXiv2021

Multiclass Optimal Classification Trees with SVM-splits

In this paper we present a novel mathematical optimization-based methodology to construct tree-shaped classification rules for multiclass instances. Our approach consists of building Classification Trees in which, except for the leaf nodes, the labels are temporarily left out and grouped into two classes by means of a SVM separating hyperplane. We provide a Mixed Integer Non Linear Programming formulation for the problem and report the results of an extended battery of computational experiments to assess the performance of our proposal with respect to other benchmarking classification methods.

math.OC↗

arXiv2021

Shortest paths and location problems in a continuous framework with different $\ell_p$-norms on different regions

In this paper we address two different related problems. We first study the problem of finding a simple shortest path in a $d$-dimensional real space subdivided in several polyhedra endowed with different $\ell_p$-norms. This problem is a variant of the weighted region problem, a classical path problem in computational geometry introduced in Mitchell and Papadimitriou (JACM 38(1):18-73, 1991). As done in the literature for other geodesic path problems, we relate its local optimality condition with Snell's law and provide an extension of this law in our framework space. We propose a solution scheme based on the representation of the problem as a mixed-integer second order cone problem (MISOCP) using the $\ell_p$-norm modeling procedure given in Blanco et al. (Comput Optim Appl 58(3):563-595, 2014). We derive two different MISOCPs formulations, theoretically compare the lower bounds provided by their continuous relaxations, and propose a preprocessing scheme to improve their performance. The usefulness of this approach is validated through computational experiments. The formulations provided are flexible since some extensions of the problem can be handled by transforming the input data in a simple way. The second problem that we consider is the Weber problem that results in this subdivision of $\ell_p$-normed polyhedra. To solve it, we adapt the solution scheme that we developed for the shortest path problem and validate our methodology with extensive computational experiments.

math.OC↗

arXiv2021

Coordinating drones with mothership vehicles: The mothership and multiple drones routing problem with Graphs

This paper considers the optimization problems that arise to coordinate a tandem between a mothership vehicle and a fleet of drones. %more than one drone. Each drone can be launched from the mothership to perform an operation. After completing the operations the drones return to the mothership to recharge batteries and to be ready for a new operation. Operations consist on (partially) visiting graphs with given lengths to deliver some service or to perform some surveillance/inspection activity. The goal is to minimize the overall weighted distance traveled by the mothership while satisfying some requirements in terms of percentages of visits to the target graphs. In all cases, we develop exact formulations resorting to mixed integer second order cone programs that are compared on a testbed of instances to assess their performance. We also develop a matheuristic algorithm that provides reasonable solutions. Computational experiments show the usefulness of our methods in different scenarios.

math.OC↗

arXiv2021

A Branch-and-Price approach for the Continuous Multifacility Monotone Ordered Median Problem

In this paper, we address the Continuous Multifacility Monotone Ordered Median Problem. This problem minimizes a monotone ordered weighted median function of the distances between given demand points in $\mathbb{R}^d$ and its closest facility among the $p$ selected, also in a continuous space. We propose a new branch-and-price procedure for this problem, and two mathehuristics. One of them is a decomposition-based procedure and the other an aggregation-based heuristic. We give detailed discussions of the validity of the exact formulations and also specify the implementation details of all the solution procedures. Besides, we assess their performance in an extensive computational experience that shows the superiority of the branch-and-price approach over the compact formulation in medium-sized instances. To handle larger instances it is advisable to resort to the matheuristics that also report rather good results.

math.OC↗

arXiv2021

Network Flow based approaches for the Pipelines Routing Problem in Naval Design

In this paper we propose a general methodology for the optimal automatic routing of spatial pipelines motivated by a recent collaboration with Ghenova, a leading Naval Engineering company. We provide a minimum cost multicommodity network flow based model for the problem incorporating all the technical requirements for a feasible pipeline routing. A branch-and-cut approach is designed and different matheuristic algorithms are derived for solving efficiently the problem. We report the results of a battery of computational experiments to assess the problem performance as well as a case study of a real-world naval instance provided by our partner company.

math.OC↗

arXiv2021

The soft-margin Support Vector Machine with ordered weighted average

This paper deals with an extension of the Support Vector Machine (SVM) for classification problems where, in addition to maximize the margin, i.e., the width of strip defined by the two supporting hyperplanes, the minimum of the ordered weighted sum of the deviations of miclassified individuals is considered. Since the ordered weighted sum includes as particular case the sum of these deviations, the classical SVM model is a particular case of the model under study. A quadratic continuous formulation for the case in which weights are sorted in non-decreasing order is introduced, and a mixed integer quadratic formulation for general weights is presented. In both cases, we show that these formulations allow us the use of kernel functions to construct non linear classifiers. Besides, we report some computational results about the predictive performance of the introduced approach (also in its kernel version) in comparison with other SVM models existing in the literature.

math.OC↗

arXiv2021

A Branch-and-price procedure for clustering data that are graph connected

This paper studies the Graph-Connected Clique-Partitioning Problem (GCCP), a clustering optimization model in which units are characterized by both individual and relational data. This problem, introduced by Benati et al. (2017) under the name of Connected Partitioning Problem, shows that the combination of the two data types improves the clustering quality in comparison with other methodologies. Nevertheless, the resulting optimization problem is difficult to solve; only small-sized instances can be solved exactly, large-sized instances require the application of heuristic algorithms. In this paper we improve the exact and the heuristic algorithms previously proposed. Here, we provide a new Integer Linear Programming (ILP) formulation, that solves larger instances, but at the cost of using an exponential number of variables. In order to limit the number of variables necessary to calculate the optimum, the new ILP formulation is solved implementing a branch-and-price algorithm. The resulting pricing problem is itself a new combinatorial model: the Maximum-weighted Graph-Connected Single-Clique problem (MGCSC), that we solve testing various Mixed Integer Linear Programming (MILP) formulations and proposing a new fast "random shrink" heuristic. In this way, we are able to improve the previous algorithms: The branch-and-price method outperforms the computational times of the previous MILP algorithms and the new random shrink heuristic, when applied to GCCP, is both faster and more accurate than the previous heuristic methods. Moreover, the combination of column generation and random shrink is itself a new MILP-relaxed matheuristic that can be applied to large instances too. Its main advantage is that all heuristic local optima are combined together in a restricted MILP, consisting in the application of the exact branch-and-price method but solving heuristically the pricing problem.

math.OC↗

arXiv2021

Cooperation in lot-sizing problems with heterogeneous costs: the effect of consolidated periods

We consider a cooperative game defined by an economic lot-sizing problem with heterogeneous costs over a finite time horizon, in which each firm faces demand for a single product in each period and coalitions can pool orders. The model of cooperation works as follows: ordering channels and holding and backlogging technologies are shared among the members of the coalitions. This implies that each firm uses the best ordering channel and holding technology provided by the participants in the consortium. That is, they purchase, hold inventory, pay backlogged demand and make orders at the minimum cost of the coalition members. Thus, firms aim at satisfying their demand over the planing horizon with minimal operation cost. Our contribution is to show that there exist fair allocations of the overall operation cost among the firms so that no group of agents profit from leaving the consortium. Then we propose a parametric family of cost allocations and provide sufficient conditions for this to be a stable family against coalitional defections of firms. Finally, we focus on those periods of the time horizon that are consolidated and we analyze their effect on the stability of cost allocations.

eess.SY↗

arXiv2021

A combinatorial optimization approach to scenario filtering in portfolio selection

Recent studies stressed the fact that covariance matrices computed from empirical financial time series appear to contain a high amount of noise. This makes the classical Markowitz Mean-Variance Optimization model unable to correctly evaluate the performance associated to selected portfolios. Since the Markowitz model is still one of the most used practitioner-oriented tool, several filtering methods have been proposed in the literature to fix the problem. Among them, the two most promising ones refer to the Random Matrix Theory or to the Power Mapping strategy. The basic idea of these methods is to transform the correlation matrix maintaining the Mean-Variance Optimization model. However, experimental analysis shows that these two strategies are not adequately effective when applied to real financial datasets. In this paper we propose an alternative filtering method based on Combinatorial Optimization. We advance a new Mixed Integer Quadratic Programming model to filter those observations that may influence the performance of a portfolio in the future. We discuss the properties of this new model and we test it on some real financial datasets. We compare the out-of-sample performance of our portfolios with the one of the portfolios provided by the two above mentioned alternative strategies. We show that our method outperforms them. Although our model can be solved efficiently with standard optimization solvers the computational burden increases for large datasets. To overcome this issue we also propose a heuristic procedure that empirically showed to be both efficient and effective.

math.OC↗

arXiv2020

Robust Optimal Classification Trees under Noisy Labels

In this paper we propose a novel methodology to construct Optimal Classification Trees that takes into account that noisy labels may occur in the training sample. Our approach rests on two main elements: (1) the splitting rules for the classification trees are designed to maximize the separation margin between classes applying the paradigm of SVM; and (2) some of the labels of the training sample are allowed to be changed during the construction of the tree trying to detect the label noise. Both features are considered and integrated together to design the resulting Optimal Classification Tree. We present a Mixed Integer Non Linear Programming formulation for the problem, suitable to be solved using any of the available off-the-shelf solvers. The model is analyzed and tested on a battery of standard datasets taken from UCI Machine Learning repository, showing the effectiveness of our approach.

cs.LG↗

arXiv2020

Routing for unmanned aerial vehicles: touring dimensional sets

In this paper we deal with an extension of the crossing postman problem to design Hamiltonian routes that have to visit different shapes of dimensional elements (neighborhoods or polygonal chains) rather than edges. This problem models routes of drones that must visit a number of geographical elements to deliver some good or service and then move directly to the next target element using straight line displacements. We present two families of mathematical programming formulations. The first one is time-dependent and captures a number of actual characteristics of real applications at the price of using three indexes variables. The second one are not referenced to the stages of the route. We compare them on a testbed of randomly generated instances with different shapes of elements: second order cone representable (SOC) and polyhedral neighborhoods and polygonal chains. The computational result reported in this paper show that our models are useful and can solve to optimality medium size instances of sizes similar to other combinatorial problems with neighborhoods. To address larger instances we also present a heuristic algorithm that runs in two phases: clustering and VNS. This algorithm performs very well in quality of solutions provided and can be used to initialize the exact methods with promising initial solutions.

math.CO↗

arXiv2020

A risk-aversion approach for the Multiobjective Stochastic Programming problem

Multiobjective stochastic programming is a field well located to tackle problems arising in emergencies, given that uncertainty and multiple objectives are usually present in such problems. A new concept of solution is proposed in this work, especially designed for risk-aversion solutions. A linear programming model is presented to obtain such solution.

math.OC↗