This work presents a methodology to incorporate reliability constraints in the optimal power systems expansion planning problem. Besides Loss Of Load Probability (LOLP) and Expected Power Not Supplied (EPNS), traditionally used systems, this proposes use of risk measures VaR (Value-at-Risk) CVaR (Conditional Value-at-Risk), widely financial markets. The explicit consideration problem can be an ...

This paper presents numerical experiments solving complex robust portfolio optimization problems. The models we study are motivated by realistic considerations, and are in principle combinatorially difficult; however we show that using modern optimization methodology one can solve large, real-life cases quite efficiently. We consider classical mean-variance problems [M52], [M59] and closely rel...

We propose a semidefinite optimization (SDP) model for the class of minimax two-stage stochastic linear optimization problems with risk aversion. The distribution of second-stage random variables belongs to a set of multivariate distributions with known first and second moments. For the minimax stochastic problem with random objective, we provide a tight SDP formulation. The problem with random...

Decision-making concerning thelocation of critical resource on the geographical network is important in many industries.In the healthcare system,these decisions include location of emergency and preventive care. The decisions of location play a crucial role due to determining the travel time between supply and de//////mand points and response time in emergencies.Organs are considered as highly ...

Stochastic local search algorithms are proved to be one of the most effective approach for computing approximate solutions of hard combinatorial problems. Most of them are based on a typical randomness related to some uniform distributions for generating initial solutions. Particularly, Extremal Optimization is a recent meta-heuristic proposed for finding high quality solutions to hard optimiza...

This paper presents a novel stochastic optimization approach to solve constrained economic load dispatch (ELD) problem using Hybrid Bacterial Foraging-Differential Evolution optimization algorithm. In this hybrid approach computational chemotaxis of BFOA, which may also be viewed as a stochastic gradient search, has been coupled with DE type mutation and crossover of the optimization agents. Th...