Titles in this Series

Ninth Issue: Nonlinear Programming Techniques for Equilibria


Authors: Bigi, G., Castellani, M., Pappalardo, M., Passacantando, M.

This book considers a range of problems in operations research, which are formulated through various mathematical models such as complementarity, variational inequalities, multiobjective optimization, fixed point problems, noncooperative games and inverse optimization. Moreover, the book subsumes all these models under a common structure that allows them to be formulated in a unique format: the Ky Fan inequality. It subsequently focuses on this unifying equilibrium format, providing a comprehensive overview of the main theoretical results and solution algorithms, together with a wealth of applications and numerical examples. Particular emphasis is placed on the role of nonlinear optimization techniques – e.g. convex optimization, nonsmooth calculus, proximal point and descent algorithms – as valuable tools for analyzing and solving Ky Fan inequalities.


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Eighth Issue: Analytical Techniques in the Assessment of Credit Risk


Authors: Doumpos, M., Lemonakis, C., Niklis, D., Zopounidis, C.

This book provides a unique, focused introduction to the analytical skills, methods and techniques in the assessment of credit risk that are necessary to tackle and analyze complex credit problems. It employs models and techniques from operations research and management science to investigate more closely risk models for applications within the banking industry and in financial markets. Furthermore, the book presents the advances and trends in model development and validation for credit scoring/rating, the recent regulatory requirements and the current best practices. Using examples and fully worked case applications, the book is a valuable resource for advanced courses in financial risk management, but also helpful to researchers and professionals working in financial and business analytics, financial modeling, credit risk analysis, and decision science.


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Seventh Issue: Traffic Flow Modelling


Authors: van Wageningen-Kessels, Femke

This book introduces readers to the main traffic flow modelling approaches and discusses their features and applications. It provides a comprehensive and cutting-edge review of traffic flow models, from their roots in the 1930s to the latest developments in the field. In addition, it presents problem sets that offer readers further insights into the models and hands-on experience with simulation approaches. The simulations used in the exercises can be built upon for readers’ own research or other applications.
The models discussed in this book are applied to describe, predict and control traffic flows on roads with the aid of rapid and accurate estimations of current and future states. The book shows how these models are developed, what their chief characteristics are, and how they can be effectively employed.


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Sixth Issue: Supply Chain Finance


Authors: Zhao, Lima, Huchzermeier, Arnd

This textbook presents a coherent and robust structure for integrated risk management in the context of operations and finance. It explains how the operations-finance interface jointly optimizes material and financial flows under intricate risk exposures. The book covers financial flexibility, operational hedging, enterprise risk management (ERM), supply chain risk management (SCRM), integrated risk management (IRM), supply chain finance (SCF), and financial management of supply chain strategies. Both qualitative and quantitative approaches – including conceptualization, theory building, analytical modeling, and empirical research – are used to assess the value creation by integrating operations and finance.


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Fifth Issue: Metaheuristics for Business Analytics


Authors: Duarte, Abraham, Laguna, Manuel, Marti, Rafael

This essential metaheuristics tutorial provides descriptions and practical applications in the area of business analytics. It addresses key problems in predictive and prescriptive analysis, while also illustrating how problems that arise in business analytics can be modelled and how metaheuristics can be used to find high-quality solutions. Readers will be introduced to decision-making problems for which metaheuristics offer the most effective solution technique. The book not only shows business problem modelling on a spreadsheet but also how to design and create a Visual Basic for Applications code.


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Fourth Issue: Compact Extended Linear Programming Models


Authors: Lancia, Giuseppe, Serafini, Paolo

This book provides a handy, unified introduction to the theory of compact extended formulations of exponential-size integer linear programming (ILP) models. Compact extended formulations are equally powerful, but polynomial-sized, models whose solutions do not require the implementation of separation and pricing procedures. The book is written in a general, didactic form, first developing the background theoretical concepts (polyhedra, projections, linear and integer programming) and then delving into the various techniques for compact extended reformulations. The techniques are illustrated through a wealth of examples touching on many application areas, such as classical combinatorial optimization, network design, timetabling, scheduling, routing, computational biology and bioinformatics. The book is intended for graduate or PhD students – either as an advanced course on selected topics or within a more general course on ILP and mathematical programming – as well as for practitioners and software engineers in industry exploring techniques for developing optimization models for their specific problems.


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Third Issue: Multiobjective Linear and Integer Programming


Authors: Henggeler Antunes, Carlos, João Alves, Maria, Clímaco, João

This book ​provides a comprehensive introduction to multiobjective optimization, spanning the main concepts, surrogate scalar functions and interactive methods. It presents illustrative examples of how to employ the main interactive methods representative of different strategies of search, solution computation techniques and dialog protocols It includes interactive software to be used in the classroom for teaching purposes, for assignments and also for actual decision-making support.


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Second Issue: Dual-Feasible Functions for Integer Programming and Combinatorial Optimization


Authors: Alves, C., Clautiaux, F., de Carvalho, J.V., Rietz, J.

This book provides a postgraduate audience the keys they need to understand and further develop a set of tools for the efficient computation of lower bounds and valid inequalities in integer programs and combinatorial optimization problems. After discussing the classical approaches described in the literature, the book addresses how to extend these tools to other non-standard formulations that may be applied to a broad set of applications. Examples are provided to illustrate the underlying concepts and to pave the way for future contributions.


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First Issue: Linear and Mixed Integer Programming for Portfolio Optimization


Authors: Renata Mansini, Wlodzimierz Ogryczak, Grazia Speranza

This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.


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This work is licensed under a Creative Commons Attribution-ShareAlike 3.0 International License and the GNU Free Documentation License (unversioned, with no invariant sections, front-cover texts, or back-cover texts).

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