Thirteenth Issue: From Shortest Paths to Reinforcement Learning

A MATLAB-Based Tutorial on Dynamic Programming

Author: Brandimarte, Paolo

Dynamic programming (DP) has a relevant history as a powerful and flexible optimization principle, but has a bad reputation as a computationally impractical tool. This book fills a gap between the statement of DP principles and their actual software implementation. Using MATLAB throughout, this tutorial gently gets the reader acquainted with DP and its potential applications, offering the possibility of actual experimentation and hands-on experience. The book assumes basic familiarity with probability and optimization, and is suitable to both practitioners and graduate students in engineering, applied mathematics, management, finance and economics.

https://www.springer.com/gp/book/9783030618667

Twelfth Issue: Risk Management for Pension Funds

Author: Menoncin, Francesco

This book presents a consistent and complete framework for studying the risk management of a pension fund. It gives the reader the opportunity to understand, replicate and widen the analysis. To this aim, the book provides all the tools for computing the optimal asset allocation in a dynamic framework where the financial horizon is stochastic (longevity risk) and the investor's wealth is not self-financed. This tutorial enables the reader to replicate all the results presented. The R codes are provided alongside the presentation of the theoretical framework. The book explains and discusses the problem of hedging longevity risk even in an incomplete market, though strong theoretical results about an incomplete framework are still lacking and the problem is still being discussed in most recent literature.

https://www.springer.com/gp/book/9783030555276

Eleventh Issue: Even Convexity and Optimization

Authors: Fajardo, M.D., Goberna, M.A., Rodríguez, M.M.L., Vicente-Pérez, J.

This tutorial is the first comprehensive introduction to (possibly infinite) linear systems containing strict inequalities and evenly convex sets. The book introduces their application to convex optimization. Particular attention is paid to evenly convex polyhedra and finite linear systems containing strict inequalities. The book also analyzes evenly convex and quasiconvex functions from a conjugacy and duality perspective. It discusses the applications of these functions in economics. Written in an expository style the main concepts and basic results are illustrated with suitable examples and figures.

https://www.springer.com/gp/book/9783030534554

Tenth Issue: Orienteering Problems: Models and Algorithms for Vehicle Routing Problems with Profits

Authors: Vansteenwegen, Pieter, Gunawan, Aldy

This tutorial introduces readers to several variants of routing problems with profits. In these routing problems each node has a certain profit, and not all nodes need to be visited. Since the orienteering problem (OP) is by far the most frequently studied problem in this category of routing problems, the book mainly focuses on the OP. In turn, other problems are presented as variants of the OP, focusing on the similarities and differences. The goal of the OP is to determine a subset of nodes to visit and in which order, so that the total collected profit is maximized and a given time budget is not exceeded.The book provides a comprehensive review of variants of the OP, such as the team OP, the team OP with time windows, the profitable tour problem, and the prize-collecting travelling salesperson problem. In addition, it presents mathematical models and techniques for solving these OP variants and discusses their complexity. Several simple examples and benchmark instances, together with their best-known results, are also included. Finally, the book reviews the latest applications of these problems in the fields of logistics, tourism and others.

https://www.springer.com/gb/book/9783030297459

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.

https://www.springer.com/gb/book/9783030002046

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.

https://www.springer.com/gb/book/9783319994109

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.

http://www.springer.com/us/book/9783319786940

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.

http://www.springer.com/us/book/9783319766621

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.

http://www.springer.com/gb/book/9783319681177

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.

http://www.springer.com/gb/book/9783319639758

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.

http://www.springer.com/it/book/9783319287447

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.

http://www.springer.com/it/book/9783319276021

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.

http://www.springer.com/gb/book/9783319184814