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- All Subjects: Industrial Engineering
- All Subjects: Economics, Finance
- Creators: Sefair, Jorge
Description
This thesis develops a low-investment marketing strategy that allows low-to-mid level farmers extend their commercialization reach by strategically sending containers of fresh produce items to secondary markets that present temporary arbitrage opportunities. The methodology aims at identifying time windows of opportunity in which the price differential between two markets create an arbitrage opportunity for a transaction; a transaction involves buying a fresh produce item at a base market, and then shipping and selling it at secondary market price. A decision-making tool is developed that gauges the individual arbitrage opportunities and determines the specific price differential (or threshold level) that is most beneficial to the farmer under particular market conditions. For this purpose, two approaches are developed; a pragmatic approach that uses historic price information of the products in order to find the optimal price differential that maximizes earnings, and a theoretical one, which optimizes an expected profit model of the shipments to identify this optimal threshold. This thesis also develops risk management strategies that further reduce profit variability during a particular two-market transaction. In this case, financial engineering concepts are used to determine a shipment configuration strategy that minimizes the overall variability of the profits. For this, a Markowitz model is developed to determine the weight assignation of each component for a particular shipment. Based on the results of the analysis, it is deemed possible to formulate a shipment policy that not only increases the farmer's commercialization reach, but also produces profitable operations. In general, the observed rates of return under a pragmatic and theoretical approach hovered between 0.072 and 0.616 within important two-market structures. Secondly, it is demonstrated that the level of return and risk can be manipulated by varying the strictness of the shipping policy to meet the overall objectives of the decision-maker. Finally, it was found that one can minimize the risk of a particular two-market transaction by strategically grouping the product shipments.
ContributorsFlores, Hector M (Author) / Villalobos, Rene (Thesis advisor) / Runger, George C. (Committee member) / Maltz, Arnold (Committee member) / Arizona State University (Publisher)
Created2011
Description
One necessary condition for the two-pass risk premium estimator to be consistent and asymptotically normal is that the rank of the beta matrix in a proposed linear asset pricing model is full column. I first investigate the asymptotic properties of the risk premium estimators and the related t-test and Wald test statistics when the full rank condition fails. I show that the beta risk of useless factors or multiple proxy factors for a true factor are priced more often than they should be at the nominal size in the asset pricing models omitting some true factors. While under the null hypothesis that the risk premiums of the true factors are equal to zero, the beta risk of the true factors are priced less often than the nominal size. The simulation results are consistent with the theoretical findings. Hence, the factor selection in a proposed factor model should not be made solely based on their estimated risk premiums. In response to this problem, I propose an alternative estimation of the underlying factor structure. Specifically, I propose to use the linear combination of factors weighted by the eigenvectors of the inner product of estimated beta matrix. I further propose a new method to estimate the rank of the beta matrix in a factor model. For this method, the idiosyncratic components of asset returns are allowed to be correlated both over different cross-sectional units and over different time periods. The estimator I propose is easy to use because it is computed with the eigenvalues of the inner product of an estimated beta matrix. Simulation results show that the proposed method works well even in small samples. The analysis of US individual stock returns suggests that there are six common risk factors in US individual stock returns among the thirteen factor candidates used. The analysis of portfolio returns reveals that the estimated number of common factors changes depending on how the portfolios are constructed. The number of risk sources found from the analysis of portfolio returns is generally smaller than the number found in individual stock returns.
ContributorsWang, Na (Author) / Ahn, Seung C. (Thesis advisor) / Kallberg, Jarl G. (Committee member) / Liu, Crocker H. (Committee member) / Arizona State University (Publisher)
Created2011
Description
Project portfolio selection (PPS) is a significant problem faced by most organizations. How to best select the many innovative ideas that a company has developed to deploy in a proper and sustained manner with a balanced allocation of its resources over multiple time periods is one of vital importance to a company's goals. This dissertation details the steps involved in deploying a more intuitive portfolio selection framework that facilitates bringing analysts and management to a consensus on ongoing company efforts and buy into final decisions. A binary integer programming selection model that constructs an efficient frontier allows the evaluation of portfolios on many different criteria and allows decision makers (DM) to bring their experience and insight to the table when making a decision is discussed. A binary fractional integer program provides additional choices by optimizing portfolios on cost-benefit ratios over multiple time periods is also presented. By combining this framework with an `elimination by aspects' model of decision making, DMs evaluate portfolios on various objectives and ensure the selection of a portfolio most in line with their goals. By presenting a modeling framework to easily model a large number of project inter-dependencies and an evolutionary algorithm that is intelligently guided in the search for attractive portfolios by a beam search heuristic, practitioners are given a ready recipe to solve big problem instances to generate attractive project portfolios for their organizations. Finally, this dissertation attempts to address the problem of risk and uncertainty in project portfolio selection. After exploring the selection of portfolios based on trade-offs between a primary benefit and a primary cost, the third important dimension of uncertainty of outcome and the risk a decision maker is willing to take on in their quest to select the best portfolio for their organization is examined.
ContributorsSampath, Siddhartha (Author) / Gel, Esma (Thesis advisor) / Fowler, Jown W (Thesis advisor) / Kempf, Karl G. (Committee member) / Pan, Rong (Committee member) / Sefair, Jorge (Committee member) / Arizona State University (Publisher)
Created2018
Description
The shift in focus of manufacturing systems to high-mix and low-volume production poses a challenge to both efficient scheduling of manufacturing operations and effective assessment of production capacity. This thesis considers the problem of scheduling a set of jobs that require machine and worker resources to complete their manufacturing operations. Although planners in manufacturing contexts typically focus solely on machines, schedules that only consider machining requirements may be problematic during implementation because machines need skilled workers and cannot run unsupervised. The model used in this research will be beneficial to these environments as planners would be able to determine more realistic assignments and operation sequences to minimize the total time required to complete all jobs. This thesis presents a mathematical formulation for concurrent scheduling of machines and workers that can optimally schedule a set of jobs while accounting for changeover times between operations. The mathematical formulation is based on disjunctive constraints that capture the conflict between operations when trying to schedule them to be performed by the same machine or worker. An additional formulation extends the previous one to consider how cross-training may impact the production capacity and, for a given budget, provide training recommendations for specific workers and operations to reduce the makespan. If training a worker is advantageous to increase production capacity, the model recommends the best time window to complete it such that overlaps with work assignments are avoided. It is assumed that workers can perform tasks involving the recently acquired skills as soon as training is complete. As an alternative to the mixed-integer programming formulations, this thesis provides a math-heuristic approach that fixes the order of some operations based on Largest Processing Time (LPT) and Shortest Processing Time (SPT) procedures, while allowing the exact formulation to find the optimal schedule for the remaining operations. Computational experiments include the use of the solution for the no-training problem as a starting feasible solution to the training problem. Although the models provided are general, the manufacturing of Printed Circuit Boards are used as a case study.
ContributorsAdams, Katherine Bahia (Author) / Sefair, Jorge (Thesis advisor) / Askin, Ronald (Thesis advisor) / Webster, Scott (Committee member) / Arizona State University (Publisher)
Created2019
Description
Every year, millions of guests visit theme parks internationally. Within that massive population, accidents and emergencies are bound to occur. Choosing the correct location for emergency responders inside of the park could mean the difference between life and death. In an effort to provide the utmost safety for the guests of a park, it is important to make the best decision when selecting the location for emergency response crews. A theme park is different from a regular residential or commercial area because the crowds and shows block certain routes, and they change throughout the day. We propose an optimization model that selects staging locations for emergency medical responders in a theme park to maximize the number of responses that can occur within a pre-specified time. The staging areas are selected from a candidate set of restricted access locations where the responders can store their equipment. Our solution approach considers all routes to access any park location, including areas that are unavailable to a regular guest. Theme parks are a highly dynamic environment. Because special events occurring in the park at certain hours (e.g., parades) might impact the responders' travel times, our model's decisions also include the time dimension in the location and re-location of the responders. Our solution provides the optimal location of the responders for each time partition, including backup responders. When an optimal solution is found, the model is also designed to consider alternate optimal solutions that provide a more balanced workload for the crews.
ContributorsLivingston, Noah Russell (Author) / Sefair, Jorge (Thesis director) / Askin, Ronald (Committee member) / Industrial, Systems and Operations Engineering Program (Contributor) / Barrett, The Honors College (Contributor)
Created2017-12
Description
Commuting is a significant cost in time and in travel expenses for working individuals and a major contributor to emissions in the United States. This project focuses on increasing the efficiency of an intersection through the use of "light metering." Light metering involves a series of lights leading up to an intersection forcing cars to stop further away from the final intersection in smaller queues instead of congregating in a large queue before the final intersection. The simulation software package AnyLogic was used to model a simple two-lane intersection with and without light metering. It was found that light metering almost eliminates start-up delay by preventing a long queue to form in front of the modeled intersection. Shorter queue lengths and reduction in the start-up delays prevents cycle failure and significantly reduces the overall delay for the intersection. However, frequent deceleration and acceleration for a few of the cars occurs before each light meter. This solution significantly reduces the traffic density before the intersection and the overall delay but does not appear to be a better emission alternative due to an increase in acceleration. Further research would need to quantify the difference in emissions for this model compared to a standard intersection.
ContributorsGlavin, Erin (Author) / Pavlic, Theodore (Thesis director) / Sefair, Jorge (Committee member) / Industrial, Systems and Operations Engineering Program (Contributor) / Barrett, The Honors College (Contributor)
Created2018-05
Description
Assembly lines are low-cost production systems that manufacture similar finished units in large quantities. Manufacturers utilize mixed-model assembly lines to produce customized items that are not identical but share some general features in response to consumer needs. To maintain efficiency, the aim is to find the best feasible option to balance the lines efficiently; allocating each task to a workstation to satisfy all restrictions and fulfill all operational requirements in such a way that the line has the highest performance and maximum throughput. The work to be done at each workstation and line depends on the precise product configuration and is not constant across all models. This research seeks to enhance the subject of assembly line balancing by establishing a model for creating the most efficient assembly system. Several realistic characteristics are included into efficient optimization techniques and mathematical models to provide a more comprehensive model for building assembly systems. This involves analyzing the learning growth by task, employing parallel line designs, and configuring mixed models structure under particular constraints and criteria. This dissertation covers a gap in the literature by utilizing some exact and approximation modeling approaches. These methods are based on mathematical programming techniques, including integer and mixed integer models and heuristics. In this dissertation, heuristic approximations are employed to address problem-solving challenges caused by the problem's combinatorial complexity. This study proposes a model that considers learning curve effects and dynamic demand. This is exemplified in instances of a new assembly line, new employees, introducing new products or simply implementing engineering change orders. To achieve a cost-based optimal solution, an integer mathematical formulation is proposed to minimize the production line's total cost under the impact of learning and demand fulfillment. The research further creates approaches to obtain a comprehensive model in the case of single and mixed models for parallel lines systems. Optimization models and heuristics are developed under various aspects, such as cycle times by line and tooling considerations. Numerous extensions are explored effectively to analyze the cost impact under certain constraints and implications. The implementation results demonstrate that the proposed models and heuristics provide valuable insights.
ContributorsAlhomaidi, Esam (Author) / Askin, Ronald G (Thesis advisor) / Yan, Hao (Committee member) / Iquebal, Ashif (Committee member) / Sefair, Jorge (Committee member) / Arizona State University (Publisher)
Created2023
Description
The rank aggregation problem has ubiquitous applications in operations research, artificial intelligence, computational social choice, and various other fields. Generally, rank aggregation is utilized whenever a set of judges (human or non-human) express their preferences over a set of items, and it is necessary to find a consensus ranking that best represents these preferences collectively. Many real-world instances of this problem involve a very large number of items, include ties, and/or contain partial information, which brings a challenge to decision-makers. This work makes several contributions to overcoming these challenges. Most attention on this problem has focused on an NP-hard distance-based variant known as Kemeny aggregation, for which solution approaches with provable guarantees that can handle difficult large-scale instances remain elusive. Firstly, this work introduces exact and approximate methodologies inspired by the social choice foundations of the problem, namely the Condorcet criterion, to decompose the problem. To deal with instances where exact partitioning does not yield many subsets, it proposes Approximate Condorcet Partitioning, which is a scalable solution technique capable of handling large-scale instances while providing provable guarantees. Secondly, this work delves into the rank aggregation problem under the generalized Kendall-tau distance, which contains Kemeny aggregation as a special case. This new problem provides a robust and highly-flexible framework for handling ties. First, it derives exact and heuristic solution methods for the generalized problem. Second, it introduces a novel social choice property that encloses existing variations of the Condorcet criterion as special cases. Thirdly, this work focuses on top-k list aggregation. Top-k lists are a special form of item orderings wherein out of n total items only a small number of them, k, are explicitly ordered. Top-k lists are being increasingly utilized in various fields including recommendation systems, information retrieval, and machine learning. This work introduces exact and inexact methods for consolidating a collection of heterogeneous top- lists. Furthermore, the strength of the proposed exact formulations is analyzed from a polyhedral point of view. Finally, this work identifies the top-100 U.S. universities by consolidating four prominent university rankings to assess the computational implications of this problem.
ContributorsAkbari, Sina (Author) / Escobedo, Adolfo (Thesis advisor) / Byeon, Geunyeong (Committee member) / Sefair, Jorge (Committee member) / Wu, Shin-Yi (Committee member) / Arizona State University (Publisher)
Created2022
Description
The stable and efficient operation of the transmission network is fundamental to the power system’s ability to deliver electricity reliably and cheaply. As average temperatures continue to rise, the ability of the transmission network to meet demand is diminished. Higher temperatures lead to congestion by reducing thermal limits of lines while simultaneously reducing generation potential. Furthermore, they contribute to the growing frequency and ferocity of devasting weather events. Due to prohibitive costs and limited real estate for building new lines, it is necessary to consider flexible investment options (e.g., transmission switching, capacity expansion, etc.) to improve the functionality and efficiency of the grid. Increased flexibility, however, requires many discrete choices, rendering fully accurate models intractable. This dissertation derives several classes of structural valid inequalities and employs them to accelerate the solution process for each of the proposed expansion planning problems. The valid inequalities leverage the variability of the cumulative capacity-reactance products of parallel simple paths in networks with flexible topology, such as those found in transmission expansion planning problems. Ongoing changes to the climate and weather will have vastly differing impacts a regional and local scale, yet these effects are difficult to predict. This dissertation models the long-term and short-term uncertainty of rising temperatures and severe weather events on transmission network components in both stochastic and robust mixed-integer linear programming frameworks. It develops a novel test case constructed from publicly available data on the Arizona transmission network. The models and test case are used to test the impacts of climate and weather on regional expansion decisions.
ContributorsSkolfield, Joshua Kyle (Author) / Escobedo, Adolfo R (Thesis advisor) / Sefair, Jorge (Committee member) / Mirchandani, Pitu (Committee member) / Hedman, Mojdeh (Committee member) / Arizona State University (Publisher)
Created2022
Description
This dissertation focuses on three large-scale optimization problems and devising algorithms to solve them. In addition to the societal impact of each problem’s solution, this dissertation contributes to the optimization literature a set of decomposition algorithms for problems whose optimal solution is sparse. These algorithms exploit problem-specific properties and use tailored strategies based on iterative refinement (outer-approximations). The proposed algorithms are not rooted in duality theory, providing an alternative to existing methods based on linear programming relaxations. However, it is possible to embed existing decomposition methods into the proposed framework. These general decomposition principles extend to other combinatorial optimization problems.
The first problem is a route assignment and scheduling problem in which a set of vehicles need to traverse a directed network while maintaining a minimum inter-vehicle distance at any time. This problem is inspired by applications in hazmat logistics and the coordination of autonomous agents. The proposed approach includes realistic features such as continuous-time vehicle scheduling, heterogeneous speeds, minimum and maximum waiting times at any node, among others.
The second problem is a fixed-charge network design, which aims to find a minimum-cost plan to transport a target amount of a commodity between known origins and destinations. In addition to the typical flow decisions, the model chooses the capacity of each arc and selects sources and sinks. The proposed algorithms admit any nondecreasing piecewise linear cost structure. This model is applied to the Carbon Capture and Storage (CCS) problem, which is to design a minimum-cost pipeline network to transport CO2 between industrial sources and geologic reservoirs for long-term storage.
The third problem extends the proposed decomposition framework to a special case of joint chance constraint programming with independent random variables. This model is applied to the probabilistic transportation problem, where demands are assumed stochastic and independent. Using an empirical probability distribution, this problem is formulated as an integer program with the goal of finding a minimum-cost distribution plan that satisfies all the demands with a minimum given probability. The proposed scalable algorithm is based on a concave envelop approximation of the empirical probability function, which is iteratively refined as needed.
The first problem is a route assignment and scheduling problem in which a set of vehicles need to traverse a directed network while maintaining a minimum inter-vehicle distance at any time. This problem is inspired by applications in hazmat logistics and the coordination of autonomous agents. The proposed approach includes realistic features such as continuous-time vehicle scheduling, heterogeneous speeds, minimum and maximum waiting times at any node, among others.
The second problem is a fixed-charge network design, which aims to find a minimum-cost plan to transport a target amount of a commodity between known origins and destinations. In addition to the typical flow decisions, the model chooses the capacity of each arc and selects sources and sinks. The proposed algorithms admit any nondecreasing piecewise linear cost structure. This model is applied to the Carbon Capture and Storage (CCS) problem, which is to design a minimum-cost pipeline network to transport CO2 between industrial sources and geologic reservoirs for long-term storage.
The third problem extends the proposed decomposition framework to a special case of joint chance constraint programming with independent random variables. This model is applied to the probabilistic transportation problem, where demands are assumed stochastic and independent. Using an empirical probability distribution, this problem is formulated as an integer program with the goal of finding a minimum-cost distribution plan that satisfies all the demands with a minimum given probability. The proposed scalable algorithm is based on a concave envelop approximation of the empirical probability function, which is iteratively refined as needed.
ContributorsMatin Moghaddam, Navid (Author) / Sefair, Jorge (Thesis advisor) / Mirchandani, Pitu (Committee member) / Escobedo, Adolfo (Committee member) / Grubesic, Anthony (Committee member) / Arizona State University (Publisher)
Created2020