A bi-level, three-stage Stochastic Mathematical Program with Equilibrium Constraints (SMPEC) is proposed for quantifying and optimizing travel time resilience in roadway networks under non-recurring natural or human-induced disaster events. At the upper-level, a sequence of optimal preparedness...

This paper analyses the effect of climate change on temperature, rainfall, irrigation requirements and water availability in a Mediterranean area, integrating bio-physical and economic relationships. The probability distribution function (PDF) of climate variables shows that the near future will...

In this paper, we study a dynamic fleet management problem with uncertain demands and customer chosen service levels. We first show that the problem can be transformed into a dynamic network with partially dependent random arc capacities, and then develop a structural decomposition approach...

Asset allocation among diverse financial markets is essential for investors especially under situations such as the financial crisis of 2008. Portfolio optimization is the most developed method to examine the optimal decision for asset allocation. We employ the hidden Markov model to identify...

The paper presents a generalized regression technique centered on a superquantile (also called conditional value-at-risk) that is consistent with that coherent measure of risk and yields more conservatively fitted curves than classical least-squares and quantile regression. In contrast to other...

In recent years, the issue of water allocation among competing users has been of great concern for many countries due to increasing water demand from population growth and economic development. In water management systems, the inherent uncertainties and their potential interactions pose a...

This paper aims at resolving a major obstacle to practical usage of time-consistent risk-averse decision models. The recursive objective function, generally used to ensure time consistency, is complex and has no clear/direct interpretation. Practitioners rather choose a simpler and more...

The problem of comparing random vectors arises in many applications. We propose three new concepts of stochastically weighted dominance for comparing random vectors X and Y. The main idea is to use a random vector V to scalarize X and Y as VTX and VTY, and subsequently use available concepts...