Lecture Notes in Economics and Mathematical Systems 682 Founding Editors: M. Beckmann H.P. Künzi Managing Editors: Prof. Dr. G. Fandel Fachbereich Wirtschaftswissenschaften Fernuniversität Hagen Hagen, Germany Prof. Dr. W. Trockel Murat Sertel Institute for Advanced Economic Research Istanbul Bilgi University Istanbul, Turkey and Institut für Mathematische Wirtschaftsforschung (IMW) Universität Bielefeld Bielefeld, Germany Editorial Board: H. Dawid, D. Dimitrov, A. Gerber, C-J. Haake, C. Hoffmann, T. Pfeiffer, R. Slowinski,´ W.H.M. Zijm More information about this series at http://www.springer.com/series/300 Raquel J. Fonseca • Gerhard-Wilhelm Weber • João Telhada Editors Computational Management Science State of the Art 2014 123 Editors Raquel J. Fonseca Gerhard-Wilhelm Weber Faculty of Sciences/Operations Research Institute of Applied Mathematics Center Middle East Technical University University of Lisbon Ankara, Turkey Lisbon, Portugal João Telhada Faculty of Sciences/Operations Research Center University of Lisbon Lisbon, Portugal ISSN 0075-8442 ISSN 2196-9957 (electronic) Lecture Notes in Economics and Mathematical Systems ISBN 978-3-319-20429-1 ISBN 978-3-319-20430-7 (eBook) DOI 10.1007/978-3-319-20430-7 Library of Congress Control Number: 2015957188 Springer Cham Heidelberg New York Dordrecht London © Springer International Publishing Switzerland 2016 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. Printed on acid-free paper Springer International Publishing AG Switzerland is part of Springer Science+Business Media (www.springer.com) Preface Computational Management Science has become an important research field, in particular in recent years due to the rapid growth of computational power and data access, storage, and management. These facts are shaping modern management, highlighting analytical issues that raise added value to business, and in general to the economy. With the background of increasing importance of the management science field, namely with concern to the computational aspects, a series of annual conferences started to be held in 2004. The 2014 edition took place in the beautiful and inspiring city of Lisbon, Portugal. The conference chairs (Raquel J. Fonseca, Daniel Kuhn, and João Telhada) chose Energy and Finance as the two major topics to be discussed, due to the global revelancy of any of those two areas. The response by the research community was worth noting, as 125 valid submissions were received. Out of those 125 submissions, 99 were accepted for presentation in the conference. Those submissions were divided among nine streams, according to the most adequate topic. Participants in the conference came from a total of 22 countries, spanning different regions as far Asia or South America. Countries with the largest number of participants were Portugal (31) and the United Kingdom (14). The organizing committee was composed by the following members: • Ana Luísa Respício, Operations Research Center, University of Lisbon • Inês Marques, Operations Research Center, University of Lisbon • João Patrício, Telecommunications Institute, Polytechnique Institute of Tomar • João Telhada (co-chair), Operations Research Center, University of Lisbon • Lisete Sousa, Center of Statistics and Applications, University of Lisbon • Luís Gouveia, Operations Research Center, University of Lisbon • Miguel Constantino, Operations Research Center, University of Lisbon • Raquel João Fonseca (co-chair), Operations Research Center, University of Lisbon v vi Preface A group of specialized researchers composed the Program Committee to ensure a high scientific standard among submissions. That committee had the following members: • A. Ismael F. Vaz,Universidadedo • Georges Zaccour, HEC Montréal, Minho, Portugal Canada • Aharon Ben-Tal, Technion – Israel • Gerhard-Wilhelm Weber, Middle Institute of Technology, Israel East Technical University, Turkey • Alain Haurie, Université de Genève, • Giorgio Consigli, Università di Switzerland Bergamo, Italy • Alex Weissensteiner, DTU – Techni- • Huifu Xu, City University London, cal University of Denmark, Denmark United Kingdom • Ana Luísa Custódio,Universidade • Jacques Savoy, Université de Nova de Lisboa, Portugal Neuchâtel, Switzerland • Ana Paula Barbosa Póvoa,Univer- • João Carlos Lourenço,Universi- sidade de Lisboa, Portugal dade de Lisboa, Portugal • Berç Rustem, Imperial College Lon- • Joaquim Júdice,Universidadede don, United Kingdom Coimbra, Portugal • Bernardo Almada Lobo,Universi- • José Fernando Oliveira,INESC dade do Porto, Portugal TEC, Portugal • Carlos Henggeler Antunes,Univer- • Laureano Escudero,Universidad sidade de Coimbra, Portugal ReyJuanCarlos,Spain • Celso Ribeiro, Universidade Federal • Luis Seco, University of Toronto, Fluminense, Brazil Canada • Christodoulos Floudas, Princeton • Marco Campi, University of Bres- University, United States cia, Italy • Cristian Gatu, Université de • Marcus Poggi, Pontifícia Universi- Neuchâtel, Switzerland dade Católica do Rio de Janeiro, • Dan Iancu, Stanford University, Brazil United States • Maria Antónia Carravilla,Univer- • Daniel Kuhn (chair), École Poly- sidade do Porto, Portugal technique Fédérale de Lausanne, • Miguel Gomes,Universidadedo Switzerland Porto, Portugal • David Wozabal, Technische Univer- • Miguel Lejeune, The George Wash- sität München, Germany ington University, United States • Diogo Pinheiro, Brooklyn College • Mustafa Pinar, Bilkent University, of the City University of New York, Turkey United States • Nalan Gulpinar, University of War- • Erricos Kontoghiorghes, Queen wick, United Kingdom Mary University of London, United • Panos Pardalos, University of Kingdom Florida, United States • Filipe Alvelos,Universidadedo • Panos Parpas, Imperial College Minho, Portugal London, United Kingdom • Georg Pflug, University of Vienna, • Patrícia Xufre, Universidade Nova Austria de Lisboa, Portugal Preface vii • Paula Bouzas, Universidad de • Stein-Erik Fleten, Norwegian Uni- Granada, Spain versity of Science and Technology, • Pedro Martins, Polytechnic Insti- Norway tute of Coimbra, Coimbra Business • Teemu Pennanen, King’s College School, Portugal London, United Kingdom • Peter Winker, Universität Giessen, • Tomasz Radzik, King’s College Germany London, United Kingdom • Ronald Hochreiter, WU Vienna • Werner Römisch, Humboldt- University of Economics and Busi- Universität zu Berlin, Germany ness, Austria • Wolfram Wiesemann,ImperialCol- • Spiros Martzoukos, University of lege London, United Kingdom Cyprus, Cyprus The conference scientific programme included four distinguished keynotes by notorious researchers in the field of Management Science. The speakers and titles were the following: • Victor DeMiguel, London Business School—Data Driven Investment Manage- ment • William Pulleyblank, United States Military Academy, West Point—Analytics, Sports and Force-on-Force Situations • Daniel Ralph, University of Cambridge, Judge Business School—Capacity decisions in electricity production under risk aversion and risk trading • Rüdiger Schultz, Zentrum für Logistik & Verkehr, Universität Duisburg- Essen—From One to Infinity - Dimensions of Stochastic Programming This set of outstanding talks gave an excellent motivation for the remainder of the conference, not only due to the excellency of communication, but also because it gave a thorough outlook into the main topics of the conference, thus setting the tone for all scientific interaction. Following the success of the conference, a set of short papers were submitted for publication. A total of 49 contributions were presented for appreciation by the reviewers. After each paper was evaluated by no less than 2 reviewers, 32 of those papers were selected to contribute and to compose this volume. Contributions were arranged in terms of major application areas of computational management science. Some, however, focus more on optimization methods and, therefore, fit in a separate section. The first part includes contributions on Energy. Quintino et al. apply a holistic approach to the problem of hedging in energy market against oil and gas prices volatility by confronting the performance of a portfolio for the entire company with that of the sum of each business unit. A portfolio optimization model is also applied to the decision of choosing both demand and its flexibility by Gärttner et al., but in the context of a renewable energy firm that needs to meet its demand with a volatile supply. Mudry and Paraschiv focus on the stress testing of a portfolio