References of "Schyns, Michael"
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See detailAutomatic Cargo Load Planning: Special shipments
Limbourg, Sabine ULg; Schyns, Michael ULg

Scientific conference (2011, May 25)

The aircraft loading problem is a real-world combinatorial optimisation problem highly constrained. Indeed, loading the aircraft so the gross weight is less than the maximum allowable is not enough. This ... [more ▼]

The aircraft loading problem is a real-world combinatorial optimisation problem highly constrained. Indeed, loading the aircraft so the gross weight is less than the maximum allowable is not enough. This weight must be distributed to keep the centre of gravity (CG) within specified limits. Moreover, an aircraft has usually several cargo compartments with specific contours and structural limitations such as floor loading, combined load limits and cumulative load limitations. Finally, some shipments are particularly restrictive to transport, like dangerous goods, live animals and perishable goods. This paper is concerned with the incorporation of these latter constraints in a mixed integer linear program for the problem of loading a set of Unit Loading Devices (ULDs) and bulk into an aircraft. Experimental results for real data sets show that the model achieves better balanced solutions in only a few seconds compared to the solution obtained by load masters. [less ▲]

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See detailAutomatic Cargo Load Planning: Special shipments
Limbourg, Sabine ULg; Schyns, Michael ULg

in Cornelis, Eric (Ed.) Proceedings of the BIVEC-GIBET Transport Research Day 2011 (2011)

The aircraft loading problem is a real-world combinatorial optimisation problem highly constrained. Indeed, loading the aircraft so the gross weight is less than the maximum allowable is not enough. This ... [more ▼]

The aircraft loading problem is a real-world combinatorial optimisation problem highly constrained. Indeed, loading the aircraft so the gross weight is less than the maximum allowable is not enough. This weight must be distributed to keep the centre of gravity (CG) within specified limits. Moreover, an aircraft has usually several cargo compartments with specific contours and structural limitations such as floor loading, combined load limits and cumulative load limitations. Finally, some shipments are particularly restrictive to transport, like dangerous goods, live animals and perishable goods. This paper is concerned with the incorporation of these latter constraints in a mixed integer linear program for the problem of loading a set of Unit Loading Devices (ULDs) and bulk into an aircraft. Experimental results for real data sets show that the model achieves better balanced solutions in only a few seconds compared to the solution obtained by load masters. [less ▲]

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See detailAircraft Cargo AutoLoad
Schyns, Michael ULg; Limbourg, Sabine ULg

Conference (2011, May)

Detailed reference viewed: 20 (3 ULg)
See detailPlanification automatique de chargements d'avions cargo
Limbourg, Sabine ULg; Schyns, Michael ULg

Scientific conference (2011, April 18)

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See detailIdentification du profil du consommateur par datamining
Schyns, Michael ULg

Scientific conference (2011, April)

Detailed reference viewed: 51 (4 ULg)
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See detailAutomatic Cargo Load Planning
Limbourg, Sabine ULg; Schyns, Michael ULg; Laporte, Gilbert

in Proceedings (2011, March 02)

The goal of this paper is the development of a new mixed integer linear pro- gram designed for optimally loading a set of containers and pallets into a compartmentalised cargo aircraft. It is based on ... [more ▼]

The goal of this paper is the development of a new mixed integer linear pro- gram designed for optimally loading a set of containers and pallets into a compartmentalised cargo aircraft. It is based on real-world problems submitted by a professional partner. This model takes into account strict technical and safety constraints. In addition to the standard goal of optimally positioning the centre of gravity, we also propose a new approach based on the moment of inertia. This double goal implies an increase in aircraft efficiency and a decrease in fuel consumption. Cargo loading generally remains a manual, or at best a computer assisted, and time consuming task. A fully automatic software was developed to quickly compute optimal solutions. Experimental results show that our approach achieves better solutions than manual planning, within only a few seconds. [less ▲]

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See detailIntroduction à l'informatique en Sciences Sociales
Schyns, Michael ULg

Learning material (2010)

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See detailRelaxMCD: smooth optimisation for the Minimum Covariance Determinant estimator
Schyns, Michael ULg; Haesbroeck, Gentiane ULg; Critchley, Frank

in Computational Statistics & Data Analysis (2010), 54(4), 843-857

The Minimum Covariance Determinant (MCD) estimator is a highly robust procedure for estimating the center and shape of a high dimensional data set. It consists of determining a subsample of h points out ... [more ▼]

The Minimum Covariance Determinant (MCD) estimator is a highly robust procedure for estimating the center and shape of a high dimensional data set. It consists of determining a subsample of h points out of n which minimizes the generalized variance. By definition, the computation of this estimator gives rise to a combinatorial optimization problem, for which several approximative algorithms have been developed. Some of these approximations are quite powerful, but they do not take advantage of any smoothness in the objective function. In this paper, focus is on the approach outlined in a general framework in Critchley et al. (2009) and which transforms any discrete and high dimensional combinatorial problem of this type into a continuous and low-dimensional one. The idea is to build on the general algorithm proposed by Critchley et al. (2009) in order to take into account the particular features of the MCD methodology. More specifically, both the adaptation of the algorithm to the specific MCD target function as well as the comparison of this “specialized” algorithm with the usual competitors for computing MCD are the main goals of this paper. The adaptation focuses on the design of “clever” starting points in order to systematically investigate the search domain. Accordingly, a new and surprisingly efficient procedure based on the well known k-means algorithm is constructed. The adapted algorithm, called RelaxMCD, is then compared by means of simulations and examples with FASTMCD and the Feasible Subset Algorithm, both benchmark algorithms for computing MCD. As a by-product, it is shown that RelaxMCD is a general technique encompassing the two others, yielding insight about their overall good performance. [less ▲]

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See detailA relaxed approach to combinatorial problems in robustness and diagnostics
Critchley, Frank; Schyns, Michael ULg; Haesbroeck, Gentiane ULg et al

in Statistics and Computing (2010), 20(1), 99-115

A range of procedures in both robustness and diagnostics require optimisation of a target functional over all subsamples of given size. Whereas such combinatorial problems are extremely difficult to solve ... [more ▼]

A range of procedures in both robustness and diagnostics require optimisation of a target functional over all subsamples of given size. Whereas such combinatorial problems are extremely difficult to solve exactly, something less than the global optimum can be ‘good enough’ for many practical purposes, as shown by example. Again, a relaxation strategy embeds these discrete, high-dimensional problems in continuous, low-dimensional ones. Overall, nonlinear optimisation methods can be exploited to provide a single, reasonably fast algorithm to handle a wide variety of problems of this kind, thereby providing a certain unity. Four running examples illustrate the approach. On the robustness side, algorithmic approximations to minimum covariance determinant (MCD) and least trimmed squares (LTS) estimation. And, on the diagnostic side, detection of multiple multivariate outliers and global diagnostic use of the likelihood displacement function. This last is developed here as a global complement to Cook’s (in J. R. Stat. Soc. 48:133–169, 1986) local analysis. Appropriate convergence of each branch of the algorithm is guaranteed for any target functional whose relaxed form is—in a natural generalisation of concavity, introduced here—‘gravitational’. Again, its descent strategy can downweight to zero contaminating cases in the starting position. A simulation study shows that, although not optimised for the LTS problem, our general algorithm holds its own with algorithms that are so optimised. An adapted algorithm relaxes the gravitational condition itself. [less ▲]

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See detailA robust heuristic for the optimal selection of a portfolio of stocks
Schyns, Michael ULg

in International Journal of Operational Research (2010), 9(3), 258-271

This paper introduces a new optimization heuristic for the robustification of critical inputs under consideration in many problems. It is shown that it allows to improve significantly the quality and the ... [more ▼]

This paper introduces a new optimization heuristic for the robustification of critical inputs under consideration in many problems. It is shown that it allows to improve significantly the quality and the stability of the results for two classical financial problems, i.e. the Markowitz' portfolio selection problem and the computation of the financial beta. Focus here is on the robust Minimum Covariance Determinant (MCD) estimator which can easily be substituted to the classical estimators of location and scatter. By definition, the computation of this estimator gives rise to a combinatorial optimization problem. We present a new heuristic, called 'RelaxMCD', which is based on a relaxation of the problem to the continuous space. The utility of this approach and the performance of our heuristic, with respect to other competitors, are illustrated through extensive simulations. [less ▲]

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See detailOptimal selection of a portfolio of options under Value-at-Risk constraints: a scenario approach
Schyns, Michael ULg; Crama, Yves ULg; Hübner, Georges ULg

in Annals of Operations Research (2010), 181

This paper introduces a multiperiod model for the optimal selection of a financial portfolio of options linked to a single index. The objective of the model is to maximize the expected return of the ... [more ▼]

This paper introduces a multiperiod model for the optimal selection of a financial portfolio of options linked to a single index. The objective of the model is to maximize the expected return of the portfolio under constraints limiting its Value-at-Risk. We rely on scenarios to represent future security prices. The model contains several interesting features, like the consideration of transaction costs, bid-ask spreads, arbitrage-free option pricing, and the possibility to rebalance the portfolio with options introduced at the start of each period. The resulting mixed integer programming model is applied to realistic test instances involving options on the S&P500 index. In spite of the large size and of the numerical difficulty of this model, near-optimal solutions can be computed by a standard branch-and-cut solver or by a specialized heuristic. The structure and the financial features of the selected portfolios are also investigated. [less ▲]

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See detailRAPPORT DE RECHERCHE SUR UNE APPLICATION DE GESTION DE LA COLLABORATION DU SERVICE EXPÉDITION DU CHARGEUR AVEC LE TRANSPORTEUR
Pironet, Thierry ULg; Crama, Yves ULg; Arda, Yasemin ULg et al

Report (2009)

Dans ce rapport, les échanges d'information d'un donneur d'ordre, d'un transporteur et d'un fournisseur au sein d'une chaîne de distribution sont analysés. Les possibilités de tracking et de tracing de ... [more ▼]

Dans ce rapport, les échanges d'information d'un donneur d'ordre, d'un transporteur et d'un fournisseur au sein d'une chaîne de distribution sont analysés. Les possibilités de tracking et de tracing de TransLogisTIC sont utilisés pour générer des KPI de performance et un modèle d'optimisation de quais de chargement est décrit dans une version Off-line et On-line. [less ▲]

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See detailInformatique en Sciences de Gestion et en Sciences Economiques - Niveau 2
Schyns, Michael ULg

Learning material (2009)

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See detailRAPPORT INTERNE : REVUE DE LITTERATURE SUR LA GESTION DES RESSOURCES RÉUTILISABLES ET DES MÉTHODES D’OPTIMISATION
Pironet, Thierry ULg; Crama, Yves ULg; Arda, Yasemin ULg et al

Report (2009)

Dans cette revue de la littérature scientifique, on peut trouver une synthèse des thématiques liées aux modèles et aux techniques d'optimisation utilés pour la gestion de ressources réutilisables dans un ... [more ▼]

Dans cette revue de la littérature scientifique, on peut trouver une synthèse des thématiques liées aux modèles et aux techniques d'optimisation utilés pour la gestion de ressources réutilisables dans un réseau tels que les containers entre des ports de mers ou des wagons dans un réseau ferroviaire. Les textes fondateurs sont mentionnés dans un ordre historique et un commentaire est fait soit sur le modèle investiqué et ses particularités ou la technique de résolution. [less ▲]

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See detailAlternative to the Mean-Variance Asset Allocation Analysis: A Scenario Methodology for Portfolio Selection
Schyns, Michael ULg; Hübner, Georges ULg; Crama, Yves ULg

in Gregoriou, Greg N. (Ed.) Stock Market Volatility (2009)

This paper introduces a new methodology to optimize the allocation of financial assets. The objective of the model is to maximize the expected return of the portfolio under constraints limiting its Value ... [more ▼]

This paper introduces a new methodology to optimize the allocation of financial assets. The objective of the model is to maximize the expected return of the portfolio under constraints limiting its Value-at-Risk. The assets could consist in stocks as well as options. We rely on a flexible scenario tree approach to represent the future prices. In order to reduce the number of leaves and maintain the model tractable, stocks prices are obtained through the Fama & French empirical asset pricing model. Experiments on historical data are performed to illustrate the method and show the performance of the approach. Different strategies are compared: considering various market distributions, several factor models and a few portfolio hypothesis. [less ▲]

Detailed reference viewed: 258 (34 ULg)
See detailRAPPORT DE RECHERCHE SUR L’OPTIMISATION DU ROUTAGE ET DU CHARGEMENT DE VEHICULES.
Pironet, Thierry ULg; Crama, Yves ULg; Arda, Yasemin ULg et al

Report (2009)

Dans ce rapport confidentiel, un algorithme d'optimisation du chargement de véhicules a été mis au point dans le cadre d'une application avec un partenaire industriel.

Detailed reference viewed: 92 (9 ULg)
See detailSystèmes d'information de gestion modernes
Schyns, Michael ULg

Scientific conference (2008, December)

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See detailRobust Portfolio Selection
Schyns, Michael ULg

in JSM Proceedings, Statistical Computing Section (2008, November)

In many financial problems, small variations in some inputs may result in big changes in the outputs. In this talk, we consider the problem of portfolio selection as suggested by Markowitz. This model ... [more ▼]

In many financial problems, small variations in some inputs may result in big changes in the outputs. In this talk, we consider the problem of portfolio selection as suggested by Markowitz. This model relies on a covariance matrix usually estimated using historical returns of the assets under consideration. Gross error in these returns or atypical events occurring in the past could lead to different portfolios with quite different expected returns. Defining methods that do not depend too much on these atypical data is the aim of robust statistics. We will show that some techniques developed in that field are worth applying in our context. More precisely, the covariance matrix of historical data will be estimated with the Minimum Covariance Determinant estimator, computed with a 'smooth' algorithm. This robust Markowitz methodology will be illustrated on real financial data. [less ▲]

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See detailInformatique en Sciences de Gestion
Schyns, Michael ULg

Learning material (2005)

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See detailGrafting Information in Scenario Trees: Application to Option Prices
Schyns, Michael ULg; Crama, Yves ULg; Hübner, Georges ULg

E-print/Working paper (2005)

The high level of sophistication in portfolio management modeling techniques often goes along with very large output sensitivity to parameter choices. As a potential solution to this problem, this paper ... [more ▼]

The high level of sophistication in portfolio management modeling techniques often goes along with very large output sensitivity to parameter choices. As a potential solution to this problem, this paper proposes a consistent and flexible methodology to represent the distribution of future values of a portfolio through scenario trees. This methodology relies on the information contained in current option prices in order to generate the probability density function of future returns. This density function can be used, in turn, to generate scenario trees . As an illustration, a tree of scenarios based on S&P500 options is built and then used to compute arbitrage-free option prices. The approach preserves information embedded in options prices and is able to provide very accurate values for out-of-sample options. The high level of numerical accuracy of the framework is reproduced on different samples. The scenario tree approach also provides stable pricing results when confronted with the passage of time. The results derived from our model are comparable to those obtained from Rubinstein’s [1994] methodology, although both models fulfill different objectives. [less ▲]

Detailed reference viewed: 47 (0 ULg)