A Robust Ship Scheduling Based on Mean-Variance Optimization Model

- Journal title : Journal of the Korean Operations Research and Management Science Society
- Volume 41, Issue 2, 2016, pp.129-139
- Publisher : The Korean Operations and Management Science Society
- DOI : 10.7737/JKORMS.2016.41.2.129

Title & Authors

A Robust Ship Scheduling Based on Mean-Variance Optimization Model

Park, Nareh; Kim, Si-Hwa;

Park, Nareh; Kim, Si-Hwa;

Abstract

This paper presented a robust ship scheduling model using the quadratic programming problem. Given a set of available carriers under control and a set of cargoes to be transported from origin to destination, a robust ship scheduling that can minimize the mean-variance objective function with the required level of profit can be modeled. Computational experiments concerning relevant maritime transportation problems are performed on randomly generated configurations of tanker scheduling in bulk trade. In the first stage, the optimal transportation problem to achieve maximum revenue is solved through the traditional set-packing model that includes all feasible schedules for each carrier. In the second stage, the robust ship scheduling problem is formulated as mentioned in the quadratic programming. Single index model is used to efficiently calculate the variance-covariance matrix of objective function. Significant results are reported to validate that the proposed model can be utilized in the decision problem of ship scheduling after considering robustness and the required level of profit.

Keywords

Maritime Transportation Problem;Robust Ship Scheduling;Mean-Variance;Quadratic Programming Problem;

Language

Korean

References

1.

김기석, 주재훈, "유조선의 최적 운항일정계획", 한국경영과학회지, 제8권, 제1호(1991), pp.91-108.

2.

김시화, "부정기선 해운의 해사수송 문제에 대한 최적화 기반 의사결정 지원시스템", 부산대학교 박사학위논문, 1999.

3.

김홍선, 정종빈, 김성문, "한국 주식시장에서 마코위츠 포트폴리오 선정 모형의 입력변수의 정확도에 따른 투자 성과 연구", 한국경영과학회지, 제38권, 제4호(2013), pp.35-52.

4.

최은정, 이경식, 박성수, "[Session B4. 일정계획(1)] 해양수송에 의한 원유도입 일정계획 문제의 정수계획 해법", 한국경영과학회 춘계학술대회논문집, (2001), pp.288-291.

5.

최재호, 정종빈, 김성문, "마코위츠 포트폴리오 선정 모형을 기반으로 한 투자 알고리즘 개발 및 성과평가 : 미국 및 홍콩 주식시장을 중심으로", 한국경영과학회지, 제30권, 제1호(2013), pp.73-89.

6.

한국해양수산개발원, 해운통계요람, 2014.

7.

Alexander, G.J., "Mixed security testing of alternative portfolio selection models," Journal of Financial and Quantitative Analysis, Vol. 12, No.5(1977), pp.817-832.

8.

Appelgren, L.H., "A column generation algorithm for a ship scheduling problem," Transportation Science, Vol.3, No.1(1969), pp.53-68.

9.

Appelgren, L.H., "Integer programming methods for a vessel scheduling problem," Transportation Science, Vol.5, No.1(1971), pp.64-78.

10.

Asariotis, R. et al., Review of Maritime Transport, UNCTAD, 2013.

11.

Barlow, J., Excel models for business and operations management, Wiley.com, 2005

12.

Brown, G.G., G.W. Graves and D. Ronen, "Scheduling ocean transportation of crude oil," Management Science, Vol.33, No.3(1987), pp.335-346.

13.

Dantzig, G.B. and D.R. Fulkerson, "Minimizing the number of carriers to meet a fixed schedule," RAND CORP SANTA MONICA CALIF, (1954), p.569.

14.

Elton, E.J. and M.J. Gruber, "Modern portfolio theory, 1950 to date," Journal of Banking and Finance, Vol.21, No.11(1997), pp.1743-1759.

15.

Fan, S., T. Ji, and W. Gordon, "Forecasting Baltic Dirty Tanker Index by Applying Wavelet Neural Networks," Journal of Transportation Technologies, Vol.3(2013), pp.68-87.

16.

Fisher, M.L. and M.B. Rosenwein, "An interactive optimization system for bulk-cargo hip scheduling," Naval Research Logistics (NRL), Vol.36, No.1(1989), pp.27-42.

17.

Hwang, H.S., S. Visoldilokpun, and J.M. Rosenberger, "A branch-and-price-and-cut method for ship scheduling with limited risk," Transportation science, Vol.42, No.3(2008), pp.336-351.

18.

Gkanatsas, E., Designing robust shipping schedules, Erasmus University, 2005.

19.

Korn, E. and R. Korn, "Portfolio-optimization by the mean-variance approach," EU Socrates Project, 2001.

20.

Laderman, J., L. Gleiberman and J.F. Egan, "Vessel allocation by linear programming," Naval Research Logistics Quarterly, Vol.13, No.3(1966), pp.315-320.

21.

Markowitz, H., "Portfolio selection," The Journal of Finance, Vol.7, No.1(1952), pp.77-91.

22.

McKay, M.D. and H.O. Hartley, "Computerized scheduling of seagoing tankers," Naval Research Logistics Quarterly, Vol.21, No.2 (1974), pp.255-264.

23.

Omar, A.M. et al., Annual Statistical Bulletin (ASB), OPEC, 2013.

24.

Stopford, M., Maritime Economics 3e, Routledge, 2008.

25.

Sharpe, W.F., "A simplified model for portfolio analysis," Management science, Vol.9, No.2(1963), pp.277-293.

26.

Wolfe, P., "The simplex method for quadratic programming," Econometrica, Journal of the Econometric Society, (1959), pp.382-398.