Stochastic Programming

An interactive optimization framework for incorporating a broader range of human feedback into stochastic multi-objective mixed integer linear programs

  • Damsara Jayarathne
  • Jennifer Pazour
  • John E. Mitchell
    • Categories (Mixed) Integer Linear Programming, Multi-Criteria Optimization, Stochastic Programming Tags , , , ,

    Interactive optimization leverages the strengths of optimization frameworks alongside the expertise of human users. Prior research in this area tends to either ask human users for the same type of information, or when varying information is requested, users must manually modify the optimization model directly. These limitations restrict the incorporation of wider human knowledge into … Read more

    Globally Converging Algorithm for Multistage Stochastic Mixed-Integer Programs via Enhanced Lagrangian Cuts

  • Hanbin Yang
  • Haoxiang Yang
    • Categories (Mixed) Integer Linear Programming, Stochastic Programming Tags , ,

    This paper proposes a globally converging cutting-plane algorithm for solving multistage stochastic mixed-integer programs with general mixed-integer state variables. We demonstrate the generation process of Lagrangian cuts and show that Lagrangian cuts capture the convex envelope of value functions on a restricted region. To approximate nonconvex value functions to exactness, we propose to iteratively add … Read more

    Climate-Resilient Nodal Power System Expansion Planning for a Realistic California Test Case

  • Amelia Musselman
  • Tomas Valencia Zuluaga
  • Elizabeth Glista
  • Minda Monteagudo
  • J Michael Grappone
  • Jean-Paul Watson
    • Categories (Mixed) Integer Linear Programming, Energy, Stochastic Programming Tags , , , ,

    Climate change is increasingly impacting power system operations, not only through more frequent extreme weather events but also through shifts in routine weather patterns. Factors such as increased temperatures, droughts, changing wind patterns, and solar irradiance shifts can impact both power system production and transmission and electric load. The current power system was not designed … Read more

    Risk-aware Logic-based Benders Decomposition for a Location-Allocation-Pricing Problem with Stochastic Price-Sensitive Demands

  • Maryam Daryalal
  • Ahmadi-Javid Amir
    • Categories (Mixed) Integer Linear Programming, Facility Planning and Design, Stochastic Programming Tags , ,

    We consider a capacitated location-allocation-pricing problem in a single-commodity supply chain with stochastic price-sensitive demands, where the location, allocation and pricing decisions are made simultaneously. Under a general risk measure representing an arbitrary risk tolerance policy, the problem is modeled as a two-stage stochastic mixed-integer program with a translation-invariant monotone risk measure. To solve the … Read more

    A Two-stage Stochastic Programming Approach for CRNA Scheduling with Handovers

  • Ankit Bansal
  • Osman Y. Ozaltin
    • Categories (Mixed) Integer Linear Programming, Scheduling, Stochastic Programming Tags , , ,

    We present a two-stage stochastic integer program for assigning Certified Registered Nurse Anesthetists (CRNAs) to Operating Rooms (ORs) under surgery duration uncertainty. The proposed model captures the trade-offs between CRNA staffing levels, CRNA handovers and under-staffing in the ORs. Since the stochastic program includes binary variables in both stages, we present valid inequalities to tighten … Read more

    Pessimistic bilevel optimization approach for decision-focused learning

  • Diego Jiménez
  • Bernardo K. Pagnoncelli
  • Hande Yaman
    • Categories 0-1 Programming, Stochastic Programming Tags , ,

    The recent interest in contextual optimization problems, where randomness is associated with side information, has led to two primary strategies for formulation and solution. The first, estimate-then-optimize, separates the estimation of the problem’s parameters from the optimization process. The second, decision-focused optimization, integrates the optimization problem’s structure directly into the prediction procedure. In this work, … Read more

    Risk-Averse Antibiotics Time Machine Problem

  • Deniz Tuncer
  • Burak Kocuk
    • Categories (Mixed) Integer Linear Programming, Applications - Science and Engineering, Stochastic Programming Tags , , ,

    Antibiotic resistance, which is a serious healthcare issue, emerges due to uncontrolled and repeated antibiotic use that causes bacteria to mutate and develop resistance to antibiotics. The Antibiotics Time Machine Problem aims to come up with treatment plans that maximize the probability of reversing these mutations. Motivated by the severity of the problem, we develop … Read more

    Bi-Parameterized Two-Stage Stochastic Min-Max and Min-Min Mixed Integer Programs

  • Sumin Kang
  • Manish Bansal
    • Categories Integer Programming, Network Optimization, Stochastic Programming Tags , , , ,

    We introduce two-stage stochastic min-max and min-min integer programs with bi-parameterized recourse (BTSPs), where the first-stage decisions affect both the objective function and the feasible region of the second-stage problem. To solve these programs efficiently, we introduce Lagrangian-integrated L-shaped (\(L^2\)) methods, which guarantee exact solutions when the first-stage decisions are pure binary. For mixed-binary first-stage … Read more

    A multilevel stochastic regularized first-order method with application to training

  • Margherita Porcelli
  • Elisa Riccietti
  • Filippo Marini
    • Categories Nonlinear Optimization, Stochastic Programming

    In this paper, we propose a new multilevel stochastic framework for the solution of optimization problems. The proposed approach uses random regularized first-order models that exploit an available hierarchical description of the problem, being either in the classical variable space or in the function space, meaning that different levels of accuracy for the objective function … Read more