stochastic program

Hardness of pricing routes for two-stage stochastic vehicle routing problems with scenarios

  • Matheus Jun Ota
  • Ricardo Fukasawa
    • Categories Combinatorial Optimization, Integer Programming, Stochastic Programming Tags , ,

    The vehicle routing problem with stochastic demands (VRPSD) generalizes the classic vehicle routing problem by considering customer demands as random variables. Similarly to other vehicle routing variants, state-of-the-art algorithms for the VRPSD are often based on set-partitioning formulations, which require efficient routines for the associated pricing problems. However, all these set-partitioning-based approaches have strong assumptions … Read more

    Tractable Reformulations of Distributionally Robust Two-stage Stochastic Programs with $\infty- Distance

  • Weijun Xie
    • Categories Stochastic Programming Tags , , , ,

    This paper studies a two-stage distributionally robust stochastic linear program under the type-∞ Wasserstein ball by providing sufficient conditions under which the program can be efficiently computed via a tractable convex program. By exploring the properties of binary variables, the developed reformulation techniques are extended to those with mixed binary random parameters. The main tractable … Read more

    Multi-Product Newsvendor Problem with Customer-driven Demand Substitution: A Stochastic Integer Program Perspective

  • Jie Zhang
  • Weijun Xie
  • Subhash Sarin
    • Categories Applications - OR and Management Sciences Tags , , , ,

    This paper studies a multi-product newsvendor problem with customer-driven demand substitution, where each product, once run out of stock, can be proportionally substituted by the others. This problem has been widely studied in the literature, however, due to nonconvexity and intractability, only limited analytical properties have been reported and no efficient approaches have been proposed. … Read more

    Data-Driven Risk-Averse Stochastic Program And Renewable Energy Integration

  • Chaoyue Zhao
    • Categories Applications - OR and Management Sciences Tags , ,

    With increasing penetration of renewable energy into the power grid and its intermittent nature, it is crucial and challenging for system operators to provide reliable and cost effective daily electricity generation scheduling. In this dissertation, we present our recently developed innovative modeling and solution approaches to address this challenging problem. We start with developing several … Read more

    Data-Driven Risk-Averse Two-Stage Stochastic Program with ζ-Structure Probability Metrics

  • Yongpei Guan
  • Chaoyue Zhao
    • Categories Stochastic Programming Tags , ,

    The traditional two-stage stochastic programming approach assumes the distribution of the random parameter in a problem is known. In most practices, however, the distribution is actually unknown. Instead, only a series of historic data are available. In this paper, we develop a data-driven stochastic optimization approach to providing a risk-averse decision making under uncertainty. In … Read more

    Chance Constrained Mixed Integer Program: Bilinear and Linear Formulations, and Benders Decomposition

  • Yu An
  • Bo Zeng
  • Ludwig Kuznia
    • Categories Integer Programming, Stochastic Programming Tags , , , , ,

    In this paper, we study chance constrained mixed integer program with consideration of recourse decisions and their incurred cost, developed on a finite discrete scenario set. Through studying a non-traditional bilinear mixed integer formulation, we derive its linear counterparts and show that they could be stronger than existing linear formulations. We also develop a variant … Read more