New models for the robust shortest path problem: complexity, resolution and generalization

In optimization, it is common to deal with uncertain and inaccurate factors which make it difficult to assign a single value to each parameter in the model. It may be more suitable to assign a set of values to each uncertain parameter. A scenario is defined as a realization of the uncertain parameters. In this context, a robust solution has to be as good as possible on a majority of scenarios and never be too bad. Such characterization admits numerous possible interpretations and therefore gives rise to various approaches of robustness. These approaches differ from each other depending on models used to represent uncertain factors, on methodology used to measure robustness, and finally on analysis and design of solution methods. In this paper, we focus on the application of a recent criterion for the shortest path problem with uncertain arc lengths. We first present two usual uncertainty models: the interval model and the discrete scenario set model. For each model, we then apply a criterion, called bw-robustness (originally proposed by B. Roy) which defines a new measure of robustness. According to each uncertainty model, we propose a formulation in terms of large scale integer linear program. Furthermore, we analyze the theoretical complexity of the resulting problems. Our computational experiments perform on a set of large scale graphs. By observing the results, we can conclude that the approved solvers, e.g. Cplex, are able to solve the mathematical models proposed which are promising for robustness analysis. In the end, we show that our formulations can be applied to the general linear program in which the objective function includes uncertain coefficients.     

On the complexity of minmax regret linear programming

We consider linear programming problems with uncertain objective function coefficients. For each coefficient of the objective function, an interval of uncertainty is known, and it is assumed that any coefficient can take on any value from the corresponding interval of uncertainty, regardless of the values taken by other coefficients. It is required to find a minmax regret solution. This problem received considerable attention in the recent literature, but its computational complexity status remained unknown. We prove that the problem is strongly NP-hard. This gives the first known example of a minmax regret optimization problem that is NP-hard in the case of interval-data representation of uncertainty but is polynomially solvable in the case of discrete-scenario representation of uncertainty.     

Network planning under uncertainty with an application to hydropower generation

Summary We present a general modeling framework for therobust optimization of linear network problems with uncertainty in the values of the right-hand side. In contrast to traditional approaches in mathematical programming, we use scenarios to characterize the uncertainty. Solutions are obtained for each scenario and these individual scenarios are aggregated to yield a nonanticipative or implementable policy that minimizes the regret of wrong decisions. A given solution is termed robust if it minimizes the sum over the scenarios of the weighted upper difference between the objective function value for the solution and the objective function value for the optimal solution for each scenario, while satisfying certain nonanticipativity constraints. This approach results in a huge model with a network submodel per scenario plus coupling constraints. Several decomposition approaches are considered, namely Dantzig-Wolfe decomposition, various types of Benders decomposition and different quadratic network approaches for approximating Augmented Lagrangian decomposition. We present computational results for these methods, including two implementation versions of the Lagrangian based method: a sequential implementation and a parallel implementation on a network of three workstations.     

Complexity of the min-max and min-max regret assignment problems

This paper investigates the complexity of the min-max and min-max regret assignment problems both in the discrete scenario and interval data cases. We show that these problems are strongly NP-hard for an unbounded number of scenarios. We also show that the interval data min-max regret assignment problem is strongly NP-hard.     

On the complexity of a class of combinatorial optimization problems with uncertainty

We consider a robust (minmax-regret) version of the problem of selecting p elements of minimum total weight out of a set of m elements with uncertainty in weights of the elements. We present a polynomial algorithm with the order of complexity O((min {p,m-p})² m) for the case where uncertainty is represented by means of interval estimates for the weights. We show that the problem is NP-hard in the case of an arbitrary finite set of possible scenarios, even if there are only two possible scenarios. This is the first known example of a robust combinatorial optimization problem that is NP-hard in the case of scenario-represented uncertainty but is polynomially solvable in the case of the interval representation of uncertainty. Received: July 1998 / Accepted: May 2000?Published online March 22, 2001     

最小最大树划分的近似算法与最小和树划分的精确算法

本文研究把连通赋权图的点集划分成p个子集,要求每个点子集的导出子图都连通,并且使得所得到的p个子图的最小支撑树中权重最大者的权重达到最小(最小最大树划分问题),或者使得所得到的p个子图的最小支撑树权重之和达到最小(最小和树划分问题)．文中给出了最小最大树划分问题的强NP困难性证明,并给出了一个多项式时间算法,该算法是最小最大树划分问题的竞争比为p的近似算法,同时是最小和树划分问题的精确算法．     

一个具有两类工件的多目标排序的NP-困难性

文章考虑具有两个工件集的单机排序问题.第一个工件集J1以加权完工时间和为目标函数,第二个工件集J2以最大加权完工时间为目标函数.问题的目标是寻找一种排序,使得两个目标函数的加权和达到最小,并证明该问题是强NP-困难的.     

Inverse optimization: towards the optimal parameter set of inverse LP with interval coefficients

We study the inverse optimization problem in the following formulation: given a family of parametrized optimization problems and a real number called demand, determine for which values of parameters the optimal value of the objective function equals to the demand. We formulate general questions and problems about the optimal parameter set and the optimal value function. Then we turn our attention to the case of linear programming, when parameters can be selected from given intervals (“inverse interval LP”). We prove that the problem is NP-hard not only in general, but even in a very special case. We inspect three special cases—the case when parameters appear in the right-hand sides, the case when parameters appear in the objective function, and the case when parameters appear in both the right-hand sides and the objective function. We design a technique based on parametric programming, which allows us to inspect the optimal parameter set. We illustrate the theory by examples.     

Heuristics for Two-Level Hierarchical Transportation Networks

Given a set of points, we wish to design a network consisting of a primary link and a set of secondary links connecting the points to the primary link. The objective of the problem is to find the location and length of the primary link in order to minimize the sum of its weighted length and the weighted lengths of all secondary links. We assume that the weight of the secondary link from any point varies depending on the location of that point. In this paper, we describe efficient algorithms and their computer implementation for two scenarios of this problem. In the first scenario, only direct secondary links are allowed from each point to the primary link. In the second scenario, the secondary link from a point is allowed to pass through other points before reaching the primary link.     

On the recoverable robust traveling salesman problem

We consider an uncertain traveling salesman problem, where distances between nodes are not known exactly, but may stem from an uncertainty set of possible scenarios. This uncertainty set is given as intervals with an additional bound on the number of distances that may deviate from their expected, nominal values. A recoverable robust model is proposed, that allows a tour to change a bounded number of edges once a scenario becomes known. As the model contains an exponential number of constraints and variables, an iterative algorithm is proposed, in which tours and scenarios are computed alternately. While this approach is able to find a provably optimal solution to the robust model, it also needs to solve increasingly complex subproblems. Therefore, we also consider heuristic solution procedures based on local search moves using a heuristic estimate of the actual objective function. In computational experiments, these approaches are compared.     

Scenario based robust line balancing: Computational complexity

This paper studies the following line balancing problem with uncertain operation execution times. Operations on the same product have to be assigned to the stations of a transfer line. The product moves along the stations in the same direction, and operations assigned to the same station are executed sequentially. Exclusion, inclusion and precedence relations are given on the set of operations. Operation execution times are uncertain in the sense that their set belongs to a given set of scenarios. The objective is to minimize the line cycle time, which is equal to the maximum total execution time of operations of the same station, for the worst scenario. An approach to reducing the scenario set is described. Several special cases of the problem are proved NP-hard and strongly NP-hard. Enumerative dynamic programming algorithms and problem-specific polynomial time algorithms are suggested for some cases.     

Min–max and min–max (relative) regret approaches to representatives selection problem

The following optimization problem is studied. There are several sets of integer positive numbers whose values are uncertain. The problem is to select one representative of each set such that the sum of the selected numbers is minimum. The uncertainty is modeled by discrete and interval scenarios, and the min?Cmax and min?Cmax (relative) regret approaches are used for making a selection decision. The arising min?Cmax, min?Cmax regret and min?Cmax relative regret optimization problems are shown to be polynomially solvable for interval scenarios. For discrete scenarios, they are proved to be NP-hard in the strong sense if the number of scenarios is part of the input. If it is part of the problem type, then they are NP-hard in the ordinary sense, pseudo-polynomially solvable by a dynamic programming algorithm and possess an FPTAS. This study is motivated by the problem of selecting tools of minimum total cost in the design of a production line.     

Using the WOWA operator in robust discrete optimization problems

In this paper a class of discrete optimization problems with uncertain costs is discussed. The uncertainty is modeled by introducing a scenario set containing a finite number of cost scenarios. A probability distribution over the set of scenarios is available. In order to choose a solution the weighted OWA criterion (WOWA) is applied. This criterion allows decision makers to take into account both probabilities for scenarios and the degree of pessimism/optimism. In this paper the complexity of the considered class of discrete optimization problems is described and some exact and approximation algorithms for solving it are proposed. Applications to the selection and the assignment problems, together with results of computational tests are shown.     

单可变资源最小化加权完工时间和排序问题的强NP-困难性

Baker和Nuttle提出了下述单可变资源排序问题：扎个工件利用某个单资源进行加工使得工件的完工时间的某个函数达到最小,而资源的可利用率是随着时间而变化的．当最小化的目标函数是工件的加权完工时间和时,Baker和Nuttle猜测该问题是NP-困难的．最近,Yuan、Cheng和Ng证明该问题在一般意义下是NP-困难的,但是问题的精确复杂性仍然是悬而未决的．本文我们证明了该问题是强NP-困难的．     

Continuous quadratic programming formulations of optimization problems on graphs

Four NP-hard optimization problems on graphs are studied: The vertex separator problem, the edge separator problem, the maximum clique problem, and the maximum independent set problem. We show that the vertex separator problem is equivalent to a continuous bilinear quadratic program. This continuous formulation is compared to known continuous quadratic programming formulations for the edge separator problem, the maximum clique problem, and the maximum independent set problem. All of these formulations, when expressed as maximization problems, are shown to follow from the convexity properties of the objective function along the edges of the feasible set. An algorithm is given which exploits the continuous formulation of the vertex separator problem to quickly compute approximate separators. Computational results are given.     

The interval ordering problem

For a given set of intervals on the real line, we consider the problem of ordering the intervals with the goal of minimizing an objective function that depends on the exposed interval pieces (that is, the pieces that are not covered by earlier intervals in the ordering). This problem is motivated by an application in molecular biology that concerns the determination of the structure of the backbone of a protein.We present polynomial-time algorithms for several natural special cases of the problem that cover the situation where the interval boundaries are agreeably ordered and the situation where the interval set is laminar. Also the bottleneck variant of the problem is shown to be solvable in polynomial time. Finally we prove that the general problem is NP-hard, and that the existence of a constant-factor-approximation algorithm is unlikely.     

Minimizing the weighted number of tardy jobs and maximum tardiness in relocation problem with due date constraints

The relocation problem addressed in this paper is to determine a reconstruction sequence for a set of old buildings, under a limited budget, such that there is adequate temporary space to house the residents decanted during rehabilitation. It can be regarded as a resource-constrained scheduling problem where there is a set of jobs to be processed on a single machine. Each job demands a number of resources for processing and returns probably a different number of resources on its completion. Given a number of initial resources, the problem seeks to determine if there is a feasible sequence for the successful processing of all the jobs. Two generalizations of the relocation problem in the context of single machine scheduling with due date constraints are studied in this paper. The first problem is to minimize the weighted number of tardy jobs under a common due date. We show that it is NP-hard even when all the jobs have the same tardy weight and the same resource requirement. A dynamic programming algorithm with pseudo-polynomial computational time is proposed for the general case. In the second problem, the objective is to minimize the maximum tardiness when each job is associated with an individual due date. We prove that it is strongly NP-hard. We also propose a pseudo-polynomial time dynamic programming algorithm for the case where the number of possible due dates is predetermined.     

The Exact Weighted Independent Set Problem in Perfect Graphs and Related Classes

The exact weighted independent set (EWIS) problem consists in determining whether a given vertex-weighted graph contains an independent set of given weight. This problem is a generalization of two well-known problems, the NP-complete subset sum problem and the strongly NP-hard maximum weight independent set (MWIS) problem. Since the MWIS problem is polynomially solvable for some special graph classes, it is interesting to determine the complexity of this more general EWIS problem for such graph classes.We focus on the class of perfect graphs, which is one of the most general graph classes where the MWIS problem can be solved in polynomial time. It turns out that for certain subclasses of perfect graphs, the EWIS problem is solvable in pseudo-polynomial time, while on some others it remains strongly NP-complete. In particular, we show that the EWIS problem is strongly NP-complete for bipartite graphs of maximum degree three, but solvable in pseudo-polynomial time for cographs, interval graphs and chordal graphs, as well as for some other related graph classes.     

Approximating a two-machine flow shop scheduling under discrete scenario uncertainty

This paper deals with the two machine permutation flow shop problem with uncertain data, whose deterministic counterpart is known to be polynomially solvable. In this paper, it is assumed that job processing times are uncertain and they are specified as a discrete scenario set. For this uncertainty representation, the min-max and min-max regret criteria are adopted. The min-max regret version of the problem is known to be weakly NP-hard even for two processing time scenarios. In this paper, it is shown that the min-max and min-max regret versions of the problem are strongly NP-hard even for two scenarios. Furthermore, the min-max version admits a polynomial time approximation scheme if the number of scenarios is constant and it is approximable with performance ratio of 2 and not (4/3 − ?)-approximable for any ? > 0 unless P = NP if the number of scenarios is a part of the input. On the other hand, the min-max regret version is not at all approximable even for two scenarios.     

On distributionally robust multiperiod stochastic optimization

This paper considers model uncertainty for multistage stochastic programs. The data and information structure of the baseline model is a tree, on which the decision problem is defined. We consider “ambiguity neighborhoods” around this tree as alternative models which are close to the baseline model. Closeness is defined in terms of a distance for probability trees, called the nested distance. This distance is appropriate for scenario models of multistage stochastic optimization problems as was demonstrated in Pflug and Pichler (SIAM J Optim 22:1–23, 2012). The ambiguity model is formulated as a minimax problem, where the the optimal decision is to be found, which minimizes the maximal objective function within the ambiguity set. We give a setup for studying saddle point properties of the minimax problem. Moreover, we present solution algorithms for finding the minimax decisions at least asymptotically. As an example, we consider a multiperiod stochastic production/inventory control problem with weekly ordering. The stochastic scenario process is given by the random demands for two products. We determine the minimax solution and identify the worst trees within the ambiguity set. It turns out that the probability weights of the worst case trees are concentrated on few very bad scenarios.