On stability in multiobjective programming — A stochastic approach

In this paper we assume that a deterministic multiobjective programming problem is approximated by surrogate problems based on estimations for the objective functions and the constraints. Making use of a large deviations approach, we investigate the behaviour of the constraint sets, the sets of efficient points and the solution sets if the size of the underlying sample tends to infinity. The results are illustrated by applying them to stochastic programming with chance constraints, where (i) the distribution function of the random variable is estimated by the empirical distribution function, (ii) certain parameters have to be estimated.     

A simulated annealing approach for buffer allocation in reliable production lines

We describe a simulated annealing approach for solving the buffer allocation problem in reliable production lines. The problem entails the determination of near optimal buffer allocation plans in large production lines with the objective of maximizing their average throughput. The latter is calculated utilizing a decomposition method. The allocation plan is calculated subject to a given amount of total buffer slots in a computationally efficient way.     

A multi-parametric programming approach for constrained dynamic programming problems

In this work, we present a new algorithm for solving complex multi-stage optimization problems involving hard constraints and uncertainties, based on dynamic and multi-parametric programming techniques. Each echelon of the dynamic programming procedure, typically employed in the context of multi-stage optimization models, is interpreted as a multi-parametric optimization problem, with the present states and future decision variables being the parameters, while the present decisions the corresponding optimization variables. This reformulation significantly reduces the dimension of the original problem, essentially to a set of lower dimensional multi-parametric programs, which are sequentially solved. Furthermore, the use of sensitivity analysis circumvents non-convexities that naturally arise in constrained dynamic programming problems. The potential application of the proposed novel framework to robust constrained optimal control is highlighted.     

Investigating a hybrid simulated annealing and local search algorithm for constrained optimization

Constrained Optimization Problems (COP) often take place in many practical applications such as kinematics, chemical process optimization, power systems and so on. These problems are challenging in terms of identifying feasible solutions when constraints are non-linear and non-convex. Therefore, finding the location of the global optimum in the non-convex COP is more difficult as compared to non-convex bound-constrained global optimization problems. This paper proposes a Hybrid Simulated Annealing method (HSA), for solving the general COP. HSA has features that address both feasibility and optimality issues and here, it is supported by a local search procedure, Feasible Sequential Quadratic Programming (FSQP). We develop two versions of HSA. The first version (HSAP) incorporates penalty methods for constraint handling and the second one (HSAD) eliminates the need for imposing penalties in the objective function by tracing feasible and infeasible solution sequences independently. Numerical experiments show that the second version is more reliable in the worst case performance.     

Optimal acceptance probability for simulated annealing

The objective of this note is two-fold: first, to prescribe a rather general form for the acceptance probability which will attain the Gibbs distribution for a stationary Markov chain; second, to find the particular one that will maximize the rate at which equilibrium is reached.     

Global optimization and simulated annealing

In this paper we are concerned with global optimization, which can be defined as the problem of finding points on a bounded subset of ⁿ in which some real valued functionf assumes its optimal (maximal or minimal) value.We present a stochastic approach which is based on the simulated annealing algorithm. The approach closely follows the formulation of the simulated annealing algorithm as originally given for discrete optimization problems. The mathematical formulation is extended to continuous optimization problems, and we prove asymptotic convergence to the set of global optima. Furthermore, we discuss an implementation of the algorithm and compare its performance with other well-known algorithms. The performance evaluation is carried out for a standard set of test functions from the literature.     

A simulated annealing approach to the nesting problem in the textile manufacturing industry

The nesting problem in the textile industry is the problem of placing a set of irregularly shaped pieces (calledstencils) on a rectangularsurface, such that no stencils overlap and that thetrim loss produced when cutting out the stencils is minimized. Certain constraints may put restrictions on the positions and orientation of some stencils in the layout but, in general, the problem is unconstrained. In this paper, an algorithmic approach using simulated annealing is presented covering a wide variety of constraints which may occur in the industrial manufacturing process. The algorithm has high performance, is quite simple to use, is extensible with respect to the set of constraints to be met, and is easy to implement.The work of this author was supported in part by grant Le 491/3-1 from the German Research Association (DFG).     

Simulated annealing for constrained global optimization

Hide-and-Seek is a powerful yet simple and easily implemented continuous simulated annealing algorithm for finding the maximum of a continuous function over an arbitrary closed, bounded and full-dimensional body. The function may be nondifferentiable and the feasible region may be nonconvex or even disconnected. The algorithm begins with any feasible interior point. In each iteration it generates a candidate successor point by generating a uniformly distributed point along a direction chosen at random from the current iteration point. In contrast to the discrete case, a single step of this algorithm may generateany point in the feasible region as a candidate point. The candidate point is then accepted as the next iteration point according to the Metropolis criterion parametrized by anadaptive cooling schedule. Again in contrast to discrete simulated annealing, the sequence of iteration points converges in probability to a global optimum regardless of how rapidly the temperatures converge to zero. Empirical comparisons with other algorithms suggest competitive performance by Hide-and-Seek.This material is based on work supported by a NATO Collaborative Research Grant, no. 0119/89.     

Parallel simulated annealing

This article introduces the notion of restricted parallelism for networks, a generalization of the unlimited parallelism for Boltzmann machines. The convergence of the annealing algorithm in the restricted parallel form is established, for an arbitrary network.     

Variants of simulated annealing for the examination timetabling problem

This paper is concerned with the use of simulated annealing in the solution of the multi-objective examination timetabling problem. The solution method proposed optimizes groups of objectives in different phases. Some decisions from earlier phases may be altered later as long as the solution quality with respect to earlier phases does not deteriorate. However, such limitations may disconnect the solution space, thereby causing optimal or near-optimal solutions to be missed. Three variants of our basic simulated annealing implementation which are designed to overcome this problem are proposed and compared using real university data as well as artificial data sets. The underlying principles and conclusions stemming from the use of this method are generally applicable to many other multi-objective type problems.     

A simulated annealing driven multi-start algorithm for bound constrained global optimization

A derivative-free simulated annealing driven multi-start algorithm for continuous global optimization is presented. We first propose a trial point generation scheme in continuous simulated annealing which eliminates the need for the gradient-based trial point generation. We then suitably embed the multi-start procedure within the simulated annealing algorithm. We modify the derivative-free pattern search method and use it as the local search in the multi-start procedure. We study the convergence properties of the algorithm and test its performance on a set of 50 problems. Numerical results are presented which show the robustness of the algorithm. Numerical comparisons with a gradient-based simulated annealing algorithm and three population-based global optimization algorithms show that the new algorithm could offer a reasonable alternative to many currently available global optimization algorithms, specially for problems requiring ‘direct search’ type algorithm.     

An adaptive simulated annealing algorithm for global optimization over continuous variables

A method is presented for attempting global minimization for a function of continuous variables subject to constraints. The method, calledAdaptive Simulated Annealing (ASA), is distinguished by the fact that the fixed temperature schedules and step generation routines that characterize other implementations are here replaced by heuristic-based methods that effectively eliminate the dependence of the algorithm's overall performance on user-specified control parameters. A parallelprocessing version of ASA that gives increased efficiency is presented and applied to two standard problems for illustration and comparison.This research was supported by the University Research Initiative of the U.S. Army Research Office.     

A comparative study of a new heuristic based on adaptive memory programming and simulated annealing: The case of job shop scheduling

In this study, a general framework is proposed that combines the distinctive features of three well-known approaches: the adaptive memory programming, the simulated annealing, and the tabu search methods. Four variants of a heuristic based on this framework are developed and presented. The performance of the proposed methods is evaluated and compared with a conventional simulated annealing approach using benchmark problems for job shop scheduling. The unique feature of the proposed framework is the use of two short-term memories. The first memory temporarily prevents further changes in the configuration of a provisional solution by maintaining the presence of good elements of such solutions. The purpose of the second memory is to keep track of good solutions found during an iteration, so that the best of these can be used as the starting point in a subsequent iteration. Our computational results for the job shop scheduling problem clearly indicate that the proposed methods significantly outperform the conventional simulated annealing.     

A scenario‐based stochastic programming model for the control or dummy wafers downgrading problem

The subject of this paper is to study a realistic planning environment in wafer fabrication for the control or dummy (C/D) wafers problem with uncertain demand. The demand of each product is assumed with a geometric Brownian motion and approximated by a finite discrete set of scenarios. A two‐stage stochastic programming model is developed based on scenarios and solved by a deterministic equivalent large linear programming model. The model explicitly considers the objective to minimize the total cost of C/D wafers. A real‐world example is given to illustrate the practicality of a stochastic approach. The results are better in comparison with deterministic linear programming by using expectation instead of stochastic demands. The model improved the performance of control and dummy wafers management and the flexibility of determining the downgrading policy. Copyright © 2008 John Wiley & Sons, Ltd.     

A hybrid simulated annealing for solving an extended model of dynamic cellular manufacturing system

This paper develops a mixed-integer programming model to design the cellular manufacturing systems (CMSs) under dynamic environment. In dynamic environment, the product mix and part demand change under a multi-period planning horizon. Thus, the best designed cells for one period may not be efficient for subsequent periods and reconfiguration of cells is required. Reconfiguration may involve adding, removing or relocating machines; it may also involve a change in processing rout of part types from a period to another. The advantages of the proposed model are as follows: considering the batch inter/intra-cell material handling by assuming the sequence of operations, considering alternative process plans for part types, and considering machine replication. The main constraints are maximal cell size and machine time-capacity. The objective is to minimize the sum of the machine constant and variable costs, inter- and intra-cell material handling, and reconfiguration costs. An efficient hybrid meta-heuristic based on mean field annealing (MFA) and simulated annealing (SA) so-called MFA–SA is used to solve the proposed model. In this case, MFA technique is applied to generate a good initial solution for SA. The obtained results show that the quality of the solutions obtained by MFA–SA is better than classical SA, especially for large-sized problems.     

A simulated annealing algorithm for transient optimization in gas networks

In this paper we present a simulated annealing approach for the gas network optimization problem. A gas network consists of a set of pipes to transport the gas from the sources to the sinks whereby gas pressure gets lost due to friction. Further on there are compressors, which increase gas pressure, and valves. The aim is to minimize fuel gas consumption of the compressors whereas demands of consumers have to be satisfied. The problem of transient (time-dependent) optimization of gas networks results in a highly complex mixed integer nonlinear program. We relax the equations describing the gas dynamic in pipes by adding these constraints combined with appropriate penalty factors to the objective function. A suitable neighborhood structure is developed for the relaxed problem where time steps as well as pressure and flow of the gas are decoupled. Our approach convinces with flexibility and very good computational results.     

A stochastic programming approach to cash management in banking

The treasurer of a bank is responsible for the cash management of several banking activities. In this work, we focus on two of them: cash management in automatic teller machines (ATMs), and in the compensation of credit card transactions. In both cases a decision must be taken according to a future customers demand, which is uncertain. From historical data we can obtain a discrete probability distribution of this demand, which allows the application of stochastic programming techniques. We present stochastic programming models for each problem. Two short-term and one mid-term models are presented for ATMs. The short-term model with fixed costs results in an integer problem which is solved by a fast (i.e. linear running time) algorithm. The short-term model with fixed and staircase costs is solved through its MILP equivalent deterministic formulation. The mid-term model with fixed and staircase costs gives rise to a multi-stage stochastic problem, which is also solved by its MILP deterministic equivalent. The model for compensation of credit card transactions results in a closed form solution. The optimal solutions of those models are the best decisions to be taken by the bank, and provide the basis for a decision support system.     

Selecting tolerances in chance-constrained programming: A multiple objective linear programming approach

An importance issue concerning the practical application of chance-constrained programming is the lack of a rational method for choosing risk levels or tolerances on the chance constraints. While there has also been much recent debate on the relationship, equivalence, usefulness, and other characteristics of chance-constrained programming relative to stochastic programming with recourse, this paper focuses on the problem of improving the selection of tolerances within the chance-constrained framework. An approach is presented, based on multiple objective linear programming, which allows the decision maker to be more involved in the tolerance selection process, but does not demand a priori decisions on appropriate tolerances. An example is presented which illustrates the approach.