A multi-stage stochastic programming approach in master production scheduling

Master Production Schedules (MPS) are widely used in industry, especially within Enterprise Resource Planning (ERP) software. The classical approach for generating MPS assumes infinite capacity, fixed processing times, and a single scenario for demand forecasts. In this paper, we question these assumptions and consider a problem with finite capacity, controllable processing times, and several demand scenarios instead of just one. We use a multi-stage stochastic programming approach in order to come up with the maximum expected profit given the demand scenarios. Controllable processing times enlarge the solution space so that the limited capacity of production resources are utilized more effectively. We propose an effective formulation that enables an extensive computational study. Our computational results clearly indicate that instead of relying on relatively simple heuristic methods, multi-stage stochastic programming can be used effectively to solve MPS problems, and that controllability increases the performance of multi-stage solutions.     

An Iterative Exact Solution for the Dual Power Management Problem in Wireless Sensor Network

We study the dual power management problem in wireless sensor networks. Given a wireless sensor network with two possible power levels (heigh and low) for each sensor, the problem consists in minimizing the number of sensors assigned heigh power while ensuring the connectivity of the network. We formulate the problem by a binary integer programming model to minimize the total power consumption. Since the problem is NP-complete, we provide an iterative approximation based on iterative methods in combinatorial optimization. We solve the separation subproblem as a minimum spanning tree.     

Modelling and solving optimal placement problems in wireless sensor networks

In this work, the optimal sensor displacement problem in wireless sensor networks is addressed. It is assumed that a network, consisting of independent, collaborative and mobile nodes, is available. Starting from an initial configuration, the aim is to define a specific sensors displacement, which allows the network to achieve high performance, in terms of energy consumption and travelled distance. To mathematically represent the problem under study, different innovative optimization models are proposed and defined, by taking into account different performance objectives. An extensive computational phase is carried out in order to assess the behaviour of the developed models in terms of solution quality and computational effort. A comparison with distributed approaches is also given, by considering different scenarios.     

Scenario optimization

Uncertainty in the parameters of a mathematical program may present a modeller with considerable difficulties. Most approaches in the stochastic programming literature place an apparent heavy data and computational burden on the user and as such are often intractable. Moreover, the models themselves are difficult to understand. This probably explains why one seldom sees a fundamentally stochastic model being solved using stochastic programming techniques. Instead, it is common practice to solve a deterministic model with different assumed scenarios for the random coefficients. In this paper we present a simple approach to solving a stochastic model, based on a particular method for combining such scenario solutions into a single, feasible policy. The approach is computationally simple and easy to understand. Because of its generality, it can handle multiple competing objectives, complex stochastic constraints and may be applied in contexts other than optimization. To illustrate our model, we consider two distinct, important applications: the optimal management of a hydro-thermal generating system and an application taken from portfolio optimization.     

Map-Route: a GIS-based decision support system for intra-city vehicle routing with time windows

This paper presents a Decision Support System (DSS) that enables dispatchers–schedulers to approach intra-city vehicle routing problems with time windows interactively, using appropriate computational methods and exploiting a custom knowledge base that contains information about traffic and spatial data. The DSS, named Map-Route, generates routes that satisfy time and vehicle capacity constraints. Its computational engine is based on an effective heuristic method for solving the underlying optimization problem, while its implementation is developed using MapInfo, a popular Geographical Information System (GIS) platform. Map-Route provides very efficient solutions, is particularly user-friendly, and can reach answers for a wide variety of ‘what if’ scenarios with potentially significant cost implications. We have implemented Map-Route in an actual industrial environment and we report on the experience gained from this real-life application.     

Topology design for on-demand dual-path routing in wireless networks

One way to achieve reliability with low-latency is through multi-path routing and transport protocols that build redundant delivery channels (or data paths) to reduce end-to-end packet losses and retransmissions. However, the applicability and effectiveness of such protocols are limited by the topological constraints of the underlying communication infrastructure. Multiple data delivery paths can only be constructed over networks that are capable of supporting multiple paths. In mission-critical wireless networks, the underlying network topology is directly affected by the terrain, location and environmental interferences, however the settings of the wireless radios at each node can be properly configured to compensate for these effects for multi-path support. In this work we investigate optimization models for topology designs that enable end-to-end dual-path support on a distributed wireless sensor network. We consider the case of a fixed sensor network with isotropic antennas, where the control variable for topology management is the transmission power on network nodes. For optimization modeling, the network metrics of relevance are coverage, robustness and power utilization. The optimization models proposed in this work eliminate some of the typical assumptions made in the pertinent network design literature that are too strong in this application context.     

Comparison of some AI and statistical classification methods for a marketing case

Recent progress in data processing technology has made the accumulation and systematic organization of large volumes of data a routine activity. As a result of these developments, there is an increasing need for data-based or data-driven methods of model development. This paper describes data-driven classification methods and shows that the automatic development and refinement of decision support models is now possible when the machine is given a large (or sometimes even a small) amount of observations that express instances of a certain task domain. The classifier obtained may be used to build a decision support system, to refine or update an existing system and to understand or improve a decision-making process. The described AI classification methods are compared with statistical classification methods for a marketing application. They can act as a basis for data-driven decision support systems that have two basic components: an automated knowledge module and an advice module or, in different terms, an automated knowledge acquisition/retrieval module and a knowledge processing module. When these modules are integrated or linked, a decision support system can be created which enables an organization to make better-quality decisions, with reduced variance, probably using fewer people.     

Optimization of power production through coordinated use of hydroelectric and conventional power units

In the present work a methodology to tackle the problem of simultaneous utilization of hydroelectric and conventional power units with the goal of optimizing power production operations over the short term is presented. Most problem formulations found in the literature result in the development of nonlinear optimization programs, which are solved with stochastic methods. The methodology presented in this paper leads to the development of a convex mixed integer quadratic programming (MIQP) model, which is a special type of nonlinear model that enables reaching the global optimum solution in short computational time. The efficiency of the proposed approach is demonstrated by its application to a realistic power production system.     

Efficient optimization of the reward-risk ratio with polyhedral risk measures

In problems of portfolio selection the reward-risk ratio criterion is optimized to search for a risky portfolio offering the maximum increase of the mean return, compared to the risk-free investment opportunities. In the classical model, following Markowitz, the risk is measured by the variance thus representing the Sharpe ratio optimization and leading to the quadratic optimization problems. Several polyhedral risk measures, being linear programming (LP) computable in the case of discrete random variables represented by their realizations under specified scenarios, have been introduced and applied in portfolio optimization. The reward-risk ratio optimization with polyhedral risk measures can be transformed into LP formulations. The LP models typically contain the number of constraints proportional to the number of scenarios while the number of variables (matrix columns) proportional to the total of the number of scenarios and the number of instruments. Real-life financial decisions are usually based on more advanced simulation models employed for scenario generation where one may get several thousands scenarios. This may lead to the LP models with huge number of variables and constraints thus decreasing their computational efficiency and making them hardly solvable by general LP tools. We show that the computational efficiency can be then dramatically improved by alternative models based on the inverse ratio minimization and taking advantages of the LP duality. In the introduced models the number of structural constraints (matrix rows) is proportional to the number of instruments thus not affecting seriously the simplex method efficiency by the number of scenarios and therefore guaranteeing easy solvability.     

A Scalable Parallel Interior Point Algorithm for Stochastic Linear Programming and Robust Optimization

We present a computationally efficient implementation of an interior point algorithm for solving large-scale problems arising in stochastic linear programming and robust optimization. A matrix factorization procedure is employed that exploits the structure of the constraint matrix, and it is implemented on parallel computers. The implementation is perfectly scalable. Extensive computational results are reported for a library of standard test problems from stochastic linear programming, and also for robust optimization formulations.The results show that the codes are efficient and stable for problems with thousands of scenarios. Test problems with 130 thousand scenarios, and a deterministic equivalent linear programming formulation with 2.6 million constraints and 18.2 million variables, are solved successfully.     

联合订货下基于ø-散度的多产品库存鲁棒优化模型

针对多产品联合库存决策问题,在市场需求不确定条件下,建立了考虑联合订货成本的多产品库存鲁棒优化模型。针对不确定市场需求,采用一系列未知概率的离散情景进行描述,给出了基于最小最大准则的鲁棒对应模型,并证明了(s,S)库存策略的最优性。进一步,在仅知多产品市场需求历史数据基础上,采用基于ø-散度的数据驱动方法构建了满足一定置信度要求的关于未知需求概率分布的不确定集。在此基础上,为获得(s,S)库存策略的相关参数,运用拉格朗日对偶方法将所建模型等价转化为易于求解的数学规划问题。最后,通过数值计算分析了Kullback-Leibler散度和Cressie-Read散度以及不同的置信水平下的多产品库存绩效,并将其与真实分布下应用鲁棒库存策略得到的库存绩效进行对比。结果表明,需求分布信息的缺失虽然会导致一定的库存绩效损失,但损失值很小,表明基于文中方法得到的库存策略能够有效抑制需求不确定性扰动,具有良好的鲁棒性。     

Optimal sensor placement for modal identification of structures using genetic algorithms—a case study: the olympic stadium in Cali,Colombia

Adequate sensor placement plays a key role in such fields as system identification, structural control, damage detection and structural health monitoring of flexible structures. In recent years, interest has increased in the development of methods for determining an arrangement of sensors suitable for characterizing the dynamic behavior of a given structure. This paper describes the implementation of genetic algorithms as a strategy for optimal placement of a predefined number of sensors. The method is based on the maximization of a fitness function that evaluates sensor positions in terms of natural frequency identification effectiveness and mode shape independence under various occupation and excitation scenarios using a custom genetic algorithm. A finite element model of the stadium was used to evaluate modal parameters used in the fitness function, and to simulate different occupation and excitation scenarios. The results obtained with the genetic algorithm strategy are compared with those obtained from applying the Effective Independence and Modal Kinetic Energy sensor placement techniques. The sensor distribution obtained from the proposed strategy will be used in a structural health monitoring system to be installed in the stadium.     

Modeling and optimization of energy efficient routing in wireless sensor networks

Wireless sensor networks (WSNs) have important applications in remote environmental monitoring and target tracking. The development of WSNs in recent years has been facilitated by the availability of sensors that are smaller, less expensive, and more intelligent. The design of a WSN depends significantly on its desired applications and must take into account factors such as the environment, the design objectives of the application, the associated costs, the necessary hardware, and any applicable system constraints. In this study, we propose mathematical models for a routing protocol (network design) under particular resource restrictions within a wireless sensor network. We consider two types of constraints: the distance between the linking sensors and the energy used by the sensors. The proposed models aim to identify energy-efficient paths that minimize the energy consumption of the network from the source sensor to the base station. The computational results show that the presented models can be used efficiently and applied to other network design contexts with resource restrictions (e.g., to multi-level supply chain networks).     

Robust optimization of contaminant sensor placement for community water systems

We present a series of related robust optimization models for placing sensors in municipal water networks to detect contaminants that are maliciously or accidentally injected. We formulate sensor placement problems as mixed-integer programs, for which the objective coefficients are not known with certainty. We consider a restricted absolute robustness criteria that is motivated by natural restrictions on the uncertain data, and we define three robust optimization models that differ in how the coefficients in the objective vary. Under one set of assumptions there exists a sensor placement that is optimal for all admissible realizations of the coefficients. Under other assumptions, we can apply sorting to solve each worst-case realization efficiently, or we can apply duality to integrate the worst-case outcome and have one integer program. The most difficult case is where the objective parameters are bilinear, and we prove its complexity is NP-hard even under simplifying assumptions. We consider a relaxation that provides an approximation, giving an overall guarantee of near-optimality when used with branch-and-bound search. We present preliminary computational experiments that illustrate the computational complexity of solving these robust formulations on sensor placement applications.     

On augmented Lagrangian decomposition methods for multistage stochastic programs

A general decomposition framework for large convex optimization problems based on augmented Lagrangians is described. The approach is then applied to multistage stochastic programming problems in two different ways: by decomposing the problem into scenarios and by decomposing it into nodes corresponding to stages. Theoretical convergence properties of the two approaches are derived and a computational illustration is presented.     

Forestry management under uncertainty

The forest harvest and road construction planning problem consists fundamentally of managing land designated for timber production and divided into harvest cells. For each time period the planner must decide which cells to cut and what access roads to build in order to maximize expected net profit. We have previously developed deterministic mixed integer linear programming models for this problem. The main contribution of the present work is the introduction of a multistage Stochastic Integer Programming model. This enables the planner to make more robust decisions based on a range of timber price scenarios over time, maximizing the expected value instead of merely analyzing a single average scenario. We use a specialization of the Branch-and-Fix Coordination algorithmic approach. Different price and associated probability scenarios are considered, allowing us to compare expected profits when uncertainties are taken into account and when only average prices are used. The stochastic approach as formulated in this work generates solutions that were always feasible and better than the average solution, while the latter in many scenarios proved to be infeasible.     

Optimization scheme for sensor coverage scheduling with bandwidth constraints

Wireless Sensor Network has attracted a lot of attentions due to its broad applications in recent years and also introduces many challenges. Network lifetime is a critical issue in Wireless Sensor Networks. It is possible to extend network lifetime by organizing the sensors into a number of sensor covers. However, with the limited bandwidth, coverage breach (i.e, targets that are not covered) can occur if the number of available time-slots/channels is less than the number of sensors in a sensor cover. In this paper, we study a joint optimization problem in which the objective is to minimize the coverage breach as well as to maximize the network lifetime. We show a “trade-off” scheme by presenting two strongly related models, which aim to tradeoffs between the two conflicting objectives. The main approach of our models is organizing sensors into non-disjoint sets, which is different from the current most popular approach and can gain longer network lifetime as well as less coverage breach. We proposed two algorithms for the first model based on linear programming and greedy techniques, respectively. Then we transform these algorithms to solve the second model by revealing the strong connection between the models. Through numerical simulation, we showed the good performance of our algorithms and the pictures of the tradeoff scheme in variant scenarios, which coincide with theoretical analysis very well. It is also showed that our algorithms could obtain less breach rate than the one proposed in (Cheng et al. in INFOCOM’ 05, 2005).     

Exact approaches for lifetime maximization in connectivity constrained wireless multi-role sensor networks

In this paper, we consider the duty scheduling of sensor activities in wireless sensor networks to maximize the lifetime. We address full target coverage problems contemplating sensors used for sensing data and transmit it to the base station through multi-hop communication as well as sensors used only for communication purposes. Subsets of sensors (also called covers) are generated. Those covers are able to satisfy the coverage requirements as well as the connection to the base station. Thus, maximum lifetime can be obtained by identifying the optimal covers and allocate them an operation time. The problem is solved through a column generation approach decomposed in a master problem used to allocate the optimal time interval during which covers are used and in a pricing subproblem used to identify the covers leading to maximum lifetime. Additionally, Branch-and-Cut based on Benders’ decomposition and constraint programming approaches are used to solve the pricing subproblem. The approach is tested on randomly generated instances. The computational results demonstrate the efficiency of the proposed approach to solve the maximum network lifetime problem in wireless sensor networks with up to 500 sensors.     

Lifetime maximization in wireless directional sensor network

This paper addresses two versions of a lifetime maximization problem for target coverage with wireless directional sensor networks. The sensors used in these networks have a maximum sensing range and a limited sensing angle. In the first problem version, predefined sensing directions are assumed to be given, whereas sensing directions can be freely devised in the second problem version. In that case, a polynomial-time algorithm is provided for building sensing directions that allow to maximize the network lifetime. A column generation algorithm is proposed for both problem versions, the subproblem being addressed with a hybrid approach based on a genetic algorithm, and an integer linear programming formulation. Numerical results show that addressing the second problem version allows for significant improvements in terms of network lifetime while the computational effort is comparable for both problem versions.     

First-order inertial algorithms involving dry friction damping

We present a Branch-and-Cut algorithm for a class of nonlinear chance-constrained mathematical optimization problems with a finite number of scenarios. Unsatisfied scenarios can enter a recovery mode. This class corresponds to problems that can be reformulated as deterministic convex mixed-integer nonlinear programming problems with indicator variables and continuous scenario variables, but the size of the reformulation is large and quickly becomes impractical as the number of scenarios grows. The Branch-and-Cut algorithm is based on an implicit Benders decomposition scheme, where we generate cutting planes as outer approximation cuts from the projection of the feasible region on suitable subspaces. The size of the master problem in our scheme is much smaller than the deterministic reformulation of the chance-constrained problem. We apply the Branch-and-Cut algorithm to the mid-term hydro scheduling problem, for which we propose a chance-constrained formulation. A computational study using data from ten hydroplants in Greece shows that the proposed methodology solves instances faster than applying a general-purpose solver for convex mixed-integer nonlinear programming problems to the deterministic reformulation, and scales much better with the number of scenarios.