Stochastic Programming Problem Research Articles

Information Relaxation and a Duality-Driven Algorithm for Stochastic Dynamic Programs

The curse of dimensionality significantly restricts the use of dynamic programming methods in solving complex problems. Consequently, researchers and practitioners often resort to approximate (suboptimal) control policies that strike a balance between ease of implementation and satisfactory performance. Information relaxation-based duality techniques generate both upper and lower bounds for the true values of stochastic dynamic programming problems, allowing us to evaluate the optimality of approximate policies through the dual gap. However, the literature still lacks guidance on handling cases where the gaps are excessively loose. In “Information Relaxation and a Duality-Driven Algorithm for Stochastic Dynamic Programs,” Chen, Ma, Liu, and Yu develop a novel DDP framework to obtain and tighten confidence interval estimates for the true value functions of SDP problems. Leveraging a new finding that the dual operation yields subsolutions, they establish convergence guarantees for DDP. Additionally, a regression-based Monte Carlo method is introduced, aimed at high-dimensional applications. Numerical examples demonstrate that DDP effectively improves dual gaps for various heuristics that are commonly used in the literature.

A non-anticipative learning-optimization framework for solving multi-stage stochastic programs

AbstractWe present a non-anticipative learning- and scenario-based prediction-optimization (ScenPredOpt) framework that combines deep learning, heuristics, and mathematical solvers for solving combinatorial problems under uncertainty. Specifically, we transform neural machine translation frameworks to predict the optimal solutions of scenario-based multi-stage stochastic programs. The learning models are trained efficiently using the input and solution data of the multi-stage single-scenario deterministic problems. Then our ScenPredOpt framework creates a mapping from the inputs used in training into an output of predictions that are close to optimal solutions. We present a Non-anticipative Encoder-Decoder with Attention (NEDA) approach, which ensures the non-anticipativity property of multi-stage stochastic programs and, thus, time consistency by calibrating the learned information based on the problem’s scenario tree and adjusting the hidden states of the neural network. In our ScenPredOpt framework, the percent predicted variables used for the solution are iteratively reduced through a relaxation of the problem to eliminate infeasibility. Then, a linear relaxation-based heuristic is performed to further reduce the solution time. Finally, a mathematical solver is used to generate the complete solution. We present the results on two NP-Hard sequential optimization problems under uncertainty: stochastic multi-item capacitated lot-sizing and stochastic multistage multidimensional knapsack. The results show that the solution time can be reduced by a factor of 599 with an optimality gap of only 0.08%. We compare the results of the ScenPredOpt framework with cutting-edge exact and heuristic solution algorithms for the problems studied and find that our framework is more effective. Additionally, the computational results demonstrate that ScenPredOpt can solve instances with a larger number of items and scenarios than the trained ones. Our non-anticipative learning-optimization approach can be beneficial for stochastic programming problems involving binary variables that are solved repeatedly with various types of dimensions and similar decisions at each period.

Solving Stochastic Transportation Programming Problems with Fuzzy Information on Probability Distribution Space Using a New Approach

Solving Stochastic Transportation Programming Problems with Fuzzy Information on Probability Distribution Space Using a New Approach

Consumer service level-oriented resilience optimisation for e-commerce supply chain considering hybrid strategies with blockchain adoption

ABSTRACT The booming development of customised e-commerce makes e-commerce supply chains experience a severe test of consumer service level (CSL). An efficient e-commerce supply chain resilience optimisation method addressing economic performance and service performance is proposed to improve customised services under disruption risks. The proposed method includes a hybrid strategy considering both a resistance strategy with blockchain (BCT) adoption and time-dependent recovery strategies simultaneously. A two-stage multi-period multi-product stochastic programming with BCT adoption is then proposed, which (1) implements BCT as the resistance strategy in the pre-disruption stage; (2) collaborates four recovery strategies in the post-disruption stage; (3) supports the e-tailer in making decisions and optimises his profit and order fulfillment time while taking product priorities into account. Using the actual data of Chinese e-commerce during the public health emergency in 2020, it is demonstrated that (1) the applicability of the model with BCT adoption in both supply chain resilience and CSL improvement; (2) the performance of the hybrid strategy in long-term disruption management; (3) the efficiency and robustness of the proposed solution approach for multi-objective high-dimensional stochastic programming problems. E-tailers can optimise decision-making under long-term disruptions by the proposed methodology in practices.

Decomposition methods for multi-horizon stochastic programming

Multi-horizon stochastic programming includes short-term and long-term uncertainty in investment planning problems more efficiently than traditional multi-stage stochastic programming. In this paper, we exploit the block separable structure of multi-horizon stochastic linear programming, and establish that it can be decomposed by Benders decomposition and Lagrangean decomposition. In addition, we propose parallel Lagrangean decomposition with primal reduction that, (1) solves the scenario subproblems in parallel, (2) reduces the primal problem by keeping one copy for each scenario group at each stage, and (3) solves the reduced primal problem in parallel. We apply the parallel Lagrangean decomposition with primal reduction, Lagrangean decomposition and Benders decomposition to solve a stochastic energy system investment planning problem. The computational results show that: (a) the Lagrangean type decomposition algorithms have better convergence at the first iterations to Benders decomposition, and (b) parallel Lagrangean decomposition with primal reduction is very efficient for solving multi-horizon stochastic programming problems. Based on the computational results, the choice of algorithms for multi-horizon stochastic programming is discussed.

SOLVING STOCHASTIC TRANSPORTATION ELECTRICITY PROBLEM WITH FUZZY INFORMATION ON PROBABILITY DISTRIBUTION USING MATLAB PROGRAM

This study focuses on MATLAB code programs of the entire stages of solving Stochastic Transportation Linear Programming Problems with Fuzzy Uncertainty Information on Probability Distribution Space (STLPPFI) with its algorithm outlines. A MATLAB code program of STLPPFI problem solver with algorithm outlines are proposed to solve STLPPFI model problems, and it utilizes many concepts as Alpha-Cut technique, Truth Degrees technique, Linear Fuzzy Membership Function (LFMF), Trapezoidal Fuzzy Number , Triangular Fuzzy Number , Linear Fuzzy Ranking Function (LFRF), Expectation Weighted Summation technique (EWS) and analyzing cases via second condition test of alpha-cut technique. The STLPPFI problem solver is utlized to convert STLPPFI into its corresponding equivalent Deterministic Transportation Linear Programming Problem (DTLPP) via defuzzifying from fuzziness on probability distribution space and derandomization randomness of problem formulation respectively. In addition, Dual-Simplex algorithm method with Vogel Approximation Algorithm Method (VAM) are used to obtain optimal solution from DTLPP. All MATLAB code programs with their proposed algorithm outlines are new except Dual-Simplex and VAM. The MATLAB code program of STLPPFI problem solver are more efficient along with a numerical example on electricity field illustrating practicability of this proposed MATLAB code program with its algorithm. Finally, the solution procedure illustrates the MATLAB code program of the proposed method is practical and applicable in the fields of energy and industry as it facilitates the method of transforming the energy at the lowest cost, least time running and is commercially applicable. Comparative comments are provided between Dual-Simplex and VAM in solution process.

Application of Stochastic Programming in Agricultural and Newsvendor Problems and It's Application in Real Life

The study of making the best decision under risk management in a variety of areas of our lives is known as Stochastic Programming. We will go through two-stage Stochastic Linear Programming approaches for a variety of real-world choice issues, as well as how to solve them. We will achieve this by constructing stochastic linear programming models based on real-world situations like the well-known Farmer's situation and News Vendors problems. The influence of pricing, Stochastic Integer Linear Programming problem, second stage Stochastic Integer Linear Programming problem, first stage Stochastic Binary Linear Programming problem, risk aversion problem, and continuous function for random variables based on two-stage SLP with the aid of Farmer's problem will all be examined. We will address the Newsvendor’s problem with Deterministic Equivalent Stochastic Linear Programming, an extension of Deterministic Stochastic Linear Programming for risk aversion with a high number of decision variables and restrictions, utilizing the two-stage Stochastic Linear Programming approach once more. Hand calculation is a challenging way to acquire the solution to the problems. As a result, we will use the programming language AMPL to design computer solutions for tackling both farmer and newsvendor difficulties. We will also utilize MATLAB to create graphs for the farmer's problem's continuous function. Dhaka Univ. J. Sci. 72(1): 30-45, 2024 (January)

Stable optimisation-based scenario generation via game theoretic approach

Systematic scenario generation (SG) methods have emerged as an invaluable tool to handle uncertainty towards the efficient solution of stochastic programming (SP) problems. The quality of SG methods depends on their consistency to generate scenario sets which guarantee stability on solving SPs and lead to stochastic solutions of good quality. In this context, we delve into the optimisation-based Distribution and Moment Matching Problem (DMP) for scenario generation and propose a game theoretic approach which is formulated as a Mixed-Integer Linear Programming (MILP) model. Nash bargaining approach is employed and the terms of the objective function regarding the statistical matching of the DMP are considered as players. Results from a capacity planning case study highlight the quality of the stochastic solutions obtained using MILP DMP models for scenario generation. Furthermore, the proposed game theoretic extension of DMP enhances in-sample and out-of-sample stability with respect to the challenging problem of user-defined parameters variability.

Approximation of multistage stochastic programming problems by smoothed quantization

We present an approximation technique for solving multistage stochastic programming problems with an underlying Markov stochastic process. This process is approximated by a discrete skeleton process, which is consequently smoothed down by means of the original unconditional distribution. Approximated in this way, the problem is solvable by means of Markov Stochastic Dual Dynamic Programming. We state an upper bound for the nested distance between the exact process and its approximation and discuss its convergence in the one-dimensional case. We further propose an adjustment of the approximation, which guarantees that the approximate problem is bounded. Finally, we apply our technique to a real-life production-emission trading problem and demonstrate the performance of its approximation given the “true” distribution of the random parameters.

A Lagrangian relaxation algorithm for stochastic fixed interval scheduling problem with non-identical machines and job classes

This paper deals with operational fixed interval scheduling problems under uncertainty caused by random delays. This stochastic programming problem has a deterministic reformulation based on network flow under the assumption that the machines are identical and the multivariate distribution of random delays follows an Archimedean copula. In this paper, we focus on the problem with heterogeneous machines and jobs classes. The deterministic problem with no delays and more than one machine type has been shown to be NP-hard. We generalize the deterministic reformulation of the stochastic problem with random delays for non-identical (heterogeneous) machines. This formulation for more than one machine type loses an important property of total unimodularity that holds for identical machines reformulation using the network flow problem. Therefore, an algorithm based on the Lagrangian relaxation is derived and implemented together with an efficient upper bounding heuristic. Its efficiency is confirmed by solving a large number of simulated instances.

A solution method for stochastic multilevel programming problems. A systematic sampling evolutionary approach

Stochastic multilevel programming is a mathematical programming problem with some given number of hierarchical levels of decentralized decision makers and having some kind of randomness properties in the problem definition. The introduction of some randomness property in its hierarchical structure makes stochastic multilevel problems computationally challenging and expensive. In this article, a systematic sampling evolutionary method is adapted to solve the problem. The solution procedure is based on realization of the random variables and systematic partitioning of each hierarchical level’s decision space for searching an optimal reaction. The search goes sequentially upwards starting from the bottom up through the top hierarchical level problem. The existence of solution and convergence of the solution procedure is shown. The solution procedure is implemented and tested on some selected deterministic test problems from literature. Moreover, the proposed algorithm can be used to solve stochastic multilevel programming problems with additional complexity in their problem definition.

Entropy-metric estimation of the small data models with stochastic parameters

The formalization of dependencies between datasets, taking into account specific hypotheses about data properties, is a constantly relevant task, which is especially acute when it comes to small data. The aim of the study is to formalize the procedure for calculating optimal estimates of probability density functions of parameters of linear and nonlinear dynamic and static small data models, created taking into account specific hypotheses regarding the properties of the studied object. The research methodology includes probability theory and mathematical statistics, information theory, evaluation theory, and stochastic mathematical programming methods. The mathematical apparatus presented in the article is based on the principle of maximization of information entropy on sets determined as a result of a small number of censored measurements of “input" and “output" entities in the presence of noise. These data structures became the basis for the formalization of linear and nonlinear dynamic and static models of small data with stochastic parameters, which include both controlled and noise-oriented input and output measurement entities. For all variants of the above-mentioned small data models, the tasks of determining the optimal estimates of the probability density functions of the parameters were carried out. Formulated optimization problems are reduced to the forms canonical for the stochastic linear programming problem with probabilistic constraints.

On the Problem of Maximizing the Probability of Successful Passing of a Time-Limited Test

—The problem of finding the optimal sequence of performing a set of tasks in a timelimited test is considered. That is, a task group is allocated for mandatory initial execution in the test, the remaining tasks are performed during the remaining time until the end of the test. For each correctly completed task of the test, the subject is awarded a certain number of points. The proposed criterion is the probability that the total number of points scored for the test exceeds a certain level, which is a fixed parameter, while simultaneously fulfilling the time limit of the test. Random parameters are the user’s response time to each test task. The correctness of the user’s answer to the task is modeled by a random variable with a Bernoulli distribution. The resulting stochastic bilinear programming problem boils down to a deterministic integer problem of mathematical programming.

Enhancing neutrosophic fuzzy goal programming approach for solving multi-objective probabilistic linear programming problems

This article considers a stochastic multi-objective linear programming problem in a neutrosophic framework. The right-hand sides of the constraints are random variables associated with their means and variances, and the single-valued trapezoidal neutrosophic numbers are included in the coefficients of the objective functions to investigate the problem. The problem is successfully converted into the related deterministic programming model based on the formulation of the scoring function and several distributions, such as the Uniform, Exponential, and Gama distributions. Applying fuzzy goal programming, the deterministic problem is solved. An example is then solved to demonstrate the solution methodology.

Day-Ahead PV Generation Scheduling in Incentive Program for Accurate Renewable Forecasting

Photovoltaic (PV) power can be a reasonable alternative as a carbon-free power source in a global warming environment. However, when many PV generators are interconnected in power systems, inaccurate forecasting of PV generation leads to unstable power system operation. In order to help system operators maintain a reliable power balance, even when renewable capacity increases excessively, an incentive program has been introduced in Korea. The program is expected to improve the self-forecasting accuracy of distributed generators and enhance the reliability of power system operation by using the predicted output for day-ahead power system planning. In order to maximize the economic benefit of the incentive program, the PV site should offer a strategic schedule. This paper proposes a PV generation scheduling method that considers incentives for accurate renewable energy forecasting. The proposed method adjusts the predicted PV generation to the optimal generation schedule by considering the characteristics of PV energy deviation, energy storage system (ESS) operation, and PV curtailment. It then maximizes incentives by mitigating energy deviations using ESS and PV curtailment in real-time conditions. The PV scheduling problem is formulated as a stochastic mixed-integer linear programming (MILP) problem, considering energy deviation and daily revenue under expected PV operation scenarios. The numerical simulation results are presented to demonstrate the economic impact of the proposed method. The proposed method contributes to mitigating daily energy deviations and enhancing daily revenue.

Day-ahead reserve determination in power systems with high renewable penetration

We consider the operation of a power system with high renewable penetration and minimal network bottlenecks and provide a technique to determine the appropriate level of reserve to enforce. Within a daily scheduling framework, we model the production uncertainty of renewable units via scenarios and include security constraints per scenario to ensure an uneventful operation in case of failure of key thermal units. The rarely constraining network is modeled via areas with limited capacity at their interfaces. The considered decision-making framework results in a two-stage stochastic programming problem whose first stage decides on the commitment of thermal units and whose second stage reproduces, per scenario, the operation of the system with and without the failure of key thermal units. The optimal unit scheduling obtained from the proposed model implicitly identifies a generating reserve pattern that we compare with common rules used in industry for reserve identification, such as 20% or 30% of the demand. We use the Illinois 200-bus system to illustrate and computationally characterize the methodology proposed.

A high-confidence geometric compensation approach for improving downward surface accuracy

Overhangs are usually inevitable in Additive Manufacturing (AM). Moreover, making their downward surfaces reach higher accuracy after printing has an imperative impact on improving the accuracy of them and their corresponding as-printed parts. Although extensive studies have been devoted to improving the accuracy of as-printed parts, the effective, general, reliable, and less-consumption (in time and material) approach to make an overhang (especially on its downward surfaces) reach its ideal accuracy is still rare. Hence, a new machine-leaning-based geometric compensation approach is proposed in this study. First, based on the Taguchi method, a series of (overhang) benchmarks are designed and printed to collect the (geometric) deviations of the downward surfaces. With these data, a new deviation predictor is established based on the gaussian process regression model. The predictor can effectively predict the deviation(s) (as well as its corresponding quantified uncertainty) of each downward surface (after printing) by using a pointwise manner. Meanwhile, to make the downward surface of an overhang meet its ideal accuracy (after printing) with high confidence, a specific stochastic chance-constrained programming problem is first formulated to evaluate the new and suitable overhang height of each point on the downward surface. Based on the above-mentioned predictor, the programming problem gets solved by developing a new overhang-height optimization method that integrates the Monte Carlo simulation with the particle swarm optimization. After that, a support structure-associated compensation method is presented to make a pointwise compensation (according to the above-evaluated overhang height) on the downward surface and determine the support structures’ optimized number and anchor positions. Finally, experiments on several representative overhangs are also implemented based on a typical material extrusion machine to validate the effectiveness of the proposed approach. The results show that the proposed approach reduces the deviations of the downward surface by up to 63.92% on average, saving up to 40% of material (less support structures). In addition, methodological comparisons with state-of-the-art approaches are also implemented. The comparisons show that the proposed approach has the great potential to reliably improve the accuracy of the overhang’s downward surface(s) after printing in a less-consumption manner.

Privacy-preserving adaptive traffic signal control in a connected vehicle environment

Although Connected Vehicles (CVs) have demonstrated tremendous potential to enhance traffic operations, they can impose privacy risks on individual travelers, e.g., leaking sensitive information about their frequently visited places, routing behavior, etc. Despite the large body of literature that devises various algorithms to exploit CV information, research on privacy-preserving traffic control is still in its infancy. In this paper, we aim to fill this research gap and propose a privacy-preserving adaptive traffic signal control method using partially connected vehicle data. Specifically, we proposed a privacy-preserving mechanism to protect CV data against three types of attacks: CV collusion attacks, database attacks, and inference attacks. The mechanism leverages secure Multi-Party Computation and differential privacy to aggregate individual-level CV data to calculate key traffic parameters without compromising the privacy of CV users. For seamless integration with the privacy-preserving mechanism, we develop a traffic signal optimization model and an arrival rate estimator relying only on aggregated CV data, being applied to both undersaturated and oversaturated traffic conditions. The optimization model is further extended to a stochastic programming problem to explicitly handle the noises added by the privacy-preserving mechanism. Evaluation results show that the linear optimization model preserves privacy with a marginal impact on control performance, and the stochastic programming model can significantly reduce residual queues compared to the linear programming model, with almost no increase in vehicle delay. Overall, our methods demonstrate the feasibility of incorporating privacy-preserving mechanisms in CV-based traffic modeling and control, which guarantees both utility and privacy.

Multistage stochastic dominance: an application to pension fund management

AbstractA pension fund manager typically decides the allocation of the pension fund assets taking into account a long-term sustainability goal. Many asset and liability management models, in the form of multistage stochastic programming problem, have been proposed to help the pension fund manager to define the optimal allocation given a multi-objective function. The recent literature proposes univariate stochastic dominance constraints to guarantee that the optimal strategy is able to stochastically dominate a benchmark portfolio. In this work we extend previous results (i) considering alternative types of multivariate stochastic dominance that appear more suitable in a multistage framework, (ii) proposing a way to measure the economic cost of introducing stochastic dominance constraints, (iii) proposing a sort of augmented stochastic dominance through a safety margin. Numerical results show the difference between the alternative ways to interpret and apply the multivariate stochastic dominance. These results are evaluated thanks to the proposed economic cost of the stochastic dominance constraints and either in presence or not of a safety margin.

Co-Optimizing Bidding and Power Allocation of an EV Aggregator Providing Real-Time Frequency Regulation Service

The rapidly expanding scale of electric vehicle (EV) fleets and continuously decreasing battery costs are making vehicle-to-grid services a reality. In this paper, we study the interaction between the problems of an EV aggregator’s bidding in the regulation market and power allocation (i.e., determining the (dis)charging powers of the EVs in regulation deployment). Although the two problems are coupled, they are often regarded as decoupled and optimized separately for complexity issues. However, failing to consider the coupling of bidding and power allocation can lead to a decline in the profit of the EV aggregator (EVA). In this paper, we propose a framework for co-optimizing EVA bidding and power allocation in the regulation market. The bidding model is formulated as a stochastic programming problem with embedded power allocation in discretized regulation signal scenarios. To meet the solution time requirement for regulation deployment, we further propose a power allocation model that can be solved online. It utilizes the Lagrange multipliers from the bidding problem to ensure that the allocation results correspond to the optimal solution of the bidding problem. The effect of the proposed framework on improving EVA profits and reducing degradation costs is verified in the case study.