Stochastic Integer Programming Research Articles

On the Value of Risk-Averse Multistage Stochastic Programming in Capacity Planning

We consider a risk-averse stochastic capacity planning problem under uncertain demand in each period. Using a scenario tree representation of the uncertainty, we formulate a multistage stochastic integer program to adjust the capacity expansion plan dynamically as more information on the uncertainty is revealed. Specifically, in each stage, a decision maker optimizes capacity acquisition and resource allocation to minimize certain risk measures of maintenance and operational cost. We compare it with a two-stage approach that determines the capacity acquisition for all the periods up front. Using expected conditional risk measures, we derive a tight lower bound and an upper bound for the gaps between the optimal objective values of risk-averse multistage models and their two-stage counterparts. Based on these derived bounds, we present general guidelines on when to solve risk-averse two-stage or multistage models. Furthermore, we propose approximation algorithms to solve the two models more efficiently, which are asymptotically optimal under an expanding market assumption. We conduct numerical studies using randomly generated and real-world instances with diverse sizes, to demonstrate the tightness of the analytical bounds and efficacy of the approximation algorithms. We find that the gaps between risk-averse multistage and two-stage models increase as the variability of the uncertain parameters increases and decrease as the decision maker becomes more risk averse. Moreover, a stagewise-dependent scenario tree attains much higher gaps than a stagewise-independent counterpart, whereas the latter produces tighter analytical bounds. History: Accepted by Andrea Lodi, Area Editor for Design & Analysis of Algorithms–Discrete. Funding: This work of Dr. X. Yu was partially supported by the U.S. National Science Foundation Division of Information and Intelligent Systems [Grant 2331782]. Supplemental Material: The software that supports the findings of this study is available within the paper and its Supplemental Information ( https://pubsonline.informs.org/doi/suppl/10.1287/ijoc.2023.0396 ) as well as from the IJOC GitHub software repository ( https://github.com/INFORMSJoC/2023.0396 ). The complete IJOC Software and Data Repository is available at https://informsjoc.github.io/ .

An approximate dynamic programming approach for solving aircraft fleet engine maintenance problem: Methodology and a case study

We consider a long-term engine maintenance planning problem for an aircraft fleet. The objective is to guarantee sufficient on-wing engines to reach service levels while effectively organizing shop visits for engines. However, complexity arises from intricate maintenance policies and uncertainty in engine deterioration. To address this problem, we propose a graph-based approach representing high-dimensional engine statuses and transitions. We then formulate the problem as a multi-stage stochastic integer program with endogenous uncertainty. We develop an approximate dynamic programming algorithm enhanced by dynamic graph generation and policy-sifting techniques so as to reduce the computational overhead in large problems. We demonstrate the efficacy of our method, compared with other popular methods, in terms of running time and solution quality. In the case study, we present an implementation in a real-world decision system in China Southern Airlines, in which the proposed method works seamlessly with other supporting modules and significantly improves the efficiency of engine maintenance management.

Co-Evolutionary Algorithm for Two-Stage Hybrid Flow Shop Scheduling Problem with Suspension Shifts

Demand fluctuates in actual production. When manufacturers face demand under their maximum capacity, suspension shifts are crucial for cost reduction and on-time delivery. In this case, suspension shifts are needed to minimize idle time and prevent inventory buildup. Thus, it is essential to integrate suspension shifts with scheduling under an uncertain production environment. This paper addresses the two-stage hybrid flow shop scheduling problem (THFSP) with suspension shifts under uncertain processing times, aiming to minimize the weighted sum of earliness and tardiness. We develop a stochastic integer programming model and validate it using the Gurobi solver. Additionally, we propose a dual-space co-evolutionary biased random key genetic algorithm (DCE-BRKGA) with parallel evolution of solutions and scenarios. Considering decision-makers’ risk preferences, we use both average and pessimistic criteria for fitness evaluation, generating two types of solutions and scenario populations. Testing with 28 datasets, we use the value of the stochastic solution (VSS) and the expected value of perfect information (EVPI) to quantify benefits. Compared to the average scenario, the VSS shows that the proposed algorithm achieves additional value gains of 0.9% to 69.9%. Furthermore, the EVPI indicates that after eliminating uncertainty, the algorithm yields potential improvements of 2.4% to 20.3%. These findings indicate that DCE-BRKGA effectively supports varying decision-making risk preferences, providing robust solutions even without known processing time distributions.

Decision-focused neural adaptive search and diving for optimizing mining complexes

Optimizing industrial mining complexes, from extraction to end-product delivery, presents a significant challenge due to non-linear aspects and uncertainties inherent in mining operations. The two-stage stochastic integer program for optimizing mining complexes under joint supply and demand uncertainties leads to a formulation with tens of millions of variables and non-linear constraints, thereby challenging the computational limits of state-of-the-art solvers. To address this complexity, a novel solution methodology is proposed, integrating context-aware machine learning and optimization for decision-making under uncertainty. This methodology comprises three components: (i) a hyper-heuristic that optimizes the dynamics of mining complexes, modeled as a graph structure, (ii) a neural diving policy that efficiently performs dives into the primal heuristic selection tree, and (iii) a neural adaptive search policy that learns a block sampling function to guide low-level heuristics and restrict the search space. The proposed neural adaptive search policy introduces the first soft (heuristic) branching strategy in mining literature, adapting the learning-to-branch framework to an industrial context. Deployed in an online fashion, the proposed hybrid methodology is shown to optimize some of the most complex case studies, accounting for varying degrees of uncertainty modeling complexity. Theoretical analyses and computational experiments validate the components’ efficacy, adaptability, and robustness, showing substantial reductions in primal suboptimality and decreased execution times, with improved and more robust solutions that yield higher net present values of up to 40%. While primarily grounded in mining, the methodology shows potential for enabling smart, robust decision-making under uncertainty.

A stochastic optimization model for patient evacuation from health care facilities during hurricanes

We propose a rigorous modeling and methodological effort that integrates statistical implementation of hydrology models in predicting inland and coastal flood scenarios due to hurricanes and a scenario-based stochastic integer programming model which suggests resource and staging area decisions in the first stage and the evacuation decisions in the second stage. This novel study combines physics-based flood prediction models and stochastic optimization for large-scale multi-facility coordination of hospital and nursing home evacuations before impending hurricanes. The optimization model considers scenario-dependent evacuation demand, transport vehicles with varying capacities, and both critical and non-critical patients. Utilizing Hurricane Harvey of 2017 as a case study and actual healthcare facility locations in southeast Texas, we explore various evacuation policies, demonstrating the impact of routing strategies, staging area decisions, flood thresholds, and receiving facility capacities on evacuation outcomes. One of the findings is that choosing staging area(s) and deploying evacuation vehicles optimally considering the uncertainty of the hurricane’s path at the time of decision making could have significant effect on the total cost of the operation and evacuation time experienced by the evacuees. We also show the non-negligible value of the scenario-based staging and routing solution conservatively calculated in relation to a single scenario solution using the concept of value of stochastic solution.

A disaggregated integer L-shaped method for stochastic vehicle routing problems with monotonic recourse

This paper proposes a new integer L-shaped method for solving two-stage stochastic integer programs whose first-stage solutions can decompose into disjoint components, each one having a monotonic recourse function. In a minimization problem, the monotonicity property stipulates that the recourse cost of a component must always be higher or equal to that of any of its subcomponents. The method exploits new types of optimality cuts and lower bounding functionals that are valid under this property. The stochastic vehicle routing problem is particularly well suited to be solved by this approach, as its solutions can be decomposed into a set of routes. We consider the variant with stochastic demands in which the recourse policy consists of performing a return trip to the depot whenever a vehicle does not have sufficient capacity to accommodate a newly realized customer demand. This work shows that this policy can lead to a non-monotonic recourse function, but that the monotonicity holds when the customer demands are modeled by several commonly used families of probability distributions. We also present new problem-specific lower bounds on the recourse that strengthen the lower bounding functionals and significantly speed up the solving process. Computational experiments on instances from the literature show that the new approach achieves state-of-the-art results.

Integrated stochastic optimisation of stope design and long-term production scheduling at an operating underground copper mine

ABSTRACT Conventional underground long-term mine planning is based on a deterministic stepwise framework, which is unable to effectively manage the synergies between the mine planning components or to manage the orebody risk in production schedules and forecasts. The present study enhances prior integrated optimisation approaches to a variation of the sublevel longhole open stoping mining method using backfilling, through a new two-stage stochastic integer programming formulation. A comparison to a sequential stochastic approach shows different stope layouts and extraction sequences for a copper mine with secondary elements being gold and uranium. The integrated approach shows lower horizontal development costs and 6% higher net present value.

Joint stochastic optimisation of stope layout, production scheduling and access network

The three main optimisation components of sublevel stoping methods are stope layout, production schedule (or stope sequencing) and access networks. The joint optimisation of these components could further add value to an underground mining project. This potential has not been considered in the literature due to computational difficulties, and the problem was solved sequentially. This paper proposes a new joint optimisation model to integrate these components. In addition, the proposed optimisation model incorporates stochastic simulations to capture uncertainty and variability associated with the grades of the related mineral deposits mined. The optimisation model is based on a two-stage stochastic integer programming (SIP) formulation that maximises the project's net present value (NPV) and minimises the planned dilution. Applying the proposed method at a small copper deposit shows that the SIP outperforms the results obtained from mixed integer programming. For a seven-year mine life, the SIP model generated ∼20% more NPV, demonstrating the importance of developing a joint optimisation formulation and accounting for grade uncertainty and variability.

New Exact Algorithm for the integrated train timetabling and rolling stock circulation planning problem with stochastic demand

This paper studies an integrated train timetabling and rolling stock circulation planning problem with stochastic demand and flexible train composition (TRSF). A novel stochastic integer programming model, which is formulated on a space-time underlying network to simultaneously optimize the train timetable and rolling stock circulation plan with flexible train composition, is proposed by explicitly considering the random feature of passenger distribution on an urban rail transit line. To solve this problem efficiently, the proposed model is decomposed into a master problem and a series of sub-problems regarding different stochastic scenarios. We further prove that each sub-problem model is equivalent to its linear programming relaxation problem, by proving that the coefficient matrix of each linear programming relaxation model is totally unimodular. Then, the classical Benders decomposition algorithm is applied to the studied problem. Based on the model characteristics, both single-cut and multi-cut methods with some speed-up techniques are developed to solve the proposed model in a novel and effective way. Numerical experiments are conducted on small-scale cases and large-scale cases derived from Shanghai Metro Line 17, and the results show that solving the stochastic problem can extract gains in efficiency and the value of stochastic solution tends to be high.

Integrated Stochastic Underground Mine Planning with Long-Term Stockpiling: Method and Impacts of Using High-Order Sequential Simulations

The integrated optimization of stope design and underground mine production scheduling is an approach that has been shown to effectively leverage the synergies among these two underground mine planning components to generate truly optimal stope layouts and extraction sequences. The existing stochastic integrated methods, however, do not include several elements of a mining complex, such as stockpiles, due to the computational complexity and non-linearity that they might add to the optimization of the long-term mine plan. Additionally, sequential simulation methods that rely on two-point statistics and Gaussian distribution assumptions are commonly used to generate the input realizations of the mineral deposit. These methods, however, are not able to properly characterize complex spatial geometries or the high-grade connectivity of non-Gaussian and non-linear natural phenomena. The present work proposes an extension of previous developments on the integrated stope design and underground mine scheduling optimization through an expanded stochastic integer programming formulation that incorporates long-term stockpiling decisions. An application of the proposed method at an operating underground copper mine compares the cases in which the geological simulated orebody models are based on high-order and Gaussian sequential simulation methods. The extraction sequence and related final stope design are shown to be physically different. It is seen that the optimization process takes advantage of the better representation of high-grade connectivity when high-order sequential simulations are used, by targeting the areas with grades that follow the mill’s blending requirements and by making less use of the stockpiles. Overall, a 4% higher copper metal production and a resultant 6% higher net present value are observed when high-order sequential simulations are used.

Reputation-Aware Federated Learning Client Selection based on Stochastic Integer Programming

Federated Learning(FL) has attracted wide research interest due to its potential in building machine learning models while preserving users&#x0027; data privacy. However, due to the distributive nature of FL, it is vulnerable to misbehavior from participating worker nodes. Thus, it is important to select clients to participate in FL. Recent studies on FL client selection focus on the perspective of improving model training efficiency and performance, without holistically considering potential misbehavior and the cost of hiring. To bridge this gap, we propose a first-of-its-kind reputation-aware <u>S</u>tochastic integer programming-based FL <u>C</u>lient <u>S</u>election method (SCS). It can optimally select and compensate clients with different reputation profiles. Extensive experiments show that SCS achieves the most advantageous performance-cost trade-off compared to other existing state-of-the-art approaches.

Joint relocation and pricing in electric car-sharing systems

In this paper we study the integrated planning problem of determining car-sharing prices between zones of the operating area and routing employees (operators) to relocate cars in preparation for future uncertain demand. We present a novel two-stage integer stochastic programming model for this problem together with a heuristic algorithm, based on Adaptive Large Neighborhood Search (ALNS), to obtain solutions to realistically sized instances. We test the ALNS heuristic on a set of instances generated based on data from a real car-sharing organization and show that it outperforms a commercial solver.

An asynchronous parallel benders decomposition method for stochastic network design problems

Benders decomposition (BD) is one of the most popular solution algorithms for stochastic integer programs. The BD method decomposes stochastic problems into one master problem and multiple disjoint subproblems. It thus lends itself readily to parallelization. In almost all studies on the parallelization of this algorithm, the master problem remains idle until every subproblem is solved and vice versa. This can clearly result in an extremely inefficient parallel algorithm due to excessive idle times. On the other hand, relaxing the synchronization requirement can yield a nonconvergent or less efficient algorithm that may even underperform when compared to the sequential version. Addressing these issues, we introduce an asynchronous parallel BD method for stochastic network design problems. We show that the proposed algorithm converges to the global optimum and suggest various acceleration strategies to enhance its performance. We conduct an extensive numerical study on benchmark instances from a generic stochastic network design problem. The results indicate that using up to 20 processors, our asynchronous algorithm is on average 1.4 times faster than the conventional low-level parallel methods.

A study of progressive hedging for stochastic integer programming

Motivated by recent literature demonstrating the surprising effectiveness of the heuristic application of progressive hedging (PH) to stochastic mixed-integer programming (SMIP) problems, we provide theoretical support for the inclusion of integer variables, bridging the gap between theory and practice. We provide greater insight into the following observed phenomena of PH as applied to SMIP where optimal or at least feasible convergence is observed. We provide an analysis of a modified PH algorithm from a different viewpoint, drawing on the interleaving of (split) proximal-point methods (including PH), Gauss–Seidel methods, and the utilisation of variational analysis tools. Through this analysis, we show that under mild conditions, convergence to a feasible solution should be expected. In terms of convergence analysis, we provide two main contributions. First, we contribute insight into the convergence of proximal-point-like methods in the presence of integer variables via the introduction of the notion of persistent local minima. Secondly, we contribute an enhanced Gauss–Seidel convergence analysis that accommodates the variation of the objective function under mild assumptions. We provide a practical implementation of a modified PH and demonstrate its convergent behaviour with computational experiments in line with the provided analysis.

Distributed surgical scheduling across collaborating hospitals considering stochastic duration and emergency demand

In this paper, we address the need for distributed surgical scheduling across multiple hospitals and multiple days. We develop an effective ex-ante distributed schedule to determine elective service operation and elective patient assignment plan in a hospital alliance with the goal of minimizing the total expected cost considering possible realizations of treatment durations and emergency demands. The problem is formulated into a two-stage stochastic integer programming where uncertainty is characterized by a scenario set. Cancellations of scheduled elective patients and inter-hospital transfers of materialized emergency patients are explicitly modeled as second-stage decisions. To solve the problem, we propose an integer decomposition algorithm that incorporates a novel logic-based optimality cut along with a validity proof. Additionally, we introduce several enhancements to improve the algorithm. Through numerical experiments, we demonstrate that our proposed algorithm outperforms both the commercial solver and the existing integer decomposition algorithm for the proposed problem. It provides effective solutions that closely approach the best upper bounds achieved by the solver in less time, or even surpass the solver’s best upper bounds. Furthermore, we provide operational insights into other commonly-used scheduling approaches through numerical comparisons, including the strengths and limitations of the most common way of scheduling elective patients and two strategies for handling emergencies within a hospital alliance.

Efficient Algorithms for Stochastic Ride-Pooling Assignment with Mixed Fleets

Ride-pooling, which accommodates multiple passenger requests in a single trip, has the potential to substantially enhance the throughput of mobility-on-demand (MoD) systems. This paper investigates MoD systems that operate mixed fleets composed of “basic supply” and “augmented supply” vehicles. When the basic supply is insufficient to satisfy demand, augmented supply vehicles can be repositioned to serve rides at a higher operational cost. We formulate the joint vehicle repositioning and ride-pooling assignment problem as a two-stage stochastic integer program, where repositioning augmented supply vehicles precedes the realization of ride requests. Sequential ride-pooling assignments aim to maximize total utility or profit on a shareability graph: a hypergraph representing the matching compatibility between available vehicles and pending requests. Two approximation algorithms for midcapacity and high-capacity vehicles are proposed in this paper; the respective approximation ratios are [Formula: see text] and [Formula: see text], where p is the maximum vehicle capacity plus one. Our study evaluates the performance of these approximation algorithms using an MoD simulator, demonstrating that these algorithms can parallelize computations and achieve solutions with small optimality gaps (typically within 1%). These efficient algorithms pave the way for various multimodal and multiclass MoD applications. History: This paper has been accepted for the Transportation Science Special Issue on Emerging Topics in Transportation Science and Logistics. Funding: This work was supported by the National Science Foundation [Grants CCF-2006778 and FW-HTF-P 2222806], the Ford Motor Company, and the Division of Civil, Mechanical, and Manufacturing Innovation [Grants CMMI-1854684, CMMI-1904575, and CMMI-1940766]. Supplemental Material: The online appendix is available at https://doi.org/10.1287/trsc.2021.0349 .

Heterogeneous Multi-resource Planning and Allocation Under Stochastic Demand

We study the capacity planning and allocation decisions for multiple heterogeneous resources, considering potential demand scenarios, where each demand requests a subset of the available resource types simultaneously at a specified time, location, and duration (smRmD). We model this problem as a two-stage stochastic integer program and consider two variants for the objective function: (a) maximize the expected reward of demands met over all scenarios, subject to a budget B for resources, and (b) maximize the expected reward of demands met over all scenarios minus the cost of resources. Contributions of this work include (i) a thorough complexity analysis of smRmD and its variants, (ii) analysis of structural properties, (iii) development of various approximation algorithms using the unique structural properties of smRmD and its variants, and (iv) an extensive computational study to explore the ease with which exact and approximate solutions may be found. History: Accepted by Andrea Lodi, Area Editor for Design &amp; Analysis of Algorithms–Discrete. Funding: This research has been supported in part by National Science Foundation (NSF) Graduate Research Fellowship [DGE-1650044], NSF [Grants CMMI-1538860, NSF-AF:1910423, and NSF-AF:1717947], and the following Georgia Tech benefactors: William W. George, Andrea Laliberte, Richard ”Rick” E. &amp; Charlene Zalesky, and Claudia &amp; Paul Raines.

A stochastic integer programming approach to reserve staff scheduling with preferences

AbstractNowadays, reaching a high level of employee satisfaction in efficient schedules is an important and difficult task faced by companies. We tackle a new variant of the personnel scheduling problem under unknown demand by considering employee satisfaction via endogenous uncertainty depending on the combination of their preferred and received schedules. We address this problem in the context of reserve staff scheduling, an unstudied operational problem from the transit industry. To handle the challenges brought by the two uncertainty sources, regular employee and reserve employee absences, we formulate this problem as a two‐stage stochastic integer program with mixed‐integer recourse. The first‐stage decisions consist in finding the days off of the reserve employees. After the unknown regular employee absences are revealed, the second‐stage decisions are to schedule the reserve staff duties. We incorporate reserve employees' days‐off preferences into the model to examine how employee satisfaction may affect their own absence rates.

Stochastic Coded Offloading Scheme for Unmanned-Aerial-Vehicle-Assisted Edge Computing

Unmanned aerial vehicles (UAVs) have gained wide research interests due to their technological advancement and high mobility. The UAVs are equipped with increasingly advanced capabilities to run computationally intensive applications enabled by machine learning techniques. However, because of both energy and computation constraints, the UAVs face issues hovering in the sky while performing computation due to weather uncertainty. To overcome the computation constraints, the UAVs can partially or fully offload their computation tasks to the edge servers. In ordinary computation offloading operations, the UAVs can retrieve the result from the returned output. Nevertheless, if the UAVs are unable to retrieve the entire result from the edge servers, i.e., straggling edge servers, this operation will fail. In this article, we propose a coded distributed computing (CDC) approach for computation offloading to mitigate straggling edge servers. The UAVs can retrieve the returned result when the number of returned copies is greater than or equal to the recovery threshold. There is a shortfall if the returned copies are less than the recovery threshold. To minimize the cost of the network, energy consumption by the UAVs, and prevent over and under subscription of the resources, we devise a two-phase stochastic coded offloading scheme (SCOS). In the first phase, the appropriate UAVs are allocated to the charging stations amid weather uncertainty. In the second phase, we use the <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$z$ </tex-math></inline-formula> -stage stochastic integer programming (SIP) to optimize the number of computation subtasks offloaded and computed locally, while taking into account the computation shortfall and demand uncertainty. By using a real data set, the simulation results show that our proposed scheme is fully dynamic and minimizes the cost of the network and UAV energy consumption amid stochastic uncertainties.

Risk-based pavement maintenance planning considering budget and pavement deterioration uncertainty

Although some parameters are uncertain in pavement Maintenance and Rehabilitation (M&R) planning, most of the literature has considered these parameters deterministic. Likewise, minimizing risk has been an immense concern as a significant amount of money should be spent on the M&R of pavement networks. To this end, this study aims to propose a new approach to consider risk and uncertainty in a pavement M&R optimization problem. A Multistage Stochastic Integer Programming including risk constraints is applied for the problem modeling. Conditional Value at Risk index is applied to minimize the mentioned variables and avoid unacceptable risks. Subsequently, a case study is used to analyze the proposed technique’s effectiveness. The results indicate that the total pavement M&R agency cost equals 6.33 billion Tomans considering a confidence level of 95%. Furthermore, the proposed approach can detect the optimal value of the annual budget for pavement network M&R, which is 1.96 billion Tomans for the case study. Applying preventive maintenance can compensate for the negative effects of risk on projects. Therefore, the proposed approach can help decision-makers, policymakers, and transport agencies to analyze and control risk in the pavement M&R optimization problems and determine the optimal M&R budget.