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Stochastic programming

About: Stochastic programming is a research topic. Over the lifetime, 12343 publications have been published within this topic receiving 421049 citations.


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Journal ArticleDOI
TL;DR: An insertion-based solution heuristic, called master and daily scheduler (MADS), and a tabu search improvement procedure are developed and computational results show that the heuristic improves the similarity of routes and the lateness penalty at the expense of increased total time spent when compared to a solution of independently scheduling each day.
Abstract: We consider the courier delivery problem (CDP), a variant of the vehicle routing problem with time windows (VRPTW) in which customers appear probabilistically and their service times are uncertain. We use scenario-based stochastic programming with recourse to model the uncertainty in customers and robust optimization for the uncertainty in service times. Our proposed model generates a master plan and daily schedules by maximizing the coverage of customers and the similarity of routes in each scenario, while minimizing the total time spent by the couriers and the total earliness and lateness penalty. To solve large-scale problem instances, we develop an insertion-based solution heuristic, called master and daily scheduler (MADS), and a tabu search improvement procedure. The computational results show that our heuristic improves the similarity of routes and the lateness penalty at the expense of increased total time spent when compared to a solution of independently scheduling each day. Our experimental results also show improvements over current industry practice on two real-world data sets.

116 citations

Journal ArticleDOI
TL;DR: In this paper, the advantages of such parallel implementations over serial implementations and compared alternative sequencing protocols for parallel processors are explored. But they require careful attention to processor load balancing, which may not be optimal.
Abstract: Multistage stochastic linear programs can represent a variety of practical decision problems. Solving a multistage stochastic program can be viewed as solving a large tree of linear programs. A common approach for solving these problems is the nested decomposition algorithm, which moves up down the tree by solving nodes and passing information among nodes. The natural independence of subtrees suggests that much of the computational effort of the nested decomposition algorithm can run in parallel across small numbers of fast processors. This paper explores the advantages of such parallel implementations over serial implementations and compares alternative sequencing protocols for parallel processors. Computational experience on a large test set of practical problems with up to 1.5 million constraints and almost 5 million variables suggests that parallel implementations may indeed work well, but they require careful attention to processor load balancing.

116 citations

Journal ArticleDOI
TL;DR: In this article, an adaptive large-scale neighbourhood search heuristic for the CARP with stochastic demands is presented. But the authors do not consider the problem of garbage collection.
Abstract: The capacitated arc-routing problem with stochastic demands (CARPSD) is an extension of the well-known capacitated arc-routing problem (CARP) in which demands are stochastic. This leads to the possibility of route failures whenever the realized demand exceeds the vehicle capacity. This paper presents the CARPSD in the context of garbage collection. It describes an adaptive large-scale neighbourhood search heuristic for the problem. Computational results show the superiority of this algorithm over an alternative solution approach.

116 citations

Journal ArticleDOI
TL;DR: This paper reports on the solution of an asset-liability management model for an actual Dutch pension fund with 4,826,809 scenarios; 12,469,250 constraints; and 24,938,502 variables; which is the largest stochastic linear program ever solved.
Abstract: Financial institutions require sophisticated tools for risk management. For companywide risk management, both sides of the balance sheet should be considered, resulting in an integrated asset-liability management approach. Stochastic programming models suit these needs well and have already been applied in the field of asset-liability management to improve financial operations and risk management. The dynamic aspect of the financial planning problems inevitably leads to multiple decision stages trading dates in the stochastic program and results in an explosion of dimensionality. In this paper we show that dedicated model generation, specialized solution techniques based on decomposition and high-performance computing, are the essential elements to tackle these large-scale financial planning problems. It turns out that memory management is a major bottleneck when solving very large problems, given an efficient solution approach and a parallel computing facility. We report on the solution of an asset-liability management model for an actual Dutch pension fund with 4,826,809 scenarios; 12,469,250 constraints; and 24,938,502 variables; which is the largest stochastic linear program ever solved. A closer look at the optimal decisions reveals that the initial asset mix is more stable for larger models, demonstrating the potential benefits of the high-performance computing approach for ALM.

115 citations

Journal ArticleDOI
TL;DR: The inexact multistage stochastic integer programming (IMSIP) method can help water resources managers to identify desired system designs against water shortage and for flood control with maximized economic benefit and minimized system- failure risk.

115 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
2023175
2022423
2021526
2020598
2019578
2018532