A Node Formulation for Multistage Stochastic Programs with Endogenous Uncertainty

This paper introduces a node formulation for multistage stochastic programs with endogenous (i.e., decision-dependent) uncertainty. Problems with such structure arise when the choices of the decision maker determine a change in the likelihood of future random events. The node formulation avoids an explicit statement of non-anticipativity constraints, and as such keeps the dimension of the model sizeable. An exact solution algorithm for a special case is introduced and tested on a case study. Results show that the algorithm outperforms a commercial solver as the size of the instances increases

Exact and Approximate Schemes for Robust Optimization Problems with Decision Dependent Information Discovery

Uncertain optimization problems with decision dependent information discovery allow the decision maker to control the timing of information discovery, in contrast to the classic multistage setting where uncertain parameters are revealed sequentially based on a prescribed filtration. This problem class is useful in a wide range of applications, however, its assimilation is partly limited by the lack of efficient solution schemes. In this paper we study two-stage robust optimization problems with decision dependent information discovery where uncertainty appears in the objective function. The contributions of the paper are twofold: (i) we develop an exact solution scheme based on a nested decomposition algorithm, and (ii) we improve upon the existing K-adaptability approximate by strengthening its formulation using techniques from the integer programming literature. Throughout the paper we use the orienteering problem as our working example, a challenging problem from the logistics literature which naturally fits within this framework. The complex structure of the routing recourse problem forms a challenging test bed for the proposed solution schemes, in which we show that exact solution method outperforms at times the K-adaptability approximation, however, the strengthened K-adaptability formulation can provide good quality solutions in larger instances while significantly outperforming existing approximation schemes even in the decision independent information discovery setting. We leverage the effectiveness of the proposed solution schemes and the orienteering problem in a case study from Alrijne hospital in the Netherlands, where we try to improve the collection process of empty medicine delivery crates by co-optimizing sensor placement and routing decisions

Decomposition Algorithms in Stochastic Integer Programming: Applications and Computations.

In this dissertation we focus on two main topics. Under the first topic, we develop a new framework for stochastic network interdiction problem to address ambiguity in the defender risk preferences. The second topic is dedicated to computational studies of two-stage stochastic integer programs. More specifically, we consider two cases. First, we develop some solution methods for two-stage stochastic integer programs with continuous recourse; second, we study some computational strategies for two-stage stochastic integer programs with integer recourse. We study a class of stochastic network interdiction problems where the defender has incomplete (ambiguous) preferences. Specifically, we focus on the shortest path network interdiction modeled as a Stackelberg game, where the defender (leader) makes an interdiction decision first, then the attacker (follower) selects a shortest path after the observation of random arc costs and interdiction effects in the network. We take a decision-analytic perspective in addressing probabilistic risk over network parameters, assuming that the defender\u27s risk preferences over exogenously given probabilities can be summarized by the expected utility theory. Although the exact form of the utility function is ambiguous to the defender, we assume that a set of historical data on some pairwise comparisons made by the defender is available, which can be used to restrict the shape of the utility function. We use two different approaches to tackle this problem. The first approach conducts utility estimation and optimization separately, by first finding the best fit for a piecewise linear concave utility function according to the available data, and then optimizing the expected utility. The second approach integrates utility estimation and optimization, by modeling the utility ambiguity under a robust optimization framework following \cite{armbruster2015decision} and \cite{Hu}. We conduct extensive computational experiments to evaluate the performances of these approaches on the stochastic shortest path network interdiction problem. In third chapter, we propose partition-based decomposition algorithms for solving two-stage stochastic integer program with continuous recourse. The partition-based decomposition method enhance the classical decomposition methods (such as Benders decomposition) by utilizing the inexact cuts (coarse cuts) induced by a scenario partition. Coarse cut generation can be much less expensive than the standard Benders cuts, when the partition size is relatively small compared to the total number of scenarios. We conduct an extensive computational study to illustrate the advantage of the proposed partition-based decomposition algorithms compared with the state-of-the-art approaches. In chapter four, we concentrate on computational methods for two-stage stochastic integer program with integer recourse. We consider the partition-based relaxation framework integrated with a scenario decomposition algorithm in order to develop strategies which provide a better lower bound on the optimal objective value, within a tight time limit

Equality-minded treatment choice

The goal of many randomized experiments and quasi-experimental studies in economics is to inform policies that aim to raise incomes and reduce economic inequality. A policy maximizing the sum of individual incomes may not be desirable if it magnifies economic inequality and post-treatment redistribution of income is infeasible. This paper develops a method to estimate the optimal treatment assignment policy based on observable individual covariates when the policy objective is to maximize an equality-minded rank-dependent social welfare function, which puts higher weight on individuals with lower-ranked outcomes. We estimate the optimal policy by maximizing a sample analog of the rank-dependent welfare over a properly constrained set of policies. Although an analytical characterization of the optimal policy under a rank-dependent social welfare is not available even with the knowledge of potential outcome distributions, we show that the average social welfare attained by our estimated policy converges to the maximal attainable welfare at n-1/2 rate uniformly over a large class of data distributions. We also show that this rate is minimax optimal. We provide an application of our method using the data from the National JTPA Study

Coloured Petri nets for multi-level, multiscale, and multi-dimensional modelling of biological systems

Owing to the availability of data of one biological phenomenon at different levels/scales, modelling of biological systems is moving from single level/scale to multiple levels/scales, which introduces a number of challenges. Coloured Petri nets (ColPNs) have been successfully applied to multilevel, multiscale and multidimensional modelling of some biological systems, addressing many of these challenges. In this article, we first review the basics of ColPNs and some popular extensions, and then their applications for multilevel, multiscale and multidimensional modelling of biological systems. This understanding of how to use ColPNs for modelling biological systems will assist readers in selecting appropriate ColPN classes for specific modelling circumstances

Optimisation of temporal networks under uncertainty

A wide variety of decision problems in operations research are defined on temporal networks, that is, workflows of time-consuming tasks whose processing order is constrained by precedence relations. For example, temporal networks are used to formalise the management of projects, the execution of computer applications, the design of digital circuits and the scheduling of production processes. Optimisation problems arise in temporal networks when a decision maker wishes to determine a temporal arrangement of the tasks and/or a resource assignment that optimises some network characteristic such as the network’s makespan (i.e., the time required to complete all tasks) or its net present value. Optimisation problems in temporal networks have been investigated intensively for more than fifty years. To date, the majority of contributions focus on deterministic formulations where all problem parameters are known. This is surprising since parameters such as the task durations, the network structure, the availability of resources and the cash flows are typically unknown at the time the decision problem arises. The tacit understanding in the literature is that the decision maker replaces these uncertain parameters with their most likely or expected values to obtain a deterministic optimisation problem. It is well-documented in theory and practise that this approach can lead to severely suboptimal decisions. The objective of this thesis is to investigate solution techniques for optimisation problems in temporal networks that explicitly account for parameter uncertainty. Apart from theoretical and computational challenges, a key difficulty is that the decision maker may not be aware of the precise nature of the uncertainty. We therefore study several formulations, each of which requires different information about the probability distribution of the uncertain problem parameters. We discuss models that maximise the network’s net present value and problems that minimise the network’s makespan. Throughout the thesis, emphasis is placed on tractable techniques that scale to industrial-size problems