Approximation Algorithms for the Stochastic Lot-Sizing Problem with Order Lead Times

We develop new algorithmic approaches to compute provably near-optimal policies for multiperiod stochastic lot-sizing inventory models with positive lead times, general demand distributions, and dynamic forecast updates. The policies that are developed have worst-case performance guarantees of 3 and typically perform very close to optimal in extensive computational experiments. The newly proposed algorithms employ a novel randomized decision rule. We believe that these new algorithmic and performance analysis techniques could be used in designing provably near-optimal randomized algorithms for other stochastic inventory control models and more generally in other multistage stochastic control problems.National Science Foundation (U.S.) (Grant DMS-0732175)National Science Foundation (U.S.) (CAREER Award CMMI-0846554)United States. Air Force Office of Scientific Research (Award FA9550-08-1-0369)United States. Air Force Office of Scientific Research (Award FA9550-11-1-0150)Singapore-MIT AllianceSolomon Buchsbaum AT&T Research Fun

Online Multistage Subset Maximization Problems

Numerous combinatorial optimization problems (knapsack, maximum-weight matching, etc.) can be expressed as subset maximization problems: One is given a ground set N={1,...,n}, a collection F subseteq 2^N of subsets thereof such that the empty set is in F, and an objective (profit) function p: F -> R_+. The task is to choose a set S in F that maximizes p(S). We consider the multistage version (Eisenstat et al., Gupta et al., both ICALP 2014) of such problems: The profit function p_t (and possibly the set of feasible solutions F_t) may change over time. Since in many applications changing the solution is costly, the task becomes to find a sequence of solutions that optimizes the trade-off between good per-time solutions and stable solutions taking into account an additional similarity bonus. As similarity measure for two consecutive solutions, we consider either the size of the intersection of the two solutions or the difference of n and the Hamming distance between the two characteristic vectors. We study multistage subset maximization problems in the online setting, that is, p_t (along with possibly F_t) only arrive one by one and, upon such an arrival, the online algorithm has to output the corresponding solution without knowledge of the future. We develop general techniques for online multistage subset maximization and thereby characterize those models (given by the type of data evolution and the type of similarity measure) that admit a constant-competitive online algorithm. When no constant competitive ratio is possible, we employ lookahead to circumvent this issue. When a constant competitive ratio is possible, we provide almost matching lower and upper bounds on the best achievable one

From Cost Sharing Mechanisms to Online Selection Problems

We consider a general class of online optimization problems, called online selection problems, where customers arrive sequentially, and one has to decide upon arrival whether to accept or reject each customer. If a customer is rejected, then a rejection cost is incurred. The accepted customers are served with minimum possible cost, either online or after all customers have arrived. The goal is to minimize the total production costs for the accepted customers plus the rejection costs for the rejected customers. These selection problems are related to online variants of offline prize collecting combinatorial optimization problems that have been widely studied in the computer science literature. In this paper, we provide a general framework to develop online algorithms for this class of selection problems. In essence, the algorithmic framework leverages any cost sharing mechanism with certain properties into a poly-logarithmic competitive online algorithm for the respective problem; the competitive ratios are shown to be near-optimal. We believe that the general and transparent connection we establish between cost sharing mechanisms and online algorithms could lead to additional online algorithms for problems beyond the ones studied in this paper.National Science Foundation (U.S.) (CAREER Award CMMI-0846554)United States. Air Force Office of Scientific Research (FA9550-11-1-0150)United States. Air Force Office of Scientific Research (FA9550-08-1-0369)Solomon Buchsbaum AT&T Research Fun

Meta-Heuristics for Dynamic Lot Sizing: a review and comparison of solution approaches

Proofs from complexity theory as well as computational experiments indicate that most lot sizing problems are hard to solve. Because these problems are so difficult, various solution techniques have been proposed to solve them. In the past decade, meta-heuristics such as tabu search, genetic algorithms and simulated annealing, have become popular and efficient tools for solving hard combinational optimization problems. We review the various meta-heuristics that have been specifically developed to solve lot sizing problems, discussing their main components such as representation, evaluation neighborhood definition and genetic operators. Further, we briefly review other solution approaches, such as dynamic programming, cutting planes, Dantzig-Wolfe decomposition, Lagrange relaxation and dedicated heuristics. This allows us to compare these techniques. Understanding their respective advantages and disadvantages gives insight into how we can integrate elements from several solution approaches into more powerful hybrid algorithms. Finally, we discuss general guidelines for computational experiments and illustrate these with several examples

A computational analysis of lower bounds for big bucket production planning problems

In this paper, we analyze a variety of approaches to obtain lower bounds for multi-level production planning problems with big bucket capacities, i.e., problems in which multiple items compete for the same resources. We give an extensive survey of both known and new methods, and also establish relationships between some of these methods that, to our knowledge, have not been presented before. As will be highlighted, understanding the substructures of difficult problems provide crucial insights on why these problems are hard to solve, and this is addressed by a thorough analysis in the paper. We conclude with computational results on a variety of widely used test sets, and a discussion of future research

The Geometry of Scheduling

We consider the following general scheduling problem: The input consists of n jobs, each with an arbitrary release time, size, and a monotone function specifying the cost incurred when the job is completed at a particular time. The objective is to find a preemptive schedule of minimum aggregate cost. This problem formulation is general enough to include many natural scheduling objectives, such as weighted flow, weighted tardiness, and sum of flow squared. Our main result is a randomized polynomial-time algorithm with an approximation ratio O(log log nP), where P is the maximum job size. We also give an O(1) approximation in the special case when all jobs have identical release times. The main idea is to reduce this scheduling problem to a particular geometric set-cover problem which is then solved using the local ratio technique and Varadarajan's quasi-uniform sampling technique. This general algorithmic approach improves the best known approximation ratios by at least an exponential factor (and much more in some cases) for essentially all of the nontrivial common special cases of this problem. Our geometric interpretation of scheduling may be of independent interest.Comment: Conference version in FOCS 201

Online Algorithms for Multi-Level Aggregation

In the Multi-Level Aggregation Problem (MLAP), requests arrive at the nodes of an edge-weighted tree T, and have to be served eventually. A service is defined as a subtree X of T that contains its root. This subtree X serves all requests that are pending in the nodes of X, and the cost of this service is equal to the total weight of X. Each request also incurs waiting cost between its arrival and service times. The objective is to minimize the total waiting cost of all requests plus the total cost of all service subtrees. MLAP is a generalization of some well-studied optimization problems; for example, for trees of depth 1, MLAP is equivalent to the TCP Acknowledgment Problem, while for trees of depth 2, it is equivalent to the Joint Replenishment Problem. Aggregation problem for trees of arbitrary depth arise in multicasting, sensor networks, communication in organization hierarchies, and in supply-chain management. The instances of MLAP associated with these applications are naturally online, in the sense that aggregation decisions need to be made without information about future requests. Constant-competitive online algorithms are known for MLAP with one or two levels. However, it has been open whether there exist constant competitive online algorithms for trees of depth more than 2. Addressing this open problem, we give the first constant competitive online algorithm for networks of arbitrary (fixed) number of levels. The competitive ratio is O(D^4 2^D), where D is the depth of T. The algorithm works for arbitrary waiting cost functions, including the variant with deadlines. We also show several additional lower and upper bound results for some special cases of MLAP, including the Single-Phase variant and the case when the tree is a path

Modeling Industrial Lot Sizing Problems: A Review

In this paper we give an overview of recent developments in the field of modeling single-level dynamic lot sizing problems. The focus of this paper is on the modeling various industrial extensions and not on the solution approaches. The timeliness of such a review stems from the growing industry need to solve more realistic and comprehensive production planning problems. First, several different basic lot sizing problems are defined. Many extensions of these problems have been proposed and the research basically expands in two opposite directions. The first line of research focuses on modeling the operational aspects in more detail. The discussion is organized around five aspects: the set ups, the characteristics of the production process, the inventory, demand side and rolling horizon. The second direction is towards more tactical and strategic models in which the lot sizing problem is a core substructure, such as integrated production-distribution planning or supplier selection. Recent advances in both directions are discussed. Finally, we give some concluding remarks and point out interesting areas for future research