Multi-objective model for optimizing railway infrastructure asset renewal

Trabalho inspirado num problema real da empresa Infraestruturas de Portugal, EP.A multi-objective model for managing railway infrastructure asset renewal is presented. The model aims to optimize three objectives, while respecting operational constraints: levelling investment throughout multiple years, minimizing total cost and minimizing work start postponements. Its output is an optimized intervention schedule. The model is based on a case study from a Portuguese infrastructure management company, which specified the objectives and constraints, and reflects management practice on railway infrastructure. The results show that investment levelling greatly influences the other objectives and that total cost fluctuations may range from insignificant to important, depending on the condition of the infrastructure. The results structure is argued to be general and suggests a practical methodology for analysing trade-offs and selecting a solution for implementation.info:eu-repo/semantics/publishedVersio

Models and Matheuristics for Large-Scale Combinatorial Optimization Problems

Combinatorial optimization deals with efficiently determining an optimal (or at least a good) decision among a finite set of alternatives. In business administration, such combinatorial optimization problems arise in, e.g., portfolio selection, project management, data analysis, and logistics. These optimization problems have in common that the set of alternatives becomes very large as the problem size increases, and therefore an exhaustive search of all alternatives may require a prohibitively long computation time. Moreover, due to their combinatorial nature no closed-form solutions to these problems exist. In practice, a common approach to tackle combinatorial optimization problems is to formulate them as mathematical models and to solve them using a mathematical programming solver (cf., e.g., Bixby et al. 1999, Achterberg et al. 2020). For small-scale problem instances, the mathematical models comprise a manageable number of variables and constraints such that mathematical programming solvers are able to devise optimal solutions within a reasonable computation time. For large-scale problem instances, the number of variables and constraints becomes very large which extends the computation time required to find an optimal solution considerably. Therefore, despite the continuously improving performance of mathematical programming solvers and computing hardware, the availability of mathematical models that are efficient in terms of the number of variables and constraints used is of crucial importance. Another frequently used approach to address combinatorial optimization problems are matheuristics. Matheuristics decompose the considered optimization problem into subproblems, which are then formulated as mathematical models and solved with the help of a mathematical programming solver. Matheuristics are particularly suitable for situations where it is required to find a good, but not necessarily an optimal solution within a short computation time, since the speed of the solution process can be controlled by choosing an appropriate size of the subproblems. This thesis consists of three papers on large-scale combinatorial optimization problems. We consider a portfolio optimization problem in finance, a scheduling problem in project management, and a clustering problem in data analysis. For these problems, we present novel mathematical models that require a relatively small number of variables and constraints, and we develop matheuristics that are based on novel problem-decomposition strategies. In extensive computational experiments, the proposed models and matheuristics performed favorably compared to state-of-the-art models and solution approaches from the literature. In the first paper, we consider the problem of determining a portfolio for an enhanced index-tracking fund. Enhanced index-tracking funds aim to replicate the returns of a particular financial stock-market index as closely as possible while outperforming that index by a small positive excess return. Additionally, we consider various real-life constraints that may be imposed by investors, stock exchanges, or investment guidelines. Since enhanced index-tracking funds are particularly attractive to investors if the index comprises a large number of stocks and thus is well diversified, it is of particular interest to tackle large-scale problem instances. For this problem, we present two matheuristics that consist of a novel construction matheuristic, and two different improvement matheuristics that are based on the concepts of local branching (cf. Fischetti and Lodi 2003) and iterated greedy heuristics (cf., e.g., Ruiz and Stützle 2007). Moreover, both matheuristics are based on a novel mathematical model for which we provide insights that allow to remove numerous redundant variables and constraints. We tested both matheuristics in a computational experiment on problem instances that are based on large stock-market indices with up to 9,427 constituents. It turns out that our matheuristics yield better portfolios than benchmark approaches in terms of out-of-sample risk-return characteristics. In the second paper, we consider the problem of scheduling a set of precedence-related project activities, each of which requiring some time and scarce resources during their execution. For each activity, alternative execution modes are given, which differ in the duration and the resource requirements of the activity. Sought is a start time and an execution mode for each activity, such that all precedence relationships are respected, the required amount of each resource does not exceed its prescribed capacity, and the project makespan is minimized. For this problem, we present two novel mathematical models, in which the number of variables remains constant when the range of the activities' durations and thus also the planning horizon is increased. Moreover, we enhance the performance of the proposed mathematical models by eliminating some symmetric solutions from the search space and by adding some redundant sequencing constraints for activities that cannot be processed in parallel. In a computational experiment based on instances consisting of activities with durations ranging from one up to 260 time units, the proposed models consistently outperformed all reference models from the literature. In the third paper, we consider the problem of grouping similar objects into clusters, where the similarity between a pair of objects is determined by a distance measure based on some features of the objects. In addition, we consider constraints that impose a maximum capacity for the clusters, since the size of the clusters is often restricted in practical clustering applications. Furthermore, practical clustering applications are often characterized by a very large number of objects to be clustered. For this reason, we present a matheuristic based on novel problem-decomposition strategies that are specifically designed for large-scale problem instances. The proposed matheuristic comprises two phases. In the first phase, we decompose the considered problem into a series of generalized assignment problems, and in the second phase, we decompose the problem into subproblems that comprise groups of clusters only. In a computational experiment, we tested the proposed matheuristic on problem instances with up to 498,378 objects. The proposed matheuristic consistently outperformed the state-of-the-art approach on medium- and large-scale instances, while matching the performance for small-scale instances. Although we considered three specific optimization problems in this thesis, the proposed models and matheuristics can be adapted to related optimization problems with only minor modifications. Examples for such related optimization problems are the UCITS-constrained index-tracking problem (cf, e.g., Strub and Trautmann 2019), which consists of determining the portfolio of an investment fund that must comply with regulatory restrictions imposed by the European Union, the multi-site resource-constrained project scheduling problem (cf., e.g., Laurent et al. 2017), which comprises the scheduling of a set of project activities that can be executed at alternative sites, or constrained clustering problems with must-link and cannot-link constraints (cf., e.g., González-Almagro et al. 2020)

Continuous-Time Formulations for Multi-Mode Project Scheduling

This paper reviews compact continuous-time formulations for the multi-mode resource-constrained project scheduling problem. Specifically, we first point out a serious flaw in an existing start-end-event-based formulation owing to inconsistent mode choices. We propose two options to formulate the missing constraints and we consider an equivalent reformulation with sparser constraint matrix. Second, we formulate an aggregate variant of an existing model that relies on on-off-events and clarify the role of mode consistency issues in such models. Third, we suggest two variants of an existing network flow formulation. We enhance our models by adapting several techniques that have been used previously, e.g., in cases with only a single mode. A large set of benchmark instances from the literature provides the basis for an up-to-date and fair computational study with an out-of-the-box solver package. We compare our models against two models from the literature. Our experiments assert confidently that network flow formulations prevail in the test bed, and they provide a hint on why event-based models become less competitive in multi-mode settings.Comment: 37 page

Unified Concept of Bottleneck

The term `bottleneck` has been extensively used in operations management literature. Management paradigms like the Theory of Constraints focus on the identification and exploitation of bottlenecks. Yet, we show that the term has not been rigorously defined. We provide a classification of bottleneck definitions available in literature and discuss several myths associated with the concept of bottleneck. The apparent diversity of definitions raises the question whether it is possible to have a single bottleneck definition which has as much applicability in high variety job shops as in mass production environments. The key to the formulation of an unified concept of bottleneck lies in relating the concept of bottleneck to the concept of shadow price of resources. We propose an universally applicable bottleneck definition based on the concept of average shadow price. We discuss the procedure for determination of bottleneck values for diverse production environments. The Law of Diminishing Returns is shown to be a sufficient but not necessary condition for the equivalence of the average and the marginal shadow price. The equivalence of these two prices is proved for several environments. Bottleneck identification is the first step in resource acquisition decisions faced by managers. The definition of bottleneck presented in the paper has the potential to not only reduce ambiguity regarding the meaning of the term but also open a new window to the formulation and analysis of a rich set of problems faced by managers.

Multi-skill resource-constrained project scheduling problems : models and algorithms

Tese de doutoramento, Estatística e Investigação Operacional (Otimização), Universidade de Lisboa, Faculdade de Ciências, 2018In this dissertation, project scheduling problems with multi-skill resources are investigated. These problems are commonly found in companies making use of human resources or multi-purpose machinery equipment. The general problem consists of a single project comprising a set of activities. There are precedence relations between the activities. Each activity requires one or several skills for being processed and for each of these skills, more than one resource may be needed. The resources have a unitary capacity per time unit and may master more than one skill. The resources can contribute with at most one skill to at most one activity that requires it, in each time unit. It is usually assumed that the resources are homogeneous, i.e., the proficiency at which each skill is performed is the same across all resources that master that skill. Preemption is not allowed, which implies that once an activity starts being processed it cannot be interrupted. When a resource is assigned to perform a skill for an activity, it remains in that status for the whole processing time of the activity. The objective of the problem is to schedule all the activities, satisfying all constraints such that the makespan of the project is minimized. After introducing a framework to the realm of project scheduling problems with multi-skill resources and highlighting the main objectives and contributes of this thesis, a state-of the-art review on the topic is presented. The particular problem investigated in this document is then described in detail and its specific features are discussed. To that end, a continuous-time mathematical formulation from the literature is revisited, an example of the problem is presented and some aspects related to the computation of feasible solutions are discussed. This last topic is of major relevance when dealing with problems that combine personnel staffing with project scheduling. In order to properly assess the quality of solutions obtained by the methodological developments proposed in this thesis, it became necessary to develop an instance generator to build a set of instances larger than those existing in the literature. After formally proposing such generator, we detail the characteristics of the two sets of instances considered for the computational experiments to be performed. In the next sections of the document, the solution methodologies developed within the scope of this thesis are presented and thoroughly discussed. A wide range of mathematical formulations is studied, two of which are first proposed in this document. From the assessment of their ability both to compute feasible and possibly optimal solutions and to derive good lower bounds (stemming from their linear programming relaxations) to the problem, it will become clear that the so-called discrete-time formulations yield the strongest lower bounds whereas a continuous-time formulation from the literature proved to be the most suitable for solving instances of the problem to optimality. This trend is observed for both sets of instances considered. Two constructive lower bound mechanisms proposed for the resource-constrained project scheduling problem are extended to account for the existence of multi-skill resources and multi skill requirements of the activities. The results reveal that such methods improve the lower bounds achieved by the studied mathematical formulations for some instances. Real-world project scheduling problems usually involve a large number of activities, resources and skills. Hence, the use of exact methods such as the standard techniques for tackling the aforementioned mathematical models, is often impractical. When faced with this kind of situations, a project manager may consider preferable to have a good feasible solution, not necessarily an optimal one, within an admissible time, by means of an approximate method. A close look into the problem being investigated in this thesis reveals that it has some features that are not present in some well-studied particular cases of it, namely the notion of skill—multi skill resources and skill requirements of the activities. Hence, with the objective of developing approximate solution methodologies that better exploit the specific characteristics of the problem at hand, two new concepts are introduced: activity grouping and resource weight. The well-known parallel and serial scheduling schemes, proposed originally for the class of resource-constrained project scheduling problems, are extended to our problem setting and the two above-mentioned concepts are incorporated into these two new frameworks. Such frameworks use well-known activity priority rules for defining the order by which the activities are selected to be scheduled and resource weight rules to determine a set of resources that meets the requirements of all the activities to be scheduled at each time with the least total cost (weight). Thereafter, two heuristic procedures making use of those schedule generation schemes are proposed, namely a multi-pass heuristic built upon the parallel scheduling scheme and a biased random-key genetic algorithm. The idea of computing a feasible solution using the so-called backward planning is also considered in both methods. The multi-pass heuristic retrieves the solution with the minimum makespan after performing a specific number of passes, each associated with a unique combination of the considered activity priority rules, the developed resource weight rules and the two precedence networks: forward and backward. The biased random-key genetic algorithm is a metaheuristic whose developed chromosome structure encodes information related to: (i) the priority values of the activities; (ii) the weights of the resources; (iii) how a chromosome is decoded, i.e., the scheduling scheme and precedence network scheme to be used for computing the associated makespan. By embedding all this information into the chromosomes, it becomes possible to take advantage of the evolutionary framework of the biased random-key genetic algorithm, which tends to allow the evolution of such data (change in their values) over time, towards better makespan valued solutions. Three variants of the biased random-key genetic algorithm are considered with regard to the type of scheduling generation scheme to be used for decoding its chromosomes: (i) all chromosomes are decoded with the parallel scheduling scheme; (ii) all chromosomes are decoded with the serial scheduling scheme; (iii) the scheduling scheme to be used for decoding each chromosome depends on the value of the associated parameter which is embedded in the chromosome. The computational results revealed that the proposed multi-pass heuristic is an efficient algorithm for computing feasible solutions of acceptable quality within a small computational time whereas the biased random-key genetic algorithm is a robust algorithm and a more competitive approximate approach for computing feasible solutions of higher quality, especially for harder instances such as those of medium and large dimensions. We conclude this thesis with an overview of the work done and with some directions for further research in terms of methodological developments and of some potentially interesting extensions of the addressed problem

Mixed-integer linear programming based approaches for the resource constrained project scheduling problem.

Programa de P?s-Gradua??o em Ci?ncia da Computa??o. Departamento de Ci?ncia da Computa??o, Instituto de Ci?ncias Exatas e Biol?gicas, Universidade Federal de Ouro Preto.Resource Constrained Project Scheduling Problems (RCPSPs) without preemption are well-known NP-hard combinatorial optimization problems. A feasible RCPSP solution consists of a time-ordered schedule of jobs with corresponding execution modes, respecting precedence and resources constraints. First, in this thesis, we provide improved upper bounds for many hard instances from the literature by using methods based on Stochastic Local Search (SLS). As the most contribution part of this work, we propose a cutting plane algorithm to separate five different cut families, as well as a new preprocessing routine to strengthen resource-related constraints. New lifted versions of the well-known precedence and cover inequalities are employed. At each iteration, a dense conict graph is built considering feasibility and optimality conditions to separate cliques, odd-holes and strengthened Chv?tal-Gomory cuts. The proposed strategies considerably improve the linear relaxation bounds, allowing a state-of-the-art mixed-integer linear programming solver to nd provably optimal solutions for 754 previously open instances of different variants of the RCPSPs, which was not possible using the original linear programming formulations

Methods to Support the Project Selection Problem With Non-Linear Portfolio Objectives, Time Sensitive Objectives, Time Sensitive Resource Constraints, and Modeling Inadequacies

The United States Air Force relies upon information production activities to gain insight regarding uncertainties affecting important system configuration and in-mission task execution decisions. Constrained resources that prevent the fulfillment of every information production request, multiple information requestors holding different temporal-sensitive objectives, non-constant marginal value preferences, and information-product aging factors that affect the value-of-information complicate the management of these activities. This dissertation reviews project selection research related to these issues and presents novel methods to address these complications. Quantitative experimentation results demonstrate these methods’ significance

The extended resource task network: a framework for the combined scheduling of batch processes and CHP plants

The issue of energy has emerged as one of the greatest challenges facing mankind. In an industrial perspective, the development of site utility systems (generally combined heat and power (CHP) systems) for the generation and management of utilities provides a great potential source for energy savings. However, in most industrial sites, a master–slave relationship usually governs this kind of system and limits the potential operating capacity of CHP. To improve the decision-making process, Agha et al. (2010. Integrated production and utility system approach for optimising industrial unit operation. Energy, 35, 611–627) have proposed an integrated approach that carries out simultaneous and consistent scheduling of batch production plants and site utility systems. The modelling of the problem relies on a mixed integer linear programming (MILP) formulation. Nevertheless, although it is a powerful mathematical tool, it still remains difficult to use for non-expert engineers. In this framework, a graphical formalism based on existing representations (STN, RTN) has been developed: the extended resource task network (ERTN). Combined with an efficient and generic MILP formulation, it permits various kinds of industrial problems, including production and consumption of utility flows to be modelled homogenously. This paper focuses on the semantic elements of the ERTN formalism and illustrates their use through representative example

Strong Bounds for Resource Constrained Project Scheduling: Preprocessing and Cutting Planes

Resource Constrained Project Scheduling Problems (RCPSPs) without preemption are well-known NP-hard combinatorial optimization problems. A feasible RCPSP solution consists of a time-ordered schedule of jobs with corresponding execution modes, respecting precedence and resources constraints. In this paper, we propose a cutting plane algorithm to separate five different cut families, as well as a new preprocessing routine to strengthen resource-related constraints. New lifted versions of the well-known precedence and cover inequalities are employed. At each iteration, a dense conflict graph is built considering feasibility and optimality conditions to separate cliques, odd-holes and strengthened Chv\'atal-Gomory cuts. The proposed strategies considerably improve the linear relaxation bounds, allowing a state-of-the-art mixed-integer linear programming solver to find provably optimal solutions for 754 previously open instances of different variants of the RCPSPs, which was not possible using the original linear programming formulations.Comment:

Global supply chains of high value low volume products

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