Search results for: Stochastic Programming
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 839

Search results for: Stochastic Programming

839 Dynamic Slope Scaling Procedure for Stochastic Integer Programming Problem

Authors: Takayuki Shiina

Abstract:

Mathematical programming has been applied to various problems. For many actual problems, the assumption that the parameters involved are deterministic known data is often unjustified. In such cases, these data contain uncertainty and are thus represented as random variables, since they represent information about the future. Decision-making under uncertainty involves potential risk. Stochastic programming is a commonly used method for optimization under uncertainty. A stochastic programming problem with recourse is referred to as a two-stage stochastic problem. In this study, we consider a stochastic programming problem with simple integer recourse in which the value of the recourse variable is restricted to a multiple of a nonnegative integer. The algorithm of a dynamic slope scaling procedure for solving this problem is developed by using a property of the expected recourse function. Numerical experiments demonstrate that the proposed algorithm is quite efficient. The stochastic programming model defined in this paper is quite useful for a variety of design and operational problems.

Keywords: stochastic programming problem with recourse, simple integer recourse, dynamic slope scaling procedure

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838 Stochastic Programming Model for Power Generation

Authors: Takayuki Shiina

Abstract:

We consider power system expansion planning under uncertainty. In our approach, integer programming and stochastic programming provide a basic framework. We develop a multistage stochastic programming model in which some of the variables are restricted to integer values. By utilizing the special property of the problem, called block separable recourse, the problem is transformed into a two-stage stochastic program with recourse. The electric power capacity expansion problem is reformulated as the problem with first stage integer variables and continuous second stage variables. The L-shaped algorithm to solve the problem is proposed.

Keywords: electric power capacity expansion problem, integerprogramming, L-shaped method, stochastic programming

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837 Stochastic Mixed 0-1 Integer Programming Applied to International Transportation Problems under Uncertainty

Authors: Y. Wu

Abstract:

Today-s business has inevitably been set in the global supply chain management environment. International transportation has never played such an important role in the global supply chain network, because movement of shipments from one country to another tends to be more frequent than ever before. This paper studies international transportation problems experienced by an international transportation company. Because of the limited fleet capacity, the transportation company has to hire additional trucks from two countries in advance. However, customer-s shipment information is uncertain, and decisions have to be made before accurate information can be obtained. This paper proposes a stochastic mixed 0-1 programming model to solve the international transportation problems under uncertain demand. A series of experiments demonstrate the effectiveness of the proposed stochastic model.

Keywords: Global supply chain management, international transportation, stochastic programming.

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836 A Multi-Objective Model for Supply Chain Network Design under Stochastic Demand

Authors: F. Alborzi, H. Vafaei, M.H. Gholami, M.M. S. Esfahani

Abstract:

In this article, the design of a Supply Chain Network (SCN) consisting of several suppliers, production plants, distribution centers and retailers, is considered. Demands of retailers are considered stochastic parameters, so we generate amounts of data via simulation to extract a few demand scenarios. Then a mixed integer two-stage programming model is developed to optimize simultaneously two objectives: (1) minimization the fixed and variable cost, (2) maximization the service level. A weighting method is utilized to solve this two objective problem and a numerical example is made to show the performance of the model.

Keywords: Mixed Integer Programming, Multi-objective Optimization, Stochastic Demand, Supply Chain Design, Two Stage Programming

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835 Mathematical Programming Models for Portfolio Optimization Problem: A Review

Authors: M. Mokhtar, A. Shuib, D. Mohamad

Abstract:

Portfolio optimization problem has received a lot of attention from both researchers and practitioners over the last six decades. This paper provides an overview of the current state of research in portfolio optimization with the support of mathematical programming techniques. On top of that, this paper also surveys the solution algorithms for solving portfolio optimization models classifying them according to their nature in heuristic and exact methods. To serve these purposes, 40 related articles appearing in the international journal from 2003 to 2013 have been gathered and analyzed. Based on the literature review, it has been observed that stochastic programming and goal programming constitute the highest number of mathematical programming techniques employed to tackle the portfolio optimization problem. It is hoped that the paper can meet the needs of researchers and practitioners for easy references of portfolio optimization.

Keywords: Portfolio optimization, Mathematical programming, Multi-objective programming, Solution approaches.

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834 Optimal Path Planning under Priori Information in Stochastic, Time-varying Networks

Authors: Siliang Wang, Minghui Wang, Jun Hu

Abstract:

A novel path planning approach is presented to solve optimal path in stochastic, time-varying networks under priori traffic information. Most existing studies make use of dynamic programming to find optimal path. However, those methods are proved to be unable to obtain global optimal value, moreover, how to design efficient algorithms is also another challenge. This paper employs a decision theoretic framework for defining optimal path: for a given source S and destination D in urban transit network, we seek an S - D path of lowest expected travel time where its link travel times are discrete random variables. To solve deficiency caused by the methods of dynamic programming, such as curse of dimensionality and violation of optimal principle, an integer programming model is built to realize assignment of discrete travel time variables to arcs. Simultaneously, pruning techniques are also applied to reduce computation complexity in the algorithm. The final experiments show the feasibility of the novel approach.

Keywords: pruning method, stochastic, time-varying networks, optimal path planning.

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833 Network-Constrained AC Unit Commitment under Uncertainty Using a Bender’s Decomposition Approach

Authors: B. Janani, S. Thiruvenkadam

Abstract:

In this work, the system evaluates the impact of considering a stochastic approach on the day ahead basis Unit Commitment. Comparisons between stochastic and deterministic Unit Commitment solutions are provided. The Unit Commitment model consists in the minimization of the total operation costs considering unit’s technical constraints like ramping rates, minimum up and down time. Load shedding and wind power spilling is acceptable, but at inflated operational costs. The evaluation process consists in the calculation of the optimal unit commitment and in verifying the fulfillment of the considered constraints. For the calculation of the optimal unit commitment, an algorithm based on the Benders Decomposition, namely on the Dual Dynamic Programming, was developed. Two approaches were considered on the construction of stochastic solutions. Data related to wind power outputs from two different operational days are considered on the analysis. Stochastic and deterministic solutions are compared based on the actual measured wind power output at the operational day. Through a technique capability of finding representative wind power scenarios and its probabilities, the system can analyze a more detailed process about the expected final operational cost.

Keywords: Benders’ decomposition, network constrained AC unit commitment, stochastic programming, wind power uncertainty.

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832 Method of Parameter Calibration for Error Term in Stochastic User Equilibrium Traffic Assignment Model

Authors: Xiang Zhang, David Rey, S. Travis Waller

Abstract:

Stochastic User Equilibrium (SUE) model is a widely used traffic assignment model in transportation planning, which is regarded more advanced than Deterministic User Equilibrium (DUE) model. However, a problem exists that the performance of the SUE model depends on its error term parameter. The objective of this paper is to propose a systematic method of determining the appropriate error term parameter value for the SUE model. First, the significance of the parameter is explored through a numerical example. Second, the parameter calibration method is developed based on the Logit-based route choice model. The calibration process is realized through multiple nonlinear regression, using sequential quadratic programming combined with least square method. Finally, case analysis is conducted to demonstrate the application of the calibration process and validate the better performance of the SUE model calibrated by the proposed method compared to the SUE models under other parameter values and the DUE model.

Keywords: Parameter calibration, sequential quadratic programming, Stochastic User Equilibrium, traffic assignment, transportation planning.

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831 A Computational Stochastic Modeling Formalism for Biological Networks

Authors: Werner Sandmann, Verena Wolf

Abstract:

Stochastic models of biological networks are well established in systems biology, where the computational treatment of such models is often focused on the solution of the so-called chemical master equation via stochastic simulation algorithms. In contrast to this, the development of storage-efficient model representations that are directly suitable for computer implementation has received significantly less attention. Instead, a model is usually described in terms of a stochastic process or a "higher-level paradigm" with graphical representation such as e.g. a stochastic Petri net. A serious problem then arises due to the exponential growth of the model-s state space which is in fact a main reason for the popularity of stochastic simulation since simulation suffers less from the state space explosion than non-simulative numerical solution techniques. In this paper we present transition class models for the representation of biological network models, a compact mathematical formalism that circumvents state space explosion. Transition class models can also serve as an interface between different higher level modeling paradigms, stochastic processes and the implementation coded in a programming language. Besides, the compact model representation provides the opportunity to apply non-simulative solution techniques thereby preserving the possible use of stochastic simulation. Illustrative examples of transition class representations are given for an enzyme-catalyzed substrate conversion and a part of the bacteriophage λ lysis/lysogeny pathway.

Keywords: Computational Modeling, Biological Networks, Stochastic Models, Markov Chains, Transition Class Models.

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830 A Robust Optimization Model for the Single-Depot Capacitated Location-Routing Problem

Authors: Abdolsalam Ghaderi

Abstract:

In this paper, the single-depot capacitated location-routing problem under uncertainty is presented. The problem aims to find the optimal location of a single depot and the routing of vehicles to serve the customers when the parameters may change under different circumstances. This problem has many applications, especially in the area of supply chain management and distribution systems. To get closer to real-world situations, travel time of vehicles, the fixed cost of vehicles usage and customers’ demand are considered as a source of uncertainty. A combined approach including robust optimization and stochastic programming was presented to deal with the uncertainty in the problem at hand. For this purpose, a mixed integer programming model is developed and a heuristic algorithm based on Variable Neighborhood Search(VNS) is presented to solve the model. Finally, the computational results are presented and future research directions are discussed.

Keywords: Location-routing problem, robust optimization, Stochastic Programming, variable neighborhood search.

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829 Data Envelopment Analysis under Uncertainty and Risk

Authors: P. Beraldi, M. E. Bruni

Abstract:

Data Envelopment Analysis (DEA) is one of the most widely used technique for evaluating the relative efficiency of a set of homogeneous decision making units. Traditionally, it assumes that input and output variables are known in advance, ignoring the critical issue of data uncertainty. In this paper, we deal with the problem of efficiency evaluation under uncertain conditions by adopting the general framework of the stochastic programming. We assume that output parameters are represented by discretely distributed random variables and we propose two different models defined according to a neutral and risk-averse perspective. The models have been validated by considering a real case study concerning the evaluation of the technical efficiency of a sample of individual firms operating in the Italian leather manufacturing industry. Our findings show the validity of the proposed approach as ex-ante evaluation technique by providing the decision maker with useful insights depending on his risk aversion degree.

Keywords: DEA, Stochastic Programming, Ex-ante evaluation technique, Conditional Value at Risk.

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828 Simulation and 40 Years of Object-Oriented Programming

Authors: Eugene Kindler

Abstract:

2007 is a jubilee year: in 1967, programming language SIMULA 67 was presented, which contained all aspects of what was later called object-oriented programming. The present paper contains a description of the development unto the objectoriented programming, the role of simulation in this development and other tools that appeared in SIMULA 67 and that are nowadays called super-object-oriented programming.

Keywords: Simulation, super-object-oriented programming, object-oriented programming, SIMULA.

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827 Calculation of Reorder Point Level under Stochastic Parameters: A Case Study in Healthcare Area

Authors: Serap Akcan, Ali Kokangul

Abstract:

We consider a single-echelon, single-item inventory system where both demand and lead-time are stochastic. Continuous review policy is used to control the inventory system. The objective is to calculate the reorder point level under stochastic parameters. A case study is presented in Neonatal Intensive Care Unit.

Keywords: Inventory control system, reorder point level, stochastic demand, stochastic lead time

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826 Production Planning for Animal Food Industry under Demand Uncertainty

Authors: Pirom Thangchitpianpol, Suttipong Jumroonrut

Abstract:

This research investigates the distribution of food demand for animal food and the optimum amount of that food production at minimum cost. The data consist of customer purchase orders for the food of laying hens, price of food for laying hens, cost per unit for the food inventory, cost related to food of laying hens in which the food is out of stock, such as fine, overtime, urgent purchase for material. They were collected from January, 1990 to December, 2013 from a factory in Nakhonratchasima province. The collected data are analyzed in order to explore the distribution of the monthly food demand for the laying hens and to see the rate of inventory per unit. The results are used in a stochastic linear programming model for aggregate planning in which the optimum production or minimum cost could be obtained. Programming algorithms in MATLAB and tools in Linprog software are used to get the solution. The distribution of the food demand for laying hens and the random numbers are used in the model. The study shows that the distribution of monthly food demand for laying has a normal distribution, the monthly average amount (unit: 30 kg) of production from January to December. The minimum total cost average for 12 months is Baht 62,329,181.77. Therefore, the production planning can reduce the cost by 14.64% from real cost.

Keywords: Animal food, Stochastic linear programming, Production planning, Demand Uncertainty.

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825 Non-Stationary Stochastic Optimization of an Oscillating Water Column

Authors: María L. Jalón, Feargal Brennan

Abstract:

A non-stationary stochastic optimization methodology is applied to an OWC (oscillating water column) to find the design that maximizes the wave energy extraction. Different temporal cycles are considered to represent the long-term variability of the wave climate at the site in the optimization problem. The results of the non-stationary stochastic optimization problem are compared against those obtained by a stationary stochastic optimization problem. The comparative analysis reveals that the proposed non-stationary optimization provides designs with a better fit to reality. However, the stationarity assumption can be adequate when looking at averaged system response.

Keywords: Non-stationary stochastic optimization, oscillating water column, temporal variability, wave energy.

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824 A Common Automated Programming Platform for Knowledge Based Software Engineering

Authors: Ivan Stanev, Maria Koleva

Abstract:

Common Platform for Automated Programming (CPAP) is defined in details. Two versions of CPAP are described: Cloud based (including set of components for classic programming, and set of components for combined programming); and Knowledge Based Automated Software Engineering (KBASE) based (including set of components for automated programming, and set of components for ontology programming). Four KBASE products (Module for Automated Programming of Robots, Intelligent Product Manual, Intelligent Document Display, and Intelligent Form Generator) are analyzed and CPAP contributions to automated programming are presented.

Keywords: Automated Programming, Cloud Computing, Knowledge Based Software Engineering, Service Oriented Architecture.

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823 Airport Check-In Optimization by IP and Simulation in Combination

Authors: Ahmad Thanyan Al-Sultan

Abstract:

The check-in area of airport terminal is one of the busiest sections at airports at certain periods. The passengers are subjected to queues and delays during the check-in process. These delays and queues are due to constraints in the capacity of service facilities. In this project, the airport terminal is decomposed into several check-in areas. The airport check-in scheduling problem requires both a deterministic (integer programming) and stochastic (simulation) approach. Integer programming formulations are provided to minimize the total number of counters in each check-in area under the realistic constraint that counters for one and the same flight should be adjacent and the desired number of counters remaining in each area should be fixed during check-in operations. By using simulation, the airport system can be modeled to study the effects of various parameters such as number of passengers on a flight and check-in counter opening and closing time.

Keywords: Airport terminal, Integer programming, Scheduling, Simulation.

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822 Stochastic Estimation of Cavity Flowfield

Authors: Yin Yin Pey, Leok Poh Chua, Wei Long Siauw

Abstract:

Linear stochastic estimation and quadratic stochastic estimation techniques were applied to estimate the entire velocity flow-field of an open cavity with a length to depth ratio of 2. The estimations were done through the use of instantaneous velocity magnitude as estimators. These measurements were obtained by Particle Image Velocimetry. The predicted flow was compared against the original flow-field in terms of the Reynolds stresses and turbulent kinetic energy. Quadratic stochastic estimation proved to be more superior than linear stochastic estimation in resolving the shear layer flow. When the velocity fluctuations were scaled up in the quadratic estimate, both the time-averaged quantities and the instantaneous cavity flow can be predicted to a rather accurate extent.

Keywords: Open cavity, Particle Image Velocimetry, Stochastic estimation, Turbulent kinetic energy.

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821 Supplier Selection in a Scenario Based Stochastic Model with Uncertain Defectiveness and Delivery Lateness Rates

Authors: Abeer Amayri, Akif A. Bulgak

Abstract:

Due to today’s globalization as well as outsourcing practices of the companies, the Supply Chain (SC) performances have become more dependent on the efficient movement of material among places that are geographically dispersed, where there is more chance for disruptions. One such disruption is the quality and delivery uncertainties of outsourcing. These uncertainties could lead the products to be unsafe and, as is the case in a number of recent examples, companies may have to end up in recalling their products. As a result of these problems, there is a need to develop a methodology for selecting suppliers globally in view of risks associated with low quality and late delivery. Accordingly, we developed a two-stage stochastic model that captures the risks associated with uncertainty in quality and delivery as well as a solution procedure for the model. The stochastic model developed simultaneously optimizes supplier selection and purchase quantities under price discounts over a time horizon. In particular, our target is the study of global organizations with multiple sites and multiple overseas suppliers, where the pricing is offered in suppliers’ local currencies. Our proposed methodology is applied to a case study for a US automotive company having two assembly plants and four potential global suppliers to illustrate how the proposed model works in practice.

Keywords: Global supply chains, quality, stochastic programming, supplier selection.

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820 Linear Programming Application in Unit Commitment of Wind Farms with Considering Uncertainties

Authors: M. Esmaeeli Shahrakht, A. Kazemi

Abstract:

Due to uncertainty of wind velocity, wind power generators don’t have deterministic output power. Utilizing wind power generation and thermal power plants together create new concerns for operation engineers of power systems. In this paper, a model is presented to implement the uncertainty of load and generated wind power which can be utilized in power system operation planning. Stochastic behavior of parameters is simulated by generating scenarios that can be solved by deterministic method. A mixed-integer linear programming method is used for solving deterministic generation scheduling problem. The proposed approach is applied to a 12-unit test system including 10 thermal units and 2 wind farms. The results show affectivity of piecewise linear model in unit commitment problems. Also using linear programming causes a considerable reduction in calculation times and guarantees convergence to the global optimum. Neglecting the uncertainty of wind velocity causes higher cost assessment of generation scheduling.

Keywords: Load uncertainty, linear programming, scenario generation, unit commitment, wind farm.

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819 Programming Aid Tool for Detecting Common Mistakes of Novice Programmers in OpenMP Code

Authors: Jae Young Park, Seung Wook Lee, Jong Tae Kim

Abstract:

OpenMP is an API for parallel programming model of shared memory multiprocessors. Novice OpenMP programmers often produce the code that compiler cannot find human errors. It was investigated how compiler coped with the common mistakes that can occur in OpenMP code. The latest version(4.4.3) of GCC is used for this research. It was found that GCC compiled the codes without any errors or warnings. In this paper the programming aid tool is presented for OpenMP programs. It can check 12 common mistakes that novice programmer can commit during the programming of OpenMP. It was demonstrated that the programming aid tool can detect the various common mistakes that GCC failed to detect.

Keywords: Parallel programming, OpenMP, programming aid.

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818 Stochastic Scheduling to Minimize Expected Lateness in Multiple Identical Machines

Authors: Ghulam Zakria, Zailin Guan , Yasser Riaz Awan, Wan Lizhi

Abstract:

There are many real world problems in which parameters like the arrival time of new jobs, failure of resources, and completion time of jobs change continuously. This paper tackles the problem of scheduling jobs with random due dates on multiple identical machines in a stochastic environment. First to assign jobs to different machine centers LPT scheduling methods have been used, after that the particular sequence of jobs to be processed on the machine have been found using simple stochastic techniques. The performance parameter under consideration has been the maximum lateness concerning the stochastic due dates which are independent and exponentially distributed. At the end a relevant problem has been solved using the techniques in the paper..

Keywords: Quantity Production Flow Shop, LPT Scheduling, Stochastic Scheduling, Maximum Lateness, Random Due Dates

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817 An Engineering Approach to Forecast Volatility of Financial Indices

Authors: Irwin Ma, Tony Wong, Thiagas Sankar

Abstract:

By systematically applying different engineering methods, difficult financial problems become approachable. Using a combination of theory and techniques such as wavelet transform, time series data mining, Markov chain based discrete stochastic optimization, and evolutionary algorithms, this work formulated a strategy to characterize and forecast non-linear time series. It attempted to extract typical features from the volatility data sets of S&P100 and S&P500 indices that include abrupt drops, jumps and other non-linearity. As a result, accuracy of forecasting has reached an average of over 75% surpassing any other publicly available results on the forecast of any financial index.

Keywords: Discrete stochastic optimization, genetic algorithms, genetic programming, volatility forecast

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816 Application of De Novo Programming Approach for Optimizing the Business Process

Authors: Z. Babic, I. Veza, A. Balic, M. Crnjac

Abstract:

The linear programming model is sometimes difficult to apply in real business situations due to its assumption of proportionality. This paper shows an example of how to use De Novo programming approach instead of linear programming. In the De Novo programming, resources are not fixed like in linear programming but resource quantities depend only on available budget. Budget is a new, important element of the De Novo approach. Two different production situations are presented: increasing costs and quantity discounts of raw materials. The focus of this paper is on advantages of the De Novo approach in the optimization of production plan for production company which produces souvenirs made from famous stone from the island of Brac, one of the greatest islands from Croatia.

Keywords: De Novo Programming, production plan, stone souvenirs, variable prices.

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815 Comparison of Reliability Systems Based Uncertainty

Authors: A. Aissani, H. Benaoudia

Abstract:

Stochastic comparison has been an important direction of research in various area. This can be done by the use of the notion of stochastic ordering which gives qualitatitive rather than purely quantitative estimation of the system under study. In this paper we present applications of comparison based uncertainty related to entropy in Reliability analysis, for example to design better systems. These results can be used as a priori information in simulation studies.

Keywords: Uncertainty, Stochastic comparison, Reliability, serie's system, imperfect repair.

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814 On Diffusion Approximation of Discrete Markov Dynamical Systems

Authors: Jevgenijs Carkovs

Abstract:

The paper is devoted to stochastic analysis of finite dimensional difference equation with dependent on ergodic Markov chain increments, which are proportional to small parameter ". A point-form solution of this difference equation may be represented as vertexes of a time-dependent continuous broken line given on the segment [0,1] with "-dependent scaling of intervals between vertexes. Tending " to zero one may apply stochastic averaging and diffusion approximation procedures and construct continuous approximation of the initial stochastic iterations as an ordinary or stochastic Ito differential equation. The paper proves that for sufficiently small " these equations may be successfully applied not only to approximate finite number of iterations but also for asymptotic analysis of iterations, when number of iterations tends to infinity.

Keywords: Markov dynamical system, diffusion approximation, equilibrium stochastic stability.

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813 The Strict Stability of Impulsive Stochastic Functional Differential Equations with Markovian Switching

Authors: Dezhi Liu Guiyuan Yang Wei Zhang

Abstract:

Strict stability can present the rate of decay of the solution, so more and more investigators are beginning to study the topic and some results have been obtained. However, there are few results about strict stability of stochastic differential equations. In this paper, using Lyapunov functions and Razumikhin technique, we have gotten some criteria for the strict stability of impulsive stochastic functional differential equations with markovian switching.

Keywords: Impulsive; Stochastic functional differential equation; Strict stability; Razumikhin technique.

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812 Robot Task-Level Programming Language and Simulation

Authors: M. Samaka

Abstract:

This paper presents the development of a software application for Off-line robot task programming and simulation. Such application is designed to assist in robot task planning and to direct manipulator motion on sensor based programmed motion. The concept of the designed programming application is to use the power of the knowledge base for task accumulation. In support of the programming means, an interactive graphical simulation for manipulator kinematics was also developed and integrated into the application as the complimentary factor to the robot programming media. The simulation provides the designer with useful, inexpensive, off-line tools for retain and testing robotics work cells and automated assembly lines for various industrial applications.

Keywords: Robot programming, task-level programming, robot languages, robot simulation, robotics software.

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811 Mean Square Stability of Impulsive Stochastic Delay Differential Equations with Markovian Switching and Poisson Jumps

Authors: Dezhi Liu

Abstract:

In the paper, based on stochastic analysis theory and Lyapunov functional method, we discuss the mean square stability of impulsive stochastic delay differential equations with markovian switching and poisson jumps, and the sufficient conditions of mean square stability have been obtained. One example illustrates the main results. Furthermore, some well-known results are improved and generalized in the remarks.

Keywords: Impulsive, stochastic, delay, Markovian switching, Poisson jumps, mean square stability.

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810 Simplex Method for Fuzzy Variable Linear Programming Problems

Authors: S.H. Nasseri, E. Ardil

Abstract:

Fuzzy linear programming is an application of fuzzy set theory in linear decision making problems and most of these problems are related to linear programming with fuzzy variables. A convenient method for solving these problems is based on using of auxiliary problem. In this paper a new method for solving fuzzy variable linear programming problems directly using linear ranking functions is proposed. This method uses simplex tableau which is used for solving linear programming problems in crisp environment before.

Keywords: Fuzzy variable linear programming, fuzzy number, ranking function, simplex method.

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