Unanswered Questions
36 questions with no upvoted or accepted answers
9
votes
0
answers
230
views
Solving large-scale stochastic mixed integer program
What are some methods or algorithms for solving a large-scale stochastic mixed-integer optimization problem that runs on an hourly dataset for a year? Do we employ some kind of decomposition? (the ...
- 1,687
6
votes
0
answers
226
views
Airline revenue management re-solving problem
I am considering a bid prices (shadow price of the capacity constraint) problem (from Chen, L. and Homem-de Mello, T. (2009)., page 14) where the acceptable classes for booking requests for ...
- 165
6
votes
0
answers
95
views
Sample Average Approximation vs. Numerical Integration
In the sense of the calculation of the expected value of objective functions, we have two choices to evaluate the value; 1. Sample Average Approximation (SAA):
$$
\frac{1}{N}\sum_{i=1}^N f(x,\xi^i).
$$...
- 155
6
votes
1
answer
248
views
Which software to use for Voronoi diagrams?
I have recently been looking at some facility location problems and how they change in the presence of the motorway (or highway, freeway) etc. Tried to visualize some observations with the Voronoi ...
6
votes
0
answers
106
views
Estimating multistop routing costs
In many OR problems, it is sometimes a good idea (or necessary) to relax routing constraints.
An example of this occurs in the classical facility location problem, where a warehouse can send out a ...
- 13.6k
5
votes
0
answers
154
views
Chance constrained optimization - interpretation
Suppose that we have a stochastic vector $\psi$ and $S$ realisations of $\psi$ given by $\psi_1,\dots,\psi_S$ with equal probability of occurrence. In addition, we have constraints of the form
\begin{...
- 2,463
4
votes
0
answers
164
views
Stochastic optimization for inventory management
The deterministic problem is to minimize operational cost subject to constraints in demand, supply and capacity. The ordering policy is periodic review, order-up-to.
The stochastic version of the ...
- 1,895
4
votes
0
answers
54
views
How to find range of values for the first-stage decisions resulting in the same cuts in two-stage stochastic programming?
Suppose we have a two-stage stochastic program as follows:
\begin{equation}
\begin{split}
\min \ & c^Tx + \mathbb{E}_\xi[Q(x,\xi)] \\
& \text{where}\\
&Q(x,\xi)=\min q(\xi)^Ty\\
&Tx+...
- 2,160
3
votes
0
answers
50
views
Control variables and cofounding effects in stochastic programming/,model predictive control/reinforcement learning
How can we be sure that confounding variables/control variables don’t pickup the effect our decisions w.r.t decision variables had on the actual control variable?
Since the term control variable ...
3
votes
0
answers
102
views
What is the general name (e.g. facility location problem) for this problem (if any)?
I would like to know if there is a general name for the following problem:
We will open several facilities. Each facility has an associated facility type. There exists a given number of facility ...
- 5,442
3
votes
0
answers
52
views
Popup facility location
I was searching through articles for popup facility location and could not find anything devoted to it. If anyone has come across it, can someone guide me to some papers?
- 5,442
3
votes
0
answers
89
views
Derivative of sup(max) functions in distributionally robust optimization
In the distributionally robust optimization problem
\begin{aligned}
\min_{x\in X}\sup_{P\in\mathfrak{P}}\mathbb{E}_P[f(x,\xi)],
\end{aligned}
where $f:\mathbb{R}^n\to\mathbb{R}$ and $P$ is a ...
- 155
3
votes
0
answers
70
views
Under what conditions is the optimal solution to the warehouse location problem the same for a subset of customers?
I am wondering whether there exists some general insight for when the optimal solution to the warehouse location problem is still optimal for a given subset of customers. For example:
Does the ...
- 527
2
votes
0
answers
86
views
Reformulate the deterministic equivalent model as an Expected Value problem
Given an optimization problem as follows:
$$
\begin{array}{cc}
\operatorname{Max} Z=3 x_{1}+9 x_{2}-2 y_{1}-4 y_{2} \\
\text { subject to, } y_{1}+y_{2}=15 \\
5 x_{1}+2 x_{2} \leq 10 \\
x_{1}, x_{2}, ...
- 157
2
votes
0
answers
100
views
Two-stage stochastic with non-linear recourse
I am working on a two-stage facility location problem as I described in this question.
I am solving it with the L-shaped method (Benders decomposition). The cost value between each $(i,j)$ is a ...
- 5,442