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
0
answers
62
views
DOE Output Versus Testing Against Baseline
I am doing some output analysis on a discrete event simulation model and trying to interpret the results. My first step was to run the baseline model to get the response variable, let's say it's 10 ...
- 8,677
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
4
votes
0
answers
31
views
Is this the same as Agent Based DES or something different?
DES (Discrete Event Simulation) is a simulation paradigm which can be applied to some OR problems, if combined with SO (Simulation Optimisation).
AB-DES (Agent-Based DES) is an adaptation where the ...
- 636
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
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
1
answer
89
views
Are there standard symbols to describe discrete event simulations (DES)
I just wonder, whether there is a good reference for the symbols used in a flow chart to describe a DES process. I am looking for something like Kendall notation but with a reference to the symbols.
I ...
CommunityBot
- 1
2
votes
0
answers
30
views
What are process-based DES and event-based DES, exactly?
I have occasionally heard the terms "process-based DES" and "event-based DES".
For example, from SimPy:
SimPy is a process-based discrete-event simulation framework based on ...
- 5,874
2
votes
0
answers
54
views
Optimization-simulation: is this sensible?
This is my problem:
I am planning camping trips for multiple people. Each person will be given a route. The routes may intersect at some points. They all start their trip simultaneously. Whenever two ...
- 676
2
votes
0
answers
48
views
Monte Carlo simulation of (potentially) correlated multiple time series
I am seeking help on how to perform Monte Carlo simulations on (potentially) correlated time series. I have a single product (e.g., men's wallets) that are sold out of seven stores in the same city. ...
- 773
2
votes
0
answers
98
views
Supply chain simulation is not working. Any help please?
I am trying to simulate a supply chain scenario. Demand is random (e.g. between 100-400 units) and lead time vary 2 to 4 days for each supply. The holding cost(h), penalty cost (p) for lost_sales, ...
- 1,895