Heuristics for Multi-Stage Interdiction of Stochastic Networks

Held, Harald; Woodruff, David L.

doi:10.1007/s10732-005-3122-y

Cited by 45 publications

(29 citation statements)

References 14 publications

(13 reference statements)

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“…A bit on the side, Held and Woodruff (2005) consider a multi stage stochastic network interdiction problem. The goal is to maximize the probability of sufficient disruption, in terms of maximizing the probability that the minimum path length exceeds a certain value.…”

Section: Related Workmentioning

confidence: 99%

Decision-dependent probabilities in stochastic programs with recourse

2018

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Stochastic programming with recourse usually assumes uncertainty to be exogenous. Our work presents modelling and application of decision-dependent uncertainty in mathematical programming including a taxonomy of stochastic programming recourse models with decision-dependent uncertainty. The work includes several ways of incorporating direct or indirect manipulation of underlying probability distributions through decision variables in two-stage stochastic programming problems. Two-stage models are formulated where prior probabilities are distorted through an affine transformation or combined using a convex combination of several probability distributions. Additionally, we present models where the parameters of the probability distribution are first-stage decision variables. The probability distributions are either incorporated in the model using the exact expression or by using a rational approximation. Test instances for each formulation are solved with a commercial solver, BARON, using selective branching.

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Section: Related Workmentioning

confidence: 99%

Decision-dependent probabilities in stochastic programs with recourse

2018

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“…The proposed implicit enumeration algorithm, which solves two-stage problems of this type, includes a branch-and-bound approach to determine the optimal set of decisions, each corresponding to a different scenario tree. Held and Woodruff (2005) propose a heuristic approach for the multi-stage network interdiction problem. consider the gas field problem, which also suffers from the second type of decision-dependent uncertainty.…”

Section: Literature Reviewmentioning

confidence: 99%

Robust Optimization for the Discrete Time-Cost Tradeoff Problem with Cost Uncertainty

Hazır

Haouari

Erel

2014

Handbook on Project Management and Scheduling Vol. 2

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This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. Exempted from this legal reservation are brief excerpts in connection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher's location, in its current version, and permission for use must always be obtained from Springer. Permissions for use may be obtained through RightsLink at the Copyright Clearance Center. Violations are liable to prosecution under the respective Copyright Law. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. While the advice and information in this book are believed to be true and accurate at the date of publication, neither the authors nor the editors nor the publisher can accept any legal responsibility for any errors or omissions that may be made. The publisher makes no warranty, express or implied, with respect to the material contained herein.Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com) PrefaceThis handbook is devoted to scientific approaches to the management and scheduling of projects. Due to their practical relevance, project management and scheduling have been important subjects of inquiry since the early days of Management Science and Operations Research and remain an active and vibrant field of study. The handbook is meant to provide an overview of some of the most active current areas of research. Each chapter has been written by well-recognized scholars, who have made original contributions to their topic. The handbook covers both theoretical concepts and a wide range of applications. For our general readers, we give a brief introduction to elements of project management and scheduling in the first chapter, where we also survey the contents of this book. We believe that the handbook will be a valuable and comprehensive reference to researchers and practitioners in project management and scheduling and hope that it might stimulate further research in this exciting and practically important field.Short-listing and selecting the contributions to this handbook and working with more than one hundred authors have been a challenging and rewarding experience for us. We are grateful to Günter Sch...

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“…reservoir size and its quality). Our decisions can affect the stochastic processes in two different ways : either they can alter the probability distributions (type 1) (see Viswanath et al, 2004;and Held and Woodruff, 2005), or they can determine the timing when uncertainties in the parameters are resolved (type 2) (see Gupta and Grossmann, 2011). A number of planning problems involving very large investments at an early stage of the project have endogenous (technical) uncertainty (type 2) that dominates the exogenous (market) uncertainty.…”

Section: Introductionmentioning

confidence: 99%

A new decomposition algorithm for multistage stochastic programs with endogenous uncertainties

Gupta

Grossmann

2014

Computers & Chemical Engineering

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In this paper, we present a new decomposition algorithm for solving large-scale multistage stochastic programs (MSSP) with endogenous uncertainties. Instead of dualizing all the initial non-anticipativity constraints (NACs) and removing all the conditional non-anticipativity constraints to decompose the problem into scenario subproblems, the basic idea relies on keeping a subset of NACs as explicit constraints in the scenario group subproblems while dualizing or relaxing the rest of the NACs. It is proved that the algorithm provides a dual bound that is at least as tight as the standard approach. Numerical results for process network examples and oilfield development planning problem are presented to illustrate that the proposed decomposition approach yields significant improvement in the dual bound at the root node and reduction in the total computational expense for closing the gap.

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Heuristics for Multi-Stage Interdiction of Stochastic Networks

Cited by 45 publications

References 14 publications

Decision-dependent probabilities in stochastic programs with recourse

Decision-dependent probabilities in stochastic programs with recourse

Robust Optimization for the Discrete Time-Cost Tradeoff Problem with Cost Uncertainty

A new decomposition algorithm for multistage stochastic programs with endogenous uncertainties

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