Search

Stochastic methods have been typically used for the design and operations of hydraulic infrastructure. They allow decision makers to evaluate existing or new infrastructure under different possible scenarios, giving them the flexibility and tools needed in decision making. In this paper, we present a novel stochastic streamflow simulation approach able to replicate both temporal and spatial dependencies from the original data in a multi‐site basin context. The proposed model is a multi‐site extension of the modified Fractional Gaussian Noise (mFGN) model which is well‐known to be efficient to maintain periodic correlation for several time lags, but presents shortcomings in preserving the spatial correlation. Our method, called Weighted‐mFGN (WmFGN), incorporates spatial dependency into streamflows simulated with mFGN by relying on the Cholesky decomposition of the spatial correlation matrix of the historical streamflow records. As the order in which the decomposition steps are performed (temporal then spatial, or vice‐versa) affects the performance in terms of preserving the temporal and spatial correlation, our method searches for an optimal convex combination of the resulting correlation matrices. The result is a Pareto‐curve that indicates the optimal weights of the convex combination depending on the importance given by the user to spatial and temporal correlations. The model is applied to a number of river basins in Chile, where the results show that the WmFGN approach maintains the qualities of the single‐site mFGN, while significantly improving spatial correlation. Key Points: Weighted modified Fractional Gaussian Noise model improves spatial correlations without significantly sacrificing temporal correlationThe method searches for an optimal convex combination of the spatial and temporal correlation matrices according on the user's priorityOur results in several Chilean basins demonstrate that Weighted‐modified Fractional Gaussian Noise (WmFGN) represents a significant improvement over the mFGN in preserving correlations [ABSTRACT FROM AUTHOR]

The appointment scheduling problem (ASP) studies how to manage patient arrivals to a healthcare system to improve system performance. An important challenge occurs when some patients may not show up for an appointment. Although the ASP is well studied in the literature, the vast majority of the existing work does not consider the well-observed phenomenon that patient no-show is influenced by the appointment time, the usual decision variable in the ASP. This paper studies the ASP with random service time (exogenous uncertainty) with known distribution and patient decision-dependent no-show behavior (endogenous uncertainty). This problem belongs to the class of stochastic optimization with decision-dependent uncertainties. Such problems are notoriously difficult as they are typically nonconvex. We propose a stochastic projected gradient path (SPGP) method to solve the problem, which requires the development of a gradient estimator of the objective function—a nontrivial task, as the literature on gradient-based optimization algorithms for problems with decision-dependent uncertainty is very scarce and unsuitable for our model. Our method can solve the ASP problem under arbitrarily smooth show-up probability functions. We present solutions under different patterns of no-show behavior and demonstrate that breaking the assumption of constant show-up probability substantially changes the scheduling solutions. We conduct numerical experiments in a variety of settings to compare our results with those obtained with a distributionally robust optimization method developed in the literature. The cost reduction obtained with our method, which we call the value of distribution information, can be interpreted as how much the system performance can be improved by knowing the distribution of the service times, compared to not knowing it. We observe that the value of distribution information is up to 31% of the baseline cost, and that such value is higher when the system is crowded or/and the waiting time cost is relatively high. Summary of Contribution: This paper studies an appointment scheduling problem under time-dependent patient no-show behavior, a situation commonly observed in practice. The problem belongs to the class of stochastic optimization problems with decision-dependent uncertainties in the operations research literature. Such problems are notoriously difficult to solve as a result of the lack of convexity, and the present case requires different techniques because of the presence of continuous distributions for the service times. A stochastic projected gradient path method, which includes the development of specialized techniques to estimate the gradient of the objective function, is proposed to solve the problem. For problems with a similar structure, the algorithm can be applied once the gradient estimator of the objective function is obtained. Extensive numerical studies are presented to demonstrate the quality of the solutions, the importance of modeling time-dependent no-shows in appointment scheduling, and the value of using distribution information about the service times. [ABSTRACT FROM AUTHOR]

We discuss the problem of estimating probabilities of rare events in static simulation models using the recently proposed cross-entropy method, which is a type of importance-sampling technique in which the […]

Dupacová's early work in minimax solutions of stochastic programs [[6], [24]] predated by half a century a recent surge of work in distributionally robust optimization. Two others major lines of Dupacová's research contributions concern scenario generation and scenario reduction [[15]], with precursor work including [[5], [21]], and her work on asymptotics [[10], [23]]. Jitka Dupacová was the first woman vice dean at the Faculty of Mathematics and Physics at Charles University in 1979. Stochastic programming has seen recent advances with far-reaching impact involving risk measures, distributionally robust optimization, and applications in areas ranging from energy and natural resources to economics and finance to statistics and machine learning. [Extracted from the article]

We investigate the problem of estimating derivatives of expected steady-state performance measures in parametric systems. Unlike most of the existing work in the area, we allow those functions to be [...]

An approach has been developed for determining release schedules for tasks having due dates in a stochastic production flow line for which the order of the succession of the tasks has been set. Since this method considers a transient situation, the flow line usually includes tasks that had already been released to the system, known as work in process. The model developed, which considers both stochastic process times and down times, constitutes a first step in the use of simulation-based optimization for scheduling in the manufacturing sector. It may be useful as an interface between the formation of a Manufacturing Resources Planning pool and the Manufacturing Execution Systems job release module to determine more accurately which tasks to release.

This article presents and studies models for multi-criteria budget allocation problems under uncertainty. The proposed models incorporate uncertainties in decision maker's weights using a robust weighted sum approach. The risk averseness of the decision maker in satisfying random risk-related constraints is ensured by using stochastic dominance. A sample average approximation approach together with a cutting surface method is used to solve this model. An analysis for the computation of statistical lower and upper bounds is also given. The proposed models are used to study the budget allocation to ten urban areas in the United States under the Urban Areas Security Initiative. Here the decision maker considers property losses, fatalities, air departures, and average daily bridge traffic as separate criteria. The properties of the proposed modeling and solution methodology are discussed using a RAND Corporation–proposed allocation policy and the current government budget allocation as two benchmarks. The budget results are discussed under several parameter scenarios. [ABSTRACT FROM AUTHOR]

In this paper we study linear optimization problems with a newly introduced concept of multidimensional polyhedral linear second-order stochastic dominance constraints. By using the polyhedral properties of this dominance condition, we present a cutting-surface algorithm and show its finite convergence. The cut generation problem is a difference of convex functions (DC) optimization problem. We exploit the polyhedral structure of this problem to present a novel branch-and-cut algorithm that incorporates concepts from concave minimization and binary integer programming. A linear programming problem is formulated for generating concavity cuts in our case, where the polyhedra are unbounded. We also present duality results for this problem relating the dual multipliers to utility functions, without the need to impose constraint qualifications, which again is possible because of the polyhedral nature of the problem. Numerical examples are presented showing the nature of solutions of our model. [ABSTRACT FROM AUTHOR]

In this paper we discuss the issue of solving stochastic optimization problems by means of sample average approximations. Our focus is on rates of convergence of estimators of optimal solutions and optimal values with respect to the sample size. This is a well-studied problem in case the samples are independent and identically distributed (i.e., when standard Monte Carlo simulation is used); here we study the case where that assumption is dropped. Broadly speaking, our results show that, under appropriate assumptions, the rates of convergence for pointwise estimators under a sampling scheme carry over to the optimization case, in the sense that convergence of approximating optimal solutions and optimal values to their true counterparts has the same rates as in pointwise estimation. We apply our results to two well-established sampling schemes, namely, Latin hypercube sampling and randomized quasi-Monte Carlo (QMC). The novelty of our work arises from the fact that, while there has been some work on the use of variance reduction techniques and QMC methods in stochastic optimization, none of the existing work--to the best of our knowledge--has provided a theoretical study on the effect of these techniques on rates of convergence for the optimization problem. We present numerical results for some two-stage stochastic programs from the literature to illustrate the discussed ideas. [ABSTRACT FROM AUTHOR]