Two-stage stochastic programming under multivariate risk constraints with an application to humanitarian relief network design

DOI10.1007/S10107-019-01373-4zbMATH Open1489.90088arXiv1701.06096OpenAlexW3105109203MaRDI QIDQ2118070FDOQ2118070

Nilay Noyan, Merve Meraklı, Simge Küçükyavuz

Publication date: 22 March 2022

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Abstract: In this study, we consider two classes of multicriteria two-stage stochastic programs in finite probability spaces with multivariate risk constraints. The first-stage problem features a multivariate stochastic benchmarking constraint based on a vector-valued random variable representing multiple and possibly conflicting stochastic performance measures associated with the second-stage decisions. In particular, the aim is to ensure that the associated random outcome vector of interest is preferable to a specified benchmark with respect to the multivariate polyhedral conditional value-at-risk (CVaR) or a multivariate stochastic order relation. In this case, the classical decomposition methods cannot be used directly due to the complicating multivariate stochastic benchmarking constraints. We propose an exact unified decomposition framework for solving these two classes of optimization problems and show its finite convergence. We apply the proposed approach to a stochastic network design problem in a pre-disaster humanitarian logistics context and conduct a computational study concerning the threat of hurricanes in the Southeastern part of the United States. Our numerical results on these large-scale problems show that our proposed algorithm is computationally scalable.

Full work available at URL: https://arxiv.org/abs/1701.06096

zbMATH Keywords

stochastic dominancestochastic programmingbranch-and-cutmulticriteria optimizationnetwork designconditional value-at-riskBenders decompositionmultivariate riskhumanitarian reliefpre-disasterrisk-averse two-stage

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Applications of mathematical programming (90C90) Stochastic programming (90C15)

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Cited In (11)

• Two-stage multiobjective optimization for emergency supplies allocation problem under integrated uncertainty
• Distributionally robust chance-constrained programs with right-hand side uncertainty under Wasserstein ambiguity
• Inventory and order management for healthcare commodities during a pandemic
• Special issue: topics in stochastic programming
• An accelerated L-shaped method for solving two-stage stochastic programs in disaster management
• Bi-objective facility location under uncertainty with an application in last-mile disaster relief
• Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization
• A distributionally robust chance-constrained model for humanitarian relief network design
• Effects of feasibility cuts in Lagrangian relaxation for a two-stage stochastic facility location and network flow problem
• Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness
• Two-stage stochastic formulation for relief operations with multiple agencies in simultaneous disasters

Uses Software

• DDSIP

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