Two-stage stochastic programming under multivariate risk constraints with an application to humanitarian relief network design
From MaRDI portal
(Redirected from Publication:2118070)
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.
Recommendations
- Chance-constrained stochastic programming under variable reliability levels with an application to humanitarian relief network design
- Risk-averse two-stage stochastic programming with an application to disaster management
- A novel multi-stage possibilistic stochastic programming approach (with an application in relief distribution planning)
- Stochastic dynamic programming solution of a risk-adjusted disaster preparedness and relief distribution problem
- Two-stage stochastic formulation for relief operations with multiple agencies in simultaneous disasters
- A multi-objective robust stochastic programming model for disaster relief logistics under uncertainty
- A robust optimization model for humanitarian relief chain design under uncertainty
- Risk-averse two-stage stochastic program with distributional ambiguity
- Constraint generation for risk averse two-stage stochastic programs
- Structure of risk-averse multistage stochastic programs
Cites work
- scientific article; zbMATH DE number 1502618 (Why is no real title available?)
- scientific article; zbMATH DE number 1795125 (Why is no real title available?)
- scientific article; zbMATH DE number 2121076 (Why is no real title available?)
- L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
- A cutting-surface method for uncertain linear programs with polyhedral stochastic dominance constraints
- A multi-criteria optimization model for humanitarian aid distribution
- A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse
- A two-echelon stochastic facility location model for humanitarian relief logistics
- Chance-constrained stochastic programming under variable reliability levels with an application to humanitarian relief network design
- Coherent measures of risk
- Convexity and decomposition of mean-risk stochastic programs
- Cut generation for optimization problems with multivariate risk constraints
- Handling CVaR objectives and constraints in two-stage stochastic models
- Multicriteria optimization in humanitarian aid
- Optimization with Multivariate Conditional Value-at-Risk Constraints
- Optimization with Stochastic Dominance Constraints
- Optimization with multivariate stochastic dominance constraints
- Optimization with multivariate stochastic dominance constraints
- Optimization with stochastic preferences based on a general class of scalarization functions
- Pre-positioning planning for emergency response with service quality constraints
- Risk objectives in two-stage stochastic programming models
- Risk-averse two-stage stochastic programming with an application to disaster management
- Robust and Stochastically Weighted Multiobjective Optimization Models and Reformulations
- Robust multicriteria risk-averse stochastic programming models
- Sample average approximation of stochastic dominance constrained programs
- Two-stage optimization problems with multivariate stochastic order constraints
- Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse
Cited in
(15)- 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
- Special issue: topics in stochastic programming
- Inventory and order management for healthcare commodities during a pandemic
- An accelerated L-shaped method for solving two-stage stochastic programs in disaster management
- Risk-averse two-stage stochastic programming with an application to disaster management
- Bi-objective facility location under uncertainty with an application in last-mile disaster relief
- Stochastic dynamic programming solution of a risk-adjusted disaster preparedness and relief distribution problem
- Chance-constrained stochastic programming under variable reliability levels with an application to humanitarian relief network design
- 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
- Multistage stochastic programming for integrated network optimization in hurricane relief logistics and evacuation planning
- 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
This page was built for publication: Two-stage stochastic programming under multivariate risk constraints with an application to humanitarian relief network design
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2118070)
