1. Stochastic binary problems with simple penalties for capacity constraints violations
- Author
-
Martine Labbé, Bernard Fortz, François Louveaux, Michael Poss, Fortz, Bernard, Graphes et Optimisation Mathématique [Bruxelles] (GOM), Université libre de Bruxelles (ULB), Cancer et génome: Bioinformatique, biostatistiques et épidémiologie d'un système complexe, MINES ParisTech - École nationale supérieure des mines de Paris, Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Institut Curie [Paris]-Institut National de la Santé et de la Recherche Médicale (INSERM), Heuristique et Diagnostic des Systèmes Complexes [Compiègne] (Heudiasyc), and Université de Technologie de Compiègne (UTC)-Centre National de la Recherche Scientifique (CNRS)
- Subjects
[INFO.INFO-RO] Computer Science [cs]/Operations Research [cs.RO] ,General Mathematics ,Gaussian ,0211 other engineering and technologies ,Stochastic programming ,02 engineering and technology ,Pseudo-polynomial algorithm ,01 natural sciences ,Combinatorics ,010104 statistics & probability ,symbols.namesake ,0101 mathematics ,Mathematics ,Computer Science::Information Theory ,Discrete mathematics ,021103 operations research ,Continuous knapsack problem ,Branch-and-cut algorithm ,[INFO.INFO-RO]Computer Science [cs]/Operations Research [cs.RO] ,Mixed-integer non-linear programming ,Knapsack problem ,Cutting stock problem ,symbols ,Subset sum problem ,Constant (mathematics) ,Random variable ,Software - Abstract
SCOPUS: ar.j; International audience; This paper studies stochastic programs with first-stage binary variables and capacity constraints, using simple penalties for capacities violations. In particular, we take a closer look at the knapsack problem with weights and capacity following independent random variables and prove that the problem is weakly NP -hard in general. We provide pseudo-polynomial algorithms for three special cases of the problem: constant weights and capacity uniformly distributed, subset sum with Gaussian weights and strictly positively distributed random capacity, and subset sum with constant weights and arbitrary random capacity. We then turn to a branch-and-cut algorithm based on the outer approximation of the objective function. We provide computational results for the stochastic knapsack problem (i) with Gaussian weights and constant capacity and (ii) with constant weights and capacity uniformly distributed, on randomly generated instances inspired by computational results for the knapsack problem.
- Published
- 2013
- Full Text
- View/download PDF