1. Prioritization via stochastic optimization
- Author
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Koc, Ali and Morton, David P.
- Subjects
Stochastic programming -- Methods ,Resource allocation -- Methods ,Decision-making -- Methods ,Business, general ,Business - Abstract
We take a novel approach to decision problems involving binary activity-selection decisions competing for scarce resources. The literature approaches such problems by forming an optimal portfolio of activities. However, often practitioners instead form a rank-ordered list of activities and select those with the highest priority. We account for both viewpoints. We rank activities considering both the uncertainty in the problem parameters and the optimal portfolio that will be obtained once the uncertainty is revealed. We use stochastic integer programming as a modeling framework, and we apply our approach to a facility location problem and a multidimensional knapsack problem. We develop two sets of cutting planes to improve computation. Data, as supplemental material, are available at http://dx.doi.org/10.1287/mnsc.2013.1865. Keywords: priority lists; activity-selection problem; stochastic programming; cutting planes History : Received December 20, 2011; accepted February 17, 2013, by Dimitris Bertsimas, optimization. Published online in Articles in Advance May 15, 2014., 1. Introduction Resource-constrained activity-selection problems (RCASPs) involve binary activity-selection decisions, which compete for scarce resources. The bulk of the current literature approaches RCASPs by forming an optimal portfolio of activities [...]
- Published
- 2015
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