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We consider a logistics planning problem of prepositioning relief items in preparation for an impending hurricane landfall. This problem is modeled as a multiperiod network flow problem where the objective is to minimize the logistics cost of operating the network and the penalty for unsatisfied demand. We assume that the demand for relief items can be derived from the hurricane's predicted intensity and landfall location, which evolves according to a Markov chain. We consider this problem in two different settings, depending on whether the time of landfall is assumed to be deterministic (and known a priori) or random. For the former case, we introduce a fully adaptive multi-stage stochastic programming (MSP) model that allows the decision-maker to adjust the prepositioning decisions, sequentially, over multiple stages, as the hurricane's characteristics become clearer. For the latter case, we extend the MSP model with a random number of stages introduced in Guigues (2021), to the case where the underlying stochastic process is assumed to be stage-wise dependent. We benchmark the performance of the MSP models with other approximation policies such as the static and rolling-horizon two-stage stochastic programming approaches. Our numerical results provide key insight into the value of MSP, in disaster relief logistics planning.

Multistage Stochastic Programming (MSP) is a class of models for sequential decision-making under uncertainty. MSP problems are known for their computational intractability due to the sequential nature of the decision-making structure and the uncertainty in the problem data due to the so-called curse of dimensionality. A common approach to tackle MSP problems with a large number of stages is a rolling-horizon (RH) procedure, where one solves a sequence of MSP problems with a smaller number of stages. This leads to a delicate issue of how many stages to include in the smaller problems used in the RH procedure. This paper addresses this question for, both, finite and infinite horizon MSP problems. For the infinite horizon case with discounted costs, we derive a bound which can be used to prescribe an epsilon-sufficient number of stages. For the finite horizon case, we propose a heuristic approach from the perspective of approximate dynamic programming to provide a sufficient number of stages for each roll in the RH procedure. Our numerical experiments on a hydrothermal power generation planning problem show the effectiveness of the proposed approaches.

Variations of physical and chemical characteristics of biomass reduce equipment utilization and increase operational costs of biomass processing. Biomass processing facilities use sensors to monitor the changes in biomass characteristics. Integrating sensory data into the operational decisions in biomass processing will increase its flexibility to the changing biomass conditions. In this paper, we propose a multi-stage stochastic programming model that minimizes the expected operational costs by identifying the initial inventory level and creating an operational decision policy for equipment speed settings. These policies take the sensory information data and the current biomass inventory level as inputs to dynamically adjust inventory levels and equipment settings according to the changes in the biomass' characteristics. We ensure that a prescribed target reactor utilization is consistently achieved by penalizing the violation of the target reactor feeding rate. A case study is developed using real-world data collected at Idaho National Laboratory's biomass processing facility. We show the value of multi-stage stochastic programming from an extensive computational experiment. Our sensitivity analysis indicates that updating the infeed rate of the system, the processing speed of equipment, and bale sequencing based on the moisture level of biomass improves the processing rate of the reactor and reduces operating costs., Comment: 26 pages, 5 figures

We present adaptive sequential SAA (sample average approximation) algorithms to solve large-scale two-stage stochastic linear programs. The iterative algorithm framework we propose is organized into \emph{outer} and \emph{inner} iterations as follows: during each outer iteration, a sample-path problem is implicitly generated using a sample of observations or ``scenarios," and solved only \emph{imprecisely}, to within a tolerance that is chosen \emph{adaptively}, by balancing the estimated statistical error against solution error. The solutions from prior iterations serve as \emph{warm starts} to aid efficient solution of the (piecewise linear convex) sample-path optimization problems generated on subsequent iterations. The generated scenarios can be independent and identically distributed (iid), or dependent, as in Monte Carlo generation using Latin-hypercube sampling, antithetic variates, or randomized quasi-Monte Carlo. We first characterize the almost-sure convergence (and convergence in mean) of the optimality gap and the distance of the generated stochastic iterates to the true solution set. We then characterize the corresponding iteration complexity and work complexity rates as a function of the sample size schedule, demonstrating that the best achievable work complexity rate is Monte Carlo canonical and analogous to the generic $\mathcal{O}(\epsilon^{-2})$ optimal complexity for non-smooth convex optimization. We report extensive numerical tests that indicate favorable performance, due primarily to the use of a sequential framework with an optimal sample size schedule, and the use of warm starts. The proposed algorithm can be stopped in finite-time to return a solution endowed with a probabilistic guarantee on quality.

In this paper, we extend the adaptive partition-based approach for solving two-stage stochastic programs with fixed recourse to the multistage stochastic programming setting. The proposed algorithms integrate the adaptive partition-based strategy with a popular approach for solving multistage stochastic programs, the stochastic dual dynamic programming, via different tree-traversal strategies in order to enhance its computational efficiency. Our numerical experiments on a hydro-thermal power generation planning problem show the effectiveness of the proposed algorithms., 27 pages, 6 figures

Fuel cost contributes to a significant portion of operating cost in cargo transportation. Though classic routing models usually treat fuel cost as input data, fuel consumption heavily depends on the travel speed, which has led to the study of optimizing speeds over a given fixed route. In this paper, we propose a joint routing and speed optimization problem to minimize the total cost, which includes the fuel consumption cost. The only assumption made on the dependence between the fuel cost and travel speed is that it is a strictly convex differentiable function. This problem is very challenging, with medium-sized instances already difficult for a general mixed-integer convex optimization solver. We propose a novel set partitioning formulation and a branch-cut-and-price algorithm to solve this problem. Our algorithm clearly outperforms the off-the-shelf optimization solver, and is able to solve some benchmark instances to optimality for the first time.