基于随机活动工期的现金流动态均衡前摄性与反应性项目调度优化

承包商的现金流动态均衡对不确定条件下项目的顺利实施有重要影响。作者研究基于随机活动工期的现金流动态均衡前摄性及反应性项目调度问题,目标是在随机活动工期条件下,为承包商生成现金流均衡基准进度,并根据执行过程中的实际情况,动态地对其进行反应性调整。首先,通过建立前摄性调度优化模型生成基准进度,并提出两个反应性调度策略对其进行调整。其次,为以上诸模型的求解设计了模拟退火和禁忌搜索相结合的混合算法tabu-SA。最后,针对前摄性调度模型,在随机生成的算例集合上对算法进行测试,并进行大规模仿真实验。研究结果可以为随机活动工期下承包商保持现金流动态均衡、确保项目顺利实施,提供定量化决策支持。     

基于航段需求计算网络竞价的近似动态规划方法

竞价控制是收益管理中广泛应用的一种存量控制方法.将网络存量控制问题描述为一个动态规划模型,通过状态向量的一个仿射函数近似动态规划的最优值函数,并且在航段水平上考虑随机需求,最终得到一个计算网络竞价所需的确定性线性规划(DLP),相对于标准的DLP,这个DLP得到了更接近于动态规划最优值的上界.给出了一个列生成算法用于求解这个DLP,并提供了模拟算例,计算结果表明可获得比标准的DLP方法更好的收益.     

混合动力公交车能量控制策略的优化模型

针对混合动力公交车在循环工况内功率需求的特点,建立了未来功率需求贝叶斯预测模型;利用2-阶段随机动态规划模型将大规模的随机动态规划问题简化为多个小规模的随机动态规划问题和一个确定型动态规划问题;对于随机动态规划模型的求解,给出了稀疏表示的降维方法,将复杂的泛函极值问题转化为常规的随机动态优化问题,并采用分布估计算法和计算资源最优配置算法的计算机仿真优化算法对随机动态优化问题进行求解;给出了基于查表的在线控制策略,为模型的实际应用进行了有益的探索。     

粒子群遗传混合算法求解考虑传输时间的FJSP

在某些生产制造场景中,工件在不同机器间的传输时间对车间调度的总拖期具有重要影响,本文基于此扩展了总拖期最小的柔性作业车间调度模型。针对问题模型的复杂性,采用粒子群优化算法和遗传算法的混合算法进行求解。在初始化过程以一定概率优选加工时间和传输时间短的机器并排除调度频繁的机器,使种群在保持多样性的前提下尽量选择优化结果好的个体;采用线性调整的方式动态改变交叉概率和变异概率的值,使种群在遗传算法的不同阶段具有不同的搜索强度;采用粒子群优化算法进行局部搜索,弥补了遗传算法局部搜索能力的不足。最后采用本文方法和其他方法求解柔性作业车间调度问题实例,并对比不同水平层次传输时间下的总拖期,验证了本文方法的有效性。     

基于资源随机中断的反应性多模式项目调度优化

资源中断是项目实施过程中一种常见现象,它会导致项目进度计划的变更并引起额外的成本。本文研究资源随机中断下的项目调度问题,目标是对基准进度计划进行合理的调整,以最小化由此所造成的额外成本。作者首先对研究问题进行界定,随后构建问题的优化模型。针对模型的NP-hard属性,设计禁忌搜索启发式算法。最后以基准列表算法和随机生成算法为参照,在随机生成的标准算例集合上对算法进行测试,得到如下结论:在可接受的计算时间范围内,禁忌搜索获得的满意解质量明显高于其他两种启发式算法;算法的平均计算时间随着项目活动数的增加而增加,随着网络复杂度、资源强度或资源中断次数的增加而减小;满意解的平均目标函数值,随着项目活动数或网络复杂度的增加而增加,随着资源中断次数的增加而减小,与资源强度无明显关系。     

一种在有限网络中求解出租车调度的算法

出租车的最优调度以满足所需服务问题是一类资源优化问题，对此，本文采用了动态规划的求解方法并给出了一个具体算例，结果表明对于在有限网络中求解出租车调度可以通过该方案求出最优解。     

带有资源转移时间的RCPSP资源流模型及算法

本文在传统资源受限项目调度问题(resource-constrained project scheduling problem, RCPSP)中引入资源转移时间,为有效获得问题的最优解,采用资源流编码方式表示可行解,建立了带有资源转移时间的RCPSP资源流优化模型,目标为最小化项目工期。根据问题特征设计了改进的资源流重构邻域算子,分别设计了改进的禁忌搜索算法和贪心随机自适应禁忌搜索算法求解模型。数据实验结果表明,相较于现有文献中的方法,所提两种算法均可针对更多的项目实例求得最优解,并且得到最优解的时间更短,求解效率更高。此外,分析了算法在求解具有不同特征的项目实例时的性能,所得结果为项目经理结合项目特征评价算法适用性提供了指导。     

项目鲁棒调度的资源分配启发式算法研究

合理的资源配置是提高项目调度鲁棒性一种有效的方法。本文针对项目鲁棒调度问题,提出了Max-PRUA资源分配启发式算法,以期通过生成鲁棒性高的资源分配方案来提高调度计划的鲁棒性。本算法设计了最大化利用优先关系和不可避免弧传递资源的资源分配两项策略来传递最大资源量,以减少由额外约束传递的资源量,降低对项目调度鲁棒性的影响。为寻优最优资源分配方案,配合局部搜索算法,本算法构建了动态活动组GRA,通过对组内活动顺序重排以生成多种资源分配方案,以利于从解空间中寻优出最佳的鲁棒性方案。最后通过大量的仿真实验验证和与其它算法进行比较,结果表明本算法对于不同规模和不同因素影响的项目均有较好的适应性,生成的资源分配方案对调度计划鲁棒性影响较小,是一种有效的算法。     

突发事件应急救援动态调度优化:以KX井喷事故为例

突发事件应急救援具有高度的不确定性和动态性。本文以KX井喷事故为例,研究突发事件应急救援的动态调度优化问题。作者首先给出KX井喷事故的背景资料,在此基础上提炼本文所研究的问题,即如何基于突发事件救援过程中的实际变化,对原定计划进行最优的动态调整。随后,构建突发事件应急救援的动态调度优化模型,针对其NP-hard属性设计专门的禁忌搜索启发式算法。最后,对KX井喷事故应急救援的动态调度问题进行求解,并结合现实情况对求解结果进行讨论分析,得到如下结论:早期发生的计划调整通常会对应急救援产生较大的影响,而后期发生的计划调整的影响则相对较小。本文的研究可为突发事件应急救援的实时指挥提供定量化决策支持。     

置换流水车间调度问题的中心引力优化算法求解

目前求解置换流水车间调度问题的智能优化算法都是随机型优化方法,存在的一个问题是解的稳定性较差。针对该问题,本文给出一种确定型智能优化算法——中心引力优化算法的求解方法。为处理基本中心引力优化算法对初始解选择要求高的问题,利用低偏差序列生成初始解,提高初始解质量;利用加速度和位置迭代方程更新解的状态;利用两位置交换排序法进行局部搜索,提高算法的优化性能。采用置换流水车间调度问题标准测试算例进行数值实验,并和基本中心引力优化算法、NEH启发式算法、微粒群优化算法和萤火虫算法进行比较。结果表明该算法不仅具有更好的解的稳定性,而且具有更高的计算精度,为置换流水车间调度问题的求解提供了一种可行有效的方法。     

Lipschitz continuous dynamic programming with discount II

We construct an alternative theoretical framework for stochastic dynamic programming which allows us to replace concavity assumptions with more flexible Lipschitz continuous assumptions. This framework allows us to prove that the value function of stochastic dynamic programming problems with discount is Lipschitz continuous in the presence of nonconcavities in the data of the problem. Our method allows us to treat problems with noninterior optimal paths. We also describe a discretization algorithm for the numerical computation of the value function, and we obtain the rate of convergence of this algorithm.     

Single machine stochastic JIT scheduling problem subject to machine breakdowns

In this paper we research the single machine stochastic JIT scheduling problem subject to the machine breakdowns for preemptive-resume and preemptive-repeat.The objective function of the problem is the sum of squared deviations of the job-expected completion times from the due date.For preemptive-resume,we show that the optimal sequence of the SSDE problem is V-shaped with respect to expected processing times.And a dynamic programming algorithm with the pseudopolynomial time complexity is given.We discuss the difference between the SSDE problem and the ESSD problem and show that the optimal solution of the SSDE problem is a good approximate optimal solution of the ESSD problem,and the optimal solution of the SSDE problem is an optimal solution of the ESSD problem under some conditions.For preemptive-repeat,the stochastic JIT scheduling problem has not been solved since the variances of the completion times cannot be computed.We replace the ESSD problem by the SSDE problem.We show that the optimal sequence of the SSDE problem is V-shaped with respect to the expected occupying times.And a dynamic programming algorithm with the pseudopolynomial time complexity is given.A new thought is advanced for the research of the preemptive-repeat stochastic JIT scheduling problem.     

Stochastic single machine scheduling subject to machines breakdowns with quadratic early-tardy penalties for the preemptive-repeat model

In this paper we research the problem in which the objective is to minimize the sum of squared deviations of job expected completion times from the due date, and the job processing times are stochastic. In the problem the machine is subject to stochastic breakdowns and all jobs are preempt-repeat. In order to show that the replacing ESSD by SSDE is reasonable, we discuss difference between ESSD function and SSDE function. We first give an express of the expected completion times for both cases without resampling and with resampling. Then we show that the optimal sequence of the problem V-shaped with respect to expected occupying time. A dynamic programming algorithm based on the V-shape property of the optimal sequence is suggested. The time complexity of the algorithm is pseudopolynomial.     

Optimization models and a GA-based algorithm for stochastic time-cost trade-off problem

In real-life projects, both the trade-off between the project cost and the project completion time, and the uncertainty of the environment are considerable aspects for decision-makers. However, the research on the time-cost trade-off problem seldom concerns stochastic environments. Besides, optimizing the expected value of the objective is the exclusive decision-making criterion in the existing models for the stochastic time-cost trade-off problem. In this paper, two newly developed alternative stochastic time-cost trade-off models are proposed, in which the philosophies of chance-constrained programming and dependent-chance programming are adopted for decision-making. In addition, a hybrid intelligent algorithm integrating stochastic simulations and genetic algorithm is designed to search the quasi-optimal schedules under different decision-making criteria. The goal of the paper is to reveal how to obtain the optimal balance of the project completion time and the project cost in stochastic environments.     

Opticon: An algorithm for the optimal control of nonlinear stochastic models

In this paper we describe the algorithm OPTCON which has been developed for the optimal control of nonlinear stochastic models. It can be applied to obtain approximate numerical solutions of control problems where the objective function is quadratic and the dynamic system is nonlinear. In addition to the usual additive uncertainty, some or all of the parameters of the model may be stochastic variables. The optimal values of the control variables are computed in an iterative fashion: First, the time-invariant nonlinear system is linearized around a reference path and approximated by a time-varying linear system. Second, this new problem is solved by applying Bellman's principle of optimality. The resulting feedback equations are used to project expected optimal state and control variables. These projections then serve as a new reference path, and the two steps are repeated until convergence is reached. The algorithm has been implemented in the statistical programming system GAUSS. We derive some mathematical results needed for the algorithm and give an overview of the structure of OPTCON. Moreover, we report on some tentative applications of OPTCON to two small macroeconometric models for Austria.     

Optimal liquidation under partial information with price impact

We study the optimal liquidation problem in a market model where the bid price follows a geometric pure jump process whose local characteristics are driven by an unobservable finite-state Markov chain and by the liquidation rate. This model is consistent with stylized facts of high frequency data such as the discrete nature of tick data and the clustering in the order flow. We include both temporary and permanent effects into our analysis. We use stochastic filtering to reduce the optimal liquidation problem to an equivalent optimization problem under complete information. This leads to a stochastic control problem for piecewise deterministic Markov processes (PDMPs). We carry out a detailed mathematical analysis of this problem. In particular, we derive the optimality equation for the value function, we characterize the value function as continuous viscosity solution of the associated dynamic programming equation, and we prove a novel comparison result. The paper concludes with numerical results illustrating the impact of partial information and price impact on the value function and on the optimal liquidation rate.     

An Optimization Model for Stochastic Project Networks with Cash Flows

Project networks – or PERT networks – can be characterized by random completion times of activities and positive or negative cash flows throughout the project. In these cases the decision maker’s problem consists of determining a feasible activities schedule, to maximize the project financial value, where the financial value is measured by the net present value (npv) of cash flows.The analysis of these networks is a difficult computational task for the following reason. First, suppose that a schedule is fixed using a heuristic rule. Then the expected npv is calculated. But, due to stochastic job completion times, this problem belongs to the ♯-P complete difficulty class, e.g. problems that involve finding all the Hamiltonian cycles in a network. The problem is such that evaluating one project alone is not sufficient, but the optimal one has to be selected. This involves a further increase in computational time.This paper proposes a stochastic optimization model to determine a heuristic scheduling rule, that provides an approximate solution to finding the optimal project npv. A feature of this approach is that the scheduling rule is completely deterministic and defined when the project begins. Therefore an upper bound of the expected npv, that is an optimistic estimate, can be calculated through linear programming and a lower bound, that is a pessimistic estimate, can be calculated using simulation before the project begins.     

Optimal Timing to Initiate Medical Treatment for a Disease Evolving as a Semi-Markov Process

In this paper, we consider the problem of the optimal timing to initiate a medical treatment. In the absence of treatment, we model the disease evolution as a semi-Markov process. The optimal time to initiate the treatment is a stopping time, which maximizes the total expected reward for the patient. We propose a stochastic dynamic programming formulation to find this stopping time. Under some plausible conditions, we show that the maximum total expected reward at the start of a health state will be smaller when the patient is in a more severe state. We then prove that the optimal policy for initializing the treatment is determined by a time threshold for each given health state. That is, in each health state, the treatment should be planned to start, when the patient’s duration time in the health state reaches (or exceeds, in the case of a late observation of the patient’s health status) a certain threshold level. We also present numerical examples to illustrate our model and to provide managerial insights.     

Book review of Orthogonal Systems and Convolution Operators,Operator Theory: Advances and Applications,Robert L. Ellis and Israel Gohberg,Birkhäuser Verlag,Basel-Boston-Berlin 2003, Volume 140. ISBN 3-7643-6929-9.

In this note we investigate a time-discrete stochastic dynamic programming problem with countable state and action spaces. We introduce an approximation procedure for a numerical solution by decomposition of the state and also of the action space. The minimal value functions and the optimal policies of the Markovian Decision .Processes constructed by clustering of both spaces are calculated by dynamic programming. Bounds for the minimal value functions will be obtained and convergence theorems are proved.     

Dynamic bidding strategies in search-based advertising

Search-based advertising allows the advertisers to run special campaigns targeted to different groups of potential consumers at low costs. Google, Yahoo and Microsoft advertising programs allow the advertisers to bid for an ad position on the result page of a user’s query when the user searches for a keyword that the advertiser relates to its products or services. The expected revenue generated by the ad depends on the ad position, and the ad positions of the advertisers are concurrently determined after an instantaneous auction based on the bids of the advertisers. The advertisers are charged only when their ads are clicked by the users. To avoid excessive ad expenditures due to sudden surges in the keyword-search activities, each advertiser reserves a fixed finite daily budget, and the ads are not shown in the remainder of the day when the budget is depleted. Arrival times of keyword-search instances, ad positions, ad selections, and sales generated by the ads are random. Therefore, an advertiser faces a dynamic stochastic total net revenue optimization problem subject to a strict budget constraint. Here we formulate and solve this problem using dynamic programming. We show that there is always an optimal dynamic bidding policy. We describe an iterative numerical approximation algorithm that uniformly converges to the optimal solution at an exponential rate of the number of iterations. We illustrate the algorithm on numerical examples. Because dynamic programing calculations of the optimal bidding policies are computationally demanding, we also propose both static and dynamic alternative bidding policies. We numerically compare the performances of optimal and alternative bidding policies by systematically changing each input parameter. The relative percentage total net revenue losses of the alternative bidding policies increases with the budget loading, but were never more than 3.5 % of maximum expected total net revenue. The best alternative to the optimal bidding policy turned out to be a static greedy bidding policy. Finally, statistical estimation of the model parameters is visited.