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Minimizing value-at-risk in the single-machine total weighted tardiness problem

Atakan, Semih and Tezel, Birce and Bülbül, Kerem and Noyan, Nilay (2011) Minimizing value-at-risk in the single-machine total weighted tardiness problem. In: 5th Multidisciplinary International Conference on Scheduling: Theory and Applications (MISTA 2011), Phoenix, Arizona, USA

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Official URL: http://www.schedulingconference.org/previous/publications/displaypub.php?key=2011-215-229-P&filename=mista.bib

Abstract

The vast majority of the machine scheduling literature focuses on deterministic problems, in which all data is known with certainty a priori. This may be a reasonable assumption when the variability in the problem parameters is low. However, as variability in the parameters increases incorporating this uncertainty explicitly into a scheduling model is essential to mitigate the resulting adverse effects. In this paper, we consider the celebrated single-machine total weighted tardiness (TWT) problem in the presence of uncertain problem parameters. We impose a probabilistic constraint on the random TWT and introduce a risk-averse stochastic programming model. In particular, the objective of the proposed model is to find a non-preemptive static job processing sequence that minimizes the value-at-risk (VaR) measure on the random TWT at a specified confidence level. Furthermore, we develop a lower bound on the optimal VaR that may also benefit alternate solution approaches in the future. In this study, we implement a tabu-search heuristic to obtain reasonably good feasible solutions and present results to demonstrate the effect of the risk parameter and the value of the proposed model with respect to a corresponding risk-neutral approach.

Item Type:Papers in Conference Proceedings
Uncontrolled Keywords:single-machine; weighted tardiness; stochastic processing times; stochastic scheduling; value-at-risk; probabilistic constraint; stochastic programming
Subjects:T Technology > T Technology (General) > T055.4-60.8 Industrial engineering. Management engineering > T57.6-57.97 Operations research. Systems analysis
ID Code:19370
Deposited By:Nilay Noyan
Deposited On:16 Oct 2012 12:40
Last Modified:16 Oct 2012 12:40

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