Minimizing value-at-risk in single machine scheduling problems
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Atakan, Semih (2012) Minimizing value-at-risk in single machine scheduling problems. [Thesis]
Official URL: http://risc01.sabanciuniv.edu/record=b1493732 (Table of Contents)
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 thesis, we consider singlemachine scheduling problems in the presence of uncertain problem parameters. We impose a probabilistic constraint on the random performance measure of interest (such as the total completion time, total weighted completion time, and total weighted tardiness), and introduce a generic 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) of the random performance measure at a specified confidence level. In this study, we propose a Lagrangian relaxation based decomposition strategy to obtain tight lower and upper bounds for the optimal VaR. In order to solve the Lagrangian dual problem we provide a stabilized cut-generation algorithm. We also present an extensive computational study on three selected performance measures to demonstrate the effectiveness of our solution methods and the value of the proposed model.
|Uncontrolled Keywords:||Single-machine scheduling. -- Stochastic processing times. -- Stochastic scheduling. -- Value-at-risk. -- Probabilistic constraint. -- Stochastic programming. -- Scenario decomposition. -- Cut-generation. -- Dual stabilization. -- Scheduling. -- Uncertain data. -- Decomposition. -- Parallel processing. -- Stochastic modelling. -- Parallel programming. -- Tek makinalı çizelgeleme. -- Rassal işleme süreleri. -- Rassal çizelgeleme. -- Riske maruz değer. -- Olasılıksal kısıt. -- Rassal programlama. -- Senaryo ayrışımı. -- Kesi yaratma. -- Eşlenik sabitleştirme. -- Paralel programlama. -- Çizelgeleme. -- Belirsiz veriler. -- Stokastik modelleme. -- Ayrıştırma. -- Paralel işlem.|
|Subjects:||T Technology > T Technology (General) > T055.4-60.8 Industrial engineering. Management engineering |
|Deposited On:||08 Mar 2016 15:18|
|Last Modified:||25 Mar 2019 17:13|
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