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Chance-constrained stochastic programming under variable reliability levels with an application to humanitarian relief network design

Elçi, Özgün and Noyan, Nilay and Bülbül, Kerem (2018) Chance-constrained stochastic programming under variable reliability levels with an application to humanitarian relief network design. Computers and Operations Research, 96 . pp. 91-107. ISSN 0305-0548 (Print) 1873-765X (Online)

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Official URL: http://dx.doi.org/10.1016/j.cor.2018.03.011

Abstract

We focus on optimization models involving individual chance constraints, in which only the right-hand side vector is random with a finite distribution. A recently introduced class of such models treats the reliability levels / risk tolerances associated with the chance constraints as decision variables and trades off the actual cost / return against the cost of the selected reliability levels in the objective function. Leveraging recent methodological advances for modeling and solving chance-constrained linear programs with fixed reliability levels, we develop strong mixed-integer programming formulations for this new variant with variable reliability levels. In addition, we introduce an alternate cost function type associated with the risk tolerances which requires capturing the value-at-risk (VaR) associated with a variable reliability level. We accomplish this task via a new integer linear programming representation of VaR. Our computational study illustrates the effectiveness of our mathematical programming formulations. We also apply the proposed modeling approach to a new stochastic last mile relief network design problem and provide numerical results for a case study based on the real-world data from the 2011 Van earthquake in Turkey.

Item Type:Article
Uncontrolled Keywords:stochastic programming; risk-averse; probabilistic constraints; chance constraints; variable reliability; Bonferroni approximation; value-at-risk; network design; post-disaster; humanitarian logistics; accessibility; equity
Subjects:T Technology > T Technology (General) > T055.4-60.8 Industrial engineering. Management engineering
T Technology > T Technology (General) > T055.4-60.8 Industrial engineering. Management engineering > T57.6-57.97 Operations research. Systems analysis
ID Code:34948
Deposited By:Kerem Bülbül
Deposited On:16 Aug 2018 16:03
Last Modified:16 Aug 2018 16:03

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