| Titre : | A scenario generation-based lower bounding approach for stochastic scheduling problems (2012) |
| Auteurs : | L. Liao, Auteur ; S. C. Sarin, Auteur ; Sherali, H. D., Auteur |
| Type de document : | Article : texte imprimé |
| Dans : | Journal of the operational research society (JORS) (Vol. 63 N° 10, Octobre 2012) |
| Article en page(s) : | pp. 1410–1420 |
| Langues : | Anglais |
| Index. décimale : | 001.424 |
| Tags : | scheduling ; stochastic programming ; scenario generation ; discrete bounding ; total weighted tardiness |
| Résumé : | In this paper, we investigate scenario generation methods to establish lower bounds on the optimal objective value for stochastic scheduling problems that contain random parameters with continuous distributions. In contrast to the Sample Average Approximation (SAA) approach, which yields probabilistic bound values, we use an alternative bounding method that relies on the ideas of discrete bounding and recursive stratified sampling. Theoretical support is provided for deriving exact lower bounds for both expectation and conditional value-at-risk objectives. We illustrate the use of our method on the single machine total weighted tardiness problem. The results of our numerical investigation demonstrate good properties of our bounding method, compared with the SAA method and an earlier discrete bounding method. |
| DEWEY : | 001.424 |
| ISSN : | 0160-5682 |
| En ligne : | http://www.palgrave-journals.com/jors/journal/v63/n10/abs/jors2011150a.html |
