A multiobjective metaheuristic for a mean-risk multistage capacity investment problem

Authors:
João Claro;Jorge Pinho Sousa
Affiliations:
Faculdade de Engenharia da Universidade do Porto, INESC Porto--Instituto de Engenharia de Sistemas e Computadores do Porto, Porto, Portugal 4200-465;Faculdade de Engenharia da Universidade do Porto, INESC Porto--Instituto de Engenharia de Sistemas e Computadores do Porto, Porto, Portugal 4200-465
Venue:
Journal of Heuristics
Year:
2010

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Abstract

We propose a multiobjective local search metaheuristic for a mean-risk multistage capacity investment problem with irreversibility, lumpiness and economies of scale in capacity costs. Conditional value-at-risk is considered as a risk measure. Results of a computational study are presented and indicate that the approach is capable of producing high-quality approximations to the efficient sets with a modest computational effort. The best results are achieved with a new hybrid approach, combining Tabu Search and Variable Neighbourhood Search.