Computational risk management techniques for fixed charge network flow problems with uncertain arc failures

Authors:
Alexey Sorokin;Vladimir Boginski;Artyom Nahapetyan;Panos M. Pardalos
Affiliations:
Department of Industrial and Systems Engineering, University of Florida, Gainesville, USA 32611;Department of Industrial and Systems Engineering and Research and Engineering Education Facility (UF-REEF), University of Florida, Gainesville, USA 32611;Waste Management, Houston, USA 77002;Department of Industrial and Systems Engineering, University of Florida, Gainesville, USA 32611
Venue:
Journal of Combinatorial Optimization
Year:
2013

Citing 8
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Abstract

We consider a formulation for the fixed charge network flow (FCNF) problem subject to multiple uncertain arc failures, which aims to provide a robust optimal flow assignment in the sense of restricting potential losses using Conditional Value-at-Risk (CVaR). We show that a heuristic algorithm referred to as Adaptive Dynamic Cost Updating Procedure (ADCUP) previously developed for the deterministic FCNF problem can be extended to the considered problem under uncertainty and produce high-quality heuristic solutions for large problem instances. The reported computational experiments demonstrate that the described procedure can successfully tackle both the uncertainty considerations and the large size of the networks. High-quality heuristic solutions for problem instances with up to approximately 200,000 arcs have been identified in a reasonable time.