Lectures on Stochastic Programming-Model
这是一本关于随机规划比较全面的书!比较难,不太容易啃,但是读了之后收获很大。这是高清版的!To Julia, Benjamin, Daniel, Nalan, and Yael;to Tsonka Konstatin and Marekand to the memory of feliks, Maria, and dentcho2009/8/20pagContentsList of notationserace1 Stochastic Programming ModelsIntroduction1.2 Invento1.2.1The news vendor problem1.2.2Constraints12.3Multistage modelsMultiproduct assembl1.3.1Two-Stage Model1.3.2Chance Constrained ModeMultistage modelPortfolio selection131.4.1Static model14.2Multistage Portfolio selection14.3Decision rule211.5 Supply Chain Network Design22Exercises2 Two-Stage Problems272.1 Linear Two-Stage Problems2.1.1Basic pi272.1.2The Expected Recourse Cost for Discrete Distributions 302.1.3The Expected Recourse Cost for General Distributions.. 322.1.4Optimality Conditions垂Polyhedral Two-Stage Problems422.2.1General Properties422.2.2Expected recourse CostOptimality conditions2.3 General Two-Stage Problems82.3.1Problem Formulation, Interchangeability482.3.2Convex Two-Stage Problems2.4 Nonanticipativity2009/8/20page villContents2.4.1Scenario formulation2.4.2Dualization of Nonanticipativity Constraints2.4.3Nonanticipativity duality for general Distributions2.4.4Value of perfect infExercises3 Multistage problems3. 1 Problem Formulation633.1.1The general setting3.1The Linear case653.1.3Scenario trees3.1.4Algebraic Formulation of nonanticipativity constraints 7lDuality....763.2.1Convex multistage problems·763.2.2Optimality Conditions3.2.3Dualization of Feasibility Constraints3.2.4Dualization of nonanticipativity ConstraintsExercises4 Optimization models with Probabilistic Constraints874.1 Introduction874.2 Convexity in Probabilistic Optimization4.2Generalized Concavity of Functions and measures4.2.2Convexity of probabilistically constrained sets1064.2.3Connectedness of Probabilistically Constrained Sets... 113Separable probabilistic Constraints.1144.3Continuity and Differentiability Properties ofDistribution functions4.3.2p-Efficient Points.1154.3.3Optimality Conditions and Duality Theory1224 Optimization Problems with Nonseparable Probabilistic Constraints.. 1324.4Differentiability of Probability Functions and OptimalityConditions13344.2Approximations of Nonseparable ProbabilisticConstraints134.5 Semi-infinite Probabilistic Problems144E1505 Statistical Inference155Statistical Properties of Sample Average Approximation Estimators.. 1555.1.1Consistency of SAA estimators1575.1.2Asymptotics of the saa Optimal value1635.1.3Second order asStochastic Programs5.2 Stoch1745.2.1Consistency of solutions of the SAA GeneralizedEquatio1752009/8/20pContents5.2.2Atotics of saa generalized equations estimators 1775.3 Monte Carlo Sampling Methods180Exponential Rates of Convergence and Sample sizeEstimates in the Case of a finite Feasible se1815.3.2Sample size estimates in the General Case1855.3.3Finite Exponential Convergence1915.4 Quasi-Monte Carlo Methods1935.Variance-Reduction Techniques198Latin hmpling1985.5.2Linear Control random variables method200ng and likelihood ratio methods 205.6 Validation analysis5.6.1Estimation of the optimality g2025.6.2Statistical Testing of Optimality Conditions2075.7Constrained Probler5.7.1Monte Carlo Sampling Approach2105.7.2Validation of an Optimal solution5.8 SAA Method Applied to Multistage Stochastic Programmin205.8.1Statistical Properties of Multistage SAA Estimators22l5.8.2Complexity estimates of Multistage Programs2265.9 Stochastic Approximation Method2305.9Classical Approach5.9.2Robust sA approach..23359.3Mirror Descent sa method235.9.4Accuracy Certificates for Mirror Descent Sa Solutions.. 244Exercis6 Risk Averse Optimi2536.1 Introductio6.2 Mean-Risk models.2546.2.1Main ideas of mean -Risk analysis546.2.2Semideviation6.2.3Weighted Mean Deviations from Quantiles.2566.2.4Average value-at-Risk2576.3 Coherent risk measures2616.3.1Differentiability Properties of Risk Measures2656.3.2Examples of risk Measures..2696.3.3Law invariant risk measures and Stochastic orders2796.3.4Relation to Ambiguous Chance Constraints2856.4 Optimization of risk measures.2886.4.1Dualization of Nonanticipativity Constraints2916.4.2Examples...2956.5 Statistical Properties of Risk measures6.5.IAverage value-at-Ris6.52Absolute semideviation risk measure301Von mises statistical functionals3046.6The problem of moments306中2009/8/20page xContents6.7 Multistage Risk Averse Optimization3086.7.1Scenario tree formulation3086.7.2Conditional risk mappings3156.7.3Risk Averse multistage Stochastic Programming318Exercises3287 Background material3337.1 Optimization and Convex Analysis..334Directional Differentiability3347.1.2Elements of Convex Analysis3367.1.3Optimization and duality3397.1.4Optimality Conditions.............3467.1.5Perturbation analysis3517.1.6Epiconvergence3572 Probability3597.2.1Probability spaces and random variables7.2.2Conditional Probability and Conditional Expectation... 36372.3Measurable multifunctions and random functions3657.2.4Expectation Functions.3687.2.5Uniform Laws of Large Numbers...,,3747.2.6Law of Large Numbers for Random Sets andSubdifferentials3797.2.7Delta method7.2.8Exponential Bounds of the Large Deviations Theory3877.2.9Uniform Exponential Bounds7.3 Elements of Functional analysis3997.3Conjugate duality and differentiability.......... 4017.3.2Lattice structure4034058 Bibliographical remarks407Biibliography415Index4312009/8/20pageList of Notationsequal by definition, 333IR", n-dimensional space, 333A, transpose of matrix(vector)A, 3336I, domain of the conjugate of risk mea-C(X) space of continuous functions, 165sure p, 262CK, polar of cone C, 337Cn, the space of nonempty compact sub-C(v,R"), space of continuously differ-sets of r 379entiable mappings,176set of probability density functions,I Fr influence function. 3042L, orthogonal of (linear) space L, 41Sz, set of contact points, 3990(1), generic constant, 188b(k; a, N), cdf of binomial distribution,Op(), term, 382214S, the set of &-optimal solutions of theo, distance generating function, 236true problem, 18g(x), right-hand-side derivative, 297Va(a), Lebesgue measure of set A C RdCl(A), topological closure of set A, 334195conv(C), convex hull of set C, 337W,(U), space of Lipschitz continuousCorr(X, Y), correlation of X and Y 200functions. 166. 353CoV(X, Y, covariance of X and y, 180[a]+=max{a,0},2ga, weighted mean deviation, 256IA(, indicator function of set A, 334Sc(, support function of set C, 337n(n.f. p). space. 399A(x), set ofdist(x, A), distance from point x to set Ae multipliers vectors334348dom f, domain of function f, 333N(μ,∑), nonmal distribution,16Nc, normal cone to set C, 337dom 9, domain of multifunction 9, 365IR, set of extended real numbers. 333o(z), cdf of standard normal distribution,epif, epigraph of function f, 333IIx, metric projection onto set X, 231epiconvergence, 377convergence in distribution, 163SN, the set of optimal solutions of the0(x,h)d order tangent set 348SAA problem. 156AVOR. Average value-at-Risk. 258Sa, the set of 8-optimal solutions of thef, set of probability measures, 306SAA problem. 181ID(A, B), deviation of set A from set Bn,N, optimal value of the Saa problem,334156IDIZ], dispersion measure of random vari-N(x), sample average function, 155able 7. 2541A(, characteristic function of set A, 334吧, expectation,361int(C), interior of set C, 336TH(A, B), Hausdorff distance between setsLa」, integer part of a∈R,219A and B. 334Isc f, lower semicontinuous hull of funcN, set of positive integers, 359tion f, 3332009/8/20pageList of notationsRc, radial cone to set C, 337C, tangent cone to set C, 337V-f(r), Hessian matrix of second orderpartial derivatives, 179a. subdifferential. 338a, Clarke generalized gradient, 336as, epsilon subdifferential, 380pos w, positive hull of matrix W, 29Pr(A), probability of event A, 360ri relative interior. 337upper semideviation, 255Le, lower semideviation, 255@R. Value-at-Risk. 25Var[X], variance of X, 149, optimal value of the true problem, 1565=(51,……,5), history of the process,{a,b},186r, conjugate of function/, 338f(x, d), generalized directional deriva-g(x, h), directional derivative, 334O,(, term, 382p-efficient point, 116lid, independently identically distributed,1562009/8/20page xlllPrefaceThe main topic of this book is optimization problems involving uncertain parametersfor which stochastic models are available. Although many ways have been proposed tomodel uncertain quantities stochastic models have proved their flexibility and usefulnessin diverse areas of science. This is mainly due to solid mathematical foundations andtheoretical richness of the theory of probabilitystochastic processes, and to soundstatistical techniques of using real dataOptimization problems involving stochastic models occur in almost all areas of scienceand engineering, from telecommunication and medicine to finance This stimulates interestin rigorous ways of formulating, analyzing, and solving such problems. Due to the presenceof random parameters in the model, the theory combines concepts of the optimization theory,the theory of probability and statistics, and functional analysis. Moreover, in recent years thetheory and methods of stochastic programming have undergone major advances. all thesefactors motivated us to present in an accessible and rigorous form contemporary models andideas of stochastic programming. We hope that the book will encourage other researchersto apply stochastic programming models and to undertake further studies of this fascinatinand rapidly developing areaWe do not try to provide a comprehensive presentation of all aspects of stochasticprogramming, but we rather concentrate on theoretical foundations and recent advances inselected areas. The book is organized into seven chapters The first chapter addresses modeling issues. The basic concepts, such as recourse actions, chance(probabilistic)constraintsand the nonanticipativity principle, are introduced in the context of specific models. Thediscussion is aimed at providing motivation for the theoretical developments in the book,rather than practical recommendationsChapters 2 and 3 present detailed development of the theory of two-stage and multistage stochastic programming problems. We analyze properties of the models and developoptimality conditions and duality theory in a rather general setting. Our analysis coversgeneral distributions of uncertain parameters and provides special results for discrete distributions, which are relevant for numerical methods. Due to specific properties of two- andmultistage stochastic programming problems, we were able to derive many of these resultswithout resorting to methods of functional analvsisThe basic assumption in the modeling and technical developments is that the proba-bility distribution of the random data is not influenced by our actions(decisions). In someapplications, this assumption could be unjustified. However, dependence of probability dis-tribution on decisions typically destroys the convex structure of the optimization problemsconsidered, and our analysis exploits convexity in a significant way
- 2020-12-09下载
- 积分:1
一种求解带时间窗车辆路径问题的混合差分进化算法
时间窗的车辆路径问题进行研究,建立以最小化车辆数量和行驶路程为目标的多目标数学模型,提出一种结合改进差分进化算法和变邻域下降搜索的基于Pareto支配的混合差分进化算法。首先重新定义了个体的生成方式。其次,结合双种群策略和变邻域下降搜索技术来平衡算法的全局探索能力和局部开发能力,并在搜索过程中用随机个体替代种群中的重复个体,维持种群的多样性。然后引入Pareto支配的概念来评价个体的优劣性,并采用擂台法则构造非支配解集其中,N是种群规模,gem为当前进化代数, gem为最大进化按照这种方法,直到所有的顾客都被服务。这种解码方法可代数。以使解码后的路径和解码前染色体中所对应的路径方案·在进化过程中,采用双种群机制,使算法既能从局部极值致,并且使用车辆的数量可以在解码过程中灵活动态地获得,的邻域跳转到全局最优解的邻域,又能在全局最优解的邻域从而实现对车辆数量的自动寻优。例如染色体串361857内进行精细搜索,在每代进化完后通过子种群重组实现信息294,经过路径解码为:路线1:0→3→-6→0;路线2:0→1→8交流和融合,平衡算法的全局探索能力和局部开发能力→57→0;路线3:0→2→9-4→0随着进化过程的进行,种群中的个体会趋于一致,因此在3.3.2初始种群生成每次执行完变异、交义、选择操作后,采用随机个体替换掉种产生初始种群时,为了保证种群的多样性,其中90%的群中的重复个体,维持种群的多样性,以增强种群的全局探索个体采用N个顾客节点随机排列的方式来产生,应用前向插能力,然后从种群中随机选取若干个个体进行变邻域下降搜启发式算法(PFH)来生成剩下10%的个体。索进一步提高算法的局部开发能力降低算法陷入局部最优3.3.3变异操作的风险。鉴于标准差分进化算法采用实数编码,不能直接应用于3.2算法步骤VRPW问题,由于采用了自然数编码,因此重新设计了变异基丁以上的算法思想描述,混合差分进化算法的具体步操作方式来产生变异个体。由标准DE算法可知,变异个体骤如下是由目标种群中随机选择的3个目标个体相互作用的结果步骤1设置算法的相关参数,生成算法的初始种群设记x=[x,x2,…,x]V=[1,2,进化代数gen=0;[uE,1,t2,…,n]分别为第G代目标种群变异种群和试验步骤2根据 Pareto支配思想对种群中的个体适应值进种群的第z个个体。行评价,利用擂台法则和拥挤距离机制将种群个体分层排序,(1)P1子种群采用“DE/best/1”变异策略,重新定义得到每个个体的非支配层等级和拥挤距离值;v=g(F⑧g(x,Y),X)步骤3按照个体的非支配层等级和拥挤距离,并根据式中,1r2是区间[1,n里互不相等的整数;X是当前目式(12)式(13将种群划分为两个不同大小的子群P1和P2标种群中最好的个体,在本文中从非支配层等级序号最小的步骤4P1子群执行DE/bes1变异策略,P2子群执行非支配层中随机选取;F为缩放因子,且F∈[0,门DE/rand/1变异策略,并根据3.3.4节执行交叉操作;式(14)由两部分组成,第一部分为步骤5将初始种群与子群P1、P2重组为一个混合种△=F⑧g(X°,Y)群g(班,X),rand()
- 2020-12-09下载
- 积分:1