On Solving Discrete Optimization Problems with Multiple Random Elements Under General Regret Functions

Pranab K. Mandal, Diptesh Ghosh, Shubhabrata Das

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    Abstract

    In this paper we attempt to find least risk solutions for stochastic discrete optimization problems (SDOP) with multiple random elements, where the feasibility of a solution does not depend on the particular values the random elements in the problem take. While the optimal solution, for a linear regret function, can be obtained by solving an auxiliary (non-stochastic) discrete optimization problem (DOP), the situation is complex under general regret. We characterize a finite number of solutions which will include the optimal solution. We establish through various examples that the results from Ghosh, Mandal and Das (2005) can be extended only partially for SDOPs with additional characteristics. We present a result where in selected cases, a complex SDOP may be decomposed into simpler ones facilitating the job of finding an optimal solution to the complex problem. We also propose numerical local search algorithms for obtaining an optimal solution.
    Original languageEnglish
    Place of PublicationEnschede
    PublisherUniversity of Twente, Department of Applied Mathematics
    Publication statusPublished - 2005

    Publication series

    NameMemorandum
    PublisherDepartment of Applied Mathematics, University of Twente
    No.1785
    ISSN (Print)0169-2690

    Keywords

    • IR-65969
    • METIS-227063
    • MSC-90C31
    • EWI-3605

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