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Risk Averse Scheduling with Scenarios

In: Operations Research Proceedings 2017

Author

Listed:
  • Mikita Hradovich

    (Wrocław University of Science and Technology)

  • Adam Kasperski

    (Wrocław University of Science and Technology)

  • Paweł Zieliński

    (Wrocław University of Science and Technology)

Abstract

This paper deals with a class of scheduling problems with uncertain job processing times and due dates. The uncertainty is specified in the form of discrete scenario set. A probability distribution in the scenario set is known. Thus the cost of a given schedule is then a discrete random variable with known probability distribution. In order to compute a solution the popular risk criteria, such as the value at risk and the conditional value at risk, are applied. These criteria allow us to establish a link between the very conservative maximum criterion, typically used in robust optimization, and the expectation, commonly used in the stochastic approach. Using them we can take a degree of risk aversion of decision maker into account. In this paper, basic single machine scheduling problems with the risk criteria for choosing a solution are considered. Various positive complexity results are provided for them.

Suggested Citation

  • Mikita Hradovich & Adam Kasperski & Paweł Zieliński, 2018. "Risk Averse Scheduling with Scenarios," Operations Research Proceedings, in: Natalia Kliewer & Jan Fabian Ehmke & Ralf Borndörfer (ed.), Operations Research Proceedings 2017, pages 435-441, Springer.
    • Handle: RePEc:spr:oprchp:978-3-319-89920-6_58
    DOI: 10.1007/978-3-319-89920-6_58
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