IDEAS home Printed from https://ideas.repec.org/a/inm/ormnsc/v61y2015i3p586-603.html
   My bibliography  Save this article

Prioritization via Stochastic Optimization

Author

Listed:
  • Ali Koç

    (Business Analytics and Mathematical Sciences Department, IBM Thomas J. Watson Research Center, Yorktown Heights, New York 10598)

  • David P. Morton

    (Graduate Program in Operations Research and Industrial Engineering, The University of Texas at Austin, Austin, Texas 78712)

Abstract

We take a novel approach to decision problems involving binary activity-selection decisions competing for scarce resources. The literature approaches such problems by forming an optimal portfolio of activities. However, often practitioners instead form a rank-ordered list of activities and select those with the highest priority. We account for both viewpoints. We rank activities considering both the uncertainty in the problem parameters and the optimal portfolio that will be obtained once the uncertainty is revealed. We use stochastic integer programming as a modeling framework, and we apply our approach to a facility location problem and a multidimensional knapsack problem. We develop two sets of cutting planes to improve computation.Data, as supplemental material, are available at http://dx.doi.org/10.1287/mnsc.2013.1865 . This paper was accepted by Dimitris Bertsimas, optimization.

Suggested Citation

  • Ali Koç & David P. Morton, 2015. "Prioritization via Stochastic Optimization," Management Science, INFORMS, vol. 61(3), pages 586-603, March.
    • Handle: RePEc:inm:ormnsc:v:61:y:2015:i:3:p:586-603
    DOI: 10.1287/mnsc.2013.1865
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1287/mnsc.2013.1865
    Download Restriction: no
    File URL: https://libkey.io/10.1287/mnsc.2013.1865?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. J. M. W. Rhys, 1970. "A Selection Problem of Shared Fixed Costs and Network Flows," Management Science, INFORMS, vol. 17(3), pages 200-207, November.
    2. Gerald Brown & Matthew Carlyle & Javier Salmerón & Kevin Wood, 2006. "Defending Critical Infrastructure," Interfaces, INFORMS, vol. 36(6), pages 530-544, December.
    3. Fisher, M.L. & Nemhauser, G.L. & Wolsey, L.A., 1978. "An analysis of approximations for maximizing submodular set functions," LIDAM Reprints CORE 341, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    4. C. N. Potts, 1985. "A Lagrangean Based Branch and Bound Algorithm for Single Machine Sequencing with Precedence Constraints to Minimize Total Weighted Completion Time," Management Science, INFORMS, vol. 31(10), pages 1300-1311, October.
    5. Fisher, M.L. & Nemhauser, G.L. & Wolsey, L.A., 1978. "An analysis of approximations for maximizing submodular set functions - 1," LIDAM Reprints CORE 334, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    6. Hochbaum, Dorit S., 2009. "Dynamic evolution of economically preferred facilities," European Journal of Operational Research, Elsevier, vol. 193(3), pages 649-659, March.
    7. Guglielmo Lulli & Suvrajeet Sen, 2004. "A Branch-and-Price Algorithm for Multistage Stochastic Integer Programming with Application to Stochastic Batch-Sizing Problems," Management Science, INFORMS, vol. 50(6), pages 786-796, June.
    8. Brian C. Dean & Michel X. Goemans & Jan Vondrák, 2008. "Approximating the Stochastic Knapsack Problem: The Benefit of Adaptivity," Mathematics of Operations Research, INFORMS, vol. 33(4), pages 945-964, November.
    9. Onur Şeref & Ravindra K. Ahuja & James B. Orlin, 2009. "Incremental Network Optimization: Theory and Algorithms," Operations Research, INFORMS, vol. 57(3), pages 586-594, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hans Kellerer & Vitaly A. Strusevich, 2016. "Optimizing the half-product and related quadratic Boolean functions: approximation and scheduling applications," Annals of Operations Research, Springer, vol. 240(1), pages 39-94, May.
    2. Kübra Tanınmış & Markus Sinnl, 2022. "A Branch-and-Cut Algorithm for Submodular Interdiction Games," INFORMS Journal on Computing, INFORMS, vol. 34(5), pages 2634-2657, September.
    3. Eli Towle & James Luedtke, 2018. "New solution approaches for the maximum-reliability stochastic network interdiction problem," Computational Management Science, Springer, vol. 15(3), pages 455-477, October.
    4. Arash Asadpour & Hamid Nazerzadeh, 2016. "Maximizing Stochastic Monotone Submodular Functions," Management Science, INFORMS, vol. 62(8), pages 2374-2391, August.
    5. Marek Adamczyk & Maxim Sviridenko & Justin Ward, 2016. "Submodular Stochastic Probing on Matroids," Mathematics of Operations Research, INFORMS, vol. 41(3), pages 1022-1038, August.
    6. Dam, Tien Thanh & Ta, Thuy Anh & Mai, Tien, 2022. "Submodularity and local search approaches for maximum capture problems under generalized extreme value models," European Journal of Operational Research, Elsevier, vol. 300(3), pages 953-965.
    7. Beck, Yasmine & Ljubić, Ivana & Schmidt, Martin, 2023. "A survey on bilevel optimization under uncertainty," European Journal of Operational Research, Elsevier, vol. 311(2), pages 401-426.
    8. Guanyi Wang, 2024. "Robust Network Targeting with Multiple Nash Equilibria," Papers 2410.20860, arXiv.org, revised Nov 2024.
    9. Jiaming Hu & Dachuan Xu & Donglei Du & Cuixia Miao, 2024. "Differentially private submodular maximization with a cardinality constraint over the integer lattice," Journal of Combinatorial Optimization, Springer, vol. 47(4), pages 1-24, May.
    10. Rad Niazadeh & Negin Golrezaei & Joshua Wang & Fransisca Susan & Ashwinkumar Badanidiyuru, 2023. "Online Learning via Offline Greedy Algorithms: Applications in Market Design and Optimization," Management Science, INFORMS, vol. 69(7), pages 3797-3817, July.
    11. Alexandre D. Jesus & Luís Paquete & Arnaud Liefooghe, 2021. "A model of anytime algorithm performance for bi-objective optimization," Journal of Global Optimization, Springer, vol. 79(2), pages 329-350, February.
    12. Bin Liu & Miaomiao Hu, 2022. "Fast algorithms for maximizing monotone nonsubmodular functions," Journal of Combinatorial Optimization, Springer, vol. 43(5), pages 1655-1670, July.
    13. repec:dgr:rugsom:99a17 is not listed on IDEAS
    14. Lehmann, Daniel, 2020. "Quality of local equilibria in discrete exchange economies," Journal of Mathematical Economics, Elsevier, vol. 88(C), pages 141-152.
    15. Chaya Losada & M. Scaparra & Richard Church & Mark Daskin, 2012. "The stochastic interdiction median problem with disruption intensity levels," Annals of Operations Research, Springer, vol. 201(1), pages 345-365, December.
    16. Michael Kahr & Markus Leitner & Ivana Ljubić, 2024. "The Impact of Passive Social Media Viewers in Influence Maximization," INFORMS Journal on Computing, INFORMS, vol. 36(6), pages 1362-1381, December.
    17. Eric DuBois & Ashley Peper & Laura A. Albert, 2023. "Interdicting Attack Plans with Boundedly Rational Players and Multiple Attackers: An Adversarial Risk Analysis Approach," Decision Analysis, INFORMS, vol. 20(3), pages 202-219, September.
    18. Shengminjie Chen & Donglei Du & Wenguo Yang & Suixiang Gao, 2024. "Maximizing stochastic set function under a matroid constraint from decomposition," Journal of Combinatorial Optimization, Springer, vol. 48(1), pages 1-21, August.
    19. Zhenning Zhang & Bin Liu & Yishui Wang & Dachuan Xu & Dongmei Zhang, 2022. "Maximizing a monotone non-submodular function under a knapsack constraint," Journal of Combinatorial Optimization, Springer, vol. 43(5), pages 1125-1148, July.
    20. Yifan Xiong & Youze Lang & Ziyan Li, 2024. "Cost intervention in delinquent networks," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 62(2), pages 321-344, March.
    21. Zhenning Zhang & Donglei Du & Yanjun Jiang & Chenchen Wu, 2021. "Maximizing DR-submodular+supermodular functions on the integer lattice subject to a cardinality constraint," Journal of Global Optimization, Springer, vol. 80(3), pages 595-616, July.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:inm:ormnsc:v:61:y:2015:i:3:p:586-603. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.