IDEAS home Printed from https://ideas.repec.org/a/spr/joptap/v144y2010i3d10.1007_s10957-009-9640-2.html
   My bibliography  Save this article

On the Robustness of Global Optima and Stationary Solutions to Stochastic Mathematical Programs with Equilibrium Constraints, Part 2: Applications

Author

Listed:
  • C. Cromvik

    (Chalmers University of Technology and Mathematical Sciences, University of Gothenburg)

  • M. Patriksson

    (Chalmers University of Technology and Mathematical Sciences, University of Gothenburg)

Abstract

In a companion paper (Cromvik and Patriksson, Part I, J. Optim. Theory Appl., 2010), the mathematical modeling framework SMPEC was studied; in particular, global optima and stationary solutions to SMPECs were shown to be robust with respect to the underlying probability distribution under certain assumptions. Further, the framework and theory were elaborated to cover extensions of the upper-level objective: minimization of the conditional value-at-risk (CVaR) and treatment of the multiobjective case. In this paper, we consider two applications of these results: a classic traffic network design problem, where travel costs are uncertain, and the optimization of a treatment plan in intensity modulated radiation therapy, where the machine parameters and the position of the organs are uncertain. Owing to the generality of SMPEC, we can model these two very different applications within the same framework. Our findings illustrate the large potential in utilizing the SMPEC formalism for modeling and analysis purposes; in particular, information from scenarios in the lower-level problem may provide very useful additional insights into a particular application.

Suggested Citation

  • C. Cromvik & M. Patriksson, 2010. "On the Robustness of Global Optima and Stationary Solutions to Stochastic Mathematical Programs with Equilibrium Constraints, Part 2: Applications," Journal of Optimization Theory and Applications, Springer, vol. 144(3), pages 479-500, March.
    • Handle: RePEc:spr:joptap:v:144:y:2010:i:3:d:10.1007_s10957-009-9640-2
    DOI: 10.1007/s10957-009-9640-2
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10957-009-9640-2
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10957-009-9640-2?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
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Maruyama, Takuya & Sumalee, Agachai, 2007. "Efficiency and equity comparison of cordon- and area-based road pricing schemes using a trip-chain equilibrium model," Transportation Research Part A: Policy and Practice, Elsevier, vol. 41(7), pages 655-671, August.
    2. A. Evgrafov & M. Patriksson, 2004. "On the Existence of Solutions to Stochastic Mathematical Programs with Equilibrium Constraints," Journal of Optimization Theory and Applications, Springer, vol. 121(1), pages 65-76, April.
    3. C. Cromvik & M. Patriksson, 2010. "On the Robustness of Global Optima and Stationary Solutions to Stochastic Mathematical Programs with Equilibrium Constraints, Part 1: Theory," Journal of Optimization Theory and Applications, Springer, vol. 144(3), pages 461-478, March.
    4. Yin, Yafeng, 2008. "Robust optimal traffic signal timing," Transportation Research Part B: Methodological, Elsevier, vol. 42(10), pages 911-924, December.
    5. Patriksson, Michael, 2008. "On the applicability and solution of bilevel optimization models in transportation science: A study on the existence, stability and computation of optimal solutions to stochastic mathematical programs," Transportation Research Part B: Methodological, Elsevier, vol. 42(10), pages 843-860, December.
    6. Stephen M. Robinson, 1980. "Strongly Regular Generalized Equations," Mathematics of Operations Research, INFORMS, vol. 5(1), pages 43-62, February.
    7. Ş. İlker Birbil & Gül Gürkan & Ovidiu Listeş, 2006. "Solving Stochastic Mathematical Programs with Complementarity Constraints Using Simulation," Mathematics of Operations Research, INFORMS, vol. 31(4), pages 739-760, November.
    8. Friesz, Terry L. & Anandalingam, G. & Mehta, Nihal J. & Nam, Keesung & Shah, Samir J. & Tobin, Roger L., 1993. "The multiobjective equilibrium network design problem revisited: A simulated annealing approach," European Journal of Operational Research, Elsevier, vol. 65(1), pages 44-57, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Watling, David P. & Hazelton, Martin L., 2018. "Asymptotic approximations of transient behaviour for day-to-day traffic models," Transportation Research Part B: Methodological, Elsevier, vol. 118(C), pages 90-105.
    2. Gabrel, Virginie & Murat, Cécile & Thiele, Aurélie, 2014. "Recent advances in robust optimization: An overview," European Journal of Operational Research, Elsevier, vol. 235(3), pages 471-483.
    3. C. Cromvik & M. Patriksson, 2010. "On the Robustness of Global Optima and Stationary Solutions to Stochastic Mathematical Programs with Equilibrium Constraints, Part 1: Theory," Journal of Optimization Theory and Applications, Springer, vol. 144(3), pages 461-478, March.
    4. Danielle A. Ripsman & Thomas G. Purdie & Timothy C. Y. Chan & Houra Mahmoudzadeh, 2022. "Robust Direct Aperture Optimization for Radiation Therapy Treatment Planning," INFORMS Journal on Computing, INFORMS, vol. 34(4), pages 2017-2038, July.

    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. C. Cromvik & M. Patriksson, 2010. "On the Robustness of Global Optima and Stationary Solutions to Stochastic Mathematical Programs with Equilibrium Constraints, Part 1: Theory," Journal of Optimization Theory and Applications, Springer, vol. 144(3), pages 461-478, March.
    2. Dung-Ying Lin & Chi Xie, 2011. "The Pareto-optimal Solution Set of the Equilibrium Network Design Problem with Multiple Commensurate Objectives," Networks and Spatial Economics, Springer, vol. 11(4), pages 727-751, December.
    3. Patriksson, Michael, 2008. "On the applicability and solution of bilevel optimization models in transportation science: A study on the existence, stability and computation of optimal solutions to stochastic mathematical programs," Transportation Research Part B: Methodological, Elsevier, vol. 42(10), pages 843-860, December.
    4. M. Durea & R. Strugariu, 2011. "On parametric vector optimization via metric regularity of constraint systems," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 74(3), pages 409-425, December.
    5. Yongchao Liu & Huifu Xu & Jane J. Ye, 2011. "Penalized Sample Average Approximation Methods for Stochastic Mathematical Programs with Complementarity Constraints," Mathematics of Operations Research, INFORMS, vol. 36(4), pages 670-694, November.
    6. Bilel JARRAYA, 2013. "Asset Allocation And Portfolio Optimization Problems With Metaheuristics: A Literature Survey," Business Excellence and Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 3(4), pages 38-56, December.
    7. Liang Chen & Anping Liao, 2020. "On the Convergence Properties of a Second-Order Augmented Lagrangian Method for Nonlinear Programming Problems with Inequality Constraints," Journal of Optimization Theory and Applications, Springer, vol. 187(1), pages 248-265, October.
    8. Flötteröd, Gunnar, 2017. "A search acceleration method for optimization problems with transport simulation constraints," Transportation Research Part B: Methodological, Elsevier, vol. 98(C), pages 239-260.
    9. Giorgio, 2019. "On Second-Order Optimality Conditions in Smooth Nonlinear Programming Problems," DEM Working Papers Series 171, University of Pavia, Department of Economics and Management.
    10. Danielle A. Ripsman & Thomas G. Purdie & Timothy C. Y. Chan & Houra Mahmoudzadeh, 2022. "Robust Direct Aperture Optimization for Radiation Therapy Treatment Planning," INFORMS Journal on Computing, INFORMS, vol. 34(4), pages 2017-2038, July.
    11. Junwoo Song & Simon Hu & Ke Han & Chaozhe Jiang, 2020. "Nonlinear Decision Rule Approach for Real-Time Traffic Signal Control for Congestion and Emission Mitigation," Networks and Spatial Economics, Springer, vol. 20(3), pages 675-702, September.
    12. Francisco Aragón Artacho & Boris Mordukhovich, 2011. "Enhanced metric regularity and Lipschitzian properties of variational systems," Journal of Global Optimization, Springer, vol. 50(1), pages 145-167, May.
    13. Fabiana R. Oliveira & Orizon P. Ferreira & Gilson N. Silva, 2019. "Newton’s method with feasible inexact projections for solving constrained generalized equations," Computational Optimization and Applications, Springer, vol. 72(1), pages 159-177, January.
    14. André De Palma & Moez Kilani & Michel de Lara & Serge Piperno, 2011. "Cordon pricing in the monocentric city: theory and application to Paris region," Recherches économiques de Louvain, De Boeck Université, vol. 77(2), pages 105-124.
    15. Guo, Qiangqiang & Ban, Xuegang (Jeff), 2023. "A multi-scale control framework for urban traffic control with connected and automated vehicles," Transportation Research Part B: Methodological, Elsevier, vol. 175(C).
    16. Yu Nie & H. Zhang, 2010. "A Relaxation Approach for Estimating Origin–Destination Trip Tables," Networks and Spatial Economics, Springer, vol. 10(1), pages 147-172, March.
    17. Alizadeh, S.M. & Marcotte, P. & Savard, G., 2013. "Two-stage stochastic bilevel programming over a transportation network," Transportation Research Part B: Methodological, Elsevier, vol. 58(C), pages 92-105.
    18. Li, Li & Li, Xiaopeng, 2019. "Parsimonious trajectory design of connected automated traffic," Transportation Research Part B: Methodological, Elsevier, vol. 119(C), pages 1-21.
    19. J. Han & D. Sun, 1997. "Newton and Quasi-Newton Methods for Normal Maps with Polyhedral Sets," Journal of Optimization Theory and Applications, Springer, vol. 94(3), pages 659-676, September.
    20. Nguyen Qui, 2014. "Stability for trust-region methods via generalized differentiation," Journal of Global Optimization, Springer, vol. 59(1), pages 139-164, May.

    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:spr:joptap:v:144:y:2010:i:3:d:10.1007_s10957-009-9640-2. 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    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.