Abstract
Practical scheduling problems typically require decisions without full information about the outcomes of those decisions. Yields, resource availability, performance, demand, costs, and revenues may all vary. Incorporating these quantities into stochastic scheduling models often produces diffculties in analysis that may be addressed in a variety of ways. In this paper, we present results based on stochastic programming approaches to the hierarchy of decisions in typical stochastic scheduling situations. Our unifying framework allows us to treat all aspects of a decision in a similar framework. We show how views from different levels enable approximations that can overcome nonconvexities and duality gaps that appear in deterministic formulations. In particular, we show that the stochastic program structure leads to a vanishing Lagrangian duality gap in stochastic integer programs as the number of scenarios increases.
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This author's work was supported in part by the National Science Foundation under Grants ECS 88-15101, ECS 92-16819, and SES 92-11937.
This author's work was supported in part by the Natural Sciences and Engineering Research Council of Canada under Grant A-5489 and by the UK Engineering and Physical Sciences Research Council under Grants J90855 and K17897.
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Birge, J.R., Dempstert, M.A.H. Stochastic programming approaches to stochastic scheduling. J Glob Optim 9, 417–451 (1996). https://doi.org/10.1007/BF00121682
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DOI: https://doi.org/10.1007/BF00121682