Walter J. Gutjahr

A Graph-based Ant system and its convergence

Abstract A general framework for solving combinatorial optimization problems heuristically by the Ant System approach is developed. The framework is based on the concept of a construction graph, a graph assigned to an instance of the optimization problem under consideration, encoding feasible solutions by walks. It is shown that under certain conditions, the solutions generated in each iteration of this Graph-based Ant System converge with a probability that can be made arbitrarily close to 1 to the optimal solution of the given problem instance.

A survey on metaheuristics for stochastic combinatorial optimization

Metaheuristics are general algorithmic frameworks, often nature-inspired, designed to solve complex optimization problems, and they are a growing research area since a few decades. In recent years, metaheuristics are emerging as successful alternatives to more classical approaches also for solving optimization problems that include in their mathematical formulation uncertain, stochastic, and dynamic information. In this paper metaheuristics such as Ant Colony Optimization, Evolutionary Computation, Simulated Annealing, Tabu Search and others are introduced, and their applications to the class of Stochastic Combinatorial Optimization Problems (SCOPs) is thoroughly reviewed. Issues common to all metaheuristics, open problems, and possible directions of research are proposed and discussed. In this survey, the reader familiar to metaheuristics finds also pointers to classical algorithmic approaches to optimization under uncertainty, and useful informations to start working on this problem domain, while the reader new to metaheuristics should find a good tutorial in those metaheuristics that are currently being applied to optimization under uncertainty, and motivations for interest in this field.

Pareto ant colony optimization with ILP preprocessing in multiobjective project portfolio selection

Abstract One of the most important, common and critical management issues lies in determining the “best” project portfolio out of a given set of investment proposals. As this decision process usually involves the pursuit of multiple objectives amid a lack of a priori preference information, its quality can be improved by implementing a two-phase procedure that first identifies the solution space of all efficient (i.e., Pareto-optimal) portfolios and then allows an interactive exploration of that space. However, determining the solution space is not trivial because brute-force complete enumeration only solves small instances and the underlying NP-hard problem becomes increasingly demanding as the number of projects grows. While meta-heuristics in general provide an attractive compromise between the computational effort necessary and the quality of an approximated solution space, Pareto ant colony optimization (P-ACO) has been shown to perform particularly well for this class of problems. In this paper, the beneficial effect of P-ACO’s core function (i.e., the learning feature) is substantiated by means of a numerical example based on real world data. Furthermore, the original P-ACO approach is supplemented by an integer linear programming (ILP) preprocessing procedure that identifies several efficient portfolio solutions within a few seconds and correspondingly initializes the pheromone trails before running P-ACO. This extension favors a larger exploration of the search space at the beginning of the search and does so at a low cost.

An ACO algorithm for a dynamic regional nurse-scheduling problem in Austria

Abstract To the best of our knowledge, this paper describes the first ant colony optimization (ACO) approach applied to nurse scheduling, analyzing a dynamic regional problem which is currently under discussion at the Vienna hospital compound. Each day, pool nurses have to be assigned for the following days to public hospitals while taking into account a variety of soft and hard constraints regarding working date and time, working patterns, nurses qualifications, nurses’ and hospitals’ preferences, as well as costs. Extensive computational experiments based on a four week simulation period were used to evaluate three different scenarios varying the number of nurses and hospitals for six different hospitals’ demand intensities. The results of our simulations and optimizations reveal that the proposed ACO algorithm achieves highly significant improvements compared to a greedy assignment algorithm.

Partition testing vs. random testing: the influence of uncertainty

This paper compares partition testing and random testing on the assumption that program failure rates are not known with certainty before testing and are, therefore, modeled by random variables. It is shown that under uncertainty, partition testing compares more favorably to random testing than suggested by prior investigations concerning the deterministic case: the restriction to failure rates that are known with certainty systematically favors random testing. In particular, we generalize a result by Weyuker and Jeng (1991) stating equal fault detection probabilities for partition testing and random testing in the case where the failure rates in the subdomains defined by the partition are equal. It turns out that for independent random failure rates with equal expectation, the case above is a boundary case (the worst case for partition testing), and the fault detection probability of partition testing can be up to k times higher than that of random testing, where k is the number of subdomains. Also in a related model for dependent failure rates, partition testing turns out to be consistently better than random testing. The dominance can also be verified for the expected (weighted) number of detected faults as an alternative comparison criterion.

A Stochastic Branch-and-Bound Approach to Activity Crashing in Project Management

Many applications such as project scheduling, workflow modeling, or business process re-engineering incorporate the common idea that a product, task, or service consisting of interdependent time-related activities should be produced or performed within given time limits. In real-life applications, certain measures like the use of additional manpower, the assignment of highly-skilled personnel to specific jobs, or the substitution of equipment are often considered as means of increasing the probability of meeting a due date and thus avoiding penalty costs. This paper investigates the problem of selecting, from a set of possible measures of this kind, the combination of measures that is the most cost-efficient. Assuming stochastic activity durations, the computation of the optimal combination of measures may be very expensive in terms of runtime. In this article, we introduce a powerful stochastic optimization approach to determine a set of efficient measures that crash selected activities in a stochastic activity network. Our approach modifies the conventional Stochastic Branch-and-Bound, using a heuristic--instead of exact methods--to solve the deterministic subproblem. This modification spares computational time and by doing so provides an appropriate method for solving various related applications of combinatorial stochastic optimization. A comparative computational study shows that our approach not only outperforms standard techniques but also definitely improves conventional Stochastic Branch-and-Bound.

Simulated Annealing for noisy cost functions

We generalize a classical convergence result for the Simulated Annealing algorithm to a stochastic optimization context, i.e., to the case where cost function observations are disturbed by random noise. It is shown that for a certain class of noise distributions, the convergence assertion remains valid, provided that the standard deviation of the noise is reduced in the successive steps of cost function evaluation (e.g., by repeated observation) with a speed O(k-γ), where γ is an arbitrary constant larger than one.

Competence-driven project portfolio selection, scheduling and staff assignment

This paper presents a new model for project portfolio selection, paying specific attention to competence development. The model seeks to maximize a weighted average of economic gains from projects and strategic gains from the increment of desirable competencies. As a sub-problem, scheduling and staff assignment for a candidate set of selected projects must also be optimized. We provide a nonlinear mixed-integer program formulation for the overall problem, and then propose heuristic solution techniques composed of (1) a greedy heuristic for the scheduling and staff assignment part, and (2) two (alternative) metaheuristics for the project selection part. The paper outlines experimental results on a real-world application provided by the E-Commerce Competence Center Austria and, for a slightly simplified instance, presents comparisons with the exact solution computed by CPLEX.

Multicriteria tour planning for mobile healthcare facilities in a developing country

A multiobjective combinatorial optimization (MOCO) formulation for the following location-routing problem in healthcare management is given: For a mobile healthcare facility, a closed tour with stops selected from a given set of population nodes has to be found. Tours are evaluated according to three criteria: (i) An economic efficiency criterion related to the tour length, (ii) the criterion of average distances to the nearest tour stops corresponding to p-median location problem formulations, and (iii) a coverage criterion measuring the percentage of the population unable to reach a tour stop within a predefined maximum distance. Three algorithms to compute approximations to the set of Pareto-efficient solutions of the described MOCO problem are developed. The first uses the P-ACO technique, and the second and the third use the VEGA and the MOGA variant of multiobjective genetic algorithms, respectively. Computational experiments for the Thies region in Senegal were carried out to evaluate the three approaches on real-world problem instances.

A Converging ACO Algorithm for Stochastic Combinatorial Optimization

The paper presents a general-purpose algorithm for solving stochastic combinatorial optimization problems with the expected value of a random variable as objective and deterministic constraints. The algorithm follows the Ant Colony Optimization (ACO) approach and uses Monte-Carlo sampling for estimating the objective. It is shown that on rather mild conditions, including that of linear increment of the sample size, the algorithm converges with probability one to the globally optimal solution of the stochastic combinatorial optimization problem. Contrary to most convergence results for metaheuristics in the deterministic case, the algorithm can usually be recommended for practical application in an unchanged form, i.e., with the ”theoretical” parameter schedule.