Development of solution methods for large-scale stochastic programming problems and their application to risk management for investment and operation problems
| Project/Area Number |
24510198
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Chiba Institute of Technology |
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Principal Investigator |
SHIINA Takayuki 千葉工業大学, 社会システム科学部, 教授 (90371666)
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| Co-Investigator(Kenkyū-buntansha) |
XU Chunhui 千葉工業大学, 社会システム科学部, 教授 (70279058)
MORITO Susumu 早稲田大学, 創造理工学部, 教授 (50134193)
IMAIZUMI Jun 東洋大学, 経営学部, 教授 (00257221)
TAKASHIMA Ryuta 東京理科大学, 理工学部, 講師 (50401138)
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| Project Period (FY) |
2012-04-01 – 2015-03-31
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| Project Status |
Completed (Fiscal Year 2014)
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| Budget Amount *help |
¥5,070,000 (Direct Cost: ¥3,900,000、Indirect Cost: ¥1,170,000)
Fiscal Year 2014: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2013: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2012: ¥2,340,000 (Direct Cost: ¥1,800,000、Indirect Cost: ¥540,000)
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| Keywords | 数理計画法 / 確率計画法 / 整数計画法 / リスク測定 / VaR / サプライチェーンマネジメント / 発電機起動停止問題 / スケジューリング / 分枝限定法 |
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| Outline of Final Research Achievements |
The purpose of this research is to study the theoretical aspects of stochastic programming problems and to develop algorithms to solve their applications to optimization problems in real systems. For the stochastic programming problem considering variance, we present the new solution algorithm which is effective to solve the problem. For the financial investment problem, we define a risk indicator named period value at risk (PVaR) to reflect market risk over a period of time and develop methods for calculating PVaR. For the applications of stochastic programming, inventory distributions between local warehouses, unit commitment problem, logistics network reorganization problem, and the allocation of a running time supplement to a timetable in railway are considered. The new formulations and the algorithms to solve problems are developed. These applications clearly show stochastic programming to be very valuable for solving the variety of real optimization problems.
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Report
(4 results)
Research Products
(41 results)
