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Development of solution methods for large-scale stochastic programming problems and their application to risk management for investment and operation problems

Research Project

Project/Area Number 24510198
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Social systems engineering/Safety system
Research InstitutionChiba Institute of Technology

Principal Investigator

SHIINA Takayuki  千葉工業大学, 社会システム科学部, 教授 (90371666)

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)
Project Period (FY) 2012-04-01 – 2015-03-31
Project Status Completed (Fiscal Year 2014)
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)
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
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.

Report

(4 results)
  • 2014 Annual Research Report   Final Research Report ( PDF )
  • 2013 Research-status Report
  • 2012 Research-status Report
  • Research Products

    (41 results)

All 2015 2014 2013 2012 Other

All Journal Article (21 results) (of which Peer Reviewed: 18 results) Presentation (13 results) Book (1 results) Remarks (6 results)

  • [Journal Article] 発電機起動停止問題における列生成法の改善2015

    • Author(s)
      萬木貴大, 椎名孝之, 森戸晋, 今泉淳
    • Journal Title

      日本応用数理学会論文誌

      Volume: 25 Pages: 21-30

    • NAID

      110009923190

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Unit Commitment by Column Generation2015

    • Author(s)
      Takayuki Shiina, Takahiro Yurugi, Jun Imaizumi, Susumu Morito
    • Journal Title

      Operations Research Proceedings 2014

      Volume: なし Pages: 1-6

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 確率計画法によるロジスティクスネットワーク再編成2015

    • Author(s)
      伊佐勇人、推名孝之、森戸晋、今泉淳
    • Journal Title

      知能と情報

      Volume: 27 Pages: 1-10

    • NAID

      130005071341

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Railway crew pairing with weekend considerations: Modeling and solution2015

    • Author(s)
      Yingwen Chen, Susumu Morito, Jun Imaizumi
    • Journal Title

      Proceedings,6th International Conference on Railway Operations Modeling and Analysis-RailTokyo2015

      Volume: なし

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A model for estimating the required number of train units under split-and-merge policy for decision making in railways: A mathematical formulation by integer multi-commodity network flow2015

    • Author(s)
      Mizuki Tsunoda, Jun Imaizumi, Susumu Morito
    • Journal Title

      Proceedings,6th International Conference on Railway Operations Modeling and Analysis-RailTokyo2015

      Volume: なし

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Inventory distribution problem via stochastic programming2014

    • Author(s)
      Takayuki Shiina, Masayuki Umeda, Jun Imaizumi, Susumu Morito, Chunhui Xu
    • Journal Title

      Asian J. of Management Science and Applications

      Volume: 1 Pages: 261-277

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Deriving a New Lower Bound in Stochastic Programming Problem considering Variance2014

    • Author(s)
      Takayuki Shiina, Yu Tagaya, Jun Imaizumi, Susumu Morito
    • Journal Title

      ICIC Express Letters

      Volume: 8 Pages: 1851-1856

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Solution Method for the Inventory Distribution Problem2014

    • Author(s)
      Takayuki Shiina
    • Journal Title

      Operations Research Proceedings 2013

      Volume: なし Pages: 443-449

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 分散を考慮した確率計画問題における下界2014

    • Author(s)
      椎名 孝之, 多ヶ谷有, 森戸 晋
    • Journal Title

      日本応用数理学会論文誌

      Volume: 24 Pages: 59-68

    • NAID

      110009807341

    • Related Report
      2013 Research-status Report
    • Peer Reviewed
  • [Journal Article] ロジスティクスネットワーク再編成問題に対する確率計画法の応用2014

    • Author(s)
      椎名孝之、伊佐勇人、森戸晋、今泉淳
    • Journal Title

      日本オペレーションズ・リサーチ学会 確率モデルシンポジウム報文集

      Volume: 14 Pages: 1-10

    • Related Report
      2013 Research-status Report
    • Peer Reviewed
  • [Journal Article] Solution method for inventory distribution problem2014

    • Author(s)
      T. Shiina
    • Journal Title

      Proceedings of The 2013 International Conference on Operations Research

      Volume: 2014 Pages: 1-6

    • DOI

      10.1007/978-3-319-07001-8_60

    • ISBN
      9783319070001, 9783319070018
    • Related Report
      2013 Research-status Report
    • Peer Reviewed
  • [Journal Article] 需要の不確実性を考慮したロジスティクス・ネットワーク再編成問題に対する数理計画アプローチ2013

    • Author(s)
      伊佐勇人、椎名孝之、森戸晋、今泉淳
    • Journal Title

      スケジューリングシンポジウム2013論文集

      Volume: 2013 Pages: 7-12

    • Related Report
      2013 Research-status Report
  • [Journal Article] 発電機起動停止問題に対する列生成に基づく解法2013

    • Author(s)
      萬木貴大、椎名孝之、森戸晋、今泉淳
    • Journal Title

      スケジューリングシンポジウム2013論文集

      Volume: 2013 Pages: 223-226

    • Related Report
      2013 Research-status Report
  • [Journal Article] Modeling portfolio rebalancing by modifying utility theory2013

    • Author(s)
      C. Xu, Y. Huo, T. Shiina, M. Huang
    • Journal Title

      The 2013 International DSI and Asia Pacific DSI Conference Proceedings

      Volume: 2013 Pages: 1314-1317

    • Related Report
      2013 Research-status Report
    • Peer Reviewed
  • [Journal Article] Financial Investment Problems with uncertain Investment Deadline and their Resolution Methods2013

    • Author(s)
      C. Xu, Y. Huo
    • Journal Title

      Proceedings of the Asian Conference of Management Science and Applications 2013

      Volume: 2013 Pages: 48-50

    • Related Report
      2013 Research-status Report
    • Peer Reviewed
  • [Journal Article] 確率計画法による在庫融通問題2012

    • Author(s)
      梅田真之, 椎名 孝之, 今泉 淳, 森戸 晋
    • Journal Title

      知能と情報

      Volume: 24 Pages: 257-265

    • NAID

      130003368199

    • Related Report
      2012 Research-status Report
    • Peer Reviewed
  • [Journal Article] Stochastic Programming Model for Discrete Lotsizing and Scheduling Problem on Parallel Machines2012

    • Author(s)
      K. Ishiwata, J. Imaizumi, T. Shiina, S. Morito
    • Journal Title

      American Journal of Operations Research

      Volume: 2 Issue: 03 Pages: 374-381

    • DOI

      10.4236/ajor.2012.23045

    • Related Report
      2012 Research-status Report
    • Peer Reviewed
  • [Journal Article] Unit Commitment Problem with Stochastic Demand2012

    • Author(s)
      T. Shiina
    • Journal Title

      Journal of Computations & Modelling

      Volume: 2 Pages: 35-53

    • Related Report
      2012 Research-status Report
    • Peer Reviewed
  • [Journal Article] Solution Algorithm for Unit Commitment2012

    • Author(s)
      T. Shiina
    • Journal Title

      International Journal of Innovative Computing, Information and Control Express Letters

      Volume: 6 Pages: 2205-2212

    • Related Report
      2012 Research-status Report
    • Peer Reviewed
  • [Journal Article] Dynamic Slope Scaling Procedure for Stochastic Integer Programming Problem2012

    • Author(s)
      T. Shiina
    • Journal Title

      Proceedings of World Academy of Science, Engineering and Technology

      Volume: 65 Pages: 366-371

    • Related Report
      2012 Research-status Report
    • Peer Reviewed
  • [Journal Article] 不確実な状況下での在庫転送問題2012

    • Author(s)
      椎名孝之, 志摩英教
    • Journal Title

      スケジューリングシンポジウム2012論文集

      Volume: 2012 Pages: 97-102

    • Related Report
      2012 Research-status Report
  • [Presentation] 確率計画法に基づく列車の余裕時分配分最適化2015

    • Author(s)
      揚原由統, 椎名孝之, 今泉淳, 森戸晋
    • Organizer
      日本オペレーションズ・リサーチ学会2015年春季研究発表会
    • Place of Presentation
      東京理科大学(東京都新宿区)
    • Year and Date
      2015-03-26 – 2015-03-27
    • Related Report
      2014 Annual Research Report
  • [Presentation] Unit Commitment by Column Generation2014

    • Author(s)
      Takayuki Shiina, Takahiro Yurugi, Jun Imaizumi, Susumu Morito
    • Organizer
      Operations Research 2014
    • Place of Presentation
      Aachen, Germany
    • Year and Date
      2014-09-02 – 2014-09-05
    • Related Report
      2014 Annual Research Report
  • [Presentation] ロジスティクスネットワーク再編成問題に対する確率計画法の応用2014

    • Author(s)
      椎名孝之、伊佐勇人、森戸晋、今泉淳
    • Organizer
      日本オペレーションズ・リサーチ学会 確率モデルシンポジウム.
    • Place of Presentation
      東京理科大学、新宿区、東京都
    • Related Report
      2013 Research-status Report
  • [Presentation] 需要の不確実性を考慮したロジスティクス・ネットワーク再編成問題に対する数理計画アプローチ2013

    • Author(s)
      伊佐勇人、椎名孝之、森戸晋、今泉淳
    • Organizer
      スケジューリングシンポジウム2013
    • Place of Presentation
      南山大学、名古屋市
    • Related Report
      2013 Research-status Report
  • [Presentation] 発電機起動停止問題に対する列生成に基づく解法2013

    • Author(s)
      萬木貴大、椎名孝之、森戸晋、今泉淳
    • Organizer
      スケジューリングシンポジウム2013
    • Place of Presentation
      南山大学、名古屋市
    • Related Report
      2013 Research-status Report
  • [Presentation] Solution method for inventory distribution problem2013

    • Author(s)
      T. Shiina
    • Organizer
      International Conference on Operations Research 2013
    • Place of Presentation
      World Trade Center, Rotterdam, オランダ
    • Related Report
      2013 Research-status Report
  • [Presentation] 分散を考慮した確率計画問題2013

    • Author(s)
      若山 亮、椎名 孝之、徐 春暉
    • Organizer
      経営情報学会秋季全国研究発表大会
    • Place of Presentation
      流通科学大学、神戸市、兵庫県
    • Related Report
      2013 Research-status Report
  • [Presentation] 在庫転送問題に対する数理計画モデル2013

    • Author(s)
      成毛 悠亮、椎名 孝之、徐 春暉
    • Organizer
      経営情報学会秋季全国研究発表大会
    • Place of Presentation
      流通科学大学、神戸市、兵庫県
    • Related Report
      2013 Research-status Report
  • [Presentation] 発電機起動停止問題の解法2013

    • Author(s)
      西堀 俊輝、椎名 孝之、徐 春暉
    • Organizer
      経営情報学会秋季全国研究発表大会
    • Place of Presentation
      流通科学大学、神戸市、兵庫県
    • Related Report
      2013 Research-status Report
  • [Presentation] 発電機起動停止問題に対する列生成アプローチ2013

    • Author(s)
      伊佐勇人、萬木貴大、椎名孝之、森戸晋
    • Organizer
      日本オペレーションズ・リサーチ学会
    • Place of Presentation
      東京大学(東京都)
    • Related Report
      2012 Research-status Report
  • [Presentation] 不確実な状況下での在庫転送問題2012

    • Author(s)
      椎名孝之, 志摩英教
    • Organizer
      スケジューリングシンポジウム
    • Place of Presentation
      成蹊大学(東京都)
    • Related Report
      2012 Research-status Report
  • [Presentation] Inventory distribution problem under uncertainty2012

    • Author(s)
      T. Shiina
    • Organizer
      21st International Symposium on Mathematical Programming
    • Place of Presentation
      Berlin
    • Related Report
      2012 Research-status Report
  • [Presentation] Dynamic Slope Scaling Procedure for Stochastic Integer Programming Problem2012

    • Author(s)
      T. Shiina
    • Organizer
      World Academy of Science, 2013 Conference
    • Place of Presentation
      Amsterdam
    • Related Report
      2012 Research-status Report
  • [Book] 確率計画法2015

    • Author(s)
      椎名孝之
    • Total Pages
      171
    • Publisher
      朝倉書店
    • Related Report
      2014 Annual Research Report
  • [Remarks] 椎名研究室ページ

    • URL

      http://www.mis.it-chiba.ac.jp/~shiina/

    • Related Report
      2014 Annual Research Report
  • [Remarks] 森戸研究室ページ

    • Related Report
      2014 Annual Research Report
  • [Remarks] 椎名研究室ページ

    • URL

      http://www.mis.it-chiba.ac.jp/~shiina/

    • Related Report
      2013 Research-status Report
  • [Remarks] 森戸研究室ページ

    • URL

      http://www.morito.mgmt.waseda.ac.jp/

    • Related Report
      2013 Research-status Report
  • [Remarks] 椎名研究室ページ

    • URL

      http://www.mis.it-chiba.ac.jp/~shiina/

    • Related Report
      2012 Research-status Report
  • [Remarks] 森戸研究室ページ

    • URL

      http://www.morito.mgmt.waseda.ac.jp/

    • Related Report
      2012 Research-status Report

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Published: 2013-05-31   Modified: 2019-07-29  

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