Information relaxations and duality in stochastic dynamic programs

We describe a general technique for determining upper bounds on maximal values (or lower bounds on minimal costs) in stochastic dynamic programs. In this approach, we relax the nonanticipativity constraints that require decisions to depend only on the information available at the time a decision is made and impose a "penalty" that punishes violations of nonanticipativity. In applications, the hope is that this relaxed version of the problem will be simpler to solve than the original dynamic program. The upper bounds provided by this dual approach complement lower bounds on values that may be found by simulating with heuristic policies. We describe the theory underlying this dual approach and establish weak duality, strong duality, and complementary slackness results that are analogous to the duality results of linear programming. We also study properties of good penalties. Finally, we demonstrate the use of this dual approach in an adaptive inventory control problem with an unknown and changing demand distribution and in valuing options with stochastic volatilities and interest rates. These are complex problems of significant practical interest that are quite difficult to solve to optimality. In these examples, our dual approach requires relatively little additional computation and leads to tight bounds on the optimal values. © 2010 INFORMS.

The short and long of it: neural correlates of temporal-order memory for autobiographical events.

Previous functional neuroimaging studies of temporal-order memory have investigated memory for laboratory stimuli that are causally unrelated and poor in sensory detail. In contrast, the present functional magnetic resonance imaging (fMRI) study investigated temporal-order memory for autobiographical events that were causally interconnected and rich in sensory detail. Participants took photographs at many campus locations over a period of several hours, and the following day they were scanned while making temporal-order judgments to pairs of photographs from different locations. By manipulating the temporal lag between the two locations in each trial, we compared the neural correlates associated with reconstruction processes, which we hypothesized depended on recollection and contribute mainly to short lags, and distance processes, which we hypothesized to depend on familiarity and contribute mainly to longer lags. Consistent with our hypotheses, parametric fMRI analyses linked shorter lags to activations in regions previously associated with recollection (left prefrontal, parahippocampal, precuneus, and visual cortices), and longer lags with regions previously associated with familiarity (right prefrontal cortex). The hemispheric asymmetry in prefrontal cortex activity fits very well with evidence and theories regarding the contributions of the left versus right prefrontal cortex to memory (recollection vs. familiarity processes) and cognition (systematic vs. heuristic processes). In sum, using a novel photo-paradigm, this study provided the first evidence regarding the neural correlates of temporal-order for autobiographical events.

A novel neural/symbolic hybrid approach to heuristically optimized fuel allocation and automated revision of heuristics in nuclear engineering

FUELCON is an expert system for optimized refueling design in nuclear engineering. This task is crucial for keeping down operating costs at a plant without compromising safety. FUELCON proposes sets of alternative configurations of allocation of fuel assemblies that are each positioned in the planar grid of a horizontal section of a reactor core. Results are simulated, and an expert user can also use FUELCON to revise rulesets and improve on his or her heuristics. The successful completion of FUELCON led this research team into undertaking a panoply of sequel projects, of which we provide a meta-architectural comparative formal discussion. In this paper, we demonstrate a novel adaptive technique that learns the optimal allocation heuristic for the various cores. The algorithm is a hybrid of a fine-grained neural network and symbolic computation components. This hybrid architecture is sensitive enough to learn the particular characteristics of the ‘in-core fuel management problem’ at hand, and is powerful enough to use this information fully to automatically revise heuristics, thus improving upon those provided by a human expert.

FUELGEN: effective evolutionary design of refuellings for pressurized water reactors

The paper describes the design of an efficient and robust genetic algorithm for the nuclear fuel loading problem (i.e., refuellings: the in-core fuel management problem) - a complex combinatorial, multimodal optimisation., Evolutionary computation as performed by FUELGEN replaces heuristic search of the kind performed by the FUELCON expert system (CAI 12/4), to solve the same problem. In contrast to the traditional genetic algorithm which makes strong requirements on the representation used and its parameter setting in order to be efficient, the results of recent research results on new, robust genetic algorithms show that representations unsuitable for the traditional genetic algorithm can still be used to good effect with little parameter adjustment. The representation presented here is a simple symbolic one with no linkage attributes, making the genetic algorithm particularly easy to apply to fuel loading problems with differing core structures and assembly inventories. A nonlinear fitness function has been constructed to direct the search efficiently in the presence of the many local optima that result from the constraint on solutions.

Approximation algorithms for two-machine flow shop scheduling with batch setup times

In many practical situations, batching of similar jobs to avoid setups is performed while constructing a schedule. This paper addresses the problem of non-preemptively scheduling independent jobs in a two-machine flow shop with the objective of minimizing the makespan. Jobs are grouped into batches. A sequence independent batch setup time on each machine is required before the first job is processed, and when a machine switches from processing a job in some batch to a job of another batch. Besides its practical interest, this problem is a direct generalization of the classical two-machine flow shop problem with no grouping of jobs, which can be solved optimally by Johnson's well-known algorithm. The problem under investigation is known to be NP-hard. We propose two O(n logn) time heuristic algorithms. The first heuristic, which creates a schedule with minimum total setup time by forcing all jobs in the same batch to be sequenced in adjacent positions, has a worst-case performance ratio of 3/2. By allowing each batch to be split into at most two sub-batches, a second heuristic is developed which has an improved worst-case performance ratio of 4/3. © 1998 The Mathematical Programming Society, Inc. Published by Elsevier Science B.V.

The open shop scheduling problem with a given sequence of jobs on one machine

The paper considers the open shop scheduling problem to minimize the make-span, provided that one of the machines has to process the jobs according to a given sequence. We show that in the preemptive case the problem is polynomially solvable for an arbitrary number of machines. If preemption is not allowed, the problem is NP-hard in the strong sense if the number of machines is variable, and is NP-hard in the ordinary sense in the case of two machines. For the latter case we give a heuristic algorithm that runs in linear time and produces a schedule with the makespan that is at most 5/4 times the optimal value. We also show that the two-machine problem in the nonpreemptive case is solvable in pseudopolynomial time by a dynamic programming algorithm, and that the algorithm can be converted into a fully polynomial approximation scheme. © 1998 John Wiley & Sons, Inc. Naval Research Logistics 45: 705–731, 1998

Heuristics for short route job shop scheduling problems

We consider two “minimum”NP-hard job shop scheduling problems to minimize the makespan. In one of the problems every job has to be processed on at most two out of three available machines. In the other problem there are two machines, and a job may visit one of the machines twice. For each problem, we define a class of heuristic schedules in which certain subsets of operations are kept as blocks on the corresponding machines. We show that for each problem the value of the makespan of the best schedule in that class cannot be less than 3/2 times the optimal value, and present algorithms that guarantee a worst-case ratio of 3/2.

Scheduling for parallel dedicated machines with a single server

This paper examines scheduling problems in which the setup phase of each operation needs to be attended by a single server, common for all jobs and different from the processing machines. The objective in each situation is to minimize the makespan. For the processing system consisting of two parallel dedicated machines we prove that the problem of finding an optimal schedule is NP-hard in the strong sense even if all setup times are equal or if all processing times are equal. For the case of m parallel dedicated machines, a simple greedy algorithm is shown to create a schedule with the makespan that is at most twice the optimum value. For the two machine case, an improved heuristic guarantees a tight worst-case ratio of 3/2. We also describe several polynomially solvable cases of the later problem. The two-machine flow shop and the open shop problems with a single server are also shown to be NP-hard in the strong sense. However, we reduce the two-machine flow shop no-wait problem with a single server to the Gilmore-Gomory traveling salesman problem and solve it in polynomial time. (c) 2000 John Wiley & Sons, Inc.

Group technology approach to the open shop scheduling problem with batch setup times

This paper studies the problem of scheduling jobs in a two-machine open shop to minimize the makespan. Jobs are grouped into batches and are processed without preemption. A batch setup time on each machine is required before the first job is processed, and when a machine switches from processing a job in some batch to a job of another batch. For this NP-hard problem, we propose a linear-time heuristic algorithm that creates a group technology schedule, in which no batch is split into sub-batches. We demonstrate that our heuristic is a -approximation algorithm. Moreover, we show that no group technology algorithm can guarantee a worst-case performance ratio less than 5/4.

Two-machine open shop scheduling with special transportation times

The paper considers a problem of scheduling n jobs in a two-machine open shop to minimise the makespan, provided that preemption is not allowed and the interstage transportation times are involved. In general, this problem is known to be NP-hard. We present a linear time algorithm that finds an optimal schedule if no transportation time exceeds the smallest of the processing times. We also describe an algorithm that creates a heuristic solution to the problem with job-independent transportation times. Our algorithm provides a worst-case performance ratio of 8/5 if the transportation time of a job depends on the assigned processing route. The ratio reduces to 3/2 if all transportation times are equal.

A generational scheme for partitioning graphs

Graph partitioning divides a graph into several pieces by cutting edges. Very effective heuristic partitioning algorithms have been developed which run in real-time, but it is unknown how good the partitions are since the problem is, in general, NP-complete. This paper reports an evolutionary search algorithm for finding benchmark partitions. Distinctive features are the transmission and modification of whole subdomains (the partitioned units) that act as genes, and the use of a multilevel heuristic algorithm to effect the crossover and mutations. Its effectiveness is demonstrated by improvements on previously established benchmarks.

A multilevel algorithm for force-directed graph drawing

We describe a heuristic method for drawing graphs which uses a multilevel technique combined with a force-directed placement algorithm. The multilevel process groups vertices to form clusters, uses the clusters to define a new graph and is repeated until the graph size falls below some threshold. The coarsest graph is then given an initial layout and the layout is successively refined on all the graphs starting with the coarsest and ending with the original. In this way the multilevel algorithm both accelerates and gives a more global quality to the force- directed placement. The algorithm can compute both 2 & 3 dimensional layouts and we demonstrate it on a number of examples ranging from 500 to 225,000 vertices. It is also very fast and can compute a 2D layout of a sparse graph in around 30 seconds for a 10,000 vertex graph to around 10 minutes for the largest graph. This is an order of magnitude faster than recent implementations of force-directed placement algorithms.

Scheduling batches with sequential job processing for two-machine flow and open shops

In this paper, we study a problem of scheduling and batching on two machines in a flow-shop and open-shop environment. Each machine processes operations in batches, and the processing time of a batch is the sum of the processing times of the operations in that batch. A setup time, which depends only on the machine, is required before a batch is processed on a machine, and all jobs in a batch remain at the machine until the entire batch is processed. The aim is to make batching and sequencing decisions, which specify a partition of the jobs into batches on each machine, and a processing order of the batches on each machine, respectively, so that the makespan is minimized. The flow-shop problem is shown to be strongly NP-hard. We demonstrate that there is an optimal solution with the same batches on the two machines; we refer to these as consistent batches. A heuristic is developed that selects the best schedule among several with one, two, or three consistent batches, and is shown to have a worst-case performance ratio of 4/3. For the open-shop, we show that the problem is NP-hard in the ordinary sense. By proving the existence of an optimal solution with one, two or three consistent batches, a close relationship is established with the problem of scheduling two or three identical parallel machines to minimize the makespan. This allows a pseudo-polynomial algorithm to be derived, and various heuristic methods to be suggested.

Two-stage open shop scheduling with a bottleneck machine

It is known that for the open shop scheduling problem to minimize the makespan there exists no polynomial-time heuristic algorithm that guarantees a worst-case performance ratio better than 5/4, unless P6≠NP. However, this result holds only if the instance of the problem contains jobs consisting of at least three operations. This paper considers the open shop scheduling problem, provided that each job consists of at most two operations, one of which is to be processed on one of the m⩾2 machines, while the other operation must be performed on the bottleneck machine, the same for all jobs. For this NP-hard problem we present a heuristic algorithm and show that its worst-case performance ratio is 5/4.

Three-machine shop scheduling with partially ordered processing routes

This paper considers the problem of sequencing n jobs in a three-machine shop with the objective of minimising the maximum completion time. The shop consists of three machines, M1,M2 and M_{3}. A job is first processed on M1 and then is assigned either the route (M2,M_{3}) or the route (M_{3},M2). Thus, for our model the processing route is given by a partial order of machines, as opposed to the linear order of machines for a job shop, or to an arbitrary sequence of machines for an open shop. The main result is on O(nlog n) time heuristic, which generates a schedule with the makespan that is at most 5/3 times the optimum value.