{"title":"Markov decision process design: A framework for integrating strategic and operational decisions","authors":"Seth Brown, Saumya Sinha, Andrew J. Schaefer","doi":"10.1016/j.orl.2024.107090","DOIUrl":null,"url":null,"abstract":"<div><p>We consider the problem of optimally designing a system for repeated use under uncertainty. We develop a modeling framework that integrates the design and operational phases, which are represented by a mixed-integer program and discounted-cost infinite-horizon Markov decision processes, respectively. We seek to simultaneously minimize the design costs and the subsequent expected operational costs. This problem setting arises naturally in several application areas, as we illustrate through examples. We derive a bilevel mixed-integer linear programming formulation for the problem and perform a computational study to demonstrate that realistic instances can be solved numerically.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":0.8000,"publicationDate":"2024-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Operations Research Letters","FirstCategoryId":"91","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0167637724000269","RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"OPERATIONS RESEARCH & MANAGEMENT SCIENCE","Score":null,"Total":0}
引用次数: 0
Abstract
We consider the problem of optimally designing a system for repeated use under uncertainty. We develop a modeling framework that integrates the design and operational phases, which are represented by a mixed-integer program and discounted-cost infinite-horizon Markov decision processes, respectively. We seek to simultaneously minimize the design costs and the subsequent expected operational costs. This problem setting arises naturally in several application areas, as we illustrate through examples. We derive a bilevel mixed-integer linear programming formulation for the problem and perform a computational study to demonstrate that realistic instances can be solved numerically.
期刊介绍:
Operations Research Letters is committed to the rapid review and fast publication of short articles on all aspects of operations research and analytics. Apart from a limitation to eight journal pages, quality, originality, relevance and clarity are the only criteria for selecting the papers to be published. ORL covers the broad field of optimization, stochastic models and game theory. Specific areas of interest include networks, routing, location, queueing, scheduling, inventory, reliability, and financial engineering. We wish to explore interfaces with other fields such as life sciences and health care, artificial intelligence and machine learning, energy distribution, and computational social sciences and humanities. Our traditional strength is in methodology, including theory, modelling, algorithms and computational studies. We also welcome novel applications and concise literature reviews.