This paper deals with the search of optimal paths in a multi-stage stochastic decision network as a first application of the deterministic approximation approach proposed by Tadei et al. (2019). In the network, the involved utilities are stage-dependent and contain random oscillations with an unknown probability distribution. The problem is modeled as a sequential choice of nodes in a graph layered into stages, in order to find the optimal path value in a recursive fashion. It is also shown that an optimal path solution can be derived by using a Nested Multinomial Logit model, which represents the choice probability at the different stages. The accuracy and efficiency of the proposed method are experimentally proved on a large set of randomly generated instances. Moreover, insights on the calibration of a critical parameter of the deterministic approximation are also provided.
Optimal paths in multi-stage stochastic decision networks / Roohnavazfar, Mina; Manerba, Daniele; DE MARTIN, JUAN CARLOS; Tadei, Roberto. - In: OPERATIONS RESEARCH PERSPECTIVES. - ISSN 2214-7160. - ELETTRONICO. - 6:100124(2019), pp. 1-10. [10.1016/j.orp.2019.100124]
|Titolo:||Optimal paths in multi-stage stochastic decision networks|
|Data di pubblicazione:||2019|
|Digital Object Identifier (DOI):||http://dx.doi.org/10.1016/j.orp.2019.100124|
|Appare nelle tipologie:||1.1 Articolo in rivista|