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An accelerated L-shaped method for solving two-stage stochastic programs in disaster management

Author

Listed:
  • Emilia Grass

    (Hamburg University of Technology)

  • Kathrin Fischer

    (Hamburg University of Technology)

  • Antonia Rams

    (Hamburg University of Technology)

Abstract

Mitigating the disastrous effects of natural disasters by performing preparation activities is one of the main purposes of relief organizations. However, the high degree of uncertainty associated with disasters impedes the work of aid agencies considerably. In this regard, two-stage stochastic programs are often used in the relevant literature to support decision making in these situations. An accelerated L-shaped method is proposed in this work, which solves realistic large-scale two-stage stochastic problems within a reasonable time-frame, allowing relief organizations to react to short-term forecasts, as e.g. available in case of hurricanes or floods. In particular, computation times needed for solving the resulting sub-problems via a specialized interior-point method are significantly reduced by exploiting the specific structure of second-stage constraints. To show the superiority of this approach with respect to solution times, a realistic large-scale case study is developed for America’s hurricane-prone south-east coast. The accelerated L-shaped method outperforms the standard L-shaped method significantly whereas a commercial solver failed to solve the case study within an acceptable time-frame.

Suggested Citation

  • Emilia Grass & Kathrin Fischer & Antonia Rams, 2020. "An accelerated L-shaped method for solving two-stage stochastic programs in disaster management," Annals of Operations Research, Springer, vol. 284(2), pages 557-582, January.
    • Handle: RePEc:spr:annopr:v:284:y:2020:i:2:d:10.1007_s10479-018-2880-5
    DOI: 10.1007/s10479-018-2880-5
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    References listed on IDEAS

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    3. Liu, Tongxin & Shao, Jianfang & Wang, Xihui, 2022. "Funding allocations for disaster preparation considering catastrophe insurance," Socio-Economic Planning Sciences, Elsevier, vol. 84(C).

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