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Loss-constrained minimum cost flow under arc failure uncertainty with applications in risk-aware kidney exchange

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  • Qipeng P. Zheng
  • Siqian Shen
  • Yuhui Shi

Abstract

In this article, we study a Stochastic Minimum Cost Flow (SMCF) problem under arc failure uncertainty, where an arc flow solution may correspond to multiple path flow representations. We assume that the failure of an arc will cause flow losses on all paths using that arc, and for any path carrying positive flows, the failure of any arc on the path will lose all flows carried by the path. We formulate two SMCF variants to minimize the cost of arc flows, while respectively restricting the Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) of random path flow losses due to uncertain arc failure (reflected as network topological changes). We formulate a linear program to compute possible losses, yielding a mixed-integer programming formulation of SMCF-VaR and a linear programming formulation of SMCF-CVaR. We present a kidney exchange problem under uncertain match failure as an application and use the two SMCF models to maximize the utility/social welfare of pairing kidneys subject to constrained risk of utility losses. Our results show the efficacy of our approaches, the conservatism of using CVaR, and optimal flow patterns given by VaR and CVaR models on diverse instances.

Suggested Citation

  • Qipeng P. Zheng & Siqian Shen & Yuhui Shi, 2015. "Loss-constrained minimum cost flow under arc failure uncertainty with applications in risk-aware kidney exchange," IISE Transactions, Taylor & Francis Journals, vol. 47(9), pages 961-977, September.
  • Handle: RePEc:taf:uiiexx:v:47:y:2015:i:9:p:961-977
    DOI: 10.1080/0740817X.2014.991476
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    Citations

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    Cited by:

    1. Pengfei Zhang & Neng Fan, 2017. "Analysis of budget for interdiction on multicommodity network flows," Journal of Global Optimization, Springer, vol. 67(3), pages 495-525, March.
    2. Anna Timonina‐Farkas & René Y. Glogg & Ralf W. Seifert, 2022. "Limiting the impact of supply chain disruptions in the face of distributional uncertainty in demand," Production and Operations Management, Production and Operations Management Society, vol. 31(10), pages 3788-3805, October.
    3. Hyunwoo Lee & Seokhyun Chung & Taesu Cheong & Sang Hwa Song, 2018. "Accounting for Fairness in a Two-Stage Stochastic Programming Model for Kidney Exchange Programs," IJERPH, MDPI, vol. 15(7), pages 1-16, July.
    4. Zhouchun Huang & Qipeng Phil Zheng & Eduardo Pasiliao & Vladimir Boginski & Tao Zhang, 2019. "A cutting plane method for risk-constrained traveling salesman problem with random arc costs," Journal of Global Optimization, Springer, vol. 74(4), pages 839-859, August.
    5. Juan Ma & Balabhaskar Balasundaram, 2019. "On the chance-constrained minimum spanning k-core problem," Journal of Global Optimization, Springer, vol. 74(4), pages 783-801, August.
    6. Zhouchun Huang & Qipeng P. Zheng & Eduardo L. Pasiliao & Daniel Simmons, 2017. "Exact algorithms on reliable routing problems under uncertain topology using aggregation techniques for exponentially many scenarios," Annals of Operations Research, Springer, vol. 249(1), pages 141-162, February.
    7. René Y. Glogg & Anna Timonina-Farkas & Ralf W. Seifert, 2022. "Modeling and mitigating supply chain disruptions as a bilevel network flow problem," Computational Management Science, Springer, vol. 19(3), pages 395-423, July.

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