Risk-averse multi-stage stochastic optimization for surveillance and operations planning of a forest insect infestation

Sabah Bushaj, İ. Esra Büyüktahtakın and Robert G. Haight

European Journal of Operational Research, 2022, vol. 299, issue 3, 1094-1110

Abstract: We derive a nested risk measure for a maximization problem and implement it in a scenario-based formulation of a multi-stage stochastic mixed-integer programming problem. We apply the risk-averse formulation to the surveillance and control of a non-native forest insect, the emerald ash borer (EAB), a wood-boring beetle native to Asia and recently discovered in North America. Spreading across the eastern United States and Canada, EAB has killed millions of ash trees and cost homeowners and local governments billions of dollars. We present a mean-Conditional Value-at-Risk (CVaR), multi-stage, stochastic mixed-integer programming model to optimize a manager’s decisions about surveillance and control of EAB. The objective is to maximize the benefits of healthy ash trees in forests and urban environments under a fixed budget. Combining the risk-neutral objective with a risk measure allows for a trade-off between the weighted expected benefits from ash trees and the expected risks associated with experiencing extremely damaging scenarios. We define scenario dominance cuts (sdc) for the maximization problem and under the decision-dependent uncertainty. We then solve the model using the sdc cutting plane algorithm for varying risk parameters. Computational results demonstrate that scenario dominance cuts significantly improve the solution performance relative to that of CPLEX. Our CVaR risk-averse approach also raises the objective value of the least-benefit scenarios compared to the risk-neutral model. Results show a shift in the optimal strategy from applying less expensive insecticide treatment to more costly tree removal as the manager becomes more risk-averse. We also find that risk-averse managers survey more often to reduce the risk of experiencing adverse outcomes.

Keywords: (R) OR in Natural Resources; Multi-Stage Stochastic Optimization; Risk-Averse; Conditional Value-at-Risk (CVaR); Mixed Integer Programming; Scenario Dominance Cuts; Spatial-Temporal Optimization (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S037722172100727X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:299:y:2022:i:3:p:1094-1110

DOI: 10.1016/j.ejor.2021.08.035

Access Statistics for this article

European Journal of Operational Research is currently edited by Roman Slowinski, Jesus Artalejo, Jean-Charles. Billaut, Robert Dyson and Lorenzo Peccati

More articles in European Journal of Operational Research from Elsevier
Bibliographic data for series maintained by Catherine Liu ().