Multi-Period Hub Location with Time Series

Francisco Saldanha-da-Gama and Shuming Wang
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Francisco Saldanha-da-Gama: Sheffield University Management School
Shuming Wang: University of Chinese Academy of Science

Chapter Chapter 15 in Facility Location Under Uncertainty, 2024, pp 471-488 from Springer

Abstract: Abstract This chapter discusses the application of distributionally robust optimization to an uncapacitated multi-period hub location. Uncertain periodic demand is assumed. A nested ambiguity set is constructed, incorporating a general multivariate time series model for uncertain periodic demands. To ensure stable cost flows, each expected periodic cost is limited by a budget while maximizing the robustness level in terms of the size of the ambiguity set. It is shown that the budget-driven uncapacitated model constructed optimizes a “Sharpe Ratio” type criterion over the worst case among all periods. The influence of the budgets on the optimal robustness level is also discussed. To efficiently solve the resulting model, a bisection search algorithm is presented that solves (in each iteration) a mixed-integer conic program. Numerical experiments support the attractiveness of the model.

Keywords: Hub location; Financial budget; Time series; Robust optimization; Wasserstein distance (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-3-031-55927-3_15

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DOI: 10.1007/978-3-031-55927-3_15

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