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Siqian Shen

Publications and source records attributed to Siqian Shen.

At least 19 recordsLinked to original sources

Multi-Stage Stochastic Optimization and Reinforcement Learning Approaches for Dynamic Inspection of Infrastructure Systems

We study a dynamic inspection problem for infrastructure systems in which multiple vehicles are routed and scheduled to monitor components subject to heterogeneous and stochastic failures. A key challenge is endogenous uncertainty in which failure-time realizations are filtered through prior inspection actions and failure-propagation dynamics. This yields a multi-stage decision problem that integrates routing, scheduling, and decision-dependent reliability dynamics over time. We formulate the problem as a multi-stage stochastic mixed-integer program that jointly optimizes routing and scheduling decisions under endogenous uncertainty. We develop a stochastic dual dynamic integer programming (SDDiP) algorithm that integrates dual approximation, integer state reduction, and sampling-based forward simulation to approximate cost-to-go functions. In parallel, we propose a reinforcement learning framework that learns job clustering structures and routing policies through interaction with simulated system dynamics and failure processes. Numerical experiments on infrastructure networks with diverse topologies and failure patterns show that SDDiP yields high-quality solutions but faces scalability limitations, while the learning-based approach achieves strong scalability with competitive performance, highlighting a trade-off between optimality and tractability. This work advances the modeling of endogenous uncertainty in multi-stage stochastic routing problems and bridges stochastic programming with learning-based approaches. The results provide guidance on when to deploy optimization-based versus learning-based methods, enabling more effective and scalable inspection planning in practice. More broadly, the framework supports risk-aware allocation of inspection resources and improved reliability of critical infrastructure systems.

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Supermodularity and Submodularity in Network Interdiction

We study a bilevel network interdiction problem, with an attacker interdicting (attacking) certain components of a network and a defender optimizing operations over the ensuing network. We study when the defender's optimal objective is submodular or supermodular with respect to the attacker's interdiction decisions, for optimizing the bilevel integer program more efficiently. We first consider the min-cost flow (MinCF) interdiction problem and derive necessary and sufficient conditions for the supermodularity or submodularity to hold under three types of attacks, respectively on supplies/demands, flow capacities, and cost coefficients. We extend to other variants, including capacitated facility location, maximum flow (MaxF), and shortest path (SP) interdiction. The conditions hold under general network topologies and parameter settings, and depend solely on the locations of the attacks. We further incorporate additional network information (e.g., detailed parameters and special topologies) to establish less restrictive conditions. We also derive necessary and sufficient conditions for supermodularity or submodularity in SP and MaxF interdiction in series-parallel networks. Furthermore, we explore more challenging interdiction problems where the defender may make additional binary decisions (e.g., repairing or reinforcing the network) and identify conditions that preserve submodularity or recover supermodularity. Via extensive numerical studies with diverse types of attacks, we demonstrate an order-of-magnitude computational speedup achieved by exploiting these properties and generating valid inequalities, for solving network interdiction at scale.

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Optimization with Multi-sourced Information and Unknown Reliability: A Distributionally Robust Approach

In problems that involve input parameter information gathered from multiple data sources with varying reliability, incorporating decision makers' trust on different sources in optimization models can potentially improve solution performance. In this work, we propose a novel multi-reference distributionally robust optimization (MR-DRO) framework, where the model inputs are uncertain and their probability distributions can be statistically inferred from multiple information sources. Via nonparametric data fusion, we construct a Wasserstein ambiguity set to minimize the worst-case expected cost of a stochastic objective function, accounting for both uncertainty and unknown reliability of several given information sources. We reformulate the MR-DRO model as a linear program given linear objective and constraints in the original problem. We also incorporate a dynamic trust update mechanism that adjusts the trust for each source based on its performance over time. In addition, we introduce the concept of probability dominance to identify sources with dominant trust. Via computational studies using resource allocation and portfolio optimization instances, we demonstrate the effectiveness of the MR-DRO approach compared to traditional optimization frameworks relying on a single data source. Our results highlight the significance of integrating (dynamic) decision maker's trust in optimization under uncertainty, particularly when given diverse and potentially conflicting input data.

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Bilevel Mixed-Integer Linear Program with Binary Tender

Bilevel programs model sequential decision interactions between two sets of players and find wide applications in real-world complex systems. In this paper, we consider a bilevel mixed-integer linear program with binary tender, wherein the upper and lower levels are linked via binary decision variables and both levels may involve additional mixed-integer decisions. We recast this bilevel program as a single-level formulation through a value function for the lower-level problem and then propose valid inequalities to replace and iteratively approximate the value function. We first derive a family of Lagrangian-based valid inequalities that give a complete description of the value function, providing a baseline method to obtain exact solutions for the considered class of bilevel programs. To enhance the strength of this approach, we further investigate another two types of valid inequalities. First, when the lower-level value function has intrinsic special properties such as supermodularity or submodularity, we exploit such properties to separate the Lagrangian-based inequalities quickly. Second, we derive decision rule-based valid inequalities, where linear decision rules and learning techniques are explored respectively. We demonstrate the effectiveness and efficiency of the proposed methods in extensive numerical experiments, including instances of general bilevel mixed-integer programs and those of a facility location interdiction problem.

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Heterogeneous Risk Management Using a Multi-Agent Framework for Supply Chain Disruption Response

In the highly complex and stochastic global, supply chain environments, local enterprise agents seek distributed and dynamic strategies for agile responses to disruptions. Existing literature explores both centralized and distributed approaches, while most work neglects temporal dynamics and the heterogeneity of the risk management of individual agents. To address this gap, this letter presents a heterogeneous risk management mechanism to incorporate uncertainties and risk attitudes into agent communication and decision-making strategy. Hence, this approach empowers enterprises to handle disruptions in stochastic environments in a distributed way, and in particular in the context of multi-agent control and management. Through a simulated case study, we showcase the feasibility and effectiveness of the proposed approach under stochastic settings and how the decision of disruption responses changes when agents hold various risk attitudes.

cs.MA

A Distributed Approach for Agile Supply Chain Decision-Making Based on Network Attributes

In recent years, the frequent occurrence of disruptions has had a negative impact on global supply chains. To stay competitive, enterprises strive to remain agile through the implementation of efficient and effective decision-making strategies in reaction to disruptions. A significant effort has been made to develop these agile disruption mitigation approaches, leveraging both centralized and distributed decision-making strategies. Though trade-offs of centralized and distributed approaches have been analyzed in existing studies, no related work has been found on understanding supply chain performance based on the network attributes of the disrupted supply chain entities. In this paper, we characterize supply chains from a capability and network topological perspective and investigate the use of a distributed decision-making approach based on classical multi-agent frameworks. The performance of the distributed framework is evaluated through a comprehensive case study that investigates the performance of the supply chain as a function of the network structure and agent attributes within the network in the presence of a disruption. Comparison to a centralized decision-making approach highlights trade-offs between performance, computation time, and network communication based on the decision-making strategy and network architecture. Practitioners can use the outcomes of our studies to design response strategies based on agent capabilities, network attributes, and desired supply chain performance.

cs.MA

Sequential Charging Station Location Optimization under Uncertain Charging Behavior and User Growth

Charging station availability is crucial for a thriving electric vehicle market. Due to budget constraints, locating these stations usually proceeds in phases, which calls for careful consideration of the (random) charging demand growth throughout the planning horizon. This paper integrates user choice behavior into two-stage and multi-stage stochastic programming models for intracity charging station planning under demand uncertainty. We derive a second-order conic representation for the nonlinear, nonconvex formulation by taking advantage of the binary nature of location variables and propose subgradient inequalities to accelerate computation. Numerical results demonstrate the value of employing multi-stage models, particularly in scenarios of high demand fluctuations, increased demand dispersion, and high user sensitivity to the distance-to-recharge.

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Distributionally Robust Resource Allocation with Trust-aided Parametric Information Fusion

Reference information plays an essential role for making decisions under uncertainty, yet may vary across multiple data sources. In this paper, we study resource allocation in stochastic dynamic environments, where we perform information fusion based on trust of different data sources, to design an ambiguity set for attaining distributionally robust resource allocation solutions. We dynamically update the trust parameter to simulate the decision maker's trust change based on losses caused by mis-specified reference information. We show an equivalent tractable linear programming reformulation of the distributionally robust optimization model and demonstrate the performance in a wildfire suppression application, where we use drone and satellite data to estimate the needs of resources in different regions. We demonstrate how our methods can improve trust and decision accuracy. The computational time grows linearly in the number of data sources and problem sizes.

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On the Value of Risk-Averse Multistage Stochastic Programming in Capacity Planning

We consider a risk-averse stochastic capacity planning problem under uncertain demand in each period. Using a scenario tree representation of the uncertainty, we formulate a multistage stochastic integer program to adjust the capacity expansion plan dynamically as more information on the uncertainty is revealed. Specifically, in each stage, a decision maker optimizes capacity acquisition and resource allocation to minimize certain risk measures of maintenance and operational cost. We compare it with a two-stage approach that determines the capacity acquisition for all the periods up front. Using expected conditional risk measures (ECRMs), we derive a tight lower bound and an upper bound for the gaps between the optimal objective values of risk-averse multistage models and their two-stage counterparts. Based on these derived bounds, we present general guidelines on when to solve risk-averse two-stage or multistage models. Furthermore, we propose approximation algorithms to solve the two models more efficiently, which are asymptotically optimal under an expanding market assumption. We conduct numerical studies using randomly generated and real-world instances with diverse sizes, to demonstrate the tightness of the analytical bounds and efficacy of the approximation algorithms. We find that the gaps between risk-averse multistage and two-stage models increase as the variability of the uncertain parameters increases and decrease as the decision maker becomes more risk-averse. Moreover, stagewise-dependent scenario tree attains much higher gaps than stagewise-independent counterpart, while the latter produces tighter analytical bounds.

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Learning to Solve Bilevel Programs with Binary Tender

Bilevel programs (BPs) find a wide range of applications in fields such as energy, transportation, and machine learning. As compared to BPs with continuous (linear/convex) optimization problems in both levels, the BPs with discrete decision variables have received much less attention, largely due to the ensuing computational intractability and the incapability of gradient-based algorithms for handling discrete optimization formulations. In this paper, we develop deep learning techniques to address this challenge. Specifically, we consider a BP with binary tender, wherein the upper and lower levels are linked via binary variables. We train a neural network to approximate the optimal value of the lower-level problem, as a function of the binary tender. Then, we obtain a single-level reformulation of the BP through a mixed-integer representation of the value function. Furthermore, we conduct a comparative analysis between two types of neural networks: general neural networks and the novel input supermodular neural networks, studying their representational capacities. To solve high-dimensional BPs, we introduce an enhanced sampling method to generate higher-quality samples and implement an iterative process to refine solutions. We demonstrate the performance of these approaches through extensive numerical experiments, whose lower-level problems are linear and mixed-integer programs, respectively.

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Frequency Stability-Constrained Unit Commitment: Tight Approximation using Bernstein Polynomials

As we replace conventional synchronous generators with renewable energy, the frequency security of power systems is at higher risk. This calls for a more careful consideration of unit commitment (UC) and primary frequency response (PFR) reserves. This paper studies frequency-secured UC under significant wind power uncertainty. We coordinate the thermal units and wind farms to provide frequency support, wherein we optimize the variable inverter droop factors of the wind farms for higher economy. In addition, we adopt distributionally robust chance constraints (DRCCs) to handle the wind power uncertainty. To depict the frequency dynamics, we incorporate a differential-algebraic equation (DAE) with the dead band into the UC model. Notably, we apply Bernstein polynomials to derive tight inner approximation of the DAE and obtain mixed-integer linear constraints, which can be computed in off-the-shelf solvers. Case studies demonstrate the tightness and effectiveness of the proposed method in guaranteeing frequency security.

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Binary Quantum Control Optimization with Uncertain Hamiltonians

Optimizing the controls of quantum systems plays a crucial role in advancing quantum technologies. The time-varying noises in quantum systems and the widespread use of inhomogeneous quantum ensembles raise the need for high-quality quantum controls under uncertainties. In this paper, we consider a stochastic discrete optimization formulation of a binary optimal quantum control problem involving Hamiltonians with predictable uncertainties. We propose a sample-based reformulation that optimizes both risk-neutral and risk-averse measurements of control policies, and solve these with two gradient-based algorithms using sum-up-rounding approaches. Furthermore, we discuss the differentiability of the objective function and prove upper bounds of the gaps between the optimal solutions to binary control problems and their continuous relaxations. We conduct numerical studies on various sized problem instances based of two applications of quantum pulse optimization; we evaluate different strategies to mitigate the impact of uncertainties in quantum systems. We demonstrate that the controls of our stochastic optimization model achieve significantly higher quality and robustness compared to the controls of a deterministic model.

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Switching Time Optimization for Binary Quantum Optimal Control

Quantum optimal control is a technique for controlling the evolution of a quantum system and has been applied to a wide range of problems in quantum physics. We study a binary quantum control optimization problem, where control decisions are binary-valued and the problem is solved in diverse quantum algorithms. In this paper, we utilize classical optimization and computing techniques to develop an algorithmic framework that sequentially optimizes the number of control switches and the duration of each control interval on a continuous time horizon. Specifically, we first solve the continuous relaxation of the binary control problem based on time discretization and then use a heuristic to obtain a controller sequence with a penalty on the number of switches. Then, we formulate a switching time optimization model and apply sequential least-squares programming with accelerated time-evolution simulation to solve the model. We demonstrate that our computational framework can obtain binary controls with high-quality performance and also reduce computational time via solving a family of quantum control instances in various quantum physics applications.

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A Multi-objective Mixed-integer Programming Approach for Supply Chain Disruption Response with Lead-Time Awareness

Supply chain (SC) risk management is influenced by both spatial and temporal attributes of different entities (suppliers, retailers, and customers). Each entity has given capacity and lead time for processing and transporting products to downstream entities. Under disruptive events, lead time and capacities may vary, which affects the overall SC performance. There have been many studies on SC disruption mitigation, but often without considering lead time and the magnitude of lateness. In this paper, we formulate a mixed-integer programming (MIP) model to optimize SC operations via a routing and scheduling approach, to model the delivery time of products at different entities as they flow throughout the SC network. We minimize a weighted sum of multiple objectives involving costs related to transportation, shortage, and delivery lateness. We also develop a discrete-event simulation framework to evaluate the performance of solutions to the MIP model under lead time uncertainty. Via extensive numerical studies, we show how the attributes of SC entities affect the performance, so that we can improve SC design and operations under various uncertainties.

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Risk-Averse Reinforcement Learning via Dynamic Time-Consistent Risk Measures

Traditional reinforcement learning (RL) aims to maximize the expected total reward, while the risk of uncertain outcomes needs to be controlled to ensure reliable performance in a risk-averse setting. In this paper, we consider the problem of maximizing dynamic risk of a sequence of rewards in infinite-horizon Markov Decision Processes (MDPs). We adapt the Expected Conditional Risk Measures (ECRMs) to the infinite-horizon risk-averse MDP and prove its time consistency. Using a convex combination of expectation and conditional value-at-risk (CVaR) as a special one-step conditional risk measure, we reformulate the risk-averse MDP as a risk-neutral counterpart with augmented action space and manipulation on the immediate rewards. We further prove that the related Bellman operator is a contraction mapping, which guarantees the convergence of any value-based RL algorithms. Accordingly, we develop a risk-averse deep Q-learning framework, and our numerical studies based on two simple MDPs show that the risk-averse setting can reduce the variance and enhance robustness of the results.

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Binary Control Pulse Optimization for Quantum Systems

Quantum control aims to manipulate quantum systems toward specific quantum states or desired operations. Designing highly accurate and effective control steps is vitally important to various quantum applications, including energy minimization and circuit compilation. In this paper we focus on discrete binary quantum control problems and apply different optimization algorithms and techniques to improve computational efficiency and solution quality. Specifically, we develop a generic model and extend it in several ways. We introduce a squared $L_2$-penalty function to handle additional side constraints, to model requirements such as allowing at most one control to be active. We introduce a total variation (TV) regularizer to reduce the number of switches in the control. We modify the popular gradient ascent pulse engineering (GRAPE) algorithm, develop a new alternating direction method of multipliers (ADMM) algorithm to solve the continuous relaxation of the penalized model, and then apply rounding techniques to obtain binary control solutions. We propose a modified trust-region method to further improve the solutions. Our algorithms can obtain high-quality control results, as demonstrated by numerical studies on diverse quantum control examples.

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Sequential Competitive Facility Location: Exact and Approximate Algorithms

We study a competitive facility location problem (CFLP), where two firms sequentially open new facilities within their budgets, in order to maximize their market shares of demand that follows a probabilistic choice model. This process is a Stackelberg game and admits a bilevel mixed-integer nonlinear program (MINLP) formulation. We derive an equivalent, single-level MINLP reformulation and exploit the problem structures to derive two valid inequalities, based on submodularity and concave overestimation, respectively. We use the two valid inequalities in a branch-and-cut algorithm to find globally optimal solutions. Then, we propose an approximation algorithm to find good-quality solutions with a constant approximation guarantee. We develop several extensions by considering general facility-opening costs, outside competitors, as well as diverse facility-planning decisions, and discuss solution approaches for each extension. We conduct numerical studies to demonstrate that the exact algorithm significantly accelerates the computation of CFLP on large-sized instances that have not been solved optimally or even heuristically by existing methods, and the approximation algorithm can quickly find high-quality solutions. We derive managerial insights based on sensitivity analysis of different settings that affect customers' probabilistic choices and the ensuing demand.

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Resource Distribution Under Spatiotemporal Uncertainty of Disease Spread: Stochastic versus Robust Approaches

We consider the problem of optimizing locations of distribution centers (DCs) and plans for distributing resources such as test kits and vaccines, under spatiotemporal uncertainties of disease spread and demand for the resources. We aim to balance the operational cost (including costs of deploying facilities, shipping, and storage) and quality of service (reflected by demand coverage), while ensuring equity and fairness of resource distribution across multiple populations. We compare a sample-based stochastic programming (SP) approach with a distributionally robust optimization (DRO) approach using a moment-based ambiguity set. Numerical studies are conducted on instances of distributing COVID-19 vaccines in the United States and test kits, to compare SP and DRO models with a deterministic formulation using estimated demand and with the current resource distribution plans implemented in the US. We demonstrate the results over distinct phases of the pandemic to estimate the cost and speed of resource distribution depending on scale and coverage, and show the ``demand-driven'' properties of the SP and DRO solutions. Our results further indicate that if the worst-case unmet demand is prioritized, then the DRO approach is preferred despite of its higher overall cost. Nevertheless, the SP approach can provide an intermediate plan under budgetary restrictions without significant compromises in demand coverage.

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