This paper considers a class of two-stage stochastic mixed-integer optimization problems where, for a given first-stage solution, we can determine the optimal values of recourse variables sequentially. This class of problems arises in a wide variety of applications. In the case of multivariate discrete distributions for uncertain parameters, a standard stochastic programming formulation of these problems involves an exponential number of scenarios, therefore an exponential number of variables and constraints. We propose a new mixed-integer programming modeling approach where the number of variables and constraints is independent of the number of scenarios and scales at most pseudopolynomially with the problem size. The proposed modeling approach relies on state variables that track the system’s state as the uncertainty realizes sequentially. We demonstrate the advantages of the proposed approach in two applications arising in project scheduling and operating room allocation. Summary of Contribution: This paper proposes a new modeling approach for a class of two-stage stochastic optimization problems that is computationally more efficient than the traditional scenario-based stochastic integer programming models. The proposed modeling approach relies on state variables that track the system's state as the uncertainty realizes sequentially. We demonstrated the efficiency of the proposed approach by computational results on two applications in project scheduling and operating room allocation.

This paper addresses a class of two-stage robust optimization models with an exponential number of scenarios given implicitly. We apply Dantzig–Wolfe decomposition to exploit the structure of these models and show that the original problem reduces to a single-stage robust problem. We propose a Benders algorithm for the reformulated single-stage problem. We also develop a heuristic algorithm that dualizes the linear programming relaxation of the inner maximization problem in the reformulated model and iteratively generates cuts to shape the convex hull of the uncertainty set. We combine this heuristic with the Benders algorithm to create a more effective hybrid Benders algorithm. Because the master problem and subproblem in the Benders algorithm are mixed-integer programs, it is computationally demanding to solve them optimally at each iteration of the algorithm. Therefore, we develop novel stopping conditions for these mixed-integer programs and provide the relevant convergence proofs. Extensive computational experiments on a nurse planning problem and a two-echelon supply chain problem are performed to evaluate the efficiency of the proposed algorithms.

This paper presents an efficient algorithm for an integrated operating room planning and scheduling problem. It combines the assignment of surgeries to operating rooms and scheduling over a short-term planning horizon. This integration results in more stable planning through consideration of the operational details at the scheduling level, and this increases the chance of successful implementation. We take into account the maximum daily working hours of surgeons, prevent the overlapping of surgeries performed by the same surgeon, allow time for the obligatory cleaning when switching from infectious to noninfectious cases, and respect the surgery deadlines. We formulate the problem using a mathematical programming model and develop a branch-and-price-and-cut algorithm based on a constraint programming model for the subproblem. We also develop dominance rules and a fast infeasibility-detection algorithm based on a multidimensional knapsack problem to improve the efficiency of the constraint programming model. The computational results show that our method has an average optimality gap of 2.81% and significantly outperforms a compact mathematical formulation in the literature.