Mathematical

Problems in
Engineering
Theory, Methods, and Applications
Special Issue
Optimization Theory, Methods, and Applications in Engineering

Guest Editors: Jung-Fa Tsai, John Gunnar Carlsson, Dongdong Ge,

Yi-Chung Hu, and Jianming Shi

Hindawi Publishing Corporation

http://www.hindawi.com
Optimization Theory, Methods,
and Applications in Engineering
Mathematical Problems in Engineering

Optimization Theory, Methods,

and Applications in Engineering
Guest Editors: Jung-Fa Tsai, John Gunnar Carlsson,
Dongdong Ge, Yi-Chung Hu, and Jianming Shi
Copyright q 2012 Hindawi Publishing Corporation. All rights reserved.

This is a special issue published in “Mathematical Problems in Engineering.” All articles are open access articles distributed
under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any
medium, provided the original work is properly cited.
Editorial Board
Mohamed Abd El Aziz, Egypt Horst Ecker, Austria Tomasz Kapitaniak, Poland
E. M. Abdel-Rahman, Canada M. Onder Efe, Turkey Hamid Reza Karimi, Norway
Rashid K. Abu Al-Rub, USA Elmetwally Elabbasy, Egypt Metin O. Kaya, Turkey
Salvatore Alfonzetti, Italy Alex Elias-Zuniga, Mexico Nikolaos Kazantzis, USA
Igor Andrianov, Germany Anders Eriksson, Sweden Farzad Khani, Iran
Sebastian Anita, Romania Vedat S. Erturk, Turkey Kristian Krabbenhoft, Australia
W. Assawinchaichote, Thailand Qi Fan, USA Jurgen Kurths, Germany
Erwei Bai, USA Moez Feki, Tunisia Claude Lamarque, France
Ezzat G. Bakhoum, USA Ricardo Femat, Mexico F. Lamnabhi-Lagarrigue, France
José Manoel Balthazar, Brazil Rolf Findeisen, Germany Marek Lefik, Poland
Rasajit K. Bera, India R. A. Fontes Valente, Portugal Stefano Lenci, Italy
Jonathan N. Blakely, USA C. R. Fuerte-Esquivel, Mexico Roman Lewandowski, Poland
Stefano Boccaletti, Spain Zoran Gajic, USA Ming Li, China
Daniela Boso, Italy Ugo Galvanetto, Italy Shanling Li, Canada
M. Boutayeb, France Xin-Lin Gao, USA Tao Li, China
Michael J. Brennan, UK Furong Gao, Hong Kong Jian Li, China
John Burns, USA Behrouz Gatmiri, Iran Shihua Li, China
Salvatore Caddemi, Italy Oleg V. Gendelman, Israel Teh-Lu Liao, Taiwan
Piermarco Cannarsa, Italy Didier Georges, France P. Liatsis, UK
Jose E. Capilla, Spain P. Batista Gonçalves, Brazil Jui-Sheng Lin, Taiwan
Carlo Cattani, Italy Oded Gottlieb, Israel Shueei M. Lin, Taiwan
Marcelo M. Cavalcanti, Brazil Fabrizio Greco, Italy Yuji Liu, China
Diego J. Celentano, Chile Quang Phuc Ha, Australia Wanquan Liu, Australia
Mohammed Chadli, France M. R. Hajj, USA Bin Liu, Australia
Arindam Chakraborty, USA Thomas Hanne, Switzerland Paolo Lonetti, Italy
Yong-Kui Chang, China Tasawar Hayat, Pakistan V. C. Loukopoulos, Greece
Michael J. Chappell, UK Katica R. Hedrih, Serbia Junguo Lu, China
Kui Fu Chen, China M.I. Herreros, Spain Chien-Yu Lu, Taiwan
Xinkai Chen, Japan Wei-Chiang Hong, Taiwan Alexei Mailybaev, Brazil
Kue-Hong Chen, Taiwan J. Horacek, Czech Republic Manoranjan Maiti, India
Jyh Horng Chou, Taiwan Chuangxia Huang, China O. Daniel Makinde, South Africa
Slim Choura, Tunisia Gordon Huang, Canada R. Martinez-Guerra, Mexico
Cesar Cruz-Hernandez, Mexico Yi Feng Hung, Taiwan Driss Mehdi, France
Swagatam Das, India Hai-Feng Huo, China Roderick Melnik, Canada
Filippo de Monte, Italy Asier Ibeas, Spain Xinzhu Meng, China
Maria de Pinho, Portugal Anuar Ishak, Malaysia Y. Vladimirovich Mikhlin, Ukraine
Antonio Desimone, Italy Reza Jazar, Australia G. Milovanovic, Serbia
Yannis Dimakopoulos, Greece Zhijian Ji, China Ebrahim Momoniat, South Africa
Baocang Ding, China J. Jiang, China Trung Nguyen Thoi, Vietnam
Joao B. R. Do Val, Brazil J. J. Judice, Portugal Hung Nguyen-Xuan, Vietnam
Daoyi Dong, Australia Tadeusz Kaczorek, Poland Ben T. Nohara, Japan
Balram Dubey, India Tamas Kalmar-Nagy, USA Anthony Nouy, France
Sotiris K. Ntouyas, Greece Massimo Scalia, Italy Youqing Wang, China
Gerard Olivar, Colombia Mohamed A. Seddeek, Egypt Yongqi Wang, Germany
Claudio Padra, Argentina Alexander P. Seyranian, Russia Cheng C. Wang, Taiwan
Francesco Pellicano, Italy Leonid Shaikhet, Ukraine Moran Wang, USA
Matjaz Perc, Slovenia Cheng Shao, China Yijing Wang, China
Vu Ngoc Phat, Vietnam Daichao Sheng, Australia Gerhard-Wilhelm Weber, Turkey
A. Pogromsky, The Netherlands Tony Sheu, Taiwan Jeroen A. S. Witteveen, USA
Seppo Pohjolainen, Finland Jian-Jun Shu, Singapore Kwok-Wo Wong, Hong Kong
Stanislav Potapenko, Canada Zhan Shu, UK Ligang Wu, China
Sergio Preidikman, USA Dan Simon, USA Zheng-Guang Wu, China
Carsten Proppe, Germany Luciano Simoni, Italy Wang Xing-yuan, China
Hector Puebla, Mexico Grigori M. Sisoev, UK X. Frank Xu, USA
Justo Puerto, Spain Christos H. Skiadas, Greece Xuping Xu, USA
Dane Quinn, USA Davide Spinello, Canada Jun-Juh Yan, Taiwan
K. Ramamani Rajagopal, USA Sri Sridharan, USA Xing-Gang Yan, UK
Gianluca Ranzi, Australia Rolf Stenberg, Finland Suh-Yuh Yang, Taiwan
Sivaguru Ravindran, USA Changyin Sun, China Mahmoud T. Yassen, Egypt
G. Rega, Italy Jitao Sun, China Mohammad I. Younis, USA
Pedro Ribeiro, Portugal Xi-Ming Sun, China Huang Yuan, Germany
J. Rodellar, Spain Andrzej Swierniak, Poland S. P. Yung, Hong Kong
R. Rodriguez-Lopez, Spain Allen Tannenbaum, USA Ion Zaballa, Spain
A. J. Rodriguez-Luis, Spain Cristian Toma, Romania Arturo Zavala-Rio, Mexico
Ignacio Romero, Spain Irina N. Trendafilova, UK Ashraf M. Zenkour, Saudi Arabia
Hamid Ronagh, Australia Alberto Trevisani, Italy Yingwei Zhang, USA
Carla Roque, Portugal Jung-Fa Tsai, Taiwan Xu Zhang, China
Rubén Ruiz Garcı́a, Spain John Tsinias, Greece Lu Zhen, China
Manouchehr Salehi, Iran Kuppalapalle Vajravelu, USA Liancun Zheng, China
Miguel A. F. Sanjuán, Spain Victoria Vampa, Argentina Jian Guo Zhou, UK
Ilmar Ferreira Santos, Denmark Josep Vehi, Spain Zexuan Zhu, China
Nickolas S. Sapidis, Greece Stefano Vidoli, Italy Mustapha Zidi, France
Bozidar Sarler, Slovenia Xiaojun Wang, China
Andrey V. Savkin, Australia Dan Wang, China
Contents
Optimization Theory, Methods, and Applications in Engineering, Jung-Fa Tsai,
John Gunnar Carlsson, Dongdong Ge, Yi-Chung Hu, and Jianming Shi
Volume 2012, Article ID 759548, 7 pages

A Stone Resource Assignment Model under the Fuzzy Environment, Liming Yao, Jiuping Xu,
and Feng Guo
Volume 2012, Article ID 265837, 26 pages

Dynamic Programming and Heuristic for Stochastic Uncapacitated Lot-Sizing Problems with
Incremental Quantity Discount, Yuli Zhang, Shiji Song, Cheng Wu, and Wenjun Yin
Volume 2012, Article ID 582323, 21 pages

Sparse Signal Recovery via ECME Thresholding Pursuits, Heping Song and Guoli Wang
Volume 2012, Article ID 478931, 22 pages

Variable Neighborhood Search for Parallel Machines Scheduling Problem with Step
Deteriorating Jobs, Wenming Cheng, Peng Guo, Zeqiang Zhang, Ming Zeng, and Jian Liang
Volume 2012, Article ID 928312, 20 pages

Global Sufficient Optimality Conditions for a Special Cubic Minimization Problem,

Xiaomei Zhang, Yanjun Wang, and Weimin Ma
Volume 2012, Article ID 871741, 16 pages

A Two-Stage DEA to Analyze the Effect of Entrance Deregulation on Iranian Insurers:

A Robust Approach, Seyed Gholamreza Jalali Naini and Hamid Reza Nouralizadeh
Volume 2012, Article ID 423524, 24 pages

Solving Constrained Global Optimization Problems by Using Hybrid Evolutionary

Computing and Artificial Life Approaches, Jui-Yu Wu
Volume 2012, Article ID 841410, 36 pages

A Hybrid Algorithm Based on ACO and PSO for Capacitated Vehicle Routing Problems,
Yucheng Kao, Ming-Hsien Chen, and Yi-Ting Huang
Volume 2012, Article ID 726564, 17 pages

New Bounds for Ternary Covering Arrays Using a Parallel Simulated Annealing,
Himer Avila-George, Jose Torres-Jimenez, and Vicente Hernández
Volume 2012, Article ID 897027, 19 pages

A VNS Metaheuristic with Stochastic Steps for Max 3-Cut and Max 3-Section, Ai-fan Ling
Volume 2012, Article ID 475018, 16 pages

Opposition-Based Barebones Particle Swarm for Constrained Nonlinear Optimization

Problems, Hui Wang
Volume 2012, Article ID 761708, 12 pages

A New Hybrid Nelder-Mead Particle Swarm Optimization for Coordination Optimization of

Directional Overcurrent Relays, An Liu and Ming-Ta Yang
Volume 2012, Article ID 456047, 18 pages
Evaluating the Performance of Taiwan Homestay Using Analytic Network Process,
Yi-Chung Hu, Jen-Hung Wang, and Ru-Yu Wang
Volume 2012, Article ID 827193, 24 pages

Mixed Mortar Element Method for P1NC /P0 Element and Its Multigrid Method for
the Incompressible Stokes Problem, Yaqin Jiang and Jinru Chen
Volume 2012, Article ID 979307, 18 pages

Applying Neural Networks to Prices Prediction of Crude Oil Futures, John Wei-Shan Hu,
Yi-Chung Hu, and Ricky Ray-Wen Lin
Volume 2012, Article ID 959040, 12 pages

A Novel Method for Technology Forecasting and Developing R&D Strategy of Building
Integrated Photovoltaic Technology Industry, Yu-Jing Chiu and Tao-Ming Ying
Volume 2012, Article ID 273530, 24 pages

Solving the Tractor and Semi-Trailer Routing Problem Based on a Heuristic Approach,
Hongqi Li, Yue Lu, Jun Zhang, and Tianyi Wang
Volume 2012, Article ID 182584, 12 pages

Combining Diffusion and Grey Models Based on Evolutionary Optimization Algorithms to

Forecast Motherboard Shipments, Fu-Kwun Wang, Yu-Yao Hsiao, and Ku-Kuang Chang
Volume 2012, Article ID 849634, 10 pages

Adaptive Method for Solving Optimal Control Problem with State and Control Variables,
Louadj Kahina and Aidene Mohamed
Volume 2012, Article ID 209329, 15 pages

A Hybrid Network Model to Extract Key Criteria and Its Application for Brand Equity
Evaluation, Chin-Yi Chen and Chung-Wei Li
Volume 2012, Article ID 971303, 14 pages

Solving Packing Problems by a Distributed Global Optimization Algorithm, Nian-Ze Hu,

Han-Lin Li, and Jung-Fa Tsai
Volume 2012, Article ID 931092, 13 pages

Hybrid Optimization Approach for the Design of Mechanisms Using a New Error Estimator,
A. Sedano, R. Sancibrian, A. de Juan, F. Viadero, and F. Egaña
Volume 2012, Article ID 151590, 20 pages

Goal-Programming-Driven Genetic Algorithm Model for Wireless Access Point Deployment

Optimization, Chen-Shu Wang and Ching-Ter Chang
Volume 2012, Article ID 780637, 14 pages

Multithreshold Segmentation Based on Artificial Immune Systems, Erik Cuevas,

Valentin Osuna-Enciso, Daniel Zaldivar, Marco Pérez-Cisneros, and Humberto Sossa
Volume 2012, Article ID 874761, 20 pages
Quality Improvement and Robust Design Methods to a Pharmaceutical Research and
Development, Byung Rae Cho and Sangmun Shin
Volume 2012, Article ID 193246, 14 pages

A Label Correcting Algorithm for Partial Disassembly Sequences in the Production Planning
for End-of-Life Products, Pei-Fang Jennifer Tsai
Volume 2012, Article ID 569429, 13 pages

Improved Degree Search Algorithms in Unstructured P2P Networks, Guole Liu, Haipeng Peng,
Lixiang Li, Yixian Yang, and Qun Luo
Volume 2012, Article ID 923023, 18 pages

The Number of Students Needed for Undecided Programs at a College from the Supply-Chain
Viewpoint, Jin-Ling Lin, Jy-Hsin Lin, and Kao-Shing Hwang
Volume 2012, Article ID 276519, 12 pages

A Review of Deterministic Optimization Methods in Engineering and Management,

Ming-Hua Lin, Jung-Fa Tsai, and Chian-Son Yu
Volume 2012, Article ID 756023, 15 pages

A Hybrid Genetic Algorithm for the Multiple Crossdocks Problem, Zhaowei Miao, Ke Fu,
and Feng Yang
Volume 2012, Article ID 316908, 18 pages

A Nonlinear Multiobjective Bilevel Model for Minimum Cost Network Flow Problem in
a Large-Scale Construction Project, Jiuping Xu, Yan Tu, and Ziqiang Zeng
Volume 2012, Article ID 463976, 40 pages

A Selection Approach for Optimized Problem-Solving Process by Grey Relational Utility

Model and Multicriteria Decision Analysis, Chih-Kun Ke and Mei-Yu Wu
Volume 2012, Article ID 293137, 14 pages

Predictor-Corrector Primal-Dual Interior Point Method for Solving Economic Dispatch

Problems: A Postoptimization Analysis, Antonio Roberto Balbo, Márcio Augusto da Silva Souza,
Edméa Cássia Baptista, and Leonardo Nepomuceno
Volume 2012, Article ID 376546, 26 pages

Applying Hierarchical Bayesian Neural Network in Failure Time Prediction, Ling-Jing Kao and
Hsin-Fen Chen
Volume 2012, Article ID 953848, 11 pages

A Fuzzy Dropper for Proportional Loss Rate Differentiation under Wireless Network with
a Multi-State Channel, Yu-Chin Szu
Volume 2012, Article ID 827137, 16 pages

A Cost-Effective Planning Graph Approach for Large-Scale Web Service Composition,

Szu-Yin Lin, Guan-Ting Lin, Kuo-Ming Chao, and Chi-Chun Lo
Volume 2012, Article ID 783476, 21 pages
An Optimal Classification Method for Biological and Medical Data, Yao-Huei Huang,
Yu-Chien Ko, and Hao-Chun Lu
Volume 2012, Article ID 398232, 17 pages

A Modified PSO Algorithm for Minimizing the Total Costs of Resources in MRCPSP,
Mohammad Khalilzadeh, Fereydoon Kianfar, Ali Shirzadeh Chaleshtari, Shahram Shadrokh,
and Mohammad Ranjbar
Volume 2012, Article ID 365697, 18 pages

Comment on “Highly Efficient Sigma Point Filter for Spacecraft Attitude and Rate
Estimation”, Baiqing Hu, Lubin Chang, An Li, and Fangjun Qin
Volume 2012, Article ID 170391, 5 pages

A Filter Algorithm with Inexact Line Search, Meiling Liu, Xueqian Li, and Qinmin Wu
Volume 2012, Article ID 349178, 20 pages

Optimal Incentive Pricing on Relaying Services for Maximizing Connection Availability in

Multihop Cellular Networks, Ming-Hua Lin and Hao-Jan Hsu
Volume 2012, Article ID 324245, 17 pages
Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 759548, 7 pages
doi:10.1155/2012/759548

Editorial
Optimization Theory, Methods,
and Applications in Engineering

Jung-Fa Tsai,1 John Gunnar Carlsson,2 Dongdong Ge,3

Yi-Chung Hu,4 and Jianming Shi5
1
Department of Business Management, National Taipei University of Technology, No. 1, Section 3,
Chung-Hsiao East Road, Taipei 10608, Taiwan
2
Program in Industrial and Systems Engineering, University of Minnesota, 111 Church Street SE,
Minneapolis, MN 55455, USA
3
Antai College of Economics & Management, Shanghai Jiao Tong University, Room 423, North Building,
535 Fahua Zhen Road, Changning, Shanghai 200052, China
4
Department of Business Administration, Chung Yuan Christian University, Chung-Li 320, Taiwan
5
Department of Information and Electronic Engineering, Muroran Institute of Technology,
27-1 Mizumoto-cho, Muroran 050-8585, Japan

Correspondence should be addressed to Jung-Fa Tsai, [email protected]

Received 4 September 2012; Accepted 4 September 2012

Copyright q 2012 Jung-Fa Tsai et al. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

Over years of development, optimization theory and methods have grown in their ability to
handle various practical problems. In light of advances in computing systems, optimization
approaches have become one of the most promising techniques for engineering applications.
To close the gap between optimization theory and the practice of engineering, this special
issue intends to provide the details of recent advances of optimization sciences and promote
the applications of optimization methods in engineering. This special issue also provides a
forum for researchers and practitioners to review and disseminate quality research work on
optimization approaches and their applications in the context of engineering and to identify
critical issues for further developments.
The papers accepted in the special issue include original research articles as well as
review articles on all aspects of optimization including deterministic approaches, continuous,
mixed-integer and discrete optimization, stochastic optimization, particle swarm optimiza-
tion, neural network, simulated annealing, genetic algorithm, and hybrid methods. Some of
the papers are dedicated to the development of advanced optimization methods for direct
or indirect use in engineering problems such as network, scheduling, production planning,
industrial engineering, and manufacturing systems. Contributions containing computational
2 Mathematical Problems in Engineering

issues, search strategies, and modeling and solution techniques to practical problems such
as multicriteria decision making and management information system are also involved.
According to the characteristics of the accepted papers, the special issue is organized as the
following four parts and each part is composed of several important papers to the part’s
scope.

Deterministic Optimization
The paper “Global sufficient optimality conditions for a special cubic minimization problem”
by X. Zhang et al. presents some sufficient global optimality conditions for a special
cubic minimization problem with box constraints or binary constraints by extending the
global subdifferential approach proposed by V. Jeyakumar in 2006. Numerical examples
demonstrate that the optimality conditions can effectively be used for identifying global
minimizers of the certain nonconvex cubic minimization problem.
Baiqing Hu, Lubin Chang, An Li, and Fangjun Qin propose a comment on “Highly
efficient sigma point filter for spacecraft attitude and rate estimation” by Fan and Zeng 2009. In
the comment, the geometric simplex sigma points GSSPs can be derived from a numerical
integration formula of degree 2 and can be generalized for different degrees, that is, the GSSP
can be derived through the orthogonal transformation from the basic points set of degree 2.
Moreover, their method can be used to construct more accurate sigma points set for certain
dynamic problems.
“Adaptive method for solving optimal control problem with state and control variables” by
L. Kahina and A. Mohamed solves the problem of optimal control with state and control
variables by adaptive method and technology of linear programming. The obtained results
show that it is possible to construct very fast solving algorithms based on the adequate
consideration of the dynamic structure of the problem in question.
M. Liu and X. Li propose a filter algorithm with inexact line search for nonlinear
programming problems that ensures superlinear local convergence without second order
correction steps. In their paper “A filter algorithm with inexact line search” a filter is constructed
by employing the norm of the gradient of the Lagrangian function to the infeasibility
measure. Numerical experiences show the efficiency of their filter algorithm.
The paper “Predictor-corrector primal-dual interior point method for solving economic
dispatch problems: a postoptimization analysis” by A. R. Balbo et al. proposes a predictor-
corrector primal-dual interior point method involving line search procedures to solve the
economic dispatch problem. Their method applies the Fibonacci search technique in the
predictor step and an Armijo line search in the corrector step. The comparative results with
other methods described in the literature demonstrate the efficiency of their method.
The paper “An optimal classification method for biological and medical data” by Y.-H. Huang
et al. proposes a union of hyper spheres by the mixed-integer nonlinear program to classify
biological and medical datasets and a piecewise linearization technique is used to reformulate
the nonlinear program to obtain a global optimum. Numerical examples illustrate that the
proposed method is computationally more efficient than current methods.
“A review of deterministic optimization methods in engineering and management” by M.-
H. Lin et al. introduces recent advances in deterministic methods for solving signomial
programming problems and mixed-integer nonlinear programming problems. A number
of important applications in engineering and management are also reviewed to reveal the
usefulness of the optimization methods.
Mathematical Problems in Engineering 3

Heuristic Algorithms
The paper “Opposition-based barebones particle swarm for constrained nonlinear optimization
problems” by H. Wang presents a modified barebones particle swarm optimization to solve
constrained nonlinear optimization problems and simulation results show that the presented
approach achieves a promising performance.
In “Multithreshold segmentation based on artificial Immune systems,” E. Cuevas et al.
present an algorithm for multi-threshold segmentation which is based on the artificial
immune systems technique. The clonal selection algorithm-based method shows a fast con-
vergence and a low sensitivity to initial conditions and improves complex time-consuming
computations commonly required by gradient-based methods.
In “New bounds for ternary covering arrays using a parallel simulated annealing” by H.
Avila-George et al. three parallel approaches for simulated annealing: the independent,
semiindependent, and cooperative searches are applied to the covering array construction
problem. The empirical evidences indicate that cooperative approach offers the best execution
times and the same bounds compared to the independent and semiindependent approaches.
In “Applying hierarchical bayesian neural network in failure time prediction,” L.-J. Kao and
H.-F. Chen apply the Hierarchical Bayesian neural network HBNN approach to predict the
failure time and utilize the Gibbs sampler of Markov Chain Monte Carlo to estimate statistical
model parameters. The results of sensitivity analysis show that HBNN can provide not only
the predictive distribution but also the heterogeneous parameter estimates for each path.
In “Applying neural networks to prices prediction of crude oil futures,” J. Wei-Shan Hu
et al. attempt to accurately forecast prices of crude oil futures by adopting three popular
neural networks methods including the multilayer perceptron, the Elman recurrent neural
network, and recurrent fuzzy neural network RFNN. Experimental results indicate that the
use of neural networks to forecast the crude oil futures prices is appropriate and consistent
learning is achieved by employing different training times. Moreover, the RFNN outperforms
the other two neural networks in forecasting crude oil futures prices.
The paper “Solving the tractor and semi-trailer routing problem based on a heuristic
approach” by H. Li et al. develops a heuristic algorithm to solve the tractor and semi-trailer
routing problem TSRP. The computational study shows that their method takes relatively
little time to obtain satisfactory solutions.
L. Yao and J. Xu tackle a stone resource assignment problem with the aim of decreasing
dust and waste water emissions. In their paper “A stone resource assignment model under
the fuzzy environment” a bilevel multiobjective optimization model with fuzzy coefficients is
constructed. They design a fuzzy simulation-based improved simulated annealing algorithm
FS-ISA to search for Pareto optimal solutions. They also present a case study to demonstrate
the practicality and efficiency of their model.
“A modified PSO algorithm for minimizing the total costs of resources in MRCPSP” by M.
Khalilzadeh et al. introduces a multimode resource-constrained project scheduling problem
with finish-to-start precedence relations among project activities, considering renewable
and nonrenewable resource costs. The authors formulate this problem as a mixed-integer
programming model and present a metaheuristic algorithm based on a modified particle
swarm optimization approach. Experimental results reveal the effectiveness and efficiency
of their algorithm.
The paper “A nonlinear multiobjective bilevel model for minimum cost network flow problem
in a large-scale construction project” by J. Xu et al. deals with a minimum cost network flow
problem in a large-scale construction project using a nonlinear multiobjective bilevel model
4 Mathematical Problems in Engineering

with birandom variables. Results and analysis are presented to highlight the performances of
the proposed method which is more effective and efficient compared to a genetic algorithm
and a simulated annealing algorithm.
“Sparse signal recovery via ECME thresholding pursuits” by H. Song and G. Wang
develops ECME thresholding pursuits EMTPs for sparse signal recovery. Two effective
support detection strategies hard thresholding and dynamic thresholding are devised
for the sparse signals with components having a fast decaying distribution of nonzero
components. The experimental studies are presented to demonstrate that EMTP offers an
appealing alternative to state-of-the-art algorithms for sparse signal recovery.

Hybrid Methods
The paper “Solving constrained global optimization problems by using hybrid evolutionary
computing and artificial life approaches” by J.-Y. Wu presents a hybrid real-coded genetic
algorithm with a particle swarm optimization PSO algorithm and a hybrid artificial
immune algorithm with a PSO algorithm for solving 13 constrained global optimization
problems, including 6 nonlinear programming and 6 generalized polynomial programming
optimization problems. Experimental results indicate that the proposed algorithms converge
to a global optimum solution.
In “Combining diffusion and grey models based on evolutionary optimization algorithms
to forecast motherboard shipments,” F.-K. Wang et al. develop a combined model based on
the rolling Grey model and the Bass diffusion model to forecast motherboard shipments.
The results indicate that the proposed model using a hybrid algorithm outperforms other
methods for the fitting and forecasting processes in terms of mean absolute percentage error.
The paper “Hybrid optimization approach for the design of mechanisms using a new error
estimator” by A. Sedano et al. proposes a hybrid optimization algorithm that combines the
advantages of both stochastic and deterministic approaches to the design of mechanisms.
Two engineering applications, a four-bar linkage and an injection machine, are presented to
demonstrate the accuracy, robustness and efficiency of their proposed approach.
“A Hybrid genetic algorithm for the multiple crossdocks problem” by Z. Miao et al. considers
multiple crossdocks problem through fixed transportation schedules with time windows,
capacity, and penalty. The authors prove that the problem is NP-hard in the strong sense and
develop a hybrid genetic algorithm integrating greedy technique and variable neighborhood
search method to solve the problem effectively and efficiently.
“A new hybrid Nelder-Mead Particle swarm optimization for Coordination optimization of
directional overcurrent relays” by A. Liu and M.-T. Yang proposes a new hybrid Nelder-Mead
simplex search method and particle swarm optimization proposed NM-PSO algorithm to
solve the directional overcurrent relays coordination optimization problem. The findings
demonstrate that the performance of the proposed NM-PSO is better than that of PSO and
original NM-PSO in terms of computation speed, rate of convergence, and feasibility.
“A VNS metaheuristic with stochastic steps for Max 3-cut and Max 3-section” by A.-f. Ling
proposes a local search algorithm and a variable neighborhood global search algorithm with
two stochastic search steps to obtain the global solution by establishing a neighborhood
structure of the Max 3-cut problem. Numerical results show that the proposed heuristic
algorithm can obtain efficiently the high-quality solutions and has the better numerical
performance than 0.836-approximate algorithm for the NP-Hard Max 3-cut and Max 3-section
problems.
Mathematical Problems in Engineering 5

The paper “Dynamic programming and heuristic for stochastic uncapacitated lot-sizing
problems with incremental quantity discount” by Y. Zhanga et al. considers the stochastic
uncapacitated lot-sizing problems with incremental quantity discount where the uncertain
parameters are supposed to evolve as discrete time stochastic processes. The obtained results
reveal that the presented algorithm outperforms the commercial solver CPLEX and other
heuristics in both quality of solution and run time.
“A hybrid algorithm based on ACO and PSO for capacitated vehicle routing problems”
by Y. Kao et al. proposes a new hybrid algorithm based on two main swarm intelligence
approaches, ant colony optimization ACO and particle swarm optimization PSO, for solv-
ing capacitated vehicle routing problems. Computational results show that the performance
of the proposed method is competitive in terms of solution quality when compared with
existing ACO-and PSO-based approaches.

Challenging Applications
The paper “Goal-programming-driven genetic algorithm model for wireless access point deployment
optimization” by C.-S. Wang and C.-T. Chang proposes a method that integrates a goal-
programming-driven model and a genetic algorithm to resolve the multiple objectives appro-
priate wireless access point deployment problem. Three experiment results demonstrate the
utility and stability of the proposed method.
S.-Y. Lin et al. paper “A cost-effective planning graph approach for large-scale web service
composition” proposes a novel cost-effective Web service composition mechanism, utilizes
planning graph based on backward search algorithm to find multiple feasible solutions, and
recommends a best composition solution according to the lowest service cost.
In “A fuzzy dropper for proportional loss rate differentiation under wireless network with
a multi-state channel,” Y.-C. Szu proposes a novel packet dropper for fuzzy controlling
the proportional loss rate differentiation in a wireless network with multi-state channel.
Simulation results reveal that the fuzzy proportional loss rate dropper does achieve accurate
loss rate proportion, lower queuing delay and loss rate, and higher throughput, compared
with other methods in the wireless environment.
The paper “Evaluating the performance of taiwan homestay using analytic network process”
by Y.-C. Hu and J.-H. Wang develops and constructs a set of evaluation indicators tailor-
made for homestay sector through discussion of literatures and interviewing experts so that
the evaluation framework would be more comprehensive and more practical.
The paper “Improved degree search algorithms in unstructured P2P networks” by G. Liu et
al. proposes two memory function degree search algorithms: memory function maximum
degree algorithm and memory function preference degree algorithm and studies their
performance including the search success rate and the search message quantity in scale-free
networks, random graph networks, and small-world networks.
The paper “Variable neighborhood search for parallel machines scheduling problem with
step-deteriorating jobs” by W. Cheng et al. studies a scheduling problem of minimizing the
total completion time on identical parallel machines where the processing time of a job is a
step function of its starting time and a deteriorating date that is individual to all jobs. The
computational results show that the proposed approaches obtain near-optimal solutions in a
reasonable computational time even for large-sized problems.
The paper “Solving packing problems by a distributed global optimization algorithm” by
N.-Z. Hu et al. develops a novel method to convert the nonlinear objective function in a
packing program into an increasing function with a single variable and two fixed parameters.
6 Mathematical Problems in Engineering

The transformed linear program is then decomposed into several subproblems by specifying
various parameter values, which is solvable simultaneously by a distributed computation
algorithm to obtain a global optimum.
The paper “A hybrid network model to extract key criteria and its application for brand equity
evaluation” by C.-Y. Chen and C.-W. Li develops a hybrid model based on social network
analysis and maximum mean deentropy algorithms for extracting evaluation criteria which
considers substitutions between the criteria. The effectiveness and feasibility of the hybrid
model are demonstrated by examples of evaluating brand equity.
The paper “Mixed mortar element method for P1NC /P0 element and its multigrid method
for the incompressible stokes problem” by Y. Jiang and J. Chen discusses a mortar-type P1NC /P0
element method for the incompressible Stokes problem. The inf-sup condition and the
optimal error estimate are proved. The study also proposes a W-cycle multigrid for solving
the discrete problem and demonstrates the optimal convergence of the multigrid method.
In “Quality improvement and robust design methods to a pharmaceutical research and
development” by B. R. Cho and S. Shin, new robust design experimental and optimization
models for time-oriented data are applied to the pharmaceutical production research and
development. Compared to the traditional Taguchi optimization model, the proposed experi-
mental methodology is particularly useful for experiments with time-oriented pharmaceuti-
cal characteristics.
The paper “A novel method for technology forecasting and developing R&D strategy of
building integrated photovoltaic technology industry” by Y.-J. Chiu and T.-M. Ying proposes
a hybrid approach to explore the life cycle of building-integrated photovoltaic BIPV
technology and develop the R&D strategy of related industries. The proposed approach
comprises patent analysis, logistic growth model analysis, and patent matrix map analysis.
The authors also provide three-dimensional matrix of degree of protection, R&D capability,
and benefit creation to select R&D strategies for BIPV industry.
J.-H. Lin et al. propose a systematic method to analyze student recruitment numbers
for future needs, based on the concept of material resource planning MRP. In their paper
“The number of students needed for undeclared programs at a college from the supply-chain view-
point,” the relationship between a curricular structure tree and the associated commonalities
is studied and a quantified model of commonality and recruitment planning for appropriate
curriculum design is proposed. The authors use two simple examples to illustrate the
implementation of MRP in analysis of the replenishment levels in an education system.
The paper “A selection approach for optimized problem-solving process by grey relational
utility model and multi-criteria decision analysis” by C.-K. Ke and M.-Y. Wu proposes an
approach to assist workers in determining the optimal selection order of candidate actions
based on a Grey relational utility model and a multi-criteria decision analysis. Experimental
results from analyzing a high-tech company’s knowledge base log demonstrate that their
selection approach is effective.
M.-H. Lin and H.-J. Hsu addresses an incentive pricing problem for relaying services
in multi-hop cellular networks. In their paper “Optimal incentive pricing on relaying services for
maximizing connection availability in multi-hop cellular networks” a mathematical programming
model is constructed and then solved to determine an optimal incentive price for each
intermediate node providing relaying services. The computational results demonstrate that
their proposed approach maximizes connection availability of the networks compared to
fixed-rate or location-based methods.
“A two stage dea to analyze the effect of entrance deregulation on iranian insurers: a robust
approach” by S. G. J. Naini et al. analyzes technical efficiency for Iranian insurance companies
Mathematical Problems in Engineering 7

between 2003 and 2010, a period that insurers experienced intense volatility due to the
entrance deregulation of the market by two-stage data envelopment analysis. The major
results show that ownership type and failure to meet the risk management rules are the main
drivers of efficiency.
“A label correcting algorithm for partial disassembly sequences in the production planning for
end-of-life products” by P.-F. Tsai investigates a single period partial disassembly optimization
problem to generate an optimal disassembly sequence in product recovery of the end-of-life
products. The study presents a heuristic procedure that utilizes a label correcting algorithm
which is a polynomial-time algorithm to find a solution. Numerical examples are also used
to demonstrate the effectiveness of the proposed solution procedure.
Finally, the guest editors would like to thank the authors for their contributions, the
referees for their time and energy in reviewing the paper, and all the staff of Hindawi involved
in the preparation of this special issue for their support to publish the articles related to this
subject. Without their cooperation, it would have not been possible to edit this special issue.

Jung-Fa Tsai
John Gunnar Carlsson
Dongdong Ge
Yi-Chung Hu
Jianming Shi
Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 265837, 26 pages
doi:10.1155/2012/265837

Research Article
A Stone Resource Assignment Model under
the Fuzzy Environment

Liming Yao, Jiuping Xu, and Feng Guo

Uncertainty Decision-Making Laboratory, Sichuan University, Chengdu 610064, China

Correspondence should be addressed to Jiuping Xu, [email protected]

Received 1 January 2012; Revised 12 April 2012; Accepted 7 May 2012

Academic Editor: Jianming Shi

Copyright q 2012 Liming Yao et al. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

This paper proposes a bilevel multiobjective optimization model with fuzzy coefficients to tackle
a stone resource assignment problem with the aim of decreasing dust and waste water emissions.
On the upper level, the local government wants to assign a reasonable exploitation amount to each
stone plant so as to minimize total emissions and maximize employment and economic profit.
On the lower level, stone plants must reasonably assign stone resources to produce different stone
products under the exploitation constraint. To deal with inherent uncertainties, the object functions
and constraints are defuzzified using a possibility measure. A fuzzy simulation-based improved
simulated annealing algorithm FS-ISA is designed to search for the Pareto optimal solutions.
Finally, a case study is presented to demonstrate the practicality and efficiency of the model.
Results and a comparison analysis are presented to highlight the performance of the optimization
method, which proves to be very efficient compared with other algorithms.

1. Introduction
The dust and the waste water from the stone industry can cause serious damage to the
regional ecological environment. The overexploitation and the stone processing have resulted
in the vegetation decrement, and the pollution of air and water in those areas with rich
stone resources. The annual amount of waste generated include 700,000 tons of slurry
waste as well as 1 million tons of solid waste. The consequent dumping of this waste
in open areas has created several environmental problems and has negatively impacted
agriculture, local inhabitants, and groundwater 1. Therefore, it is urgent to normalize
the quarrying and processing of the stone resource. Some technologies are introduced to
save energy and reduce the emission in the stone industry by many scholars 2, 3. Some
other scholars 4–6 considered the use of the marble powder to reduce the waste, but few
literatures discussed the quantitative relationship between the emission and the exploiting
2 Mathematical Problems in Engineering

and processing amount. In fact, a reasonable assignment of stone resources could significantly
reduce the emissions. This paper considers the government as the upper level and the stone
plant as the lower level to develop a bi-level model. For the stone industry, the objectives
of the government authority are to minimize environmental pollution and maximize social
employment and economic revenue. This can be achieved by optimizing the amount of stone
extracted and exploited between the participating plants, which are assumed to cooperate
and act as a lower-level decision maker. Noting that industrial symbiosis implicitly requires
the cooperative behavior of the participants 7, 8, the government can influence the plants
by imposing disincentives by assigning different amounts to stone plants according to their
production scale and clean technology level. The plants operate independently of each other.
Each plant has its own goals, which are to maximize the profit from the sale of nano
calcium carbonate, marble products, granite slabs, and man-made slabs and to minimize the
emissions of stone dust and waste water.
To develop the bi-level optimization model for assigning the stone resources, some
emission coefficients have to be effectively estimated. It is usually difficult to collect the
exact data of emissions of stone dust and waste water when exploiting the stone mine and
processing stone products. The fuzzy number is an efficient tool to describe the variables
without crisp information. The membership function of fuzzy sets can be used to describe
the possibility that emission coefficients take the value according to the experience of those
people in the stone industry. Actually, there has been some studies describing the uncertainty
by fuzzy sets. For example, Petrovic et al. 9 used fuzzy sets to describe the customer
demand, supply deliveries along the SC and the external or market supply, and develop a
supply chain model with fuzzy coefficients. Lee and Yao 10 fuzzify the demand quantity
and the production quantity per day to solve the economic production quantity. These studies
inspire us to use the fuzzy sets to interpret the vague and imprecise about the emissions of
stone dust and waste water. For the fuzzy bi-level optimization problem, a satisfactory near-
optimal or “satisficing” solution can be reached by providing tolerances in the objective
functions and constraints and by defining corresponding degrees of satisfaction through
membership functions to indicate the preference of the decision makers which is typical of
decision making in a fuzzy environment 11. The followers then communicate their results
to the leader, who modifies his goals and control variables if the original tolerances are not
met. The process continues iteratively until a solution which satisfies the goals of both leader
and follower is reached.
A bi-level multiobjective model with fuzzy coefficients is always an NP hard problem,
and it is especially difficult for nonlinear bi-level programming under a fuzzy environment
to find a numerical solution. Some existing methods mainly focus on metaheuristics which
include the genetic algorithm 12, the simulated annealing 13, and the hybrid tabu-ascent
algorithm 14. However, as these need to be designed for single-objective problems with
crisp coefficients, it is difficult to find a usual or normal pattern for a bi-level model with
fuzzy coefficients. This paper proposes an improved simulated annealing based on a fuzzy
simulation to search for a Pareto optimal solution after a possibilistic check. The following
sections of this paper are organized as follows. In Section 2, the reason a bi-level multi-
objective model is used to optimize the stone industry is explained. The process of data
fuzzification is introduced in detail. A possibilistic bi-level multi-objective programming
model is developed. In Section 3, a fuzzy simulation-based improved simulated algorithm
is proposed to solve the bi-level multi-objective programming model with fuzzy coefficients.
In Section 4, a practical case is presented to show the significance of the proposed models and
algorithms. Finally, conclusions are given in Section 5.
Mathematical Problems in Engineering 3

Minimum pollution

Leader Maximum employment

Government

Maximum revenue

Followers

··· ···
Stone-material Stone-material Stone-material
plant 1 plant i plant N

Goals Goals Goals

Maximum profit Maximum profit Maximum profit

Minimum emissions Minimum emissions Minimum emissions

Subject to Subject to Subject to

Resource limitation Resource limitation Resource limitation

Waste water Waste water Waste water

limitation limitation limitation

Granite demand Granite demand Granite demand

Nano calcium Nano calcium Nano calcium

Carbonate demand Carbonate demand Carbonate demand

Figure 1: Stone industry decision making hierarchy.

2. Mathematical Modelling
In order to develop the mathematical model, some basic background and descriptions are
introduced.

2.1. Key Problems Description

For the stone industry, local government and stone plants play important roles to perform
the responsibilities, respectively. Government has the authority to decide the amount that
should be exploited and then needs to make a sustainable plan to avoid overexploitation
and pollution. On the other hand, stone plants need to make the production plan according
to the stone quota that government gives. As shown in Figure 1, the local government
has environmental protection and maximum employment as its most important goals and
then considers the revenue. On the lower level, the stone-material plants usually consider
4 Mathematical Problems in Engineering

Primary Secondary
Transportation to Transportation
cutting/product Finishing cutting/product Packing
processing facility to storage
shaping shaping

Fuzzy emission coe fficient

Fuzzy emission

Fuzzy emission coe fficient

coefficient Scrap stone
Waste
water
Transportation to
Scrap stone Quarry
and storage at
backing
onsite location

Transportation to
Exploring and crushing at
stone mine Stone dust
Fuzzy emission coe fficient crushing facility

Figure 2: Process flow diagram for granite processing operations.

economic profit as their first goal. Due to a limitation on the amount that can be extracted and
the environmental protection requirements, they also have to consider minimizing emissions.
At the same time under a government policy and according to capacity, they also need to
think about employment. In addition, it is necessary to increase the investment to improve
emission reduction capacity to satisfy sustainable development requirements. Considering
the above, the problem should be regarded as a bi-level optimization model in which the
government authority is the upper-level decision maker and the stone plants are the lower-
level decision makers. It is assumed that there is a perfect exchange of information between
all the participants such that the objectives and constraints are known.
As shown in Figure 2, the granite is first exploited from the stone mine and cut into the
primary products such as granite slabs and man-made slabs; then, these are processed into
the floor or other products. Scrap materials are usually processed into fine powder calcium
carbonate and nano calcium carbonate to meet market demand. During the complete process,
a great deal of stone dust and waste water are produced. Since it is technically difficult to
collect the exact data of emissions, we usually make a rough estimation by the difference
of weight before and after exploiting and processing and then look for the possibility for
every weight by the professional advices in the stone industry. Therefore, the fuzzy number
is an efficient tool to describe this situation by its membership function. Actually, the fuzzy
environment has been successfully studied and applied in many areas, such as flow shop
scheduling problem 17, supply chain problem 18, and assignment problem 19. These
studies show the necessity of considering fuzzy environment in practical problems. It is
also the motivation for considering fuzzy environment in the stone resources assignment
problems.

2.2. Assumptions and Notations

Before the data fuzzification and developing the optimization model, some assumptions
should be introduced.

1 Emission of stone dust and waste water is proportional to the amount of stone
processed into products.
2 Employment level is also proportional to the amount of stone processed into
products.
Mathematical Problems in Engineering 5

3 The constant cost of product j only exists when the stone-material plant produces
product j.
4 Since the government endows different subsidies to plants, it is assumed that each
plant has its own tax rate Si and the tax is proportional to the turnover of all stone
products.

The notations are used to describe the subsidy model in the investigation are referred
to in the Abbreviations Section.

2.3. Data Fuzzification Based on Crossover Validation Test

Often there is little historical data to describe emission reduction due to the raw development
of the last decade. For example, some research considers the transport cost as uncertain
coefficients because of the changing weather and the unpredictable road condition 20, 21.
In this paper, the emission coefficients cannot be estimated using the statistical methods and
then have to fuzzificated according to those insufficient data.
The essence of fuzzification is to find an approximate membership function to describe
the fuzzy number 22. Many scholars have described some methods of determining the
membership functions that are essentially based on direct methods of inquiry made on
human beings and corrected using indirect methods 23, 24. Some other scholars propose
the automatic methods to determine the membership functions when no expert is available
or in the case when there are so many data 25. In the present paper, we will propose the
fuzzification methods by combining the 5-parameter membership function and crossover
validation test. Taking the stone dust emission coefficients Ed  as an example, the process
for fuzzificating can be summarized as follows.

 into a training set Str and a

Step 1. Split the data set S of stone dust emission coefficients Ed
validation set Sv .

Step 2. Find the smallest, middle, and largest data in S; denote them Eds , Edm , and Edl ,
respectively.

Step 3. Compute the left and right slops for the data in Str by the following equations;
respectively,
⎧
⎪
⎪ Eds Edm − 2x Eds Edm
⎪
⎨ , if Eds ≤ x ≤ ,
Eds Edm 2
Edα x  2.1
⎪ 2x − Eds Edm 
⎪ Eds Edm
⎪
⎩ , if ≤ x ≤ Edm ,
2Edm 2
⎧
⎪
⎪ Edl Edm − 2x Edl Edm
⎪
⎨ , if Eds ≤ x ≤ ,
Edl Edm 2
Edβ x  2.2
⎪
⎪ 2x − Edl Edm  Edl Edm
⎪
⎩ , if ≤ x ≤ Edm .
2Edm 2

Then we get the set of left slops EdL  {α | Edα x, x ∈ Str , x ≤ Edm } and the set of left slops
EdR  {β | Edβ x, x ∈ Str , x ≥ Edm }.
6 Mathematical Problems in Engineering

Step 4. Define the membership function as follows:

⎧
⎪
⎪ 0, if x < Eds ,
⎪
⎪  α
⎪
⎪ x − Eds Eds Edm
⎪
⎪ 2α−1
, if Eds ≤ x ≤ ,
⎪
⎪ Edm − Eds 2
⎪
⎪
⎪
⎪  α
⎪
⎪1 − 2α−1 Edm − x
⎪
⎪ , if
Eds Edm
< x < Edm ,
⎪
⎪ Edm − Eds 2
⎪
⎪
⎨
 x 
μEd   2.3
⎪
⎪ x − Edm β Edl Edm
⎪
⎪ 1 − 2β−1
, if Edm ≤ x < ,
⎪
⎪ Edl − Edm
⎪
⎪ 2
⎪
⎪
⎪
⎪
⎪
⎪  β
⎪
⎪ Edl − x Edl Edm
⎪2β−1
⎪ ≤ x ≤ Edl ,
⎪
⎪ , if
⎪
⎪ Edl − Edm 2
⎩
0, if x > Edl ,

where α ∈ EdL and β ∈ EdR .

 x; α, β,
Step 5. Take all the data in Sv in the above equation and compute the membership μEd
where x ∈ Sv , α ∈ EdL and β ∈ EdR .

Step 6. Carry out the crossover validation test proposed by Kohavi 26. Compute the
memberships of xi ∈ Sv for any combination α, β ∈ EdL , EdR . Then compute the
percentage of correct results by the following equation:

1
PCCv  100 × δ xi , μEd
 xi ; α, β , 2.4
NV
xi ,μEd
 xi ;α,β∈Sv

where PCCv denotes the percentage of correct results over the validation set Sv , NV
is the number of data points in validation set Sv , and δμEd  xi ; α1 , β1 , μEd
 xi ; α2 , β2  
1 if μEd  xi ; α1 , β1   μEd  xi ; α2 , β2 , while δμEd
 xi ; α1 , β1 , μEd
 xi ; α2 , β2   0 if
 xi ; α1 , β1  /
μEd  μEd
 xi ; α2 , β2 .

Step 7. Find the combination α, β by which the largest percentage of correct results can be
obtained when carrying out the crossover validation test with each other. Then we get the
membership function.

2.4. Model Formulation

The bi-level multiobjective optimization model under a fuzzy environment for assigning
stone resources can be mathematically formulated as follows.
Mathematical Problems in Engineering 7

2.4.1. Government Model (Upper Level)

As the upper level, the government has the obligation to protect the local environment,
solve employment issues, and promote economic revenue. Generally, the following goals are
usually considered by the government.
To achieve minimum emissions, including the stone dust  m 
i1 Edi Yi  when all
m n 
plants exploit the stone mine, the stone dust  i1 j1 edij Xij  when plants produce stone
products, and total waste water  mi1
n
j1 ew ij Xij  when all the plants exploit the stone mine
and produce those stone products is the first objective. Since Ed  ij , and ewij are all fuzzy
 i , ed
numbers which are obtained by fuzzification due to insufficient historical data, it is usually
difficult to derive precise minimum emissions, and decision makers only require a minimum
objective F 1  under some possibilistic level δ1U  27. Hence the following possibilistic
objective function and constraint are derived:

min F 1 2.5

subject to s.t.

⎧ ⎫
⎨ m m n   ⎬
Pos  i Yi 
Ed  ij Xij  ewij Xij ≤ F 1
ed ≥ δ1U , 2.6
⎩ i1 i1 j1
⎭

where Pos is the possibility measure proposed by Dubois and Prade 28 and δU is the
possibilistic level representing the possibility that decision makers achieve the minimum
objective. All fuzzy arithmetic in 2.6 and the following equations come from the operation
proposed by Kaufmann and Gupta 29.
To achieve maximum employment F2 which consisted of constant workers Pi  and
variable workers pij Xij , the following objective function is obtained:

⎛ ⎞
m n
max F2  ⎝ pij Xij Pi ⎠ . 2.7
i1 j1

To achieve the maximum economic output which can be obtained by multiplying unit
amount cj , conversion rate θij , and amount of stone Xij , the following objective function
is obtained:

⎛ ⎞
m n
max F3  Si ⎝ cj θij Xij ⎠. 2.8
i1 j1

Generally, some mandatory conditions must be satisfied when the government makes
a decision. These are listed as follows.
8 Mathematical Problems in Engineering
m
The total exploration quantity  i1 Yi  cannot exceed the upper limitation RU  of the
total stone resources in the region:

m
Yi ≤ RU . 2.9
i1

The stone dust from exploiting  m  m n 

i1 Edi Yi  and producing  i1 j1 edij Xij  and
m n
the waste water  i1 j1 ewij Xij  should be less than the predetermined levels EDU and
EW U  in order to guarantee air and water quality. Two constraints are derived under the
possibilistic levels δ2U and δ3U :
⎧ ⎫
⎨m m n ⎬
Pos  i Yi 
Ed  ij Xij ≤ EDU ≥ δU ,
ed 2.10
⎩ i1 i1 j1
⎭ 2

⎧ ⎫
⎨m n ⎬
Pos ewij Xij ≤ EW U ≥ δ3U . 2.11
⎩ i1 j1 ⎭

The output of some products  mi1 θij Xij  should meet the market demand Dj . For
L

example, the nano calcium carbonate is very popular in many areas, so the stone plants
should provide enough output to meet the demand:

m
θij Xij ≥ DjL ∀j. 2.12
i1

2.4.2. Plant Model (Lower Level)

On the lower level, the stone plants usually pursue maximum profit and then try to reduce
the emissions. Thus, the following two objectives are introduced.
Each plant wishes to achieve maximum profit which consisted of total sales
 j1 cj θij Xij  minus the production cost fXij  and the inventory cost hi Yi − nj1 Xij ;
n

then the following objective function is determined:

⎛ ⎞
n n n
max Hi1  cj θij Xij − f Xij − hi ⎝Yi − Xij ⎠, 2.13
j1 j1 j1

where fXij  is the production-cost function as follows 27:


tij Xij Cij , if Xij > 0,
f Xij  2.14
0, if Xij  0.

Every plant also wishes to achieve minimum emissions. However, since the emissions
 ij and ewij are fuzzy numbers, it is usually difficult to determine the precise minimum
ed
Mathematical Problems in Engineering 9
2
emissions, and decision makers only require a minimum objective H i  under some
possibilistic level σiL . Hence, the possibilistic constraint is as follows:

2
min H i 2.15

subject to

⎧ ⎫
⎨ m n   2
⎬
Pos  ij Xij  ewij Xij ≤
ed Hi ≥ σiL , 2.16
⎩ i1 j1 ⎭

where σiL is the possibilistic level under which decision makers require the minimum
objective.
Since production in all the plants is influenced by government policy and market
demand, there are some conditions that need to be satisfied.
The amount used for production  nj1 Xij  should not exceed the total limitation Yi :

n
Xij ≤ Yi . 2.17
j1

n
The inventory amount Yi − j1 Xij  should not exceed the maximum limitation
IViU :

n
Yi − Xij ≤ IViU . 2.18
j1

The production cost which consisted of two parts including product cost  nj1 fXij 
and total inventory cost  nj1 hi Yi − nj1 Xij  should not exceed the predetermined level
P CiU : ⎛ ⎞
n n
f Xij hi ⎝Yi − Xij ⎠ ≤ P CiU . 2.19
j1 j1

Some products θij Xij  should not be less than the lowest production level PijL  in
plant i:

θij Xij ≥ PijL . 2.20

2.4.3. Bilevel Model

In such a complicated system, both the leader and the followers should simultaneously
consider the objectives and constraints and then make the decision. Therefore, from
10 Mathematical Problems in Engineering

2.5∼2.20, the complete bi-level multiobjective optimization model under a fuzzy

environment is as follows:

⎧
⎪
⎪ min F 1
⎛ ⎞
⎪
⎪
⎪
⎪ m n
⎪
⎪ ⎝ pij Xij Pi ⎠
⎪
⎪ max F2 
⎪
⎪
⎪
⎪ i1
⎛j1
⎞
⎪
⎪
⎪
⎪
⎪
⎪
m n
⎪
⎪
⎪ max F3  Si ⎝ cj θij Xij ⎠
⎪
⎪
⎪
⎪ ⎧ ⎧
i1 j1
⎫
⎪
⎪ ⎪ ⎨ m n  ⎬
⎪
⎪ ⎪ m 
⎪
⎪ ⎪
⎪  i Yi   ij Xij  ewij Xij ≤ F 1 ≥ δU
⎪
⎪ ⎪
⎪ Pos Ed ed
⎪
⎪ ⎪
⎪ ⎩ i1 ⎭ 1
⎪
⎪ ⎪
⎪ i1 j1
⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪ ⎧ ⎫
⎪
⎪ ⎪
⎪ ⎨m ⎬
⎪
⎪ ⎪
⎪ m n
⎪
⎪ ⎪
⎪  i Yi   ij Xij ≤ EDU ≥ δU
⎪
⎪ ⎪
⎪ Pos
⎩ i1
Ed ed
⎭ 2
⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪
i1 j1
⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪ ⎧ ⎫
⎪
⎪ ⎪
⎪ ⎨m n ⎬
⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪ Pos ew X ≤ EW U
≥ δ3U
⎪
⎪ ⎪
⎪ ⎩ i1 j1 ij ij
⎭
⎪
⎪ ⎪
⎪
⎪
⎨ ⎪
⎪
⎪
⎪
⎪
⎪ 2.21
⎪ ⎪
⎪
m
⎪
⎪ ⎪
⎪ θij Xij ≥ DjL ∀j
⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪⎧ ⎛ ⎞
⎪
⎪ ⎪
⎪
i1
⎪
⎪ ⎨⎪⎪ n n n
⎪ s.t. ⎪⎪
⎪
⎪
⎪ ⎪
⎪ max Hi1  cj θij Xij − f Xij − hi ⎝Yi − Xij ⎠
⎪
⎪ ⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪ ⎪
⎪ j1 j1 j1
⎪
⎪ ⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪ ⎪
⎪
2
⎪
⎪ ⎪
⎪ ⎪
⎪ min ⎧ Hi ⎧ ⎫
⎪
⎪ ⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪ ⎪
⎪ ⎪
⎪ ⎨ m n   ⎬
⎪
⎪ ⎪
⎪ ⎪
⎪ ⎪
⎪ Pos  ij Xij  ewij Xij ≤ H 2 ≥ σ L
⎪
⎪ ⎪
⎪ ⎪
⎪ ⎪
⎪ ed
⎪
⎪ ⎪
⎪⎪⎪ ⎪
⎪ ⎩ i1 j1 i
⎭ i
⎪
⎪ ⎪
⎪ ⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪ ⎨ ⎪
⎪
⎪
⎪ ⎪
⎪ ⎪
⎪
n
⎪
⎪ ⎪
⎪ ⎪
⎪ Xij ≤ Yi
⎪
⎪ ⎪
⎪⎪⎪ ⎪
⎪ j1
⎪
⎪ ⎪
⎪ ⎪
⎪ ⎪
⎨
⎪
⎪ ⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪ ⎪
⎪ s.t.
n
⎪
⎪ ⎪
⎪ ⎪
⎪ ⎪ Y − Xij ≤ IViU
⎪
⎪ ⎪
⎪ ⎪
⎪ ⎪
⎪
i
⎪
⎪ ⎪⎪
⎪ ⎪ ⎪
⎪ j1
⎛ ⎞
⎪
⎪ ⎪⎪
⎪ ⎪ ⎪
⎪
⎪
⎪ ⎪
⎪ ⎪
⎪ ⎪
⎪ n n
⎪
⎪ ⎪
⎪ ⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪ f Xij hi ⎝Yi − Xij ⎠ ≤ P CiU
⎪
⎪ ⎪
⎪ ⎪ ⎪
⎪
⎪ ⎪ ⎪ ⎪
⎪ ⎪⎪
j1 j1
⎪ ⎪ ⎪ ⎪
⎪
⎩ ⎩⎪⎩ ⎩θij Xij ≥ P L .
ij

3. Solution Approach
Generally, bi-level programming is an NP-hard problem, and it is difficult to determine
an optimal solution 30–32. In the proposed model, decision makers on the upper and
lower levels have to face more than two conflicting objectives and then make a decision
under a fuzzy environment. This significantly increases the difficulty of finding an optimal
strategy for both the upper and lower levels. Therefore, the fuzzy simulation-based improved
Mathematical Problems in Engineering 11

simulated annealing FS-ISA is designed to solve the bi-level optimization model with fuzzy
coefficients.

3.1. Fuzzy Simulation for Possibilistic Constraints

Fuzzy simulation is usually proposed to approximate the possibility measure according to
the membership function of a fuzzy number 27. Taking the constraint 2.5 as an example,
we will introduce the key principle of the fuzzy simulation and find the minimum F 1 such
that the constraint holds.
Let Yi∗ and Xij∗ be predetermined feasible solutions for i  1, 2, . . . , m, j  1, 2, . . . , n,
which will be regarded as input variables. Firstly, set F 1  M, where M is a sufficiently
large number. Secondly, randomly generate λi , ηij , and κij from the δ1U -level set of the
fuzzy numbers Ed i , ed
 ij , and ewij , respectively. Thirdly, compute the value f  m λi Yi
i1
m n
i1 η
j1 ij κij X ij . If F 1 > f, replace it with f. Finally, repeat this process for N times.
The value F 1 is regarded as the estimation. Then the simulation process can be summarized
in Procedure 1.
Sometimes, we need to check whether a solution satisfies the possibilistic constraint.
This means that we need to compute the possibility and compare it with the predetermined
possibilistic level. Then another simulation is applied to check the constraint. Taking the
constraint 2.10 as an example, we will introduce how to simulate the possibility L 
Pos{ m i1
n
j1 ew ij Xij ≤ EW }.
U
∗
Let Xij be predetermined solution for i  1, 2, . . . , m, j  1, 2, . . . , n, which will be
regarded as input variables. Give a lower estimation of the possibility L, denoted by δ. Then
we randomly generate κij from the δ-level set of the fuzzy numbers ewij . If the δ-level set is
not easy for a computer to describe, we can give a larger region, for example, a hypercube
containing the δ-level set. Certainly, the smaller the region, the more effective the fuzzy
simulation. Now we set
 
μ  max μewij , i  1, 2, . . . , m, j  1, 2, . . . , n . 3.1

If mi1
n
j1 κij Xij ≤ EW
U
and L < μ, then we set L  μ. Repeat this process N times. The
value L is regarded as an estimation of the possibility. Then the process for constrain check
can be summarized in Procedure 2.

3.2. Fuzzy Simulation-Based Improved Simulated Annealing Algorithm

Simulated annealing algorithm SA is proposed for the problem of finding, numerically,
a point of the global optimization of a function defined on a subset of a n-dimensional
Euclidean space 33–35. Many fruitful results are obtained in the past decades. Steel
36, 37 calls simulated annealing the most exciting algorithmic development of the
decade. For the multiobjective optimization problems, some scholars have introduced many
progressive simulated annealing algorithms to solve them. Especially, Suppapitnarm et al.
38 designed a simulated annealing algorithm along with archiving the Pareto optimal
solutions coupled with return to base strategy SMOSA to explore the trade-off between
multiple objectives in optimization problems. Suman and Kumar 39, 40 introduced four
12 Mathematical Problems in Engineering

Input: Decision variables Yi and Xij

Output: The minimum F 1
Step 1. Set F 1  M, where M is sufficiently large number;
Step 2. Randomly generate λi , ηij and κij from the δ1U -level set of the fuzzy numbers Edi ,
edij and ewij respectively;
Step 3. Compute f  m i1 λi Yi
m
i1
n
j1 ηij κij Xij and replace F 1 with f provided
that F 1 > f;
Step 4. Repeat the second and third steps N times;
Step 5. Return F 1 .

P ROCEDURE 1: Fuzzy simulation for possibilistic constraints.

Input: Decision variables Xij

Output: The possibility
Step 1. Set L  α as a lower estimation
Step 2. Randomly generate κij from the δ-level set of the fuzzy numbers ewij
Step 3. Set μ  max{μewij , i  1, 2, . . . , m, j  1, 2, . . . , n}
Step 4. If m i1
n
j1 κij Xij ≤ EW and L < μ, set L  μ
U

Step 5. Repeat the second and third steps N times

Step 6. Return L.

P ROCEDURE 2: Possibilistic constraint check.

simulated annealing algorithms including SMOSA, UMOSA, PSA, and WMOSA to solve
multiobjective optimization of constrained problems with varying degree of complexity and
then proposed a new algorithm PDMOSA. Sanghamitra et al. 41 proposed a simulated
annealing-based multiobjective optimization algorithm AMOSA that incorporates the
concept of archive in order to provide a set of trade-off solutions for the problem under
consideration.
In the following part, we will incorporate the fuzzy simulation into the SMOSA
algorithm proposed by Suppapitnarm and Parks 16 and use the interactive method
to search the Pareto optimal solution for the bi-level multiobjective optimization with
fuzzy possibilistic constraints. Take the problem A.10 as an example and denote Xi 
Xi1 , Xi2 , . . . , Xin  and Y  Y1 , Y2 , . . . , Ym , the process of FS-ISA can be summarized in
Procedure 3.
Above all, the whole procedure of FS-ISA for bi-level multiobjective optimization
problems with fuzzy coefficients is described in Figure 3.

4. A Case Study
In the following, a practical example in China is introduced to demonstrate the complete
modelling and algorithm process.
Mathematical Problems in Engineering 13

Input: The initial temperature t0

Output: Pareto-solution Yi∗ and Xij∗ for all i and j
Step 1. Randomly generate a feasible solution Y according to the fuzzy simulation for possibilistic
constraints and take it as the initial parameter for the lower level;
Step 2. Solve all the multiobjective optimization problems on the lower level by SMOSA based on
the fuzzy simulation and we obtain the Pareto optimal solution Xi for all i. Put G  X1T , X2T , . . .,
Xm T
, Y T  into a Pareto set of solutions and compute all objective values of the upper and lower
levels;
Step 3. Generate a new solution G1  X11T , X21T , . . . , Xm 1T
, Y 1T  in the neighborhood of G by the
random perturbation;
Step 4. Check the feasibility by fuzzy simulation according to all the constraints on both levels.
If not, return to Step 3;
Step 5. Compute the objective values on both level, respectively. Compare the generated solution
with all solutions in the Pareto set and update the Pareto set if necessary;
Step 6. Replace the current solution G with the generated solution G1 if G1 is archived and go to
Step 7;
Step 7. Accept the generated solution Y 1 as the input solution for the lower level if it is not
archived with the probability: probability p  min1, exp {−Δsi /ti }, where
Δsi  F1∗ G − F1∗ G1  F2 G1  − F2 G F3 G1  − F3 G. If the generated solution is accepted,
take it into the lower level and solve them. Then we get a new solution
G1∗  X11T ∗ , X21T ∗ , . . . , Xm
1T ∗
, Y 1T  and put it into the Pareto set. If not, go to Step 9;
Step 8. Compare G and G1 according to the evaluation function based on the compromise
1∗

approach proposed by Xu and Li 15. If G1∗ is more optimal than G1 , let G  G1∗ . If not G  G1
Step 9. Periodically, restart with a randomly selected solution from the Pareto set.
While periodically restarting with the archived solutions, Suppapitnarm et al. 16
have recommended biasing towards the extreme ends of the trade-off surface;
Step 10. Periodically reduce the temperature by using a problem-dependent annealing schedule
Step 11. Repeat steps 2–10, until a predefined number of iterations is carried out.

P ROCEDURE 3: FS-ISA algorithm for bi-level multi-objective programming.

4.1. Data and Computation

Yingjing County is a famous county in China for its rich mineral products. The granite in this
area has stable physical and chemical properties so that it can be processed into many useful
stone products, mainly including granite slabs, man-made composite slabs, granite sands,
and nano calcium carbonates see Figure 4. Figure 5 shows the actual stone industry process
from exploitation to production. Due to the vegetation deterioration, air and water pollution,
and an aggravation of the ecological environment caused by the disordered exploitation and
production manner, it is urgent for both the Yingjing government and the stone plants to
optimize the assignment strategy.
Up to now, around 1 billion m3 of granite available is being exploited in Yingjing
County according to the investigation. At present, only 7 stone plants have been built in this
county, but the government plans to extend this to 10 stone plants in 2013, with all ten plants
sharing the granite resource. From the historical data, stone dust and waste water emission
coefficients are fuzzificated and crossover validation tested. The test demonstrates that
when the membership function is triangular, the percentage of correct results is the largest
92.32%. Therefore, the emission coefficients are regarded as fuzzy numbers in Tables 1 and 3.
According to the environmental sector in this county, stone dust emissions should not exceed
2500 tonnes and waste water emission should not exceed 2500 tonnes. Although it is difficult
14 Mathematical Problems in Engineering

Initialization: t0 and Y
(check the feasibility by fuzzy simulation)

Solve the lower programming by

SMOSA based on fuzzy simulation; get
the feasible solutuion G = (X, Y )

Satisfy Y Output
terminal conditions? results

Generate a new solution G1 = (X 1 , Y 1 )

by random perturbation

Feasibility N
tk+1 = λ∗ tk check ?

Y
Check
min(1, exp(−∆f/tk )) N
≥ RND(0, 1)

Y
1
Accept Y as a new input for the lower
level, and solve the programming to get
∗ ∗
the new solution G1 = (X 1 , Y 1 )

Put it into the Pareto set if G1∗ is more

optimal than G1 and G = G1 , and if not,
G = G1∗

Update the Pareto set; randomly select a

solution as the new initial value

Figure 3: Flow chart for FS-ISA.

to satisfy the constrained index in a short time due to uncertainty, the possibility of holding
the two constraints should not be less than 0.9 which indicates that the possibilistic levels δ2U
and δ3U for the government should also be 0.9. For total emissions, the environmental sector
requires the minimum objective to be under the possibilistic level δ1U  0.85. As the demand
and the price of the four stone products sharply increase, the government requires that their
output from all the plants should at least satisfy the basic market demand DjL j  1, . . . , 4 as
Mathematical Problems in Engineering 15

Granite Man-made
Stone
slab material slab

Nano
Granite calcium
sand carbonate

Figure 4: Products from the granite.

Granite mine Man-made composite slabs

Stone processing

Granite slab Nano calcium carbonate

Figure 5: Basic flow chart of stone industry.

in Table 2. Each stone products’ unit price is in Table 2. For the 10 stone plants, the inventory
and the production upper limitations for each plant are listed in Table 1. The possibilistic
level δiL that plant i needs to obtain for minimum emissions is in Table 1. Since every plant
has a different capacity for controlling emissions, the fixed and unit variable cost, emission
coefficients, and constant costs are different as outlined in Table 3. The transformation rate θij
and the lower limitation of product j in plant i are also listed in Table 3.
16 Mathematical Problems in Engineering

Table 1: Parameters for every stone plant.

Parameters
Stone plants
Edi kg/m3  Pi Person Si hi Yuan/m3  i M m 
IV U 3
i M Yuan
P CU
Kai Quan 24.5, 25.7, 27.8 65 0.3655 0.32 4.5 1350
Feng Huang 21.2, 26.8, 29.3 60 0.3705 0.35 6.2 1670
Li Du 19.2, 23.8, 25.7 65 0.3735 0.33 4.3 1410
Hong Yuan 22.6, 27.9, 28.3 62 0.3615 0.28 7.8 1630
Xiang Zong 21.0, 23.5, 27.1 60 0.3675 0.38 2.3 1000
Ji Cheng 20.6, 23.3, 27.9 55 0.3485 0.42 2.6 1100
Hui Huang 18.3, 21.2, 25.2 60 0.3525 0.35 5.4 1650
Hong Yun 19.2, 24.8, 29.1 60 0.3725 0.36 4.6 1320
De Sheng 25.4, 28.1, 30.3 70 0.3615 0.33 5.6 1230
Guo Jian 27.2, 29.3, 32.8 80 0.3435 0.41 6.2 1670

Table 2: Parameters of each product.

Stone products
Parameters
Nano calcium carbonates Granite slabs Granite sand Man-made composite slabs
cj 1325 Yuan/ton 65 Yuan/m2  25 Yuan/ton 30 Yuan/m2 
Dj 8.5 × 107 ton 3.06 × 108 m2  5.13 × 106 ton 1.56 × 108 m2

Taking all the numerical values into 2.21 and setting the initial temperature T0  500,
the last temperature is 0 and the cooling method is 1 decrement once. The neighbourhood
can be developed as Yi1  Yi0 rh and Xij1  Xij0 rh, where r is a random number in
−1,1 and h is the step length here h  2.0. After a simulation of many cycles, the Pareto
optimal solution and theobjective value are determined as shown in Tables 4 and 5. The
results illustrate that although some plants have the highest productive efficiency, their high
emission coefficient will result in the low exploiting quotas such as Kai Quan, Guo Jian, and
De Sheng. On the other hand, stone plants will tend to produce the high value-added but low
emission products due to the environmental pressure and the limitation of exploiting quotas,
such as nano calcium carbonates and man-made composite slabs. However, stone plants will
abundantly produce the traditional products such as granite slabs because of the huge cost of
those new products.

4.2. Sensitivity Analysis

In fact, the decision maker is able to adjust the parameter to obtain different level solutions.
From theoretical deduction, it is known that the possibilistic level is a key factor impacting the
results. If the accuracy of δiU and δiL decreases, the feasible set is expanded and then a better
Pareto optimal solution and a better Pareto optimal point are determined. From Table 5, it can
be seen that the emissions increase and the economic profit and the employment decrease as
the possibilistic level δiU i  1, 2, 3 decreases indicating that the government requirements
are less strict which results in the stone plants pursuing the economic profit and neglecting
the emissions and the employment objectives. Finally, the total emissions increase and the
government tax revenue decreases. On the other hand, if the possibilistic level δiU i  1, 2, 3
Mathematical Problems in Engineering 17

Table 3: Parameters for product j produced by plant i.

Parameters
Stone plants Stone products
Pij tij Cij θij PijL edij ewij
NPCC 0.03 650 286 1.03 7.0 2.21, 3.42, 5.23 3.15, 3.42, 4.21
GSl 0.01 38 367 3.62 262.2 21.2, 22.3, 25.6 23.1, 25.2, 27.9
Kai Quan
GSa 0.01 10 80 0.95 0 26.4, 28.5, 32.7 0.47, 1.32, 1.44
MmCS 0.02 22 440 8.34 35.5 1.57, 2.68, 4.39 2.32, 3.18, 3.69
NPCC 0.03 580 254 1.12 7.2 2.68, 3.67, 4.59 2.86, 3.39, 6.14
GSl 0.01 44 380 3.14 232.3 24.7, 26.3, 27.6 24.5, 25.9, 27.0
Feng Huang
GSa 0.01 16 68 0.90 2.4 27.6, 29.0, 33.9 0.58, 1.96, 2.40
MmCS 0.02 24 448 8.11 43.1 2.03, 3.56, 4.57 1.84, 2.68, 3.57
NPCC 0.03 620 272 0.85 9.9 1.86, 2.31, 4.03 2.85, 3.57, 4.37
GSl 0.01 40 392 2.67 279.0 17.4, 19.3, 20.2 25.8, 26.3, 27.1
Li Du
GSa 0.01 13 88 0.93 1.9 23.5, 26.5, 28.7 0.78, 1.56, 2.23
MmCS 0.02 26 380 8.35 67.4 1.45, 2.23, 4.05 3.10, 3.50, 3.87
NPCC 0.03 685 310 0.78 0 3.05, 4.21, 5.67 2.86, 3.33, 4.45
GSl 0.01 42 370 3.78 298.8 20.8, 23.3, 23.9 22.8, 24.8, 25.1
Hong Yuan
GSa 0.01 13 86 0.92 2.1 26.5, 28.3, 30.4 0.68, 1.45, 1.67
MmCS 0.02 23 380 8.26 22.0 1.57, 2.68, 4.39 2.30, 3.32, 4.22
NPCC 0.03 632 267 1.26 10.2 2.17, 3.33, 4.78 3.04, 3.57, 4.32
GSl 0.01 44 380 3.82 307.2 20.3, 23.5, 26.7 24.5, 26.3, 27.4
Xiang Zong
GSa 0.01 12 82 0.91 1.9 26.4, 27.3, 29.3 0.47, 1.23, 1.78
MmCS 0.02 20 350 8.27 39.4 1.46, 2.79, 3.45 2.11, 3.26, 4.45
NPCC 0.03 630 264 1.26 11.1 2.14, 3.39, 5.46 2.80, 3.24, 3.70
GSl 0.01 42 354 3.46 344.5 22.5, 23.8, 24.7 22.9, 25.1, 26.3
Ji Cheng
GSa 0.01 12 85 0.92 2.2 25.8, 27.9, 28.9 0.54, 1.26, 1.87
MmCS 0.02 23 350 8.26 0 1.76, 2.77, 4.25 2.78, 3.32, 4.45
NPCC 0.03 635 260 1.12 12.7 2.15, 3.56, 5.00 3.04, 3.37, 3.89
GSl 0.01 35 340 3.87 451.7 20.7, 23.2, 24.7 24.3, 26.3, 26.9
Hui Huang
GSa 0.01 15 85 0.90 0 28.6, 29.9, 33.4 0.58, 1.40, 1.72
MmCS 0.02 20 350 8.26 43.6 1.68, 2.70, 4.25 2.68, 3.27, 3.54
NPCC 0.03 660 290 1.00 10.0 2.54, 3.68, 5.42 3.35, 3.56, 4.04
GSl 0.01 40 380 3.54 331.3 22.3, 23.5, 24.2 21.5, 24.6, 26.2
Hong Yun
GSa 0.01 12 85 0.90 2.4 25.3, 26.7, 30.3 0.85, 1.56, 1.78
MmCS 0.02 24 385 8.42 0 1.33, 2.55, 4.72 2.24, 3.76, 3.87
NPCC 0.03 630 276 1.12 8.0 2.35, 3.67, 4.68 3.27, 4.18, 4.92
GSl 0.01 42 383 3.11 203.5 20.5, 21.4, 23.8 22.7, 24.7, 26.8
De Sheng
GSa 0.01 13 85 0.92 0 23.6, 25.2, 28.6 0.87, 1.63, 1.72
MmCS 0.02 25 378 8.02 48.0 1.67, 2.78, 4.23 2.45, 3.95, 4.51
NPCC 0.03 780 320 1.88 12.5 3.14, 4.37, 7.86 4.22, 4.78, 5.39
GSl 0.01 40 380 3.62 210.4 21.2, 22.3, 25.6 23.1, 25.2, 27.9
Guo Jian
GSa 0.01 13 86 0.91 0 27.3, 29.4, 33.8 0.68, 1.46, 1.57
MmCS 0.02 22 367 8.13 51.1 1.32, 2.59, 4.21 2.36, 3.67, 4.82
NPCC: Nano calcium carbonates; GSl: granite slabs; GSa: granite sand; MmCS: man-made composite slabs.
18 Mathematical Problems in Engineering

Table 4: Assignment results for different products.

Stone products
Stone plants
Total Nano calcium carbonates Graniteslabs Granitesand Man-made composite slabs
Kai Quan 85.2 6.82 72.40 1.70 4.30
Feng Huang 88.6 6.47 74.16 2.66 5.32
Li Du 126.2 11.61 104.49 2.02 8.08
Hong Yuan 91.7 7.70 79.05 2.29 2.66
Xiang Zong 95.4 8.11 80.42 2.10 4.77
Ji Cheng 112.9 8.81 99.58 2.37 2.15
Hui Huang 135.4 11.37 116.71 2.03 5.28
Hong Yun 112.5 10.01 93.60 2.70 6.19
De Sheng 79.8 7.18 65.44 1.20 5.99
Guo Jian 72.3 6.65 58.13 1.23 6.29

Table 5: Objectives for both the upper and lower levels.

Notation F1∗ F2 F3 H11 H21 H31 H41 H51 H61 H71 H81 H91
δiU  0.95 66289 12841 61240 5443 5281 9722 5648 6304 7403 10387 7930 5419
δiU  0.90 68362 13216 62530 5587 5362 9910 5753 6421 7489 11253 8016 5578
δiU  0.85 69137 13781 63110 5612 5374 9983 5842 6511 7570 11891 8117 5632
1
Notation H10 H12∗ H22∗ H32∗ H42∗ H52∗ H62∗ H72∗ H82∗ H92∗ 2∗
H10 —
δiU  0.95 3990 3524 3994 4894 3887 4085 4953 5867 4624 3112 2866 —
δiU  0.90 4114 3678 4953 4930 3922 4137 4953 5952 4731 3220 2917 —
δiU  0.85 3990 3524 3994 4894 3887 4236 5078 6013 4827 3315 3013 —

increases, the government requirements are more strict and hence the total emissions decrease
and the government tax revenue increases.
Similarly, for the following level, if the possibilistic levels δiL i  1, 2, . . . , 10 decrease,
the plants pay less attention to the stone dust and waste water emissions resulting in an
increase in profit and consequently more emission.

4.3. Comparison Analysis

For the proposed case, all the emission coefficients including Ed  i , ed

 ij , and ewij are
fuzzificated as triangular fuzzy numbers according to the real-life situation. Because all
the equations in the model are linear, it actually can be easily converted into a crisp
model without uncertain coefficients by the possibility measure. Lemma A.1 is given to
show the process in the Appendix section, and we can get the crisp model according
to A.10. Taking all the numerical values into A.10 and setting the same parameters
for ISA, we can easily get the optimal solutions. The error analysis and computation
time are listed in Table 6 and Table 7, respectively. It is obvious that the results from
solving the crisp equivalent model are close to the results from simulating the model.
It shows that the the fuzzy simulation technique is reasonable and efficient to solve the
Mathematical Problems in Engineering 19

Table 6: Errors analysis by solving crisp equivalent model.

Stone products
Stone plants
Nano calcium Granite Granite Man-made
Total
carbonates slabs sand composite slabs
Kai Quan 1.32% 0.25% −0.56% 0.32% 0.08%
Feng Huang 0.83% −0.27% −0.12% 1.12% 0.43%
Li Du −1.49% 1.04% −1.65% 0.57% −0.13%
Hong Yuan 0.17% 0.12% −0.31% 0.09% 0.12%
Xiang Zong −0.28% 0.15% 0.36% 0.35% 1.25%
Ji Cheng 0.36% 0.22% 0.18% −0.24% 0.35%
Hui Huang −0.21% 0.13% 0.27% 0.28% −0.12%
Hong Yun 0.22% 0.33% −0.08% 0.12% 0.24%
De Sheng −0.34% −0.11% 0.16% 0.27% 0.34%
Guo Jian 0.62% 1.04% 0.20% 0.03% 0.38%

Table 7: Computing time and memory by ISA and GA.

Size of tested problem T0 Gen ISA FS-ISA FS-GA

No.
Resources Plants Decision variables ACT Memory ACT Memory ACT Memory
1 5 20 500 — 65 100 120 100 — —
1
1 10 60 — 500 — — — — 245 100
1 10 60 500 — 245 600 425 600 — —
2
1 10 60 — 500 — — — — 620 600
4 10 60 500 — 455 2400 1560 2400 — —
3
4 10 60 — 500 — — — — 1020 2400
ACT: average computing time second; Memory: required memory space to represent a solution.

model for bi-level multiobjective optimization problems with fuzzy coefficients. At the
same time, it is found from Table 7 that the average computational time by ISA is less
than the time by FS-ISA. It is also reasonable because the process of fuzzy simulation for
possibilistic constraint will spend much time to get the approximate value. However, not
all possibilistic constraints can be directly converted into crisp ones. Lemma A.1 is efficient
only for the special membership functions such as the triangular and trapezoidal fuzzy
numbers.
To illustrate that FS-ISA is suitable for this kind of fuzzy bi-level model, the results are
compared with a genetic algorithm GA. GA is one of the most popular algorithms. Many
scholars also made the comparison between SA and GA in solving bi-level optimization
problems 12, 42, 43. They regard that different data scales will result in huge differences
on the computational efficiency. To ensure the fairness, we also design the GA based on the
fuzzy simulation for the bi-level multiobjective optimization with fuzzy coefficients. We set
the chromosome number 20, the crossover rate 0.6, the mutation rate 0.8, and the iterative
number 500. The average computing time and memory are listed in Table 7. Experiments
show that the similar optimal results can be obtained by both FS-ISA and FS-GA, but the
computational efficiency is different when the number of stone resources and stone plants
20 Mathematical Problems in Engineering

changes. It is found that when the number of stone resources and stone plants is small, FS-
ISA is more efficient than GA in solving the bi-level multiobjective optimization and much
more computational effort is needed for FS-GA to achieve the same optimal solution as
FS-ISA. However, when the data scale is large, FS-GA can reach a more optimal solution
at the expense of more computation time. The result is in accordance with the findings by Xu
et al. 43. Of course, if the fuzzy bi-level multi-objective optimization model can be easily
converted into the crisp model, we can obtain a more accurate solution and spend less time
by ISA than that by FS-ISA.

5. Conclusions
In this paper, we have developed a bi-level multi-objective optimization model with
possibilistic constraints under the fuzzy environment. In the model, the government is
considered as the leader level for minimizing the emissions of the stone dust and the waste
water and maximizing the employment and economic growth, and then stone plants are
considered as the follower level for maximizing the profit and minimizing the emissions.
Then we propose an algorithm FS-ISA to solve the model. Finally, a practical case proves that
the proposed model and algorithm are efficient.
Although the model proposed in this paper should be helpful for solving some real-
world problems, it only dealt with by the possibilistic constraints. If DM has different
purposes such as maximizing the possibility that the predetermined goals are achieved, we
can apply dependent-chance constraint to deal with it. In further research to be undertaken,
a detailed analysis will be given.

Appendix
Lemma A.1. Assume that Ed  ij , and ewij (i  1, 2, . . . , m; j  1, 2, . . . , n) are L-R fuzzy
 i , ed
numbers with the following membership functions:

⎧  
⎪
⎪ Edi − t
⎪
⎪ L , t < Edi , αEd
⎪
⎪ i > 0,
⎨ αEd
i
 i t 
μEd   A.1
⎪
⎪
⎪
⎪ t − Edi
⎪
⎪ , t ≥ Edi , βiEd > 0,
⎩R
βiEd
⎧ ⎛ ⎞
⎪
⎪ ed − t
⎪
⎪ L⎝
ij
⎠, t < edij , αed > 0,
⎪
⎪ ij
⎪
⎨ α ed
ij
 ij t 
μed ⎛ ⎞ A.2
⎪
⎪
⎪
⎪ t − ed
⎪
⎪ ⎝ ij
⎠, t ≥ edij , βed > 0,
⎪
⎩R ij
βijed
Mathematical Problems in Engineering 21
⎧  
⎪
⎪ ewij − t
⎪
⎪ L , t < ewij , αew
⎪
⎪ ij > 0,
⎨ αew
ij
μewij t    A.3
⎪
⎪
⎪
⎪ t − ewij
⎪
⎪ t ≥ ewij , βijew > 0,
⎩R βijew
,

where αEd Ed  ed ed
i , βi are positive numbers expressing the left and right spreads of Ed, αij , βij are positive
 and αew , βew are positive numbers expressing the
numbers expressing the left and right spreads of ed, ij ij
left and right spreads of ew, i  1, 2, . . . , m, j  1, 2, . . . , n. Reference functions L, R : 0, 1 → 0, 1
with L1  R1  0 and L0  R0  1 are nonincreasing, continuous functions. Then one has
 
Pos{ m i1 Edi Yi  j1 edij Xij  ew ij Xij  ≤ F 1 } ≥ δ1 if and only if
m n U
i1

⎛ ⎞
m m n   m m n  
F1 ≥ Edi Yi edij ewij Xij − L −1
δ1U ⎝ αEd αed αew Xij ⎠.
i Yi ij ij
i1 i1 j1 i1 i1 j1
A.4

Proof. Let ω ∈ 0, 1 be any positive real number and LEdi − x/αEd
i   Ledij − y/αij 
ed

 Lewij − z/αij   ω, then from A.3 we have

ew

−1 −1 −1
x  Edi − αEd
i L ω, y  edij − αed
ij L ω, z  ewij − αew
ij L ω.
A.5

For any Yj , Xij ≥ 0 i  1, 2, . . . , m; j  1, 2, . . . , n, it easily follows that

m m n
t xYi yXij zXij
i1 i1 j1
⎡ ⎤ ⎛ ⎞
m m n m m n  
⎣ Edi Yi edij ewij Xij ⎦ − ⎝ αEd
i Yi αed
ij αew
ij Xij ⎠L−1 ω.
i1 i1 j1 i1 i1 j1
A.6
22 Mathematical Problems in Engineering

Therefore, we have

⎛ ⎞
m m n
⎜ i1 Edi Yi i1 j1 edij ewij Xij − t ⎟
L⎝   ⎠  ω. A.7
m m n
i1 αEd
i Yi i1 j1 αed
ij αew
ij Xij

It is also proved by similar technique that

⎛  ⎞
m m n
t− Edi Yi edij ewij Xij
⎜ i1 i1 j1 ⎟
R⎝   ⎠  ω. A.8
m m n
i1 βiEd Yi i1 j1 βijed ew
βij Xij

m  
i1 Edi Yi  j1 edij Xij  ew ij Xij  is also a L-R fuzzy
m n
Hence, it is easily found that i1
m m n
j1 αij ijce Xij and the right spread
ed
number with the left spread Ed
i1 αi Yi i1 αew
m m n
j1 βij βij Xij . According to the definition of possibility measure
ed ew
βiEd Yi
i1 i1
proposed by Dubois and Prade 28, it can be obtained as follows:

⎧ ⎫
⎨ m m n   ⎬
Pos  i Yi 
Ed  ij Xij  ewij Xij ≤ F 1
ed ≥ δ1U
⎩ i1 i1 j1
⎭
⎛ ⎞
m m n
⎜ i1 Edi Yi i1 j1 edij ewij Xij − F 1 ⎟
⇐⇒ L⎝   ⎠ ≥ δ1U
m m n ed ew
i1 αEd
i Yi i1 j1 αij αij Xij

m
Edi Yi m n
edij ewij Xij − F 1  
⇐⇒
i1 i1 j1
  ≤ L−1 δ1U A.9
m m n ed
i1 αEd
i Yi i1 j1 αij αew
ij Xij
m m n
⇐⇒ Edi Yi edij ewij Xij
i1 i1 j1
⎛ ⎞
  m m n  
− L−1 δ1U ⎝ αEd
i Yi αed
ij αew
ij Xij ⎠ ≤ F 1 .
i1 i1 j1

This completes the proof.

Mathematical Problems in Engineering 23

From Lemma A.1, the model 2.21 is equivalent to the following bi-level multi-
objective programming problem:

⎧ ⎛ ⎞
⎪
⎪ m m n   m m n  
⎪
⎪ min F1∗  edij ewij Xij −L−1 δ1U ⎝ αEd αed αew Xij ⎠
⎪
⎪ Edi Yi i Yi
⎪
⎪
ij ij
⎪
⎪ i1
⎛ i1 j1
⎞ i1 i1 j1
⎪
⎪
⎪
⎪ m n
⎪
⎪ ⎝ pij Xij Pi ⎠
⎪
⎪ max F2 
⎪
⎪
⎪
⎪ i1
⎛j1
⎞
⎪
⎪
⎪
⎪ m n
⎪
⎪
⎪
⎪ max F3  Si ⎝ cj θij Xij ⎠
⎪
⎪
⎪
⎪ ⎧ i1 j1
⎛ ⎞
⎪
⎪
⎪
⎪ ⎪
⎪ m m n   m m n
⎪
⎪ ⎪
⎪
⎪
⎪
⎪
⎪ Edi Yi edij Xij − L δ2 ⎝ αi Yi
−1 U Ed
αij Xij ⎠ ≤ EDU
ed
⎪
⎪ ⎪
⎪ i1
⎪
⎪ ⎪
⎪ i1 j1 i1 i1 j1
⎪
⎪ ⎪
⎪  m n
⎪
⎪ ⎪
⎪
m n
⎪
⎪ ⎪
⎪ ewij Xij − L−1 δ3U αewij Xij ≤ EW
U
⎪
⎪ ⎪
⎪ i1 j1
⎪
⎪ ⎪
⎪ i1 j1
⎪
⎪ ⎪
⎪m
⎨ ⎪
⎪
⎪
⎪ θij Xij ≥ Dj ∀j L
⎪
⎪
⎪
⎪ ⎪
⎪ ⎧
i1 ⎛ ⎞
⎪
⎪ ⎪
⎪⎪
⎪
⎪ ⎪
⎪ ⎪ n n n
⎪
⎪ ⎪
⎪ ⎪
⎪ cj θij Xij − f Xij − hi ⎝Yi − Xij ⎠
⎪
⎪ ⎪
⎪ ⎪
⎪ max Hi1 
⎪
⎪ ⎪
⎪ ⎪
⎪
⎪
⎪ ⎨⎪⎪ j1 j1 j1
⎪
⎪ ⎪
⎪ n   n  
⎪
⎪ s.t. ⎪
⎪ −1
⎪
⎪ ⎪
⎪ ⎪
⎪ min H 2∗
 ed ew X − L δ U
α ed
α ew
Xij
⎪
⎪ ⎪
⎪ ⎪
⎪ i ij ij ij 3 ij ij
⎪
⎪ ⎪
⎪ ⎪
⎪ ⎧ j1 j1
⎪
⎪ ⎪⎪
⎪ ⎪
⎪
⎪ ⎪
⎪ ⎪
⎪ ⎪
⎪
n
⎪
⎪ ⎪
⎪ ⎨ ⎪
⎪ Xij ≤ Yi
⎪
⎪ ⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪ ⎪
⎪ j1
⎪
⎪ ⎪⎪
⎪ ⎪ ⎪
⎪
⎪
⎪ ⎪ ⎪ ⎪ n
⎪
⎪ ⎪⎪
⎪
⎪ ⎪
⎪
⎪
⎪Yi − Xij ≤ IViU
⎨
⎪
⎪ ⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪ ⎪ s.t. ⎪
⎪
j1
⎛ ⎞
⎪
⎪ ⎪
⎪ ⎪
⎪ ⎪
⎪
⎪
⎪ ⎪⎪
⎪ ⎪ ⎪
⎪
n n
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪ f Xij hi ⎝Yi − Xij ⎠ ≤ P CiU
⎪
⎪ ⎪
⎪ ⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪ ⎪
⎪ ⎪
⎪
j1 j1
⎪
⎩ ⎩⎪
⎪ ⎩ ⎪
⎩θij Xij ≥ P L .
ij
A.10

Abbreviations
Indices

i : Index of stone-material plants, i  1, 2, . . . , m

j : Index of stone products, j  1, 2, . . . , n.

Parameters

 i : Stone dust emissions coefficient when plant i exploits

Ed

edij : Stone dust emissions coefficient when plant i produces product j
24 Mathematical Problems in Engineering

ewij : Waste water emissions coefficient when that plant i produces product j
pij : Employment coefficient that plant i produces product j
Pi : Basic employment that plant i needs
Si : Unit tax rate that plant i pays to the government
cj : Unit price of product j

tij : Unit variable cost when plant i produces

product j
hi : Unit cost when plant i holds remnant
stone materials
θij : Transformation rate when plant i
produces product j
Cij : Constant cost if plant i produces product
j
RU : Total stone resources upper limitation in
the region
DjL : Lower limitation of product j demand
EDU : Stone dust total emissions upper
limitation in the region
EW U : Waste water total emissions upper
limitation in the region
IViU : Inventory upper limitation for plant i
P CiU : Production cost upper limitation for
plant i
PijL : Lower limitation for product j in plant i.

Decision variables

Yi : Amount that the government allows plant i to exploit

Xij : Amount that plant i uses to produce the product j.

Acknowledgments
The work is supported by the Key Program of National Natural Science Foundation of
China Grant no. 70831005 and also supported by the “985” Program of Sichuan University
Innovative Research Base for Economic Development and Management.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 582323, 21 pages
doi:10.1155/2012/582323

Research Article
Dynamic Programming and Heuristic for
Stochastic Uncapacitated Lot-Sizing Problems
with Incremental Quantity Discount

Yuli Zhang,1 Shiji Song,1 Cheng Wu,1 and Wenjun Yin2

1
Department of Automation, TNList, Tsinghua University, Beijing 100084, China
2
Industry Solutions, IBM Research-China, Beijing 100193, China

Correspondence should be addressed to Shiji Song, [email protected]

Received 30 January 2012; Revised 25 April 2012; Accepted 8 May 2012

Academic Editor: Jung-Fa Tsai

Copyright q 2012 Yuli Zhang et al. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

The stochastic uncapacitated lot-sizing problems with incremental quantity discount have been
studied in this paper. First, a multistage stochastic mixed integer model is established by the
scenario analysis approach and an equivalent reformulation is obtained through proper relaxation
under the decreasing unit order price assumption. The proposed reformulation allows us to extend
the production-path property to this framework, and furthermore we provide a more accurate
characterization of the optimal solution. Then, a backward dynamic programming algorithm is
developed to obtain the optimal solution and considering its exponential computation complexity
in term of time stages, we design a new rolling horizon heuristic based on the proposed property.
Comparisons with the commercial solver CPLEX and other heuristics indicate better performance
of our proposed algorithms in both quality of solution and run time.

1. Introduction
The lot-sizing problems have been the subject of intensive research in the last few decades.
The basic definition of single-item lot-sizing problems can be stated as follows: the order
production, inventory and backlog quantities in each period should be determined to
meet the deterministic but dynamic demand over a finite time horizon. The objective is
to minimize the total costs, which consist of the fixed setup cost, order cost and inventory
cost. Different quantity discount policies, such as all-units quantity discount and incremental
quantity discount, have been widely executed in practice and thus have also been introduced
into the lot-sizing problems.
Although the deterministic planning and scheduling models have been intensively
studied, in practice there are many different sources of uncertainties, such as customer
2 Mathematical Problems in Engineering

demand, production lead-time, and product price, which make information that will be
needed in subsequent decision stages unavailable to the decision maker. In such cases, the
solution provided by a deterministic model may be of little value in terms of applicability
of the model’s recommendations, see Beraldi et al. 1. Thus the stochastic version of lot-
sizing problems has been studied recently and with the advent of stochastic programming,
the classical deterministic lot-sizing models have been extended to scenario-based multistage
stochastic mixed integer programming.
Wagner and Whitin 2 first introduced the single-item dynamic lot-sizing problems
without backlogging. They proposed a dynamic programming approach based on the
Wagner-Whitin W-W property, that is, no production is undertaken if inventory is
available. Because W-W property holds for the nondiscount problem, many heuristics
have been developed based on this property; however, in the all-units quantity discount
case, the property does not necessarily hold due to its discontinuous piecewise linear cost
structure by Hu and Munson 3. For the modified all-units discount problem, Chan et
al. 4 demonstrated that a zero-inventory-ordering policy based on the W-W property
exists, whose cost is no more than 4/3 times the optimal cost. Federgruen and Lee 5
characterized structural properties of optimal solutions for both all-units and incremental
quantity discount, and proposed dynamic programming algorithms with complexity OT 3 
and OT 2 , respectively, and with T being the number of periods in the planning horizon.
For deterministic capacitated lot-sizing problem with general piecewise linear cost function,
Shaw and Wagelmans 6 presented a dynamic programming procedure with complexity
OT 2 qd, where T is the number of periods, d is the average demand and q is the
average number of pieces required to represent the production cost function. Note that this
pseudopolynomial time algorithm is based on the assumption that the demand is an integral
value.
For the stochastic version problem, although Ahmed et al. 7 showed that the W-
W property does not hold for the stochastic lot-sizing problems several modified W-W
properties have been presented for different versions of the stochastic lot-sizing problems:
Guan and Miller 8 studied the stochastic uncapacitated lot-sizing problems with uncertain
parameters and introduced the production path property for the optimal solution. Further,
the production path property was extended to the stochastic capacitated lot-sizing problems
with backlogging in Guan and Miller 8 and the dynamic programming algorithms based
on this property have been presented. For the stochastic lot-sizing problems with random
lead times, Huang and Küçükyavuz 9 presented the Semi-Wagner-Whitin property under
assumption that no order crosses in time.
Besides the algorithms based on the extended W-W properties, Lulli and Sen 10
and Ahmed et al. 7 have presented branch-and-price and branch-and-bound algorithms,
respectively to solve the proposed multistage integer programming. Although such branch-
and-bound-based B&B-based methods have broad application prospects for general integer
programming, special structure properties of the stochastic lot-sizing problems have not been
explored in order to design customized algorithms, and only computational results for small-
size stochastic batch-sizing problems have been reported in Lulli and Sen 10. Other heuristic
methods, such as the fix and relax, have also been redesigned to solve particular stochastic
lot-sizing problems, see 1, 11. We also refer the reader to the recent literature review of
12–14.
To the best of our knowledge, little research has been reported on the stochastic lot-
sizing problems with incremental quantity discount SLP-IQD. However as it is reported in
the survey by Munson and Rosenblatt 15, 83% of the buyers received quantity discounts
Mathematical Problems in Engineering 3

for most of the items they purchased and 37% of orders involved either the offer or receipt
of some incremental quantity discounts; thus, the study on quantity discount is of great
importance in practice. In this paper, a multistage stochastic mixed-integer programming
model is established and under decreasing unit order price assumption, an equivalent
relaxed formulation is obtained. The reformulation provides the possibility of extending the
production path property for optimal solution of SLP-IQD. The extended production path
property is not only a direct extension to the case with incremental quantity discount, but
also provides a more accurate characterization for the optimal solution. Then, a backward
dynamic programming algorithm has been developed. Although it can obtain optimal
solutions in polynomial time in terms of the number of nodes, it has an exponential
computational complexity in terms of the number of stages. Thus, a new rolling horizon
heuristic which makes use of the extended production path property and has flexible
parameters settings is presented in order to balance the desired solution quality and run time.
Numerical experiments have been implemented to explore the proper parameters settings
and validate the effectiveness of the proposed algorithms by comparison with the CPLEX
11.1 solver and other heuristics.
The remainder of the paper is organized as follows. In Section 2, we first introduce
the deterministic formulation and then formulate the general multistage stochastic mixed
integer model for the stochastic uncapacitated lot-sizing problems with incremental quantity
discount SULP-IQD. An equivalent reformulation is proposed under the decreasing unit
order price assumption. In Section 3, the extended production path property is proven and
a backward dynamic programming algorithm and a rolling horizon heuristic with flexible
parameters settings are developed. Computational results are reported and discussed in
Section 4. Section 5 presents conclusions.

2. Mathematical Model
2.1. Deterministic Lot-Sizing Problems with Incremental Quantity Discount
First, we will establish an mathematical model for the deterministic uncapacitated lot-sizing
problems with incremental quantity discount DULS-IQD. Considering a planning horizon
of T time periods stages, at each period t, the nonnegative demand dt , variable inventory
holding cost ht , the variable setup cost ct , and piecewise order cost function ft · at period
t ∈ {1, . . . , T } are given. Variable st denotes the inventory quantity at the end of period t, and
variable xt and Boolean variable yt denote the order quantity and fixed charge variable at
period t, respectively.
The incremental quantity discount cost structure is given as follows:

⎧
⎪
⎪ pt,1 for the first Qt,1 units,
⎪
⎪
⎪
⎨pt,2 for the next Qt,2 − Qt,1 units,
the unit order cost  . .. 2.1
⎪
⎪..
⎪
⎪ .
⎪
⎩p
t,Kt for each unit in excess of Qt,Kt −1 units,

where Kt denotes the number of price intervals. Suppose that Qt,0  0 and Qt,Kt  ∞.
The decreasing unit order price assumption, that is, pt,k > pt,k1 , k  1, . . . , Kt − 1 with
4 Mathematical Problems in Engineering

0  Qt,0 < Qt,1 < · · · < Qt,k < Qt,k1 < · · · < Qt,Kt  ∞ always naturally holds in practice. The
piecewise order cost function is given as


pt,1 xt , if Qt,0 ≤ xt < Qt,1 ,
ft xt   k−1  2.2
j1 pt,j − pt,j1 Qt,j  pt,k xt , if Qt,k−1 ≤ xt < Qt,k , k  2, . . . , Kt .

Thus, the DULS-IQD can be formulated as

T

min : ft xt   ht st  ct yt 2.3
t1

subject to

st−1  xt − dt  st , t  1, . . . , T, 2.4

xt ≤ Myt , t  1, . . . , T, 2.5

xt ≥ 0, st ≥ 0, s0  0 t  1, . . . , T, 2.6

yt ∈ {0, 1}, t  1, . . . , T. 2.7

The objective function 2.3 minimizes the sum of inventory cost, setup cost and
piecewise order cost. Constraints 2.4 guarantee that the dynamic demands in every period
are met. Constraints 2.5 are the capacity constraints, and here we assume that M is a
sufficiently large upper bound on xt . Constraints 2.6 ensure that there is no backlogging
and order quantity variables are nonnegative. Without loss of generality, we suppose that
there is no initial inventory. Setup variable yt is defined as a binary variable in constraints
2.7.

2.2. Stochastic Lot-Sizing Problems with Incremental Quantity Discount

In this subsection, a stochastic model is established by scenario analysis approach. We assume
that the problem parameters follow discrete time stochastic processes with a finite probability
space and evolve as a multistage stochastic scenario tree. Let node n at stage t t  1, . . . , T 
represent all the realization of the system leading up to and including stage t, and set N
denotes the set of all nodes. Let set L denote the set of leaf nodes. Thus a scenario represents
a path from the root node indexed as n  0 to a leaf node. The related notation is given as
follows:

an: parent of node n,

tn: time stage of node n, tn ∈ {1, . . . , T },
Dn: the set of all descendants of node n and n ∈ Dn,
P n, m: the set of nodes on a path from node n to node m, where m ∈ Dn, and
we assume that P n, m includes n and m,
Mathematical Problems in Engineering 5

Cn: children nodes of node n, that is, Cn  {m ∈ N : am  n},

θn : the likelihood probability assigned to node n, θn > 0.

Here using the above notation, the deterministic model in the above subsection can
be extended to the stochastic environments by replacing the stage index t ∈ {1, . . . , T } with
node index n ∈ N. The multistage stochastic problem formulation, denoted by SP, is given as
follows:

 
SP min : θn fn xn   hn sn  cn yn 2.8
n∈N

subject to

san  xn − dn  sn , n ∈ N,

xn ≤ Myn , n ∈ N,
2.9
xn ≥ 0, sn ≥ 0, sa0  0, n ∈ N,

yn ∈ {0, 1}, n ∈ N.

An equivalent mixed integer programming formulation can be easily obtained by

introducing auxiliary order quantity variables and corresponding Boolean variables. A group
of variables are assigned for each order quantity interval as follows:

xn,k ≥ 0, n ∈ N, k  1, . . . , Kn ,

0, xn,k  0, 2.10
yn,k 
1, Qn,k−1 < xn,k ≤ Qn,k .

Δ Δ
For model brevity, we introduce the following notations: pn,k  θn pn,k , hn  θn hn , and
Δ 
cn,k  θn {cn  k−1
j1 {pn,j −pn,j1 Qn,j }}. Note that the setup cost also increases correspondingly
in index k, that is, cn,k < cn,k1 for each node n ∈ N. An equivalent MIP formulation, ESP1, is
given as follows:

K 
n 
ESP1 min : pn,k xn,k  cn,k yn,k  hn sn 2.11
n∈N k1
6 Mathematical Problems in Engineering

subject to

Kn
san  xn,k − dn  sn , n ∈ N, 2.12
k1

Qn,k−1 yn,k ≤ xn,k ≤ Qn,k yn,k , n ∈ N, k  1, . . . , Kn , 2.13

Kn
yn,k ≤ 1, n ∈ N, 2.14
k1

xn,k ≥ 0, sn ≥ 0, sa0  0, n ∈ N, k  1, . . . , Kn , 2.15

yn,k ∈ {0, 1}, n ∈ N, k  1, . . . , Kn . 2.16

Proposition 2.1. Formulation ESP1 is equivalent to the original formulation SP.

∗ ∗
Proof. Suppose that {xn,k , yn,k , s∗n | n ∈ N, k  1, . . . , Kn } is an optimal solution of ESP1. For
∗ ∗
each n ∈ N, there exists at most one kn ∈ {1, . . . , Kn } such that yn,k  1 and M ≥ xn,k >
 Kn n ∗ ∗
n

0 by constraints 2.13, 2.14, and the optimality. Note that if k 1 xn,k  xn,kn  0, then
Kn ∗ ∗
y
k 1 n,k
 yn,k n
 0. Thus, by checking constraints in SP, we construct a corresponding
feasible solution of SP as {x∗n  xn,k ∗
n
, y ∗n  yn,k
∗
n
, s∗n  s∗n | n ∈ N}. By the definition of pn,k , cn,k
∗ ∗
and hn , the constructed feasible solution of SP has the same objective cost to {xn,k , yn,k , s∗n |
n ∈ N, k  1, . . . , Kn }.
For each optimal solution of SP, {xn∗ , yn∗ , s∗n | n ∈ N}, we define the corresponding
solution for ESP1 as follows: for given n ∈ N, if Qn,k−1 < xn∗ ≤ Qn,k , then {x∗n,k  xn∗ , y ∗n,k 
1, s∗n  s∗n , x∗n,k  y∗n,k  0, k  ∗ ∗ ∗
/ k} and if xn∗  0, then {xn,k  0, y n,k  0, sn  s∗n , k ∈
{1, . . . , Kn }}. By checking its feasibility and the objective cost in ESP1, we conclude that the
constructed solution is also feasible in ESP1 and has same objective cost to {xn∗ , yn∗ , s∗n | n ∈
N}.

Further, by relaxing the constraints on Boolean variables and order quantity variables
in 2.13-2.14, the following formulation, denoted by ESP2, and proposition can be obtained.

K 
n 
ESP2 min : pn,k xn,k  cn,k yn,k  hn sn 2.17
n∈N k1

subject to

Kn
san  xn,k − dn  sn , n ∈ N,
k1

xn,k ≤ yn,k M, n ∈ N, k  1, . . . , Kn , 2.18

xn,k ≥ 0, sn ≥ 0, sa0  0 n ∈ N, k  1, . . . , Kn ,

yn,k ∈ {0, 1}, n ∈ N, k  1, . . . , Kn .

Mathematical Problems in Engineering 7

Proposition 2.2. Under the decreasing unit order price assumption, formulation ESP2 is equivalent
to ESP1 and SP.

Proof. Because the feasible set of the relaxed formulation ESP2 contains the feasible set of
∗ ∗
ESP1, the optimal solutions of ESP2 must be proven feasible for ESP1. Let {xn,k , yn,k , s∗n | n ∈
∗
N, k  1, . . . , Kn } be an optimal solution of ESP2. First note that if yn,k  1, we must have
∗
xn,k > 0 otherwise it contradicts the optimality since cn,k > 0.
 n
Second, it is asserted that the relaxed constraints K y ≤ 1, n ∈ N always hold for
k1 n,k
∗ ∗
every optimal solution of ESP2. Suppose that yn,l  yn,m  1, n ∈ N, 1 ≤ l /
 m ≤ Kn ; thus,
∗ ∗ ∗ ∗
xn,l > 0 and xn,m > 0. Without loss of generality, suppose that m > l and Qn,r−1 ≤ xn,l  xn,m <
Qn,r , 1 ≤ r ≤ Kn , then

 
∗ ∗
cn,r  pn,r xn,l  xn,m
⎧ ⎫
⎨ r−1
  ⎬
∗ ∗
 θn cn  pn,j − pn,j1 Qn,j  pn,r xn,l  xn,m
⎩ j1
⎭
⎧ ⎫
⎨ r−1     ⎬
∗ ∗ ∗ ∗
 θn pn,j − pn,j1 Qn,j  pn,r xn,l  xn,m − pn,m xn,l  xn,m
⎩jm ⎭
 
∗ ∗
 cn,m  pn,m xn,l  xn,m
⎧ ⎫
⎨ r−1      ⎬
∗ ∗ ∗ ∗ ∗ ∗
≤ θn pn,j − pn,j1 xn,l  xn,m  pn,r xn,l  xn,m − pn,m xn,l  xn,m
⎩jm ⎭
 
∗ ∗
 cn,m  pn,m xn,l  xn,m
 
∗ ∗
 cn,m  pn,m xn,l  xn,m
∗ ∗
< cn,m  pn,m xn,m  pn,l xn,l
∗ ∗
< cn,m  pn,m xn,m  cn,l  pn,l xn,l ,
2.19

r−1
where jm {pn,j − pn,j1   pn,m − pn,r in the third inequality.
∗
From the above analysis, a better solution can always be obtained by setting xn,r 
Kn ∗ ∗
Kn ∗ ∗ ∗
x
j1 n,j , 
yn,r  1, where Qn,r−1 ≤ 
x
j1 n,j ≤ Q n,r , and 
xn,k
 0, yn,k
 0, k 
/ r, which
contradicts the optimality.
Third, we prove that the relaxed constraints Qn,k−1 yn,k < xn,k ≤ Qn,k yn,k , n ∈ N, k 
∗ ∗
1, . . . , Kn also hold for the optimal solution. Assume that xn,l > 0 and xn,m  0 for all m / l, but
8 Mathematical Problems in Engineering
∗
the inequality constraint Qn,l−1 ≤ xn,l ≤ Qn,l does not hold. Without loss of generality, suppose
∗
that Qn,r−1 < xn,l ≤ Qn,r ≤ Qn,l−1 where r ≤ l − 1, then

⎧ ⎫
⎨ l−1
 ⎬
∗ ∗
cn,l  pn,l xn,l  θn cn  pn,j − pn,j1 Qn,j  pn,l xn,l
⎩ j1
⎭
⎧ ⎫
⎨ l−1  ⎬ 2.20
∗ ∗
 cn,r  pn,r xn,l  θn pn,j − pn,j1 Qn,j  pn,l − pn,r xn,l
⎩ jr ⎭

∗
> cn,r  pn,r xn,l .

∗
Therefore, we reach a contradiction because we obtain a better solution by setting xn,r 
∗ ∗ ∗ ∗
xn,l , yn,r  1, and xn,k  0, yn,k  0 for k /
 r. Since the optimal solution of ESP2 satisfies all the
constraints of ESP1, and ESP2 is obtained from ESP1 by relaxing its constraints, this implies
that ESP2 is equivalent to ESP1 and SP.

3. Optimality Condition and Algorithms

In this section, we explore the property of the SULS-IQD and design-efficient algorithms.
It is necessary to highlight the differences between the deterministic problems and the
stochastic problems. First, Ahmed et al. 7 and Huang and Küçükyavuz 9 have shown
that W-W property does not hold for the stochastic version problems. The reason is that one
production or positive order, which is made to exactly cover the demand along certain path,
will inevitably influence all its descendant nodes. The violation happens when this positive
order could not cover some nodes and their inventory level is nonzero. Thus, we develop
an extended production-path property for the stochastic problem and design a dynamic
programming algorithm. Second, since the number of nodes grows exponentially as the
number of time stages increases for stochastic version problems, the traditional dynamic
programming methods fail to run efficiently. So, we further design an approximate heuristic
based on the proposed property to obtain good enough solutions efficiently in this section.

3.1. Extended Production-Path Property

Formulation ESP2 presented in Section 2 is essential to handle the piecewise linear objective
function and extend the production path property to the SULS-IQD. The following
proposition is not only a direct extension of Guan and Miller 8 when incremental quantity
discount is provided, but also a more accurate characterization of the optimal solution. It
shows that there always exists an optimal solution such that if a positive order is made at
node n, the order quantity exactly covers the demand along the path from node n to a certain
descendant node m; moreover, no positive order will be made for these nodes along the path
from node n to the parent node of m.

Proposition 3.1 extended production-path property. For any instance of SULS-IDQ, there
∗
exists an optimal solution x∗ , y∗ , s∗ , such that for each node n ∈ N, if xn,k > 0, then there exist
∗
m ∈ Dn and Qn,k−1 < dn,m − san ≤ Qn,k such that
Mathematical Problems in Engineering 9
∗ ∗
1 xn,i  0, yn,i  0, for all i  1, . . . , Kn , i /
 k;

∗
2 xn,k  dn,m − s∗an , yn,k
∗
 1;

∗ ∗
3 xl,i  0, yl,i  0, for all l ∈ P n, am \ {n}, i  1, . . . , Kl .

Note that under assumption that all lead time is equal to 1 and by similar arguments,
the second optimal condition can be regarded as an extension of the Semi-Wagner-Whitin
Property in Huang and Küçükyavuz 9; however, the third optimal condition provides new
restrictions which narrow the scope of the expected optimal solutions. In the next section, an
improved backward dynamic programming algorithm and a rolling horizon heuristic based
on the extended production-path property will be presented.
For any optimal solution of ESP2, x, y, s, if xn,k > 0, we introduce the following
definition:

 Kl Km

NP n  m | m ∈ Dn, xl,k  0, ∀l ∈ P n, am \ {n}, xm,k > 0 ,
k1 k1
  3.1
Kl
NNP n  m | m ∈ Dn ∩ L, xl,k  0, ∀l ∈ P n, m \ {n} ,
k1

where set NP n contains the first node with positive order quantity after node n, and set
NNP n contains these leaf nodes from which to node n no positive order has been placed
except node n. Note that if a certain positive order quantity is properly transferred between
node n and all the nodes in set NP n, the feasibility can be kept and only the cost for nodes
in the following set is changed:

φn  {m | m ∈ P n, l, ∀l ∈ NP n ∪ NNP n}. 3.2

Proof. First, it is asserted that there exists at least an optimal solution by Weierstrass’ theorem
 n
since the feasible set is compact note that K x can be bounded by maxm∈Dn∪L {dn,m }
k1 n,k
and the objective function is continuous. Then for any given optimal solution of ESP2,
∗
x∗ , y∗ , s∗ , if xn,k > 0, the first part holds from Proposition 2.2. Next, we show that an optimal
solution holding the above property can always be constructed from any given optimal
solution of ESP2 by adjusting the variable’s value.
We scan the optimal solution x∗ , y∗ , s∗  from stage 1 to stage T . Assume that there
∗
exists a node n with xn,k > 0 not holding the property, but for nodes at stage t < tn the
conclusion holds, the following approach adjusts variables’ value assigned to nodes in Dn
to satisfy the property without changing variables’ value before stage tn. For any feasible
solution x, y, s of ESP2, we define the object cost function as

K 
n 
F x, y, s  pn,k xn,k  cn,k yn,k  hn sn . 3.3
n∈N k1
10 Mathematical Problems in Engineering

The objective cost for x∗ , y∗ , s∗  is

F x∗ , y∗ , s∗
⎧ ⎫
⎨ Km  ⎬
∗ ∗
 pm,j xm,j  cm,j ym,j  hm s∗m ∗
 pn,k xn,k ∗
 cn,k yn,k
m∈N\φn
⎩ j1 ⎭ 3.4

 hn s∗n  hm s∗m  ∗
pm,jm xm,j m
∗
 cm,jm ym,j m
 hm s∗m ,
m∈φn{{n}∪NP n} m∈NP n

where jm is the unique positive order quantity at node m, m ∈ NP n, and the node set N
is divided into four subsets: {n}, NP n, φn \ {{n} ∪ NP n}, and N \ φn. For any node
m ∈ φn \ {{n} ∪ NP n}, no order is placed.
∗
Since xm,j m
> 0 for m ∈ NP n by definition and s∗m > 0 for m ∈ NNP n otherwise it
contradicts the assumption, we choose small positive scalar ε satisfying

∗
0 < ε ≤ xn,k , 3.5

0 < ε ≤ s∗m , for m ∈ NNP n, 3.6

∗
0 < ε ≤ xm,j m
, for m ∈ NP n, 3.7

such that the following solutions are feasible for ESP2

x∗n,k  xn,k
∗
− ε, s∗m  s∗m − ε for m ∈ φn \ NP n,

x∗m,jm  xm,j
∗
m
ε for n ∈ NP n, 3.8
∗ ∗
xn,k  xn,k  ε, s∗m  s∗m  ε for m ∈ φn \ NP n,
∗ ∗
xm,j m
 xm,j m
−ε for n ∈ NP n 3.9

and keep the value of other variables unchanged. For given ε satisfying constraints 3.5–
3.7, the objective costs of x∗ , y ∗ , s∗  and x∗ , y∗ , s∗  are

F x ∗ , y ∗ , s∗
⎧ ⎫
⎨ Km  ⎬  
∗ ∗
 pm,j xm,j  cm,j ym,j  hm s∗m ∗
 pn,k xn,k ∗
− ε  cn,k yn,k  hn s∗n − ε
m∈N\φn
⎩ j1 ⎭
  
 hm s∗m − ε  ∗
pm,jm xm,j m
 ε  c m,j y ∗
m m,jm
 hm s∗
m
m∈φn\{{n}∪NP n} m∈NP n

 F x∗ , y∗ , s∗ − pn,k ε − hn ε − hm ε  pm,jm ε
m∈φn\{{n}∪NP n} m∈NP n

 F x∗ , y∗ , s∗ − pn,k ε − hm ε  pm,jm ε,
m∈φn\NP n m∈NP n
Mathematical Problems in Engineering 11

F x∗ , y∗ , s∗

⎧ ⎫
⎨ Km  ⎬  
∗ ∗
 pm,j xm,j  cm,j ym,j  hm s∗m ∗
 pn,k xn,k ∗
 ε  cn,k yn,k  hn s∗n  ε
m∈N\φn
⎩ j1 ⎭
  
 hm s∗m  ε  ∗
pm,jm xm,j m
− ε  c m,j m
y ∗
m,j m
 hm s∗
m
m∈φn\{{n}∪NP n} m∈NP n

 F x∗ , y∗ , s∗  pn,k ε  hn ε  hm ε − pm,jm ε.
m∈φn\{{n}∪NP n} m∈NP n

 F x∗ , y∗ , s∗  pn,k ε  hm ε − pm,jm ε.
m∈φn\NP n m∈NP n

3.10

Note that the first equality comes from the definition of x∗ , y ∗ , s∗ , x∗ , y∗ , s∗ , and F function.
The second one is obtained by comparing with the value of Fx∗ , y∗ , s∗  and the last one

is obtained by rearranging the terms in the former, where hn ε  m∈φn\{{n}∪NP n} hm ε 

m∈φn\NP n hm ε.
Since x∗ , y∗ , s∗  is an optimal solution of ESP2, thus we must have pn,k 
  ∗ ∗ ∗
m∈φn\NP n hm − ∗ , y∗ , s∗  are also optimal solution
m∈NP n pm,jm  0 and x , y , s , x
for ESP2. Now we increase ε so that at least one of the following cases occur.
Case 1. If equality in 3.5 holds, then we have eliminated the undesired positive order
at node n and x∗ , y ∗ , s∗  will be used to construct an eventual solution by a similar method.
Case 2. If equality in 3.6 for a certain m holds, then there exists m ∈ Dn such that
x∗n,k  dn,m − s∗an and x∗l,k  0, y ∗l,k  0 for all l ∈ P n, am \ {n}, k  1, . . . , Kl . Next,
x∗ , y ∗ , s∗  will be used to construct an eventual solution by a similar method.
Case 3. If equality in 3.7 for a certain m holds, then we apply the above analysis to
x∗ , y∗ , s∗ . Since there are finite nodes in Dm, eventually case 1 or case 2 will occur in the
worst case NP n  ∅ after finite steps.
Thus, the optimal solution holding the proposed property can always be constructed
after finite steps.

3.2. Dynamic Programming Algorithm

To recursively calculate the optimal solution, the following functions are introduced as in
Guan and Miller 8:

Hn, s: value function at node n when its initial inventory is san  s, that is,
  m
Hn, s  min{ m∈Dn { K k1
{pm,k xm,k  cm,k ym,k }  hm sm }} subject to constraints
2.18 and san  s:
HP n, s: production value function at n when its initial inventory is san  s and
Kn
x > 0:
k1 n,k

HNP n, s: nonproduction value function at n when its initial inventory is san  s
 n
and K x  0.
k1 n,k
12 Mathematical Problems in Engineering

For each stage t  1 to T

For each node n at stage t
For each possible initial inventory sm  d0,m − d0,an ≥ 0, m ∈ N
if t  1, set sm  0
step 1: Calculate HP n, sm  by 3.11
step 2: Calculate HNP n, sm  by 3.12 if d0,m − d0,n > 0,
otherwise HNP n, sm   ∞
step 3: Calculate Hn by 3.13
End For Iteration sm 
End For Iteration n
End For Iteration t

Algorithm 1: Dynamic programming algorithm.

From Proposition 3.1, if a positive order quantity is made at node n when the initial
inventory is s, then there exists a node j ∈ Dn, such that xn  dn,j − s. Therefore, the
following equations hold:

HP n, s
⎧ ⎫
⎨ ⎬
 min cn,k  pn,k dn,j − s  hn dn,j − dn  H m, dn,j − dn ,
j∈Dn: Qn,k−1 <dn,j −s≤Qn,k ⎩ ⎭
m∈Cn
3.11

HNP n, s  hn s − dn   Hm, s − dn , 3.12

m∈Cn

Hn, s  min{HP n, s, HNP n, s}. 3.13

To obtain the exact optimal solution of SP, it is not necessary to completely characterize
the value function H0, s. We only need to calculate its values at possible positive
discontinuous points. That is, with zero initial inventory assumption for node n ∈ N \ {0},
we only need to evaluate Hn, s for s  d0,m − d0,an ≥ 0, m ∈ N since dn,m − dn  d0,m − d0,n
in 3.11. Thus, we give the following dynamic programming for SULS-IQD:
Without loss of generality, we assume | Cn | C for all n ∈ N in the following
analysis. Dynamic programming demonstrates a straight method to obtain the optimal
solution. Although Guan and Miller 8 showed that general SULS without incremental
quantity discount can be solved in O| V 0|2 max{log V 0, C}, the above algorithm runs in
exponential time in terms of T since V 0  CT − 1/C − 1. The exponential computational
time encourages us to develop a more effective algorithm for the problems with large
numbers of stages see Algorithm 1.

3.3. Rolling Horizon Heuristic

In dynamic lot-sizing and scheduling problems with a large planning horizon, rolling horizon
heuristics have been developed to decompose the original large-scale problem into a set of
smaller subproblems. See, for example, 11, 16. In contrast with the existing heuristics, the
Mathematical Problems in Engineering 13

proposed RHH based on the extended production-path property stems from the proposed
dynamic programming algorithm. In the heuristic, nonproduction strategy is developed
to take advantage of the accurate characterization of the optimal solution, and then look-
forward and look-backward heuristic strategies are developed to reduce the computation
complexity of the complete enumeration in evaluation of the value function. The computation
complexity is also analyzed to demonstrate its advantage for the problems with a large
planning horizon.

1 Nonproduction Strategy

At each iteration for sm in DP algorithm for given n, if m ∈ Dn \ {n}, step 1 can be skipped
and set Hn  HNP n, sm  since it violates part 3 of Proposition 3.1. In such case, even if
 n
Hn  HP n, sm  < HNP n, sm , and there exist optimal solutions with K x > 0, we will
k1 n,k
not lose the optimality because it is guaranteed that there exists an optimal solution satisfying
the extended production path property in Proposition 3.1. The nonproduction strategy can be
stated as

if m ∈ Dn \ {n}, then skip step1 and set Hn  HNP n, sm  at step3. 3.14

2 Look-Forward Strategy

At step 1 for given node n at stage t and initial inventory sm  d0,m − d0,an , 3.11
requires calculating all the positive orders that cover demand from node n to a certain node
j ∈ Dn. These complete enumeration calculations are very time-consuming, thus we define
the following look-forward strategy with parameter FT forward time stage:

HP n, s
⎧ ⎫
⎨ ⎬
 min cn,k  pn,k dn,j − s  hn dn,j − dn  H m, d0,j − d0,n ,
j∈DFT n:Qn,k−1 ≤dn,j −s≤Qn,k ⎩ ⎭
m∈Cn
3.15

where DFT n  {j | j ∈ Dn and tj − tn ≤ FT} denotes the set of node n’s
descendants within FT generations. The problem is how to select proper FT. It is obvious that
increasing FT will not only improve the quality of solution, but will also increase computation
time. Thus, the quality of solution and run time can be balanced by properly selecting FT.
The performance of the proposed RHH with different FT settings will be tested by numerical
experiments in the next section.

3 Look-Backward Strategy

At step 2 for given node n at stage t and initial inventory sm  d0,m − d0,an , if stage tm is
smaller than t, it is likely sm − dn  d0,m − d0,n < 0 and in such cases step 2 can be skipped. For
the same reason, if t − tm is larger than a certain value, we can expect sm  d0,m − d0,an < 0
14 Mathematical Problems in Engineering

and this iteration for sm can be skipped too. Look-backward strategy with parameter BF
backward time stage can be stated as follows:

if t − tm > BF, then skip this iteration for sm ;

3.16
else if t − tm  BF, skip step2 and set Hn  HP n, sm  at step 3,

where BF depends on the distribution of demand. We will set proper BF based on

distribution of demand by numerical experiments in the next section.
In the above strategies, the major modification comes from the iteration for sm and
calculation of HP n at step 1 for given node n. In order to give a brief characterization of
the above heuristic rules and analyze its computational complexity, we give the following
lemma.

Lemma 3.2. For each node n ∈ N \ {0}, the rolling horizon heuristic with FT and BT only needs to
evaluate the following values:


H n, d0,m − d0,an : d0,m − d0,an ≥ 0, m ∈ RHFT,BT n , 3.17

where RHFT,BT n  ∪m∈P 0,an,tn−tm≤FT BT DFT m.

Proof. This lemma is proven by induction from nodes at stage t  1 to leaf nodes at stage T .
Since positive order must be made at node 0 due to the zero initial inventory assumption, thus
for node n at stage tn  2 by 3.15 possible initial inventory san at node n could only be a
certain value in set {d0,m −d0,an : d0,m −d0,an ≥ 0, m ∈ RHFT,BT n}  {d0,m −d0,0 : d0,m −d0,0 ≥
0, m ∈ DFT 0}. Suppose the lemma holds for node an at stage t, where 2 ≤ t ≤ T , that is,
the set of initial inventory for node an is given by {d0,m − d0,aan : d0,m − d0,aan ≥ 0, m ∈
RHFT,BT an}.
Now consider the possible initial inventory at node n.
Case 1. If a positive order has been made at node an, by 3.15 in the look-forward
strategy, the set of initial inventory at nodes n is given by {d0,m − d0,an : d0,m − d0,an ≥ 0, m ∈
DFT an}.
Case 2. if no order has been made at node an, the set of possible initial inventory
at node n is given by {d0,m − d0,an : d0,m − d0,an ≥ 0, m ∈ RHFT,BT an}. However, note
that by look-backward strategy 3.16 we skip the calculation of HNP an, d0,m − d0,an  for
those m such that tan − tm  BF; thus, in this case we only need to consider initial
inventory value in set {d0,m − d0,an ≥ 0, m ∈ ∪{DFT m : m ∈ P 0, aan, tan − tm ≤
FT  BT − 1}}  {d0,m − d0,an ≥ 0, m ∈ ∪{DFT m : m ∈ P 0, aan, tn − tm ≤ FT  BT}}
at node n.
Combine the above two cases, the conclusion holds for node n.

Figure 1 gives an intuitive example of a balanced scenario tree with C  2 at each node.
For the rolling horizon heuristic with FT  2 and BT  1, given RHH2,1 an for node an,
consider the initial inventory set for node n. If a positive order has been made at node an,
{d0,j − d0,an : d0,j − d0,an ≥ 0, j ∈ DFT an and tj  tn  FT − 1} will be introduced
by 3.15. By the look-backward strategy 3.16, we do not need to calculate Hn, sm , where
tm  tn − BT − 1. Other values will be inherited if no order has been made at node an.
Mathematical Problems in Engineering 15

.
.
.
.
.
.
.
.
.
.
.
.

m
Stage 1
a(m)

n
.
.. .
..

a(n)
.

a(a(n))
..

a(j) j
RH (a(n))

Stage t− BT −1

.
RH (n) .
.
Stage t− BT Stage t Stage t+ FT −1

Figure 1: Example of RHH with FT  2 and BT  1.

Note that | RHFT,BT n | is no more than FT  BTCFT where we assume that | Cn | C for
all n ∈ N.
By summarizing the above analysis, the rolling horizon heuristic is given as in
Algorithm 2.
Next the computation complexity of RHH is analyzed. For given node n at stage t,
there exist at most | RHFT,BT n | possible initial inventories sm . For each given sm , it takes
OKn | Cn | | DFT n | time to complete calculation of HP n, sm  at step 1. Step 2 and step
3 will be completed in OCn time. Thus the total run time can be estimated as assume that
Kn  K for all n ∈ N

{KC|RHFT,BT n||DFT n|} ≤ KCFT  BTCFT {|DFT n|}

n∈N n∈N

CFT1 − 1
 KCFT  BTCFT |D0|
C−1
16 Mathematical Problems in Engineering

For each stage t  1 to T

For each node n at stage t
For each initial inventory sm ∈ {d0,m − d0,an ≥ 0 : m ∈ RHFT,BT n}
Set HP n, sm   HNP n, sm   ∞; if t  1, set sm  0
step 1: If m ∈ Dn \ {n}, go to step 3; otherwise calculate HP n, sm 
by 3.15
step 2: If t − tm  BF or d0,n − d0,m < 0, goto step 3; otherwise
calculate HNP n, sm  by 3.12
step 3: Calculate Hn by 3.13
End For Iteration sm 
End For Iteration n
End For Iteration t

Algorithm 2: Rolling horizon heuristic FT, BT.

CFT1 
 KFT  BT CFT1 − 1 |D0|
C−1
≤ KFT  BTC2FT1 |D0|.
3.18

Proposition 3.3. For any instance of SULS-IDQ, the rolling horizon heuristic with parameter FT
and BT runs in OK FT  BT C2FT1 | D0 | time.

The above analysis can be applied to the dynamic programming algorithm, thus the
total run time for DP is given by

{KC|D0||Dn|}  KC|D0| {|Dn|}

n∈N n∈N

T 
 KC|D0| Ct−1 1  C1  · · ·  CT −t 3.19
t1
 
C CT − 1
 K |D0| TC −
T
.
C−1 C−1

By comparison of computational complexity in 3.18 and 3.19, we observe that RHH works
more efficiently for large T . Effective parameters settings of RHH will be further explored by
numerical experiments in the next section.

4. Computational Experiment
In this section, the computational results on both DP and RHH are reported. In the
computational analysis, we first concentrate on identifying proper settings of parameters FT
and BT for RHH by comparison of its relative error gap and run time with DP’s. Then, DP and
RHH are compared with the CPLEX solver and other heuristics for the lot-sizing problems
with fixed charge.
Mathematical Problems in Engineering 17

Table 1: Problem instances.

Instance C T N Int. Cont.
G1 2 10 1023 3069 7161
G2 2 11 2047 6141 8188
G3 2 12 4095 12285 16380
G4 3 7 1093 3279 4372
G5 3 8 3280 9840 13120
G6 3 9 9841 29523 39564
G7 4 6 1365 4095 5460
G8 4 7 5461 16383 21844

Table 2: Problem parameters.

Parameter Distribution
hn,k Uniform 1, 2
pn,1 Uniform 1, 2
cn,1 Uniform 3, 5
Qn,k Uniform 5, 15
dn,k Truncated normal 8, σ 2 

4.1. Problem Instance

In order to evaluate performance of the proposed DP and RHH, and explore the proper
parameters settings of FT and BT for RHH, 8 groups of problem instances are generated
by varying the number of stages from 5 to 12 and the number of branches from 2 to 4. The
number of incremental quantity discount intervals is fixed to 3. Table 1 gives the number
of branches C, the number of stages T , the number of nodes N, and the number of integer
and continuous variables in formulation ESP2 for each group of problem instances. Other
parameters are generated randomly and we assume that they are a sequence of i.i.d. random
variables which are subject to truncated normal distribution or uniform distribution. We
report in Table 2 part of the problem parameters and the variance of dn,k will be further
defined by σ  8 ∗ cv coefficient of variation in the following subsection. Due to decreasing
unit order price assumption, the unit order price and setup cost at node n is generated by
pn,k  1 − αpn,k−1 and cn,k  cn,k−1  αpn,k−1 Qn,k−1 , where α is the discount factor and we set
α  0.05. Our experiments are conducted on a workstation clocked at 2.33 GHz and equipped
with 11.9 GB of core memory.

4.2. Numerical Results

In order to evaluate the performance of the proposed RHH method with different parameters,
we define two different implementations of RHH and the problem parameter cv varies from
0.05 to 0.25 for each group of problems. RHH1 with parameters FT  T/3 and BT  1 has
been designed to obtain good enough solution in a short time, while RHH2 with parameters
FT  T/2 and BT  2 has been designed to obtain better solutions, where x denotes the
smallest integer larger than x. Table 3 gives the optimal objective function values and CPU
18 Mathematical Problems in Engineering

Table 3: Performance of RHH with different FT, BT.

RHH1 RHH2 DP
Instance cv
RE % CPU sec RE % CPU sec Value CPU sec
G1 − 1 0.05 0.289 0.016 0.0 0.094 12968.28 0.100
G1 − 2 0.15 0.168 0.015 0.0 0.110 12991.93 0.985
G1 − 3 0.25 0.135 0.015 0.0 0.110 13082.23 0.969
G2 − 1 0.05 0.039 0.079 0.0 0.219 25694.23 4.672
G2 − 2 0.15 0.015 0.079 0.0 0.219 26111.22 4.672
G2 − 3 0.25 0.005 0.078 0.0 0.218 26447.11 4.703
G3 − 1 0.05 0.009 0.172 0.0 1.109 51470.76 22.047
G3 − 2 0.15 0.008 0.172 0.0 1.109 51722.50 22.109
G3 − 3 0.25 0.006 0.156 0.0 1.110 52772.90 22.172
G4 − 1 0.05 2.431 0.047 0.509 0.156 8322.42 0.656
G4 − 2 0.15 1.529 0.031 0.195 0.125 8998.02 0.641
G4 − 3 0.25 1.391 0.047 0.158 0.125 9126.63 0.640
G5 − 1 0.05 2.877 0.140 0.635 0.516 24898.40 7.344
G5 − 2 0.15 1.869 0.125 0.409 0.516 26456.16 7.359
G5 − 3 0.25 1.212 0.141 0.190 0.500 27716.36 7.375
G6 − 1 0.05 2.950 0.438 0.214 5.937 74120.22 81.484
G6 − 2 0.15 1.879 0.453 0.064 5.969 79096.31 81.563
G6 − 3 0.25 1.434 0.453 0.054 6.047 82641.24 81.844
G7 − 1 0.05 7.894 0.031 1.270 0.093 7814.61 0.828
G7 − 2 0.15 5.590 0.016 0.783 0.093 8551.74 0.813
G7 − 3 0.25 4.350 0.015 0.435 0.094 9024.62 0.812
G8 − 1 0.05 1.697 0.437 0.247 2.219 30614.77 16.969
G8 − 2 0.15 1.001 0.453 0.075 2.234 33982.89 16.938
G8 − 3 0.25 0.597 0.437 0.053 2.234 36099.06 17.032

time in seconds for DP, and the percentage relative error RE% and CPU time for RHH1
and RHH2 , where

Value of RHH − Value of DP

RE  × 100%. 4.1
Value of DP

For RHH1 , the computational results show that RHH1 is able to solve all the instances in the
shortest time with no more than 3% relative error except, for instance, G7. The solution quality
and run time are further improved when the number of stages T becomes larger and the worst
results of G7 can be interpreted as the look-forward time horizon being too small to obtain
near optimal solution. For RHH2 , the relative error has been further decreased compared
with RHH1 . Although the run time has been increased, RHH2 still has advantage in run time
compared with DP especially for large problem instances. We also note that as the coefficient
of variation increases, the solutions quality and run time have been constantly improved for
all problem instances.
Then in the second experiment, we concentrate on the comparison of solution quality
and computation time with standard MIP solver CPLEX version 11.1 and another heuristic
dynamic slope scaling procedure DSSP. DSSP proposed by Kim and Pardalos 17 is a
Mathematical Problems in Engineering 19

Table 4: Comparison with DSSP and CPLEX.

RHH DSSP CPLEX DP

Instance
RE % CPU sec RE % CPU sec RE % CPU sec Value CPU sec
G1 − 1 0.0 0.094 2.225 1.062 11.881 5.110 11452.16 0.985
G1 − 2 0.0 0.109 2.299 0.907 10.441 5.063 11653.62 0.984
G1 − 3 0.0 0.094 2.581 1.062 9.555 5.015 11685.286 0.984
G2 − 1 0.0 0.516 1.986 2.172 0.619 25.750 22602.25 4.719
G2 − 2 0.0 0.516 2.583 2.438 3.800 24.093 23408.59 4.719
G2 − 3 0.0 0.500 3.040 2.094 6.103 24.110 23259.73 4.719
G3 − 1 0.0 1.140 1.947 4.578 0.645 111.891 45820.49 22.187
G3 − 2 0.0 1.125 2.845 4.250 1.162 114.657 46665.20 22.172
G3 − 3 0.0 1.125 3.104 4.406 0.858 113.641 47492.82 22.218
G4 − 1 0.704 0.140 0.721 1.015 3.744 3.391 7285.71 0.656
G4 − 2 0.110 0.140 0.893 0.828 15.302 3.375 7916.02 0.656
G4 − 3 0.035 0.140 1.089 0.735 13.440 3.297 8279.95 0.641
G5 − 1 0.867 0.515 0.484 3.313 3.334 37.516 21619.82 7.453
G5 − 2 0.174 0.500 0.632 2.796 1.199 38.265 23767.47 7.422
G5 − 3 0.198 0.516 1.163 3.110 0.814 37.703 24543.10 7.438
G6 − 1 0.202 6.063 0.401 8.781 0.800 414.046 65133.43 82.640
G6 − 2 0.068 6.109 0.747 11.453 1.879 412.860 70243.82 82.375
G6 − 3 0.022 6.110 1.034 11.157 0.843 419.937 74203.32 82.563
G7 − 1 0.201 0.360 0.716 1.078 4.300 4.250 6681.52 0.828
G7 − 2 0.0 0.359 0.889 0.859 1.742 4.172 7480.93 0.812
G7 − 3 0.0 0.344 1.368 1.188 1.188 4.2347 7980.60 0.828
G8 − 1 0.367 2.204 0.429 4.578 3.918 86.125 26885.65 17.265
G8 − 2 0.082 2.172 0.579 4.812 0.741 87.125 30213.60 17.234
G8 − 3 0.0 2.171 1.060 5.594 1.111 89.468 32503.12 17.157

newly developed effective heuristic algorithm that provides good-quality solution to the
concave piecewise linear optimization problem and among the heuristics it works well in
practice 18 The initial solutions and updating schemes are implemented in accordance with
the recommendations in 18 and the stopping criterion is given as follows: if xk − xk−1  ≤ ε
or the iteration reaches MaxIteration, then it stops, where MaxIteration  20. To compare
the solution quality for given time limit, we set the time limit of CPLEX solver to 5 time of
the total run time of DP. We report in Table 4 the percentage relative error and CPU time of
RHH its parameters are set according to RHH2 , DSSP and CPLEX and the optimal objective
function value and CPU time of DP. Table 4 shows that the proposed RHH outperforms the
DSSP in both the quality of solution and run time for almost all the test instances, and the
CPLEX solver fails to find optimal solution within the given time.
In summary, the proposed DP can solve the SULP-IQD efficiently compared with the
standard CPLEX solver and by properly setting the parameters, we obtain effective RHH
which outperforms the DSSP heuristic for the tested instances. The computational results
also show that RHH performs better for problem instances with a larger number of stages
and high coefficient of variation.
20 Mathematical Problems in Engineering

5. Conclusion
In this paper, we study the stochastic uncapacitated lot-sizing problems with incremental
quantity discount where the uncertain parameters are supposed to evolve as discrete time
stochastic processes. First, we establish the original stochastic formulation by scenario
analysis approach. Another two formulations are built by introducing auxiliary variables
and relaxing certain constraints. Then, it is proven that under the decreasing unit order
price assumption, the relaxed formulation is equivalent to the original one. Based on this
reformulation, the extended production-path property is presented for the SULP-IQD and
it enhances the ability to further refine the desired optimal solution by providing a more
accurate characterization.
To obtain the exact optimal solution, a dynamic programming algorithm is developed.
Although the dynamic programming algorithm has the polynomial-time computational
complexity in terms of the number of nodes, it runs exponentially in terms of the number
of stages. Thus, a new rolling horizon heuristic is further designed which contains three
types of strategies to reduce the computational time. The nonproduction strategy is designed
based on the accurate characterization of the optimal solution, and the look-forward and
look-backward strategy is developed to overcome the complete enumeration calculations in
the production and nonproduction value function. Numerical experiments are carried out to
identify proper parameters settings of the proposed RHH and to evaluate the performance
of the proposed algorithms by comparison with the CPLEX solver and DSSP heuristic. The
computational results of a large group of problem instances with different parameters setting
suggest that DP outperforms the CPLEX solver in run time required for obtaining optimal
solution and the proposed RHH demonstrates satisfactory run time and solution quality
compared with DSSP heuristic; moreover, as the computational complexity analysis suggests,
the performance of RHH is better for problems with a greater number of stages.
Since the main difficulties for the stochastic lot-sizing problems stem from the setup
cost and uncertain parameters, it will be an area of future research to analyze the properties
of the problem and present effective algorithms for the stochastic lot-sizing problems with
complex setup requirements, such as setup carryovers by Buschkühl et al. 14 and sequence-
dependent setup costs by Beraldi et al. 1.

Acknowledgments
The paper is supported by the National Nature Science Foundation of China NSFC no.
60874071 and 60834004 and Research Fund for the Doctoral Program of Higher Education of
China RFDP no. 20090002110035.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 478931, 22 pages
doi:10.1155/2012/478931

Research Article
Sparse Signal Recovery via ECME
Thresholding Pursuits

Heping Song1 and Guoli Wang2

1
School of Computer Science and Telecommunication Engineering, Jiangsu University,
Zhenjiang 212013, China
2
School of Information Science and Technology, Sun Yat-Sen University, Guangzhou 510006, China

Correspondence should be addressed to Heping Song, [email protected]

Received 17 February 2012; Revised 24 April 2012; Accepted 8 May 2012

Academic Editor: Jung-Fa Tsai

Copyright q 2012 H. Song and G. Wang. This is an open access article distributed under the
Creative Commons Attribution License, which permits unrestricted use, distribution, and
reproduction in any medium, provided the original work is properly cited.

The emerging theory of compressive sensing CS provides a new sparse signal processing
paradigm for reconstructing sparse signals from the undersampled linear measurements. Recently,
numerous algorithms have been developed to solve convex optimization problems for CS sparse
signal recovery. However, in some certain circumstances, greedy algorithms exhibit superior
performance than convex methods. This paper is a followup to the recent paper of Wang and Yin
2010, who refine BP reconstructions via iterative support detection ISD. The heuristic idea of
ISD was applied to greedy algorithms. We developed two approaches for accelerating the ECME
iteration. The described algorithms, named ECME thresholding pursuits EMTP, introduced two
greedy strategies that each iteration detects a support set I by thresholding the result of the ECME
iteration and estimates the reconstructed signal by solving a truncated least-squares problem on
the support set I. Two effective support detection strategies are devised for the sparse signals
with components having a fast decaying distribution of nonzero components. The experimental
studies are presented to demonstrate that EMTP offers an appealing alternative to state-of-the-art
algorithms for sparse signal recovery.

1. Introduction
Sparsity exploiting has recently received a great amount of attention in the applied
mathematics and signal processing community. Sparse signal processing algorithms have
been developed for various applications. A recent Proceedings of the IEEE special issue
on applications of sparse representation and compressive sensing devoted to this topic.
Some of the exciting developments addressed in 1–7. Compressed sensing, also known as
compressive sensing, compressive sampling CS 8, 9, has been the subject of significant
activity in sparse signal processing where one seeks to recover efficiently a sparse unknown
signal vector of dimension n via a much smaller number m of undersampled linear
2 Mathematical Problems in Engineering

measurements. For k-sparse unknown signal x0 ∈ Rn , the sparse signal recovery is intimately
related to solving an underdetermined system of linear equations y  Ax0 with sparseness
constraint

P0 :minx0 s.t. Ax  y, 1.1

x

where x is true signal to be recovered, x0 is used to denote the number of nonzero
components of x, A ∈ Rm×n is the measurement matrix, and y ∈ Rm is the measurement
vector. The key insight in the pioneering work on CS 8, 9 is to replace 0 by 1 for the P0 
problem due to nonconvexity and combinatorial effect. In 10, it is the basis pursuit problem

BP:minx0 1 s.t. Ax  y. 1.2

x0

Hereafter, numerous researchers developed various computational algorithms for sparse

signal recovery 11, 12. Generally, there are three major classes of computational algorithms:
convex relaxation, bayesian inference, and greedy pursuit. Convex relaxation replaces the
combinatorial problem P0  with a convex optimization problem BP, such as basis pursuit
10, basis pursuit denoising 13, the least absolute shrinkage and selection operator
LASSO 14, and least angle regression LARS 15. Bayesian inference derives the
maximum a posteriori estimator from a sparse prior model, such as sparse bayesian learning
SBL 16, 17 and bayesian compressive sensing BCS 18, 19. Another popular approach
is to use greedy algorithms which iteratively refine a sparse solution by successively
selecting one or more elements. These algorithms include matching pursuit MP 20,
orthogonal matching pursuit OMP 21–23, subspace pursuit SP 24, compressive
sampling matching pursuit CoSaMP 25, and iterative thresholding algorithms 26, 27.
Iterative hard thresholding IHT 27 is a simple and powerful approach for sparse
recovery. Recently, an alternative algorithm has been present to alleviate the convergence
speed issue of IHT in 28, 29. Qiu and Dogandzic 28, 29 derived an expectation conditional
maximization either ECME iteration from a probabilistic framework based on the Gaussian-
distributed signals with unknown variance and proposed an acceleration method, termed
double overrelaxation DORE thresholding scheme, to improve the convergence speed of
the ECME algorithm. In addition, Qiu and Dogandzic 28, 29 further proposed an automatic
double overrelaxation ADORE thresholding method for conditions that the underlying
sparsity level is not available. As in study 30, Wang and Yin presented an iterative support
detection ISD algorithm to refine the failed reconstructions by thresholding the solution of
a truncated BP problem.
Inspired by the theoretical and empirical evidence of favorable recovery performance
of ECME 29 and ISD 30, we combine ECME 29 and ISD 30 to devise novel sparse
signal recovery methods, dubbed as ECME thresholding pursuits EMTP. EMTP detects a
support set I using an ECME iteration and estimates the reconstructed signal by solving a
truncated least-squares problem on the support set I, and it iterates these two steps for a small
number of times. We present two effective support detection strategies hard thresholding
and dynamic thresholding for the sparse signals with components having a fast-decaying
distribution of nonzeros called fast decaying signals in 30, which include sparse Gaussian
signals, sparse Laplacian signals, and certain power-law decaying signals.
This paper considers the iterative greedy algorithms and abstracts them into two types
31, One-Stage Thresholding OST and Two-Stage Thresholding TST, as discussed in
Mathematical Problems in Engineering 3

Sections 2.1 and 2.2. Then, we review the initial work of Iterative Support Detection ISD
in Section 2.3. In Section 3, we describe the proposed approaches. After that, Section 4 details
the experimental results. Finally, we conclude this paper in Section 5.

1.1. Notation
We introduce the notation used in this paper.

i xt : the algorithms described in this paper are iterative and the reconstructed signal
x in current iteration t is denoted as xt . The same convention is used for other
vectors and matrices.
ii I, AI : index set I, the matrix AI denotes the submatrix of A containing only those
columns of A with indexes in I. The same convention is used for vectors.
iii 1, n \ I: the complement of set I in set {1, 2, . . . , n}.
iv suppx: the support set of a vector x, that is, the index set corresponding to the
nonzeros of x, suppx  {i : xi 
/ 0}.
v Hk x: the hard thresholding that sets all but the largest in magnitude k elements
of a vector x to zero.
vi |x|, xp , xT : the absolute value, p norm, and transpose of a vector x, respectively.
vii A† : the Moore-Penrose pseudoinverse of matrix A ∈ Rm×n . A†  AT AAT −1 for
m ≤ n; A†  AT A−1 AT for m ≥ n.

2. Related Works
2.1. One-Stage Thresholding
Qiu and Dogandzic derived an expectation conditional maximization either ECME iteration
based on a probabilistic framework 29
  −1  
t
x  Hk xt−1 A T
AA T
y − Ax t−1
. 2.1

Note that ECME iteration reduces to IHT step when the measurement matrix A has
orthonormal rows i.e., AAT  is the identity matrix. These one-stage thresholding
algorithms e.g., IHT 27 and ECME 29 are guaranteed to recover sparse signals and
converge with limited iterations. However, OST is not the empirical choice for practical
applications due to slow convergence. To this end, Qiu and Dogandzic proposed an
acceleration method, termed double overrelaxation DORE thresholding scheme 28, 29,
to improve the convergence speed of the ECME algorithm. DORE utilizes two overrelaxation
steps:
 
t
x1  xt α1 xt − xt−1 ,
  2.2
t t t
x2  x1 α2 x1 − xt−2 ,
4 Mathematical Problems in Engineering

where α1 , α2 are the line search parameters. Finally, an additional hard thresholding step
 
t
xt  Hk x2 2.3

ensures that the resulting signal is guaranteed to be k-sparse. In addition, Qiu and Dogandzic
further presented an automatic double overrelaxation ADORE thresholding method for
conditions that the underlying sparsity level is not available.

2.2. Two-Stage Thresholding

The algorithms described in this paper fall into the category of a general family of iterative
greedy pursuit algorithms. Following 31, we adopt the name “Two-Stage Thresholding”
TST. Considering a CS recovery problem, the sparse recovery algorithms aim to detect the
support set I and approximate y using

y  AI xI . 2.4

Starting with initial solution x  0, TST iterates between 2 main steps:

Step 1 support detection. Detect the support set I of the signal x, that is, select atoms of
measurement matrix A which have been used to generate y; in other words, determine active
atoms in sparse representation of a signal x. In some literature, this step also is called basis
selection or atom selection.

Step 2 signal estimation. Update the signal x using the least-squares solution on the
detected support set I. xI  arg minz {y − AI z22 , suppz ⊆ I}, x1,n\I  0.

Many algorithms e.g., Orthogonal Matching Pursuit OMP 23, Subapace Pursuit
SP 24, Compressed Sensing Matching Pursuit CoSaMP 25, and Gradient Pursuits GP
32 developed various approaches for Step 1 or Step 2.

2.3. Iterative Support Detection

Considering the failed reconstructions of BP, Wang and Yin 30 proposed an algorithmic
framework to refine the BP constructions, called iterative support detection ISD. ISD
alternates between two steps: support detection and signal reconstruction. Initialize the
detected support I  ∅ and set the iteration number t  0; ISD iteratively calls the following
steps:
1 signal reconstruction:
solve the truncated BP with T  I C :

xt  arg minxT 1 s.t. y  Ax; 2.5

x

2 support detection:

detect support set I using xt as the reference.
Mathematical Problems in Engineering 5

The reliability of ISD relies on the support detection. Wang and Yin devised serval detection
strategies for the sparse signals with components having a fast decaying distribution of
nonzero components called fast decaying signals 30. One of the detection strategies is
based on thresholding we use ISD defined by 2.6 to refer the implementation algorithm in
the following context:

    
 t   
I t  i : xi  > βt maxxt  , β ∈ 0, 1. 2.6

3. ECME Thresholding Pursuits

In this section, we describe our proposed approaches, named ECME Thresholding Pursuits
EMTP, that combine OST and TST using the heuristic idea of ISD. The detailed description
of the proposed algorithms are presented as follows

Step 1 initialization. We have the following.

Initialize the reconstruction signal x0  0,

initialize residual signal r  y,
initialize support set I 0  ∅,
set the iteration counter t  1.

Step 2 support detection. We have the following.

Update signal approximation:

xt  xt−1 A† r t−1 . 3.1

Detect the support set I:

strategy 1: hard thresholding I t  suppHk xt ;
t
strategy 2: dynamic thresholding I t  {i : |xi | > βt max |xt |}.

Step 3 signal estimation. We have the following.

Estimate the signal:

t †
xI t  AI t y,
3.2
t
x1,n\I t  0.

Update the residual:

r t  y − Axt . 3.3

6 Mathematical Problems in Engineering

Input: Measurement matrix A, measurements y, sparsity level k

Output: The reconstructed signal x
1 Initialization:
2 t  1 //iteration number
3 x0  0 //initial signal
4 r 0  y //initial residual
5 I 0  ∅ //initial support set
6 while halting criterion false do
7 xt  Hk xt−1 A† r t−1 
t
8 I t  {i : xi /  0}
t †
9 xI t  AI t y
t
10 x1,n\I t  0
11 r t  y − Axt
12 t  t 1
13 end while
14 return x

Algorithm 1: EMTP-k algorithm.

Input: Measurement matrix A, measurements y, thresholding parameter β

Output: The reconstructed signal x
1 Initialization:
2 t  1 //iteration number
3 x0  0 //initial signal
4 r 0  y //initial residual
5 I 0  ∅ //initial support set
6 while halting criterion false do
7 xt  xt−1 A† r t−1
t
8 I t  {i : |xi | > βt max |x|}
t †
9 xI t  AI t y
t
10 x1,n\I t  0
11 r t  y − Axt
12 t  t 1
13 end while
14 return x

Algorithm 2: EMTP-β algorithm.

Step 4 halting. Check the stopping condition and, if it is not yet time to stop, increment
t  t 1 and return to Step 2. If it is time to stop, the recovered signal x has nonzero entries in
t
support set I t and corresponding support vector lies in xI t .

We present two thresholding proposals and corresponding algorithm EMTP-k shown

as Algorithm 1 and EMTP-β shown as Algorithm 2, where β ∈ 0, 1 is the thresholding
parameter.

Remarks. 1 EMTP updates the leading elements of xt using a least-squares solution on the
support set I. However, DORE updates all the elements of xt using double overrelaxation
Mathematical Problems in Engineering 7

Sparsity = 20, detected (total = 7, good = 6, Sparsity = 20, detected (total = 12, good = 11,
bad = 1, miss = 14), RelErr = 5.86e−001 bad = 1, miss = 9), RelErr = 3.74e−001
2 2
1.5 1.5
1 1
0.5 0.5
0 0
−0.5 −0.5
−1 −1
−1.5 −1.5
−2 −2
20 60 100 140 180 20 60 100 140 180

True signal True signal

True nonzero True nonzero
False nonzero False nonzero
a The 1st iteration b The 2nd iteration

Sparsity = 20, detected (total = 18, good = 14, Sparsity = 20, detected (total = 21, good = 18,
bad = 4, miss = 6), RelErr = 1.93e−001 bad = 3, miss = 2), RelErr = 3.72e−002
2 2
1.5 1.5
1 1
0.5 0.5
0 0
−0.5 −0.5
−1 −1
−1.5 −1.5
−2 −2
20 60 100 140 180 20 60 100 140 180

True signal True signal

True nonzero True nonzero
False nonzero False nonzero
c The 3rd iteration d The 4th iteration

Sparsity = 20, detected (total = 19, good = 19, Sparsity = 20, detected (total = 20, good = 20,
bad = 0, miss = 1), RelErr = 1.9e−002 bad = 0, miss = 0), RelErr = 1.4e−015
2 2
1.5 1.5
1 1
0.5 0.5
0 0
−0.5 −0.5
−1 −1
−1.5 −1.5
−2 −2
20 60 100 140 180 20 60 100 140 180

True signal True signal

True nonzero True nonzero
e The 5th iteration f The 6th iteration

Figure 1: An EMTP-β demo that recovers a Gaussian-distributed sparse vector with n  200, m  80, k 
20, β  0.5.
8 Mathematical Problems in Engineering

n = 400, k = 20, m = 40 : 10: 200

300
250
200

SNR (dB)
150
100
50
0
−50
0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
m/n

EMTP-β = 0.4 EMTP-β = 0.6

EMTP-β = 0.5 EMTP-β = 0.7

a
n = 400, k = 20, m = 40 : 10: 200
25
Number of iterations

20
15
10
5
0
0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
m/n

EMTP-β = 0.4 EMTP-β = 0.6

EMTP-β = 0.5 EMTP-β = 0.7
b

Figure 2: Influence of thresholding parameter β for sparse Gaussian signals with n  400, k  20:
comparisons in terms of SNR dB and number of iterations.

steps. Finally, DORE needs a hard thresholding to ensure the new approximation is k-sparse.
EMTP-β demands no prior knowledge about the underlying sparsity level k.
2 EMTP is a special case of TST and utilizes OST in the support detection stage. It is
different from OMP, SP, and CoSaMP. When the ECME iteration reduces to IHT step, that is,
the reference for support detection xt  xt−1 AT r t−1 is the gradient descent step for least-
squares, OMP, SP and CoSaMP use the correlation between the residual signal and the atoms
of the measurement matrix A i.e., AT r t−1  to detect support set. AT r t−1 is the negative
gradient for least squares. It is clear that ECME iteration provides the estimation for the
underlying sparse signal. We can employ the heuristic idea of ISD to devise various support
detection strategies depending on the underlying sparse signal distribution. The dynamic
thresholding method can be performed without the sparsity level k. EMTP directly detects
the support of the underlying sparse signal by referencing the ECME iteration while OMP, SP,
and CoSaMP augment the support by picking out the leading values of the negative gradient.
OMP each step spots one index into the support, so it requires more iterations than EMTP.
SP and CoSaMP spot several indexes into the support, so they need an additional step i.e.,
orthogonal projection to make sure the recovered signal is k-sparse. Like ISD, EMTP has an
appealing self-correction capacity. An EMTP demo is presented in Figure 1.
3 Like other greedy pursuits such as Subapace Pursuit 24 and CoSaMP 25,
EMTP-k fixes the cardinality of support set I and removes previous false detections.
However, EMTP-β refines the support set I which is not necessarily increasing and nested
over the iterations.
Mathematical Problems in Engineering 9

n = 400, m = 80, k = 4 : 2 : 40
350
300
250

SNR (dB)
200
150
100
50
0
0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
k/m

EMTP-β = 0.4 EMTP-β = 0.6

EMTP-β = 0.5 EMTP-β = 0.7
a

n = 400, m = 80, k = 4 : 2 : 40
30
Number of iterations

25
20
15
10
5
0
0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
k/m

EMTP-β = 0.4 EMTP-β = 0.6

EMTP-β = 0.5 EMTP-β = 0.7
b

Figure 3: Influence of thresholding parameter β for sparse Gaussian signals with n  400, m  80:
comparisons in terms of SNR dB and number of iterations.

4 The dynamic thresholding strategy used in EMTP-β is inspired by ISD 30. It finds
significant nonzeros by comparing a threshold rather than maintaining fixed number k of
items. It is appealing for the conditions that the underlying sparsity level k is not available.
5 EMTP resembles ISD 30. EMTP and ISD have the same idea in support detection
step with iterative behavior. However, the support detection step is based on different sparse
recovery methods, ECME and BP, respectively. EMTP updates the reconstruction signal using
a least-squares solution on the detected support set I. However, ISD iteratively refines the BP
solution on the complement of the detected support set I.
6 EMTP-β with large β obtains high-quality reconstruction from a small number of
measurements. However, because support set I grows slowly, EMTP-β takes a larger number
of iterations to be discussed in Section 4. EMTP-k wrongly detected elements can often be
pruned out in later iterations.
7 Like ISD as discussed in 30, EMTP-β only performs well for fast decaying
signals. It does not work on sparse signals that decay slowly or have no decay at all e.g.,
trinary and binary sparse signals. EMTP-k performs worse for the sparse signals that
nonzero elements have similar magnitude 31, 33. However, we can apply EMTP to non-
fast-decaying signals via linear or nonlinear premapping 34, 35.
10 Mathematical Problems in Engineering

n = 2000, k = 100, m = 200 : 40 : 800

300
250
200

SNR (dB)
150
100
50
0
−50
0.1 0.15 0.2 0.25 0.3 0.35 0.4
m/n

EMTP-β = 0.4 EMTP-β = 0.6

EMTP-β = 0.5 EMTP-β = 0.7
a
n = 2000, k = 100, m = 200 : 40 : 800
35
Number of iterations

30
25
20
15
10
5
0
0.1 0.15 0.2 0.25 0.3 0.35 0.4
m/n

EMTP-β = 0.4 EMTP-β = 0.6

EMTP-β = 0.5 EMTP-β = 0.7
b

Figure 4: Influence of thresholding parameter β for sparse Gaussian signals with n  2000, k  100:
comparisons in terms of SNR dB and number of iterations.

3.1. Complexity Analysis

Like DORE algorithm, the basic operation is matrix-vector multiplication and sorting
operation. Assume that the pseudoinverse matrix A† is precomputed with the cost of
Om2 n mn. Line 7 in Algorithms 1 and 2 for updating the ECME iteration requires Omn.
The computation complexity of thresholding operation line 8 in Algorithms 1 and 2 is
On log k. Line 9 involves the partial least-square solver, costing Ok2 m km. The step
for updating residual requires an additional matrix-vector operation, costing Okm. To
summarize, one EMTP iteration costs Omn n log k k2 m 2km, which is significantly
less than the complexity of one DORE step with the cost of O2n log k 2m2 n 3mn.

4. Experimental Results
To assess the performance of the proposed approaches, we conduct numerical
experiments on computer simulations. All algorithms were implemented and tested
in MATLAB v7.6 running on Windows XP with 2.53 GHz Intel Celeron CPU and
2 GB of memory. We compared the proposed approaches with the accelerated
ADORE/DORE approaches. The code of ADORE/DORE is available on the authors
homepage http://home.eng.iastate.edu/∼ald/DORE.htm. We initialized x with zero
sparse signal. The search length of ADORE was set to 1. All results were averaged
Mathematical Problems in Engineering 11

n = 2000, m = 400, k = 10 : 10 : 200

300
250
200

SNR (dB)
150
100
50
0
0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
k/m

EMTP-β = 0.4 EMTP-β = 0.6

EMTP-β = 0.5 EMTP-β = 0.7
a
n = 2000, m = 400, k = 10 : 10 : 200
40
Number of Iterations

35
30
25
20
15
10
5
0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
k/m

EMTP-β = 0.4 EMTP-β = 0.6

EMTP-β = 0.5 EMTP-β = 0.7
b

Figure 5: Influence of thresholding parameter β for sparse Gaussian signals with n  2000, m  400:
comparisons in terms of SNR dB and number of iterations.

m/n = 0.4, k/m = 0.2, n = 200 : 400 : 2200

35

30
Number of iterations

25

20

15

10

5
200 400 600 800 1000 1200 1400 1600 1800 2000 2200
n

DORE
EMTP-k
EMTP-β = 0.8

Figure 6: Number of iterations as a function of problem size with fixed ratios of m/n  0.4, k/m  0.2, n 
200 : 400 : 2200.
12 Mathematical Problems in Engineering

m/n = 0.3, k/m = 0.3, n = 200 : 400 : 2200

80

70

60

Number of iterations
50

40

30

20

10
200 400 600 800 1000 1200 1400 1600 1800 2000 2200
n

DORE
EMTP-k
EMTP-β = 0.8

Figure 7: Number of iterations as a function of problem size with fixed ratios of m/n  0.3, k/m  0.3, n 
200 : 400 : 2200.

over 100 times Monte Carlo problem instances. We used our unoptimized code
http://cs-notes.googlecode.com/files/EMTP.zip. The least-squares solution x 
argminy−Ax22 was implemented using MATLAB pseudoinverse function by x  pinvA∗
y. The MATLAB code was partially adapted from 30, 33, 36. In all the experiments, the mea-
surement matrix A was generated by uniform spherical ensemble USE, that is, we generate
the measurement matrix by sampling each entry independently from the standard norm dis-
tribution and then normalize each column to have unit norm. The MATLAB code is given by
A  randnm, n; A  A./repmatsqrtsumA.∧ 2, m 1.
The underlying k-sparse vectors were generated by randomly selecting a support set
of size k and each entry in the support set is sampled uniformly from a specific distribution.
The sparse signals were generated in MATLAB by
x  zerosn, 1; support  randpermn; xsupport1 : k  v;
and the nonzeros v generated by following code.
The sparse Gaussian signals were generated in MATLAB by
v  randnk, 1;
The sparse Laplacian signals were generated by
z  randk, 1;
v  zerosk, 1;
in  z < 0.5;
ip  z > 0.5;
1
vin  ∗ log2 ∗ zin;
lambda
1
vip  − ∗ log2 ∗ 1 − zip.
lambda
The power-law decaying signals were generated by
v  signrandnk, 1. ∗ (1 : k). \∧ −1/lambda .
Mathematical Problems in Engineering 13

n = 400, k = 20, m = 40 : 10 : 200

300
200

SNR (dB)
100
0
−100
0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
m/n

ADORE EMTP-β = 0.5

DORE EMTP-k
a
Number of iterations

800
600
400
200
0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5

ADORE
b
Number of iterations

100

50

0
0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
m/n

DORE
EMTP-β = 0.5
EMTP-k
c

Figure 8: Sparse Gaussian signals with n  400, k  20: comparisons in terms of SNR dB and number of
iterations.

The variable lambda controls the rate of decay. We set lambda  10 and lambda  0.5
for sparse Laplacian signals and power-law decaying signals, respectively.
For fair comparison, we stopped iterations once the relative error fell below a certain
convergence tolerance or the number of iterations is greater than 100. The convergence
tolerance is given by

y − r t 2
≤ 10−6 . 4.1
y 2

We empirically evaluate reconstruction performance in terms of signal-to-noise ratio SNR

and number of iterations. The SNR is defined as
x0 − x2
SNRdB  −20log10 , 4.2
x0 2

where x0 is the true signal and x is the recovered signal.

14 Mathematical Problems in Engineering

n = 400, m = 80, k = 4 : 2 : 40
350
300
250

SNR (dB)
200
150
100
50
0
0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
k/m

ADORE EMTP-β = 0.5

DORE EMTP-k
a

n = 400, m = 80, k = 4 : 2 : 40
800
Number of iterations

600

400

200

0
0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
k/m

ADORE EMTP-β = 0.5

DORE EMTP-k
b

Figure 9: Sparse Gaussian signals with n  400, m  80: comparisons in terms of SNR dB and number of
iterations.

4.1. Influence of Thresholding Parameter

We evaluated the influence of thresholding parameter β by varying β from 0.4 to 0.7. First, we
fixed signal dimension n  400, the underlying sparsity level k  20, and varied the number
of measurements. The plot of influence of thresholding parameter β for sparse Gaussian
signals was presented in Figure 2. It is clear that larger thresholding parameter achieves
better recovery performance with fewer measurements. However, the cost is more iterations.
Large β is particularly competitive when the number of measurements is fairly small. It is
worth noting that the number of iterations is smaller than the underlying sparsity level k for
exact recovery, especially for large k. As shown in Figure 2, EMTP-β achieves the SNR dB
around 300, that is, the relative error is almost as low as the double precision. Second, we
tested the comparisons by fixing the number of measurements m  80, as shown in Figure 3,
respectively. Finally, we enlarged the dimension of signals n  2000, as shown in Figures 4
and 5. The latter tests come to similar conclusions as the first test.
We fixed the ratios of m/n, k/m and present plots cases for the number of iterations
as a function of problem size n. Given sufficient measurements, as shown in Figure 6 with
m/n  0.4, k/m  0.2, n  200 : 400 : 2200, EMTP-k requires significantly fewest iterations
and EMTP-β requires relatively more iterations than DORE. It is clear that the number of
iterations for EMTP-k and DORE is stable to the problem size, and EMTP-β needs acceptably
a few more iterations with increasing the problem size. For another case, as shown in Figure 7
Mathematical Problems in Engineering 15

n = 2000, k = 100, m = 200 : 40 : 800

300
250
200

SNR (dB)
150
100
50
0
0.1 0.15 0.2 0.25 0.3 0.35 0.4
m/n

ADORE EMTP-β = 0.5

DORE EMTP-k
a
n = 2000, k = 100, m = 200 : 40 : 800
1200
Number of iterations

1000
800
600
400
200
0
0.1 0.15 0.2 0.25 0.3 0.35 0.4
m/n

ADORE EMTP-β = 0.5

DORE EMTP-k
b

Figure 10: Sparse Gaussian signals with n  2000, k  100: comparisons in terms of SNR dB and number
of iterations.

with m/n  0.3, k/m  0.3, n  200 : 400 : 2200, DORE requires more iterations, EMTP-k
needs significantly fewer iterations with increasing the problem size, and EMTP-β requires
relatively stable iterations.

4.2. Comparisons with the Accelerated OST

We present comparisons in terms of SNR dB and number of iterations. We omit the
comparisons with 1 minimization methods and some other OST/TST methods, as they
have already been investigated in 31, 33. First, we fixed signal dimension n  400, the
underlying sparsity level k  20, and varied the number of measurements. The result was
plotted in Figure 8. Next, we tested the comparisons by fixing the number of measurements
m  80, as shown in Figure 9. Finally, the test set used larger dimension signals n  2000.
The corresponding results were depicted in Figures 10 and 11. Figures 10, and 11 show
the average SNR dB a and number of iterations b for each indeterminacy level m/n.
EMTP achieves significantly larger SNR dB than ADORE/DORE. For exact recovery, EMTP
obtains the relative error almost as low as the double precision. EMTP-β constantly needs
small number of iterations and EMTP-k needs the smallest number of iterations for exact
recovery. However, ADORE needs hundreds of iterations. Figure 8 was zoomed in for better
illustration. Figures 8, 9, 10 and 11 show the average SNR dB and number of iterations for
each sparsity level k/m. For larger-dimension signals n  2000, the results are depicted in
16 Mathematical Problems in Engineering

n = 2000, m = 400, k = 10 : 10 : 200

300
250
200

SNR (dB)
150
100
50
0
0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
k/m

ADORE EMTP-β = 0.5

DORE EMTP-k
a
n = 2000, m = 400, k = 10 : 10 : 200
1200
Number of iterations

1000
800
600
400
200
0
0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
k/m

ADORE EMTP-β = 0.5

DORE EMTP-k
b

Figure 11: Sparse Gaussian signals with n  2000, m  400: comparisons in terms of SNR dB and number
of iterations.

Figures 15 and 16. The latter tests come to similar conclusions as the first test. These figures
do not fully capture the performance of EMTP-β since we only set β  0.5; however EMTP-β
achieved almost superior performance than ADORE/DORE.

4.3. Performance for Other Fast-Decaying Signals

As discussed in 30, 33, thresholding-based sparse recovery methods achieve superior
performance only if the nonzero elements of signals have a fast-decaying distribution. We
present empirical studies on other fast-decaying signals. Sparse Laplacian signals containing
k  20 nonzero elements for dimension n  400 were tested and the corresponding result
was plotted in Figure 12. For larger dimension signals n  2000, the results are shown in
Figure 13. Power-law decaying signals containing k  20 nonzero elements for dimension
n  400 were tested and the corresponding result was plotted in Figure 14. For larger-
dimension signals n  2000, the results are depicted in Figure 15. ADORE/DORE were
derived from a probabilistic framework based on Gaussian distribution. Surprisingly, they
can also work for fast-decaying signals, as depicted in Figures 12, 13, 14, and 15. The
conclusions for sparse Gaussian signals also can be generalized for sparse Laplacian signals
and power-law decaying signals. Power-law decaying signals for low indeterminacy level
m/n make an exception that EMTP-β achieves inferior performance.
Mathematical Problems in Engineering 17

n = 400, k = 40, m = 80 : 10 : 240

300
250
200

SNR (dB)
150
100
50
0
0.2 0.25 0.3 0.35 0.4 0.45 0.5 0.55 0.6
m/n

ADORE EMTP-β = 0.5

DORE EMTP-k
a

n = 400, k = 40, m = 80 : 10 : 240

1000
Number of iterations

800
600
400
200
0
0.2 0.25 0.3 0.35 0.4 0.45 0.5 0.55 0.6
m/n

ADORE EMTP-β = 0.5

DORE EMTP-k
b

Figure 12: Sparse Laplacian signals with n  400, k  20: comparisons in terms of SNR dB and number
of iterations.

4.4. Phase Transitions

Following 31, 33, we present numerical comparisons in terms of phase transitions. For
the sparse signal recovery from compressed measurements, the indeterminacy δ  m/n
defines the undersampling of a vector in compressed measurements. Let ρ  k/m be a
normalized measure of the sparsity. We fix the problem size n  400 and test 100 Monte Carlo
realizations of each sparse vector at each pair of ρ, δ. We test a grid of 16 × 16 linearly
spaced ρ, δ combinations with ρ, δ varying from 0.05 to 0.5 in 16 steps. For each sparsity
and indeterminacy pair, then, we find the probability of exact recovery with defining exact
recovery when x0 − x2 /x2 < 0.01. For each problem indeterminacy, we interpolate the
results over all sparsities to find where successful recovery occurs with a probability of 0.5. As
a result, we obtain a phase transition plot showing the boundary above which most recoveries
fail and below which most recoveries succeed. Figure 16 presents the recovery rates of
DORE, SP, and EMTP-β for Gaussian-distributed sparse vectors as a function of problem
sparsity and four problem indeterminacies from the thickest to thinnest lines. In Figure 16,
we observe EMTP-β outperforms SP, and DORE in recovery rates. Figure 17 shows the phase
transitions of DORE, SP and EMTP-β for compressively sensed sparse vectors sampled from
Gaussian distribution. Figure 17 indicates that these transitions obey the following hierarchy
in recovery performance: EMTP-β > SP > DORE.
18 Mathematical Problems in Engineering

n = 2000, k = 100, m = 200 : 40 : 800

300
250
200

SNR (dB)
150
100
50
0
0.1 0.15 0.2 0.25 0.3 0.35 0.4
m/n

ADORE EMTP-β = 0.5

DORE EMTP-k
a
n = 2000, k = 100, m = 200 : 40 : 800
1200
Number of iterations

1000
800
600
400
200
0
0.1 0.15 0.2 0.25 0.3 0.35 0.4
m/n

ADORE EMTP-β = 0.5

DORE EMTP-k
b

Figure 13: Sparse Laplacian signals with n  2000, k  100: comparisons in terms of SNR dB and number
of iterations.

4.5. Summary
To sum up, we have compared EMTP with ADORE/DORE. EMTP has significant advantages
over the accelerated OST in terms of SNR and number of iterations. EMTP can significantly
reduce the number of iterations required and achieves significantly higher SNR. For low
indeterminacy level m/n, EMTP requires fewer measurements. EMTP-β can work with no
prior knowledge of the underlying sparsity level k yet achieves recovery performance better
than ADORE. Furthermore, we compared EMTP with the state-of-the-art greedy algorithm
SP in terms of phase transitions. Among all methods, EMTP-β appeared to be the best.

5. Conclusions and Future Work

In this paper, we propose ECME thresholding pursuits EMTP for sparse signal recovery.
EMTP detects a support set I using the ECME iteration and estimates the reconstructed signal
by solving a truncated least-squares problem on the support set I, and it iterates these two
steps for a small number of times. We present two effective support detection strategies hard
thresholding and dynamic thresholding for the sparse signals with components having a
fast-decaying distribution of nonzero components. The experimental studies are presented
to demonstrate that EMTP offers an attractive alternative to state-of-the-art algorithms for
sparse signal recovery. EMTP can significantly reduce the number of iterations required. We
Mathematical Problems in Engineering 19

n = 400, k = 40, m = 80 : 10 : 240

300
250
200

SNR (dB)
150
100
50
0
0.2 0.25 0.3 0.35 0.4 0.45 0.5 0.55 0.6
m/n

ADORE EMTP-β = 0.5

DORE EMTP-k
a
n = 400, k = 40, m = 80 : 10 : 240
1000
Number of iterations

800
600
400
200
0
0.2 0.25 0.3 0.35 0.4 0.45 0.5 0.55 0.6
m/n

ADORE EMTP-β = 0.5

DORE EMTP-k
b

Figure 14: Power-law decaying signals with n  400, k  20: comparisons in terms of SNR dB and
number of iterations.

then turn to the problem of reducing the computational cost of each iteration, especially for
large scale applications. Future research includes three directions.

1 EMTP requires the precomputation and storage of the pseudoinverse matrix A† .
So it is the advisable choice that replacing ECME iteration by IHT step in the
support detection stage. IHT does not require the computation and storage of
the pseudoinverse matrix A† , which leads to significant advantage for large scale
applications.

2 In signal estimation stage, that is, update reconstructed signal by solving least-
squares problem, EMTP uses the orthogonal projection, that is, by calculating
† †
xI  AI y where AI is the pseudoinverse of AI . We will approximate the orthogonal
projection efficiently by gradient pursuits 32.

3 This paper devotes efforts to devise computational algorithms which are exper-
imentally reproducible and provides empirical studies as useful guidelines for
practical applications. Further, future investigations will test other OST methods
as the reference and sophisticated thresholding methods for support detection.
20 Mathematical Problems in Engineering

n = 2000, k = 100, m = 200 : 40 : 800

300
250
200

SNR (dB)
150
100
50
0
0.1 0.15 0.2 0.25 0.3 0.35 0.4
m/n

ADORE EMTP-β = 0.5

DORE EMTP-k
a
n = 2000, k = 100, m = 200 : 40 : 800
1200
Number of iterations

1000
800
600
400
200
0
0.1 0.15 0.2 0.25 0.3 0.35 0.4
m/n

ADORE EMTP-β = 0.5

DORE EMTP-k
b

Figure 15: Power-law decaying signals with n  2000, k  100: comparisons in terms of SNR dB and
number of iterations.

0.9 0.05 0.2 0.5

0.8
Probability of exact recovery

0.7

0.6

0.5
0.35
0.4

0.3

0.2

0.1

0
0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
Sparsity k/m

DORE
SP
EMTP-β = 0.8

Figure 16: Probability of exact recovery for DORE, SP, and EMTP as a function of problem sparsity and
four problem indeterminacies from the thickest to thinnest lines: δ  m/n  0.05, 0.2, 0.35, 0.5.
Mathematical Problems in Engineering 21

0.55
0.5
0.45
0.4

Sparsity k/m
0.35
0.3
0.25
0.2
0.15
0.1
0.05
0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
Indeterminacy m/n

DORE
SP
EMTP-β = 0.8

Figure 17: Comparison of phase transitions of DORE, SP, and EMTP for Gaussian-distributed sparse
vectors.

Acknowledgment
This work was supported by the National Science Foundation of China under Grant no.
61074167, 61170126, and the Scientific Research Foundation for Advanced Talents by the
Jiangsu University, no. 12JDG050.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 928312, 20 pages
doi:10.1155/2012/928312

Research Article
Variable Neighborhood Search for
Parallel Machines Scheduling Problem with
Step Deteriorating Jobs

Wenming Cheng,1 Peng Guo,1 Zeqiang Zhang,1

Ming Zeng,1 and Jian Liang2
1
School of Mechanical Engineering, Southwest Jiaotong University, Chengdu 610031, China
2
School of Mechanical Engineering and Automation, Xihua University, Chengdu 610039, China

Correspondence should be addressed to Peng Guo, [email protected]

Received 20 February 2012; Revised 27 April 2012; Accepted 8 May 2012

Academic Editor: Jung-Fa Tsai

Copyright q 2012 Wenming Cheng et al. This is an open access article distributed under the
Creative Commons Attribution License, which permits unrestricted use, distribution, and
reproduction in any medium, provided the original work is properly cited.

In many real scheduling environments, a job processed later needs longer time than the same
job when it starts earlier. This phenomenon is known as scheduling with deteriorating jobs to
many industrial applications. In this paper, we study a scheduling problem of minimizing the
total completion time on identical parallel machines where the processing time of a job is a
step function of its starting time and a deteriorating date that is individual to all jobs. Firstly, a
mixed integer programming model is presented for the problem. And then, a modified weight-
combination search algorithm and a variable neighborhood search are employed to yield optimal
or near-optimal schedule. To evaluate the performance of the proposed algorithms, computational
experiments are performed on randomly generated test instances. Finally, computational results
show that the proposed approaches obtain near-optimal solutions in a reasonable computational
time even for large-sized problems.

1. Introduction
Scheduling is a form of decision making that plays a crucial role in manufacturing and
service systems. It began to be taken seriously in manufacturing at the beginning of 20th
century, and since then has been received the attention of many researchers for years. In
the traditional scheduling problems, most research in the literature was usually conducted
under the assumption that the processing time of a job is known in advance and remains
constant throughout the whole decision process. However, there are many practical situations
where the processing times of jobs are not constant but increasing overtime such that the
later a job starts, the longer it takes to process. This phenomenon is known as scheduling
2 Mathematical Problems in Engineering

with deteriorating jobs to many industrial applications, such as equipment maintenance,

steel production, medical emergency, firefighting, and other problems. In these cases, the
corresponding scheduling problem was first studied by Browne and Yechiali 1 and J. N. D.
Gupta and S. K. Gupta 2. They assumed that the processing time of all jobs is a function
of their starting point pi  ai  αi × si , where ai is the normal processing time, αi is
a deterioration rate, and si is the starting time of job i. From then onwards, more papers
considering scheduling jobs with deterioration effects have been published recently 3–
19. Comprehensive reviews and discussions of different models and problems with time-
dependent processing times were given by 20, 21.
Most of the current researches in deteriorating jobs scheduling problems assume that
the job processing times are linear functions of their starting times. However, in many
practical situations, if some jobs fail to be processed prior to a prespecified deteriorating
date, then the jobs will require extra time for successful completion. As a result, the original
schedule may become inapplicable under the new environment. This motivates the research
of the scheduling problem with piecewise-deteriorating jobs. There are often two types of
scheduling problems relevant to the piecewise-deteriorating model in the literature. The
first one is step-deterioration scheduling problem 22. Another one is piecewise-linear-
deteriorating scheduling problem 23. In this paper, we study the first kind of scheduling
problem. Considering a set of n jobs with deteriorating date di for job Ji , the processing time
pi for job Ji is ai if it is started before the deteriorating date and ai  bi if the starting time
si > di , where ai is the normal processing time, bi is a deteriorating penalty. The objective is
to schedule the n jobs on parallel machines to minimize the sum of job completion times. The
scheduling problem with step-deterioration jobs is NP-complete even if in single machine
environment 24. As for such a problem over a certain size, it is handicapped to render an
optimal schedule within a reasonable run time, depending on exact methods. Hence, some
approximate solution techniques are employed to yield an optimal or near-optimal schedule
for such problems.
In this paper, a modified weighted combination search algorithm MWCSA is firstly
proposed to obtain near optimal solution. Subsequently, variable neighborhood search VNS
algorithm is employed to yield the better schedule for the problem under consideration.
VNS is one of the modern metaheuristic techniques that use systematic changes of the
neighborhood structure within a local search to solve optimization problem 25, 26.
Owing to incorporating a lot desirable properties for a metaheuristics such as simplicity,
efficiency, effectiveness, generality, and so forth, VNS has been widely used to combinatorial
optimization problems in recent years. In addition, to improve the performance of VNS,
the proposed heuristic MWCSA is utilized to produce initial solution for the VNS. The
effectiveness of the proposed approaches is demonstrated by computational results based
on a large set of randomly generated test instances.
This paper is organized as follows: Section 2 reviews the relevant literature in this
area of scheduling. Section 3 gives a brief description of the problem under consideration
and formulates the corresponding mixed integer programming model. A detailed description
of the heuristic MWCSA and VNS algorithm are elaborated in Section 4. The performances
of the VNS and the heuristic algorithms are shown in Section 5. Conclusions are given in
Section 6.

2. Literature Review
We discuss related work with respect to the scheduling problem with piecewise-deteriorating
jobs and with regard to VNS methods in scheduling, especially for parallel machines.
Mathematical Problems in Engineering 3

Since many different problems are encountered in production and service envi-
ronments where the processing time of jobs or tasks can be modeled as the piecewise-
deteriorating function, many active researchers in the field of scheduling have perceived
the promising advantages of considering the piecewise-deteriorating jobs in scheduling
problems. Kunnathur and Gupta 27 firstly assumed that job processing times are piecewise-
linear function of their starting times with two pieces and addressed five heuristics and two
optimizing algorithms based on dynamic programming and branch and bound techniques.
However, Sundararaghavan and Kunnathur 22 considered that the processing time can
be modeled by step function and gave some solvable cases for minimizing the sum of the
weighted completion times in single machine scheduling. In addition, Mosheiov 28 studied
the problem of stepwise deteriorating jobs for minimizing makespan, proved that the case of
single machine step-deterioration is NP-complete, and suggested heuristic methods in single
and multimachine scheduling environments.
Cheng and Ding 24 studied a piecewise model where the job processing time
deteriorates as a step function if its starting time exceeds a given threshold, and presented
NP-complete proofs for minimizing makespan, flow time, and weighted flow time in
single machine scheduling. Jeng and Lin 29 presented a pseudopolynomial time dynamic
programming algorithm for a single-machine scheduling problem. Then, they described an
efficient branch and bound algorithm based on two dominance rules and a lower bound for
deriving optimal solution. Subsequently, a single machine scheduling problem of minimizing
the total completion time was solved by branch and bound algorithms 30. Owing to the
complexity of the problem, He et al. 31 proposed a weight combination search algorithm
to yield a near-optimal solution. They also developed a branch and bound algorithm
incorporated with several properties and a lower bound to obtain the optimal solution.
Afterwards, Layegh et al. 32 applied a memetic algorithm based on three dominance
properties to minimize the total weighted completion time on a single machine under step-
deterioration.
With regards to the piecewise-linear-deterioration model, Kovalyov and Kubiak 33
investigated that the job processing time can be expressed by a piecewise-linear-increasing
function with three pieces and presented a fully polynomial approximation scheme for
minimizing makespan of single machine scheduling problem. Then Kubiak and van de Velde
23 proved that the problem is NP-hard, and proposed a branch and bound algorithm
that solves instances with up to 100 jobs in a reasonable amount of time. Alternatively, the
processing job times was expressed in a piecewise-linear-decreasing function of their start
times. The single machine scheduling problem was researched by Cheng et al. 34. Moslehi
and Jafari 35 dealt with the same problem proposed by 33 with the minimization of the
number of tardy jobs. Owing to the complexity of the studied problem, they proposed a
heuristic algorithm with On2  and a branch and bound algorithm.
As far as reviewed, there are some literature focused on single machine scheduling
problem with piecewise-deteriorating jobs. However, to the best of our knowledge, parallel
machines scheduling problem with piecewise deteriorating jobs has not been considered in
the existing literature. And it still lacks some effective approaches to solve the intractable
problem, especially metaheuristics. Therefore, we intend to propose a VNS approach for
parallel machines scheduling problem with step-deteriorating jobs.
VNS approaches have successfully applied to solve several scheduling problems.
Gupta and Smith 36 described a new hybrid of VNS for single machine total tardiness
scheduling with sequence-dependence setups. Paula et al. 37 applied a VNS algorithm to
solve large instances of parallel machines scheduling problems with sequence-dependent
4 Mathematical Problems in Engineering

times. Anghinolfi and Paolucci 38 contributed to the design of a hybrid meta-heuristic
approach which integrates several features from tabu search TS, simulated annealing SA,
and VNS for a generalized parallel machine total tardiness scheduling problem. Moreover,
Driessel and Mönch 39 proposed several variants of VNS schemes for the same problem
considered precedence constraints to minimize the total weighted tardiness of all jobs.
Behnamian et al. 40 proposed a hybrid meta-heuristic method which combines some
advantages of ant colony optimization, SA and VNS for the minimization of makespan in
parallel machine scheduling problem with sequence-dependent times. C.-L. Chen and C.-L.
Chen 41 proposed several hybrid metaheuristics for unrelated parallel machine scheduling
with sequence dependent setup times by integrating VNS and TS principles. Furthermore,
some job shop scheduling problems were solved by VNS 42–45. A latest systemic survey of
state-of-the-art development of VNS can be found in 46.

3. Problem Formulation
The problem under consideration is to schedule n independent jobs with step-deterioration
effects, noncommon deadlines and varying processing times on m identical parallel
machines. The jobs are available for processing at time zero and the machines are available
in the whole process. No job preemption is permitted. For each job Ji , there is a normal
processing time ai and associated with a deteriorating date di . If the starting point of its
process is less than or equal to its deteriorating date, then it only requires a normal processing
time ai . Otherwise, it requires an extra processing time bi , which is called the deteriorating
penalty. Thus, the actual processing time pi of job Ji depends on its starting time si and
deteriorating date di , and can be defined as a step-function: pi  ai if si ≤ di ; pi  ai 
bi , otherwise. Without loss of generality, it is assumed that parameters ai , bi , and di are all
integers. Let Ci denote the completion time of job Ji . The goal of the problem is to find a
schedule such that the total completion time, or the sum of completion times, of all jobs

is minimized. This problem is denoted as P m/pi  ai or ai  bi , di / Ci by adopting the
standard three-field notation.
For convenience, a job is called early if its starting time is before or at its deteriorating
date; tardy, otherwise. For schedule S, the objective value is denoted by ZS. In addition,
let M be a sufficiently large positive number. Before formulating the proposed mixed integer
programming model, the following variables have to be defined.

xijk : Binary, set to 1 if job i is immediately followed by job j in sequence on machine

k; 0, otherwise 1 ≤ i, j ≤ n, 1 ≤ k ≤ m

yik : Binary, set to 1 if job i is assigned to machine k; 0, otherwise 1 ≤ i ≤ n, 1 ≤ k ≤

m.

Based on the definitions and notation described above, the considered problem can
now be formulated as 0-1 mixed integer programming model, as shown below.


n
Minimize ZS  Ci . 3.1
i1
Mathematical Problems in Engineering 5

Subject to:


ai , si ≤ di
pi  ∀i  1, . . . , n, 3.2
ai  bi , otherwise

n
x0ik  1 ∀k  1, . . . , m, 3.3
i1


n
xin1k  1 ∀k  1, . . . , m, 3.4
i1


n
xijk  yjk ∀j  1, . . . , n, ∀k  1, . . . , m, 3.5
j
i0,i /


n1
xijk  yik ∀i  1, . . . , n, ∀k  1, . . . , m, 3.6
j
j1,i /

Ci ≥ pi  Mx0ik − 1 ∀i  1, . . . , n, ∀k  1, . . . , m, 3.7
 
Cj ≥ Ci  pj  M xijk − 1 ∀i  1, . . . , n, ∀j  1, . . . , n, ∀k  1, . . . , m, 3.8

si ≥ Mx0ik − 1 ∀i  1, . . . , n, ∀k  1, . . . , m, 3.9
 
sj ≥ Ci  M xijk − 1 ∀i  1, . . . , n, ∀j  1, . . . , n, ∀k  1, . . . , m, 3.10

m
yik  1, ∀i  1, . . . , n, 3.11
k1

xijk , yik ∈ {0, 1}, ∀i  1, . . . , n, ∀j  1, . . . , n, ∀k  1, . . . , m. 3.12

In the above mathematical model, the objective 3.1 minimizes the total completion
time. Constraints 3.2 depict the processing time of the step-deteriorating jobs. Constraints
3.3 and 3.4 ensure that only one job can be processed at the first and the last position
on each machine. Constraints 3.5 and 3.6 guarantee that each job is scheduled only once
and processed by at most one machine. Constraints 3.7 define the completion time of the
first job assigned to a machine. Constraints 3.8 represent that the completion time of a job
in sequence on each machine will be at least equal to the sum of the completion time of the
preceding job and the processing time of the present job, if the job is immediately schedule
after the previous job. Constraints 3.9 define the starting time of the first job assigned to a
machine. Constraints 3.10 state that the starting time of a job in sequence on each machine is
greater than or equal to the completion time of the preceding job. Constraints 3.11 confirm
that each job is only processed to exactly one machine. Constraints 3.12 specify that the
decision variable x and y is binary over all domains.
This described problem is NP-complete because the single machine problem 1/pi  ai

or ai  bi , di / Ci has proven to be NP-complete by 24. There exists no polynomial time
algorithm for the exact solution of the considered problem. Therefore, we have to look for
some efficient heuristic or meta-heuristic algorithms to yield near optimal solutions of large-
sized problems in a reasonable computational time.
6 Mathematical Problems in Engineering

4. Heuristic Solution Approaches

In this section, we start with presenting one property. Then we modify a heuristic proposed
in a literature. Subsequently, some detailed descriptions of VNS meta-heuristic are given.

Since the identical parallel machines scheduling problem P m// Ci is solvable in
ONlogN time using the generalized shortest processing time GSPT rule 47. Therefore,
we can also use the same method to determine the sequence of early jobs and tardy jobs
assigned to a given machine for minimizing the total completion time. Based on the GSPT,
we obtain the following property directly.

Property 1. On each machine of an optimal solution for the considered problem, early jobs
and tardy jobs are sequenced in the nondecreasing order of ai and ai  bi , respectively.

Proof. The proof is straightforward from the SPT rule on ai and ai  bi , respectively.

4.1. Modified Weight Combination Search Approach

He et al. 31 proposed weight combination search approach WCSA to solve single machine
total completion time scheduling problem with step-deteriorating jobs. The performance of
the WCSA is relatively excellent compared to the proposed branch and bound algorithm
within 24 jobs. Based on the good performance of the algorithm, it is modified to adapt the
parallel machine model by incorporating Property 1. But the ranges of the weights in the
literature are not suitable for parallel machine scheduling. For specifying the suitable ranges
of the weights we carried out the preliminary tests of 30 10-job instances and found that the
linear combination of ai , di , and bi will acquire better results if ω1 ∈ 0.4, 0.75, ω2 ∈ 0.2, 0.5
and ω3  1 − ω1 − ω2 . The procedure of the modified WCSA MWCSA is designed as show
in Algorithm 1.
From Algorithm 1, all jobs are sorted in non-decreasing order of their normal
processing times ai . The first m jobs are assigned to m machines, respectively. Then the last
n−m jobs are arranged in a non-decreasing order of the weight combination of processing
time, deteriorating date and deterioration penalty. Of course, if the completion time of the
last scheduled job is greater than the maximal deteriorating date of the unscheduled jobs,
then the remaining jobs are indexed in the order of sum of their normal processing times and
deterioration penalties.

4.2. Variable Neighborhood Search Metaheuristic

VNS, a new local search technique, attempts to escape from local optimum by exploring more
than one type of neighborhood search structure NSS during the course of the algorithm.
In practice, VNS is very similar to iterated local search ILS. Owing to iterating over one
constant type of neighborhood structure, ILS is easy to stick in local optima: the single move
required to improve the solution cannot escape from the found local optima, and even lead
to a deterioration of the solution quality. The disadvantage is also existed in some other
metaheuristics, such as simulated annealing, and tabu search. However, VNS makes full use
of some NSSs until some stopping criterion is met. By exploring various NSSs, we expect
VNS to enjoy a systematic diversification mechanism. Besides this diversification mechanism,
the other reasons to high acceptability and popularity of VNS among researchers are due
Mathematical Problems in Engineering 7

Procedure: the modified WCSA for the parallel machine scheduling problem
Inputs: n, m, ai , di , bi for i  1,. . ., n
Output: the near optimal scheme S opt and the associated total completion time TC
Begin
let N0  {J1 , J2 , . . . , Jn } be the sequence that sorts all the jobs by ascending order of their
normal time ai ,
set TC  infinity, and S optk  Φ for k  1, . . . , m % initialize the T C and S opt
set var  max{2, n/m} % initialize the ranges of l1 and l2
for l1  1; l1 ≤ var; l1 
ω1  0.4  0.75 − 0.4 × l1 − 1/var − 1
for l2  1; l2 ≤ var; l2 
ω2  0.2  0.5 − 0.2 × l2 − 1/var − 1
ω3  1 − ω1 − ω2
set N  N0
set S  Φ for k  1, . . . , m % initialize the scheme S
set Cmac k  0, for k  1, . . . , m % initialize the completion
time of all machines
set Cjob i  0, for i  1, . . . , n % initialize the completion
time of all jobs
for i  1; i ≤ m; i
select the machine h that has the least completion time in all machines
select the job Jh that has the least normal time from N
Sh  Sh ∪ {Jh }
Cmac h  Cmac h  aJh 
Cjob Jh   Cmac h
delete job Jh from N
end for
for j  m  1; j ≤ n; j
select the machine f that has the least completion time in all machines
ifCmac f > max{dJr , Jr ∈ N} % tardy jobs are sequenced in the
nondecreasing order of ai  bi
select the job Jf with the smallest aJf   bJf  from N
Sf  Sf ∪ {Jf }
Cmac f  Cmac f  aJf   bJf 
Cjob Jf   Cmac f
delete job Jf from N
else % arrange the jobs in a ascending
order of the weight of combination
set N  {dJr  ≥ Cmac f, Jr ∈ N}
select job Jf with the smallest ω1 × aJf   ω2 × dJf  − ω3 × bJf  from N
Sf  Sf ∪ {Jf }
Cmac f  Cmac f  aJf 
Cjob Jf   Cmac f
delete job Jf from N
end if
end for
T C temp  sum{Cjob i  0, for i  1, . . . , n}
if T C temp < T C % update the scheme S opt and the
assisted completion time T C
T C  T C temp
S opt  S
end if
end for
end for
End

Algorithm 1: Procedure of MWCSA.

8 Mathematical Problems in Engineering

Initial solution 1 4 5 7 2 6 3 8

Machine 1 1 5 2 6 3

Machine 2 4 7 8

Figure 1: Sequence in one solution and its schedule.

to conceptual simplicity to understand and implement and the high flexibility and brilliant
adaptability to different problems. Consequently, we intend to use it to solve our problem.
Since the VNS was proposed in 1997, some variants of VNS are developed by Hansen
and Mladenović 25. Variable neighborhood descent VND, as one of these variants of VNS,
performs change of neighborhoods in a deterministic way and adopts the first improvement
rather than the best improvement. In the subsequent subsection, we are going to employ a
VNS with five powerful NSSs based on insertion, swap, and inversion under the framework
of VND.

4.2.1. Encoding, Decoding, and Initialization Schemes

Encoding scheme is a procedure to make a solution recognizable for an algorithm.
Permutation list is a common used encoding scheme for combinatorial optimization
problems. Since the parallel machines scheduling problem is a combination of machine
assignment and operation sequencing decisions, we construct five neighborhood structures
that expediently use insertion, swap, and inversion operations based on permutation list. A
good initial solution can reduce considerably the computational time. According to observing
the processing sequence of jobs, we find that a job with the smallest normal processing time
should be processed at first, and a job with the largest penalty should be processed at last.
Therefore, we can obtain the initial solution by arranging jobs in the non-decreasing order
of the ratio of ai /bi . The sample sequencing method is called smallest rate first SRF. A
permutation with all jobs sequence can express the order in which the jobs are processed. To
decode a permutation list into a schedule, we use LIST method. For one solution sequence,
whenever a machine is freed the job that is chosen from the sequence in succession is put on
the machine.
The procedures of encoding and decoding a candidate solution are illustrated
according to an example. Consider a problem with 8 jobs and 2 machines. The parameters
of all jobs are given in Table 1. The initial solution is obtained by using SRF, as shown in
Figure 1. The job that is selected from the solution sequence one by one is processed by the
machine with the smallest completion time. The schedule is also depicted in Figure 1. We
calculated that the total completion processing time is 1113.

4.2.2. Neighborhood Search Structures

The main purpose of applying a neighborhood structure is to produce a neighboring solution
from the current solution via making some changes in it. A variety of neighborhood structures
have been applied to scheduling problems. Most of these neighborhood structures are based
Mathematical Problems in Engineering 9

Table 1: The parameters of all jobs in the example under consideration.

Job number
Parameter
J1 J2 J3 J4 J5 J6 J7 J8
ai 10 13 28 55 63 81 90 95
di 14 48 21 52 55 60 36 7
bi 14 3 5 41 35 16 47 2

Procedure: NSS1
improvement  yes
while improvement  yes do
improvement  no
i1
while i ≤ n do n is the number of jobs
select randomly one job p without repletion from the current solution x
x  swap job i and job p on their positions.
if Zx  < Zx do
xx
in
improvement  yes
end if
ii1
end while
end while

Algorithm 2: Procedure of neighborhood structure NSS1 .

on insertion or swap operations. In addition, the inversion operation has been reported
to be significantly surpassing all the modified forms of crossover of genetic algorithm
especially tailored to deal with combinational problems 48. Therefore, we define five types
of neighborhood search structures based on insertion, swap, and inversion.
To generate a neighboring solution, NSS1 makes some slight changes in the candidate
solution by swapping the positions of all jobs in the sequence with one selected job at
random and without repetition. All jobs are selected one after another without repetition
in a random order. If we observe the first improvement, the associated sequence is accepted
and the procedure restarts. According to the NSS1 , some available neighboring searches are
found and used to improve the candidate solution. The whole procedure repeats so long
as no improvement is obtained through swap all jobs with another randomly selected job.
The procedure of NSS1 is described in Algorithm 2 in detail. After implementing all swap
operations, we believe that there is little hope for further improvement just by swapping
two jobs on their positions. Hence, it necessitates consider another neighborhood structure to
escape from this local optimum of the NSS1 . Subsequently, we need to introduce another NSS
to search potential improvement based on insertion moves.
In our NSS2 , the procedure is similar to the NSS1 . The only difference between
them is their move pattern that NSS2 changes the position of one job based on insertion
neighborhood. A job is removed from the sequence at random and without repetition, and
then relocated another random selected position. The other procedure is the same as the
10 Mathematical Problems in Engineering

Procedure: NSS3
i1
while i ≤ n do
j j 1
while j ≤ n do
select randomly two jobs p and q from the current solution x
x  swap the two selected jobs on their positions
if Zx  < Zx do
xx
jn
in
end if
j j 1
end while
ii1
end while

Algorithm 3: Procedure of neighborhood structure NSS3 .

NSS1 . To avoid duplicated description, it is unnecessary to go into these details here. After
relocating all jobs, we feel that the algorithm cannot rely solely on single move to improve
the quality of the current solution. Hence, we need to introduce other neighborhood search
structure to generate more complex neighbors than the above two structures.
In the NSS3 , the number of randomly selected jobs is 2. The manner of choosing these 2
jobs is all the combinations of two-out-of-n jobs. Swap the selected jobs on their positions and
observe if the solution is improved. Once observing the first improvement, the associated
solution is accepted and the procedure restarts. If not, this search strategy repeats for the
subsequent combinations. Algorithm 3 illustrated the whole procedure of the NSS3 . By the
same way of switching from NSS1 to NSS2 , the double insertions are employed in the fourth
neighborhood structure NSS4 . In the NSS4 , the number of removed jobs is set equal to 2.
To relocate them, the two jobs are reinserted into two new randomly selected positions. The
other procedure is the same to the NSS3 .
To improve further the search performance of the proposed VNS, an inversion
operator is embedded into the NSS5 when the foregoing neighborhood search methods
terminate. In the NSS5 , it randomly selects two positions, known as the points of inversion,
and inverts the sequence between these positions. The inversion procedure is repeated
ϕ times for producing a new job sequence. Owing to the impact of the parameter ϕ on
neighborhood search, it must be tuned. The inversion operation is unidirectional, that is,
only the inverted sequence is improved, the corresponding solution is accepted to replace the
incumbent one. The procedure of is described in Algorithm 4.
The general outline of the proposed VNS is shown in Algorithm 5. According to using
the above neighborhood search structures, the proposed VNS can be quick to yield the near
optimal solution. If the neighborhood search structure continues to increase the number of
selected jobs, the quality of the algorithm will be not improved according to our primary
experiments.
Mathematical Problems in Engineering 11

Procedure: NSS5
for i  1 to ϕ do
select two jobs p and q at random from the current solution x
x  invert partial jobs between job p and job q
if Zx  < Zx do
xx
end if
end for

Algorithm 4: Procedure of neighborhood structure NSS5 .

Procedure: the proposed VNS algorithm

Initialization: Define the set of neighborhood structures NSSk , for k  1,. . ., kmax ;
find a initial solution x by SRF heuristic;
choose a stopping criterion.
k1
while the stopping criterion is not met do
perform the neighborhood search structure NSSk
if x is improved do
continue the search with NSSk
else
k  k mod kmax  1
end if
end while

Algorithm 5: Procedure of the proposed VNS algorithm.

5. Computational Analysis
To test the performance of our approaches, computational experiments were carried out

for the P m/pi = ai or ai  bi , di / Ci problem. More specifically, we also carried out
comprehensive computational and statistical tests to assess the performance of MWCSA,
and VNS. Firstly, we gave a detailed description of the different instance sets that we have
employed. After reporting the results, we carried out comprehensive statistical analyses in
order to soundly test the significance of the reported results.
Because there is not a widely available set of benchmark instances for the problem
under study, data for the test instances are generated randomly. The normal processing
times ai  are randomly generated from an integer uniform distribution on U1, 100. The
deterioration penalties bi  are randomly picked from an integer uniform distribution on
f×n
U1, 100 × β, where β  0.5. Let Df  i1 ai /m, 0 ≤ f ≤ 1. The deteriorating dates di are
randomly selected from three intervals U0, D0.5 , UD0.5 , D, and U0, D. In this paper, we
have divided the benchmark instances into 2 different types according to the number of jobs.
For small-sized instances, we test all combinations of n  {6, 8, 10} and m  {2, 3}. For large-
sized instances, we use the combinations of n  {20, 40, 60, 80, 100} and m  {2, 4, 6, 8, 10} to
evaluate the proposed algorithms. Since the deteriorating date may be generated from three
different intervals, we totally have 6 × 3  25 × 3  93 instances.
12 Mathematical Problems in Engineering

In order to validate the performance of the proposed approaches, attempts are made
to solve the MIP model presented in Section 3 using the software IBM-ILOG CPLEX 12.3
solvers. The software is run on a PC with Intel Pentium Dual-Core 2.60 GHz CPU and 2 GB
RAM. Because the problem under consideration is NP-complete, it is impossible to obtain
optimal solutions by using some polynomial time algorithms. Therefore, only small-sized
instances can be solved to optimality using CPLEX. For the small-sized instances, we use
relative percentage deviation RPD as a performance measure to compare those results of
the CPLEX software, the MWCSA and the VNS. RPD is obtained by given formula below:

 
Z Alg − ZOPL
RPD  × 100, 5.1
ZOPL

where ZAlg is the total completion time of the solution obtained by a given algorithm
and instance and ZOPL is the total completion time of the optimal schedule given by
CPLEX. The SRF small rate first of Section 4 is also brought into the large-sized instances
for comparison. Our purpose to utilize SRF is to use its result as upper bound for a given
instance to evaluate the VNS. In addition, the MWCSA is used to obtain the initial solution
of the VNS for improving the quality of solutions. The hybrid algorithm, denoted by VNS 
MWCSA, is employed for the large-sized instances.
All proposed algorithms in the previous sections were coded in MATLAB 7.11 and
implement on the same PC. According to the preliminary tests, the stopping criterion used
when testing all instances with the proposed algorithms is set to the maximum iterations
time fixed to 200. Thus, there is only one parameter ϕ is tuned in our proposed VNS.
The considered candidate levels are 10, 30, 50, and 70. A set of 15 large-sized instances are
randomly generated when the number of jobs is fixed to 100. All the 15 instances are solved
by these VNSs with different parameter candidate levels. The results were analyzed by the
one-way ANOVA test. The means plot and Fisher LSD intervals for the 4 levels of parameter
ϕ are shown in Figure 2. As we can see, ϕ of 50 and 70 provide the better results among
all levels. However, it needs more computational time when ϕ is 70. Therefore, the most
reasonable value of parameter ϕ is 50.
CPLEX, SRF, and MWCSA are deterministic and only one run is necessary. The VNS
and VNS  MWCSA are stochastic and we need to run some replicates in order to better assess
the results. We run each algorithm five times. The listed objective value and computational
time are the means of five reported results.
Table 2 provides a comparison of the solutions to the mixed integer programming
model generated by the CPLEX and those solutions provided by execution of the proposed
MWCSA and VNS algorithms. All small-sized instances were solved to optimality by CPLEX
as shown in Table 1. The computational time of the CPLEX increases rapidly as the instance
become larger. When the number of jobs is equal to 10, solutions to MIP models require far
longer than 1 hour. From Table 1, the longest computational time of CPLEX is 144761.59
seconds 40.21 hours. It is impractical in scheduling for such a long time. In addition,
we found that CPLEX is not greatly affected by the distribution of the deteriorating dates
almost. While the deteriorating dates are randomly picked from the interval UD0.5 , D, all
corresponding instances are relatively easy. This is because the number of deteriorating jobs
is less. It is worthwhile to note that the MWCSA behaves well for all small-sized instances
and gives an average result of 0.62% deviation from the optimal solution. Specially, eleven
of these instances can be solved optimally by the proposed heuristic. Its execution time is far
Mathematical Problems in Engineering 13

Table 2: Comparison of CPLEX results with the proposed algorithms for small-sized instances.

CPLEX MWCSA VNS

n m Objective Time Objective Objective Time
RPD RPD
value gap sec value value sec
6 2 582 1.48 582 0.00% 582 0.00% 0.36
3 360 2.47 370 2.78% 360 0.00% 0.30
8 2 859 103.55 859 0.00% 859 0.00% 0.52
3 513 122.20 513 0.00% 513 0.00% 0.46
10 2 1284 24632.09 1308 1.87% 1284 0.00% 0.72
3 1190 144761.59 1216 1.59% 1190 0.00% 0.72
∗
the deteriorating date with the interval U0, D0.5 
6 2 430 1.50 430 0.00% 430 0.00% 0.30
3 392 2.05 392 0.00% 392 0.00% 0.30
8 2 835 80.70 835 0.00% 835 0.00% 0.46
3 590 233.25 590 0.00% 590 0.00% 0.47
10 2 1186 17676.28 1186 0.00% 1186 0.00% 0.71
3 794 62828.11 799 0.63% 794 0.00% 0.72
∗
the deteriorating date with the interval UD0.5 , D
6 2 446 1.63 446 0.00% 446 0.00% 0.30
3 335 1.92 335 0.00% 335 0.00% 0.31
8 2 934 102.61 939 0.54% 934 0.00% 0.47
3 486 205.08 491 1.03% 486 0.00% 0.47
10 2 1161 22216.36 1193 2.76% 1161 0.00% 0.72
3 638 51367.00 638 0.00% 638 0.00% 0.70
∗
the deteriorating date with the interval U0, D
Average 0.62% 0.00%

0.9

0.88

0.86

0.84

0.82
Mean

0.8

0.78

0.76

0.74

0.72
10 30 50 70
ϕ

Figure 2: Means plot and Fisher LSD intervals for the different levels of parameter ϕ the significance level
α is 0.05.
14 Mathematical Problems in Engineering

Table 3: Test results of the algorithms on the instances with the interval U0, D0.5 .

SRF MWCSA VNS VNS  MWCSA

Problem n m Objective Objective Objective Time Objective Time
number B/A C/A D/A
value A value B value C sec value D sec
1 20 2 5859 5062 86.40% 5001 85.36% 3.71 5001 85.36% 3.90
2 4 3274 2589 79.08% 2587 79.02% 3.58 2583 78.89% 3.77
3 6 1792 1676 93.53% 1655 92.35% 3.65 1655 92.35% 3.71
4 8 1299 1247 96.00% 1199 92.30% 3.68 1199 92.30% 3.73
5 10 1324 1309 98.87% 1269 95.85% 3.71 1267 95.69% 3.76
6 40 2 17056 14013 82.16% 13361 78.34% 23.00 13307 78.02% 23.73
7 4 11530 9614 83.38% 9513 82.51% 23.57 9508 82.46% 24.38
8 6 7833 6890 87.96% 6800 86.81% 23.05 6797 86.77% 23.56
9 8 4684 4299 91.78% 4201 89.69% 23.60 4198 89.62% 23.67
10 10 3858 3465 89.81% 3434 89.01% 24.15 3428 88.85% 24.71
11 60 2 47917 41030 85.63% 39204 81.82% 73.04 39149 81.70% 71.14
12 4 28547 22651 79.35% 22234 77.89% 72.34 22184 77.71% 67.62
13 6 17378 13616 78.35% 13504 77.71% 70.08 13474 77.53% 70.38
14 8 12577 10288 81.80% 10122 80.48% 69.37 10121 80.47% 72.68
15 10 10346 8695 84.04% 8573 82.86% 71.59 8548 82.62% 68.72
16 80 2 73047 66321 90.79% 58736 80.41% 157.50 58392 79.94% 181.86
17 4 41378 33779 81.64% 32734 79.11% 160.57 32687 79.00% 132.71
18 6 27955 22144 79.21% 21679 77.55% 152.83 21671 77.52% 142.25
19 8 20569 16200 78.76% 16055 78.05% 157.20 16013 77.85% 136.14
20 10 15479 12720 82.18% 12569 81.20% 160.32 12516 80.86% 152.90
21 100 2 126101 108828 86.30% 98779 78.33% 288.47 98026 77.74% 290.95
22 4 58800 46684 79.39% 45214 76.89% 295.09 44858 76.29% 277.00
23 6 46629 35717 76.60% 34678 74.37% 307.01 34466 73.92% 240.82
24 8 35233 27602 78.34% 27275 77.41% 286.20 27143 77.04% 263.09
25 10 29084 22906 78.76% 22753 78.23% 299.92 22629 77.81% 303.41
Average 84.40% 82.14% 81.93%

less than 1 second so that its log is not necessary. It can also be noticed that the solutions from
the VNS algorithm are optimal for these small-sized instances. Meanwhile, the computational
time of these instances given by VNS are not more than 1 second. This means that the VNS
algorithm is effective in solving the scheduling problem under study and has significantly
better optimization performance than the others.
Tables 3, 4, and 5 show the results of large-sized instances where the deteriorating
dates are generated from three different intervals. In order to compare the performance of
the proposed algorithms, the ratios of the results of a given algorithm to the values obtained
by SRF were calculated out. For the instances with the deteriorating dates generated from
interval U0, D0.5 , VNS behaves slightly better than MWCSA. The difference in average
rate between two algorithms is only 2.26%. For other two types of instances with intervals
UD0.5 , D and U0, D, the VNS and VNS  MWCSA strikingly outperformed the MWCSA
heuristic because of its larger search space. As a rule of thumb, a given algorithm takes
possession of the better initial solution and should yield better result. However, the hybrid
Mathematical Problems in Engineering 15

Table 4: Test results of the algorithms on the instances with the interval UD0.5 , D.

SRF MWCSA VNS VNS  MWCSA

Problem n m Objective Objective Objective Time Objective Time
number B/A C/A D/A
value A value B value C sec value D sec
1 20 2 5065 4936 97.45% 4576 90.35% 3.68 4576 90.35% 3.81
2 4 2405 2186 90.89% 2145 89.19% 3.66 2145 89.19% 3.70
3 6 1420 1298 91.41% 1296 91.27% 3.67 1296 91.27% 3.76
4 8 1172 1146 97.78% 1146 97.78% 3.73 1146 97.78% 3.75
5 10 1567 1528 97.51% 1528 97.51% 3.74 1528 97.51% 3.73
6 40 2 17081 18299 107.13% 15326 89.73% 23.57 15316 89.67% 26.33
7 4 10157 9559 94.11% 9133 89.92% 24.56 9133 89.92% 24.69
8 6 5847 5040 86.20% 4944 84.56% 24.00 4943 84.54% 23.70
9 8 3708 3376 91.05% 3334 89.91% 23.87 3334 89.91% 24.17
10 10 4141 3772 91.09% 3733 90.15% 24.67 3733 90.15% 24.67
11 60 2 37202 40606 109.15% 32409 87.12% 74.86 32406 87.11% 85.56
12 4 18904 18275 96.67% 16831 89.03% 73.84 16830 89.03% 76.31
13 6 14321 13618 95.09% 13122 91.63% 72.86 13113 91.56% 74.14
14 8 9488 8980 94.65% 8792 92.66% 77.12 8792 92.66% 75.39
15 10 10032 9203 91.74% 8991 89.62% 77.29 8988 89.59% 78.05
16 80 2 61930 68725 110.97% 54652 88.25% 163.31 54651 88.25% 205.40
17 4 27137 28577 105.31% 24790 91.35% 167.83 24776 91.30% 169.78
18 6 29003 26914 92.80% 25022 86.27% 175.63 25021 86.27% 177.12
19 8 17291 15715 90.89% 15037 86.96% 162.31 15032 86.94% 164.65
20 10 12900 12215 94.69% 11860 91.94% 168.39 11855 91.90% 169.90
21 100 2 110757 128605 116.11% 98384 88.83% 286.03 98358 88.81% 386.87
22 4 50773 49696 97.88% 44153 86.96% 310.59 44152 86.96% 315.32
23 6 30745 31697 103.10% 27834 90.53% 319.17 27833 90.53% 319.76
24 8 26562 25254 95.08% 23576 88.76% 320.56 23573 88.75% 288.13
25 10 24330 22469 92.35% 21508 88.40% 318.57 21506 88.39% 327.75
Average 97.24% 89.95% 89.93%

algorithm, with longer run times, does not perform noticeably better than the VNS. It is
chiefly because the VNS carries out enough neighborhood searches before the stopping
criterion meets. The rates of three different types of instances were plotted into smooth
curves shown in Figures 3, 4, and 5. It can be seen from those figures that the performance
of MWCSA heuristic is not particularly robust as regards the distribution of the deteriorating
date. Alternatively, VNS and VNS  MWCSA are statistically better than MWCSA for three
types of instances.

6. Conclusions
This paper considers the identical parallel machines scheduling problem with step-
deteriorating jobs. The processing time of each job is a step function of its starting time and
16 Mathematical Problems in Engineering

Table 5: Test results of the algorithms on the instances with the interval U0, D.

SRF MWCSA VNS VNS  MWCSA

Problem n m Objective Objective Objective Time Objective Time
number B/A C/A D/A
value A value B value C sec value D sec
1 20 2 4670 4681 100.24% 4103 87.86% 3.65 4100 87.79% 3.75
2 4 3762 3034 80.65% 2981 79.24% 3.70 2980 79.21% 3.69
3 6 2179 2077 95.32% 2048 93.99% 3.69 2048 93.99% 3.77
4 8 1166 1126 96.57% 1070 91.77% 3.66 1067 91.51% 3.62
5 10 1056 1037 98.20% 1037 98.20% 3.73 1037 98.20% 3.74
6 40 2 19603 19675 100.37% 17212 87.80% 23.44 17174 87.61% 25.33
7 4 9990 9373 93.82% 8871 88.80% 23.67 8866 88.75% 23.89
8 6 7720 6942 89.92% 6786 87.90% 24.45 6786 87.90% 24.49
9 8 6087 5481 90.04% 5442 89.40% 23.81 5433 89.26% 24.45
10 10 5067 4356 85.97% 4321 85.28% 24.70 4321 85.28% 24.33
11 60 2 40513 40049 98.85% 33051 81.58% 69.64 33014 81.49% 80.71
12 4 19380 17741 91.54% 15364 79.28% 69.82 15358 79.25% 75.96
13 6 15350 12530 81.63% 11737 76.46% 75.05 11722 76.36% 72.58
14 8 11725 10139 86.47% 9889 84.34% 74.55 9874 84.21% 73.80
15 10 9949 8786 88.31% 8699 87.44% 73.75 8685 87.30% 72.12
16 80 2 74532 75705 101.57% 61269 82.20% 152.41 61263 82.20% 199.07
17 4 41890 37588 89.73% 32807 78.32% 171.50 32798 78.30% 170.17
18 6 27990 23587 84.27% 21803 77.90% 155.46 21754 77.72% 160.16
19 8 19278 16845 87.38% 16162 83.84% 161.03 16117 83.60% 158.46
20 10 16916 14285 84.45% 13804 81.60% 169.19 13802 81.59% 170.30
21 100 2 108067 107291 99.28% 81743 75.64% 281.41 81426 75.35% 373.51
22 4 59031 56349 95.46% 48136 81.54% 294.00 48135 81.54% 325.10
23 6 43204 38473 89.05% 34873 80.72% 297.22 34774 80.49% 323.49
24 8 30485 26263 86.15% 23977 78.65% 295.55 23957 78.59% 308.85
25 10 19559 17986 91.96% 16919 86.50% 305.73 16853 86.16% 304.20
Average 91.49% 84.25% 84.15%

a deteriorating date that is individual to all jobs. The problem is to determine the allocation
of jobs to machines as well as the sequence of the jobs assigned to each machine for the
criteria of minimizing the total completion time. A mathematical model for this problem
has been formulated. Since the problem under study is NP-complete, it is impossible to
solve large-sized instances to optimality. To solve the tackled problem, a heuristic MWCSA
and a VNS are proposed to obtain the near optimal solutions. In order to further improve
the quality of solution, the heuristic MWCSA has been hybridized with the VNS algorithm
and implemented to provide a good initial solution. Numerical experiments are conducted
on small- and large-sized instances. Computational results show that MWCSA produces
some good solutions compared to CPLEX, but the performance is greatly affected by the
distribution of the deteriorating date. In contrast, VNS and VNS  WMCSA are robust as
regards three types of instances. Therefore, fairly good solutions can be obtained by the
proposed methods within reasonable amount of time.
Mathematical Problems in Engineering 17

0.95

0.9

Rate
0.85

0.8

0.75

0.7
0 5 10 15 20 25 30
Problem number
MWCSA
VNS
VNS + MWCSA

Figure 3: Comparison of rates between the three algorithms for the case with the interval U0, D0.5 .

1.2

1.15

1.1

1.05
Rate

0.95

0.9

0.85

0.8
0 5 10 15 20 25 30
Problem number
MWCSA
VNS
VNS + MWCSA

Figure 4: Comparison of rates between the three algorithms for the case with the interval UD0.5 , D.

For further study, it is worth considering the setup times between jobs for the
problem of scheduling jobs with piecewise-deterioration on multimachine. In addition, other
efficient constructive heuristics and neighborhood properties are worthwhile to investigate
for improving the quality of solutions.
18 Mathematical Problems in Engineering

1.1

1.05

0.95

Rate
0.9

0.85

0.8

0.75

0.7
0 5 10 15 20 25 30
Problem number
MWCSA
VNS
VNS + MWCSA

Figure 5: Comparison of rates between the three algorithms for the case with the interval U0, D.

Acknowledgments
This work is partially supported by the National Natural Science Foundation of China under
Grant no. 51175442, the Youth Foundation for Humanities and Social Sciences of Ministry
of Education of China under Grant no. 12YJCZH296, the Ph.D. Programs Foundation
of Ministry of Education of China under Grant no. 200806131014, and the Fundamental
Research Funds for the Central Universities under Grant nos. SWJTU09CX022, 2010ZT03.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 871741, 16 pages
doi:10.1155/2012/871741

Research Article
Global Sufficient Optimality Conditions for
a Special Cubic Minimization Problem

Xiaomei Zhang,1 Yanjun Wang,1 and Weimin Ma2

1
Department of Applied Mathematics, Shanghai University of Finance and Economics,
Shanghai 200433, China
2
School of Economics and Management, Tongji University, Shanghai 200092, China

Correspondence should be addressed to Weimin Ma, [email protected]

Received 9 February 2012; Accepted 11 June 2012

Academic Editor: Jianming Shi

Copyright q 2012 Xiaomei Zhang et al. This is an open access article distributed under the
Creative Commons Attribution License, which permits unrestricted use, distribution, and
reproduction in any medium, provided the original work is properly cited.

We present some sufficient global optimality conditions for a special cubic minimization problem
with box constraints or binary constraints by extending the global subdifferential approach
proposed by V. Jeyakumar et al. 2006. The present conditions generalize the results developed in
the work of V. Jeyakumar et al. where a quadratic minimization problem with box constraints or
binary constraints was considered. In addition, a special diagonal matrix is constructed, which is
used to provide a convenient method for justifying the proposed sufficient conditions. Then, the
reformulation of the sufficient conditions follows. It is worth noting that this reformulation is also
applicable to the quadratic minimization problem with box or binary constraints considered in the
works of V. Jeyakumar et al. 2006 and Y. Wang et al. 2010. Finally some examples demonstrate
that our optimality conditions can effectively be used for identifying global minimizers of the
certain nonconvex cubic minimization problem.

1. Introduction
Consider the following cubic minimization problem with box constraints:

1
min fx  bT x3  xT Ax  aT x,
2

n CP 1
s.t. x∈D ui , vi ,
i1

where ui , vi ∈ R, ui ≤ vi , i  1, 2, . . . , n, and a  a1 , . . . , an T ∈ Rn , b  b1 , . . . , bn T ∈ Rn ,

A ∈ Sn , where Sn is the set of all symmetric n × n matrices. x3 that means x13 , . . . , xn3 T .
2 Mathematical Problems in Engineering

The cubic optimization problem has spawned a variety of applications, especially

in cubic polynomial approximation optimization 1 , convex optimization 2 , engineering
design, and structural optimization 3 . Moreover, research results about cubic optimization
problem can be applied to quadratic programming problems, which have been widely
studied because of their broad applications, to enrich quadratic programming theory.
Several general approaches can be used to establish optimality conditions for solutions
to optimization problems. These approaches can be broadly classified into three groups:
convex duality theory 4 , local subdifferentials by linear functions 5–7 , and global L-
subdifferential and L-normal cone by quadratic functions 8–11 . The third approach, which
we extend in this paper, is often adopted to develop optimality conditions for special
optimization forms: quadratic minimizations with box or binary constraints, quadratic
minimization with quadratic constraints, bivalent quadratic minimization with inequality
constraints, and so forth.
In this paper, we consider the cubic minimization problem, which generalizes the
quadratic functions frequently considered in the mentioned papers. The proof method is
based on extending the global L-subdifferentials by quadratic functions 8, 12 to cubic
functions. We show how an L-subdifferential can be explicitly calculated for cubic functions
and then develop the global sufficient optimality conditions for CP 1. We also derive the
global optimality conditions for special cubic minimization problems with binary constraints.
But when we use the sufficient conditions, we have to determine whether a diagonal matrix Q
exists. It is hard to identify whether the matrix Q exists. So we rewrite the sufficient conditions
in an other way through constructing a certain diagonal matrix. This method is applicable to
the quadratic minimization problem with box or binary constraints considered in 8, 12 .
This paper is organized as follows. Section 2 presents the notions of L-subdifferentials
and develops the sufficient global optimality condition for CP 1. The global optimality
condition for special cubic minimization with binary constraints is presented in Section 3.
In Section 4, numerical examples is given to illustrate the effectiveness of the proposed global
optimality conditions.

2. L-Subdifferentials and Sufficient Conditions

In this section, basic definitions and notations that will be used throughout the paper are
given. The real line is denoted by R and the n-dimensional Euclidean space is denoted by
Rn . For vectors x, y ∈ Rn , x ≥ y means that xi ≥ yi , for i  1, . . . , n. A  B means that the
matrix A − B is a positive semidefinite. A diagonal matrix with diagonal elements α1 , . . . , αn
is denoted by diagα1 , . . . , αn . Let L be a set of real-valued functions defined on Rn .

Definition 2.1 L-subdifferentials 13 . Let L be a set of real-valued functions. Let f : Rn → R.

An element l ∈ L is called an L-subgradient of f at a point x0 ∈ Rn if

fx ≥ fx0   lx − lx0 , ∀x ∈ Rn . 2.1

The set ∂L fx of all L-subgradients of f at x0 is referred to as L-subdifferential of f at

x0 .
Throughout the rest of the paper, we use the specific choice of L defined by
 
1 T
L  b x  x Qx  β x | Q  diagα1 , . . . , αn , αi ∈ R, β ∈ R .
T 3 T n
2.2
2
Mathematical Problems in Engineering 3

Proposition 2.2. Let fx  bT x3  1/2xT Ax  aT x and x  x1 , . . . , xn T ∈ Rn . Then

  
1 A−Q0, Qdiagα ,...,α 
∂L fx  bT x3  xT Qx  βT xβAQxa, αi ∈R 1 n . 2.3
2

Proof. Suppose that there exists a diagonal matrix Q  diagα1 , . . . , αn , such that A − Q  0.
Let

1
lx  bT x3  xT Qx  βT x, β  A − Qx  a. 2.4
2

Then it suffices to prove that lx ∈ ∂L fx. Let

1 T  T
φx  fx − lx  x A − Qx  a − β x. 2.5
2

Since ∇2 φx  A − Q  0, for all x ∈ Rn , we know that φx is a convex function on Rn . Note
that ∇φx  A−Qxa−β  0, and so x is a global minimizer of φx, that is, φx ≥ φx,
for all x ∈ Rn . This means that lx ∈ ∂L fx.
Next we prove the converse.
Let lx ∈ ∂L fx, lx  bT x3  1/2xT Qx  βT x. By definition,

fx ≥ fx  lx − lx, ∀x ∈ Rn . 2.6

Hence

1 T  T
φx  fx − lx  x A − Qx  a − β x ≥ fx − lx, ∀x ∈ Rn . 2.7
2

Thus, x is a global minimizer of φx. So, ∇φx  0 and ∇2 φx  0, that is,

 
A − Q  0, A − Qx  a − β  0, 2.8

hence β  A − Qx  a.

For x  x1 , . . . , xn T ∈ D, define

⎧
⎪
⎨−1
⎪ if xi  ui ,
xi  1 if xi  vi ,
⎪
⎪
⎩Ax  a if xi ∈ ui , vi . 2.9
i i

  diagx1 , . . . , xn .
X
4 Mathematical Problems in Engineering

For Q  diagα1 , . . . , αn , αi ∈ R, i  1, . . . , n, define

αi  min{0, αi },
2.10
Q  diagα1 , . . . , αn .

By Proposition 2.2, we obtain the following sufficient global optimality condition for
CP 1.

Theorem 2.3. For CP 1, let x  x1 , . . . , xn T ∈ D and u  u1 , . . . , un T , v  v1 , . . . , vn T .
Suppose that there exists a diagonal matrix Q  diagα1 , . . . , αn , αi ∈ R, i  1, . . . , n, such that
A − Q  0, and for all x ∈ D, bi xi − xi  ≥ 0, i  1, . . . , n. If

 1
XAx  a − Qv − u ≤ 0, 2.11
2

then x is a global minimizer of problem CP 1.

Proof. Suppose that condition 2.11 holds. Let

1
lx  bT x3  xT Qx  βT x,
2 2.12
β  A − Qx  a.

Then, by Proposition 2.2, lx ∈ ∂L fx, that is,

fx − fx ≥ lx − lx, ∀x ∈ Rn . 2.13

Obviously if lx − lx ≥ 0 for each x ∈ D, then x is a global minimizer of CP 1.
Note that


n
αi  
lx − lx  xi − xi 2  Ax  aT x − x  bT x3 − x3 . 2.14
i1
2

If each term in the right side of the above equation satisfies

αi  
xi − xi 2  Ax  ai xi − xi   bi xi3 − x3i ≥ 0, i  1, . . . , n, xi ∈ ui , vi , 2.15
2

then, from 2.14, it holds that lx − lx ≥ 0. So x is a global minimizer of lx over box
constraints.
On the other hand, suppose that x is a global minimizer of lx, x ∈ D. Then it holds
that


n
αi  
lx − lx  xi − xi 2  Ax  aT x − x  bT x3 − x3 ≥ 0, ∀x ∈ D. 2.16
i1
2
Mathematical Problems in Engineering 5

When x is chosen as a special point x ∈ D as follows:

x  x1 , x2 , . . . , xi−1 , xi , xi1 , . . . , xn , xi ∈ ui , vi , xi 

/ xi , i  1, . . . , n, 2.17

we still have

αi  
 − lx 
lx xi − xi 2  Ax  aT x − x  bT x3 − x3 ≥ 0, i  1, . . . , n. 2.18
2

This means that if x is a global minimizer of lx over box constraints. Then 2.15 holds.
Combining the above discussion, we can conclude that x is a global minimizer of lx
over box constraints if and only if 2.15 holds. So next, we just need to prove 2.15 in order
to show that x is a global minimizer of lx.
We first see from 2.11, for each i  1, . . . , n, that

αi
− vi − ui   xi Ax  ai ≤ 0. 2.19
2

Since αi ≤ 0, then for each xi ∈ ui , vi , i  1, . . . , n,

αi
− xi − ui   xi Ax  ai ≤ 0, 2.20
2

and

αi
xi − vi   xi Ax  ai ≤ 0. 2.21
2

For each i  1, . . . , n, we consider the following three cases.

Case 1. If xi ∈ ui , vi , then xi  Ax  ai . By 2.20,

αi
− xi − ui   Ax  a2i ≤ 0. 2.22
2

So, αi  0 and Ax  ai  0, and then

αi  
xi − xi 2  Ax  ai xi − xi   bi xi3 − x3i
2
αi  
≥ xi − xi 2  bi xi3 − x3i
2 2.23
 
 bi xi − xi  xi2  xi xi  x2i

≥ 0.
6 Mathematical Problems in Engineering

Case 2. If xi  ui , then xi  −1. By 2.20,

αi
xi − ui   Ax  ai ≥ 0. 2.24
2

So we have

αi  
xi − xi 2  Ax  ai xi − xi   bi xi3 − x3i
2
αi  
≥ xi − ui 2  Ax  ai xi − ui   bi xi3 − u3i
2
  2.25
αi  
 xi − ui   Ax  ai xi − ui   bi xi3 − u3i
2
≥ 0.

Case 3. If xi  vi , then xi  1. By 2.21,

αi
xi − vi   Ax  ai ≤ 0. 2.26
2

Then

αi  
xi − xi 2  Ax  ai xi − xi   bi xi3 − x3i
2
αi  
≥ xi − vi 2  Ax  ai xi − vi   bi xi3 − vi3 2.27
2
≥ 0.

So, if condition 2.11 holds, then 2.15 holds. And, from 2.14, we can conclude that
x is a global minimizer of CP 1.

Theorem 2.3 shows that the existence of diagonal matrix Q plays a crucial role because
if this diagonal matrix Q does not exist, then we have no way to use this theorem. If the
diagonal matrix Q exists, then the key problem is how to find it. These questions also exist in
8, 12 .
The following corollary will answer the questions above.

Corollary 2.4. For CP 1, let x ∈ D. Assume that, for all x ∈ D, it holds that bi xi − xi  ≥ 0 i 
1, . . . , n. Then one has the following conclusion.

1 When A is a positive semidefinite matrix, if


XAx  a ≤ 0, 2.28

then x is a global minimizer of CP 1.

Mathematical Problems in Engineering 7

2 When A is not a positive semidefinite matrix, if there exists an index i0 , 1 ≤ i0 ≤ n, such
that

xi0 Ax  ai0 > 0, 2.29

then there is no such diagonal matrix Q that meets the requirements of the Theorem 2.3.
3 Let

2xi Ax  ai

αi  , i  1, . . . , n,
vi − ui 2.30
Q  diagα1 , . . . , αn .

When A is not a positive semidefinite matrix and the condition XAx  a ≤ 0 holds, if
A − Q  0 holds, then x is a global minimizer of CP 1. Otherwise, one can conclude that there is no
such diagonal matrix Q that meets the requirements of the Theorem 2.3.


Proof. 1 Suppose that A  0 and the condition XAx  a ≤ 0 holds. Choosing Q  Q  0,
by Theorem 2.3, we can conclude that x is a global minimizer of CP 1.
2 When A is not a positive semidefinite matrix, if there exists an index i0 , 1 ≤ i0 ≤ n,
such that

xi0 Ax  ai0 > 0, 2.31

then

2xi0 Ax  ai0

> 0. 2.32
vi0 − ui0

Suppose there exists a diagonal matrix Q that meets all conditions in Theorem 2.3.
Condition 2.11 can be rewritten in the following form:

1
xi Ax  ai − αi vi − ui  ≤ 0, i  1, . . . , n. 2.33
2

Then it follows that

2xi Ax  ai

αi ≥ , i  1, . . . , n. 2.34
vi − ui

For the index i0 , we still have the following inequality:

2xi0 Ax  ai0

αi0 ≥ > 0. 2.35
vi0 − ui0

This conflicts with the fact that αi  min{0, αi } ≤ 0, i  1, . . . , n.

8 Mathematical Problems in Engineering

3 Next we will consider the case that A is not a positive semidefinite matrix, and
condition XAx  a ≤ 0 holds.
We construct a diagonal matrix Q  diagα1 , . . . , αn  where αi  2xi Ax  ai /vi −
ui , i  1, . . . , n, and A − Q  0. Then it suffices to show that condition 2.11 in Theorem 2.3
hold.
Note that xi Ax  ai ≤ 0, i  1, . . . , n, and then

2xi Ax  ai

αi  ≤ 0, i  1, . . . , n. 2.36
vi − ui

Since αi ≤ 0, we have αi  αi . So

2xi Ax  ai

αi  ≤ 0, i  1, . . . , n. 2.37
vi − ui

Rewriting the above inequality, we have

1
xi Ax  ai − αi vi − ui   0, i  1, . . . , n. 2.38
2

Apparently this means that the constructed diagonal matrix Q also satisfies condition 2.11.
According to Theorem 2.3, we can conclude that x is a global minimizer of CP 1.
If the constructed diagonal matrix Q does not meet the condition A − Q  0, then
we can conclude that there is no such diagonal matrix Q that can meet the requirements of
Theorem 2.3.
To show this, suppose that there exists a diagonal matrix Q∗  diagα∗1 , . . . , α∗n , which
satisfies A − Q∗  0 and 2.11.
From 2.11, we have

2xi Ax  ai

0 ≥ α∗i ≥  αi , i  1, . . . , n. 2.39
vi − ui

Obviously if A − Q∗  0, then there must exist a diagonal matrix Q  diagα1 , . . . , αn  such

that A − Q  0. This conflicts the assumption.

We now consider a special case of CP 1:


n 
n
ri 
n
min fx  bi xi3  xi2  ai xi
i1 i1
2 i1
CP 2

n
s.t. x∈D ui , vi ,
i1

where ui , vi , ai , bi , ri ∈ R and ui ≤ vi , i  1, 2, . . . , n.
Mathematical Problems in Engineering 9

Corollary 2.5. For CP 2, let x ∈ D. If, for each i  1, . . . , n,

1
xi ri xi  ai  − ri vi − ui  ≤ 0,
2 2.40
bi xi − xi  ≥ 0,

then x is a global minimizer of CP 2, where ri  min{0, ri }.

Proof. For CP 2, choose Q  A  diagr1 , . . . , rn . If 2.40 holds, then, by Theorem 2.3, x is a
global minimizer of CP 2.

3. Sufficient Conditions of Bivalent Programming

In this section, we will consider the following bivalent programming:

1
min fx  bT x3  xT Ax  aT x
2

n CP 3
s.t. x ∈ DB  {ui , vi },
i1

where A, a, b, and ui , vi , i  1, . . . , n are the same as in CP 1.

Similar to Theorem 2.3, we will obtain the global sufficient optimality conditions for
CP 3.

Theorem 3.1. For CP 3, let x  x1 , . . . , xn T ∈ DB . Suppose that there exists a diagonal matrix
Q  diagα1 , . . . , αn , αi ∈ R, i  1, . . . , n such that A − Q  0, and for all x ∈ DB , bi xi − xi  ≥
0 i  1, . . . , n. If

 1
XAx  a − Qv − u ≤ 0, 3.1
2

then x is a global minimizer of problem CP 3.

Proof. Suppose that condition 3.1 holds. Let

1
lx  bT x3  xT Qx  βT x,
2 3.2
β  A − Qx  a.

Then

fx − fx ≥ lx − lx, ∀x ∈ Rn . 3.3

Obviously if lx − lx ≥ 0 for each x ∈ DB , then x is a global minimizer of CP 3.
10 Mathematical Problems in Engineering

Note that

n
αi  
lx − lx  xi − xi 2  Ax  aT x − x  bT x3 − x3 . 3.4
i1
2

Thus, x is a global minimizer of lx with binary constraints if and only if, for each
i  1, . . . , n, xi ∈ {ui , vi },

αi  
xi − xi 2  Ax  ai xi − xi   bi xi3 − x3i ≥ 0. 3.5
2

Firstly, we note from 3.1, for each i  1, . . . , n, that

αi
− vi − ui   xi Ax  ai ≤ 0. 3.6
2

Next we only show it from the following two cases.

Case 1. If xi  ui , then 3.6 is equivalent to
αi
vi − ui   Ax  ai ≥ 0. 3.7
2

It is obvious that, for each xi ∈ {ui , vi },

αi  
xi − ui 2  bi xi3 − u3i  Ax  ai xi − ui  ≥ 0. 3.8
2

So 3.5 holds.
Case 2. If xi  vi , then 3.6 is equivalent to

αi
− vi − ui   Ax  ai ≤ 0. 3.9
2

It is obvious that, for each xi ∈ {ui , vi },

αi  
vi − xi 2 − bi vi3 − xi3 − Ax  ai vi − xi  ≥ 0. 3.10
2

So 3.5 holds.
From 3.5, we can conclude that x is a global minimizer of problem CP 3

Similar to Corollary 2.4, we have the following corollary.

Corollary 3.2. For CP 3, let x ∈ DB . Suppose that, for all x ∈ DB , bi xi − xi  ≥ 0 i  1, . . . , n.
(1) When A is a positive semidefinite matrix, if


XAx  a ≤ 0, 3.11

then x is a global minimizer of CP 3.

Mathematical Problems in Engineering 11

(2) Let

2xi Ax  ai

αi  , i  1, . . . , n,
vi − ui 3.12
Q  diagα1 , . . . , αn .

When A is not a positive semidefinite matrix, if A−Q  0 holds, then x is a global minimizer of CP 3.
Otherwise, one can conclude that there is no such diagonal matrix Q that meets the requirements of
Theorem 3.1.

We just show the proof of 2.

Proof. We construct the diagonal matrix Q  diagα1 , . . . , αn , where αi  2xi Axai /vi −ui ,
i  1, . . . , n. If A − Q  0, we just need to test condition 3.1.
Because
2xi Ax  ai
αi  , i  1, . . . , n, 3.13
vi − ui

then rewriting the above equations, we have

1
xi Ax  ai − αi vi − ui   0, i  1, . . . , n. 3.14
2

It obviously means that the diagonal matrix Q also satisfies condition 3.1. According to
Theorem 3.1, x is a global minimizer of CP 3.

Note that there is difference between formula 3.1 and formula 2.11. In formula
3.1, the diagonal elements αi of a diagonal matrix Q are allowed to be positive or
nonpositive. But in formula 2.11, the diagonal elements αi of a diagonal matrix Q must meet
the conditions αi ≤ 0. So we have to discuss the sign of the terms xi Ax  ai i  1, . . . , n in
Corollary 3.2.
We now consider a special case of CP 3:


n 
n
ri 
n
min fx  bi xi3  xi2  ai xi
i1 i1
2 i1
CP 4

n
s.t. x ∈ DB  {ui , vi },
i1

where bi , ri , ai , ui , vi ∈ R and ui ≤ vi , i  1, . . . , n.

Corollary 3.3. For CP 4, let x ∈ DB . If, for each i  1, . . . , n,

ri
xi ri xi  ai  − vi − ui  ≤ 0,
2 3.15
bi xi − xi  ≥ 0,

then x is a global minimizer of CP 4.

12 Mathematical Problems in Engineering

Proof. For CP 4, choose Q  A  diagr1 , . . . , rn . If conditions 3.15 hold, then, by
Theorem 3.1, x is a global minimizer of CP 4.

4. Numerical Examples
In this section, six examples are given to test the proposed global sufficient optimality
condition.

Example 4.1. Consider the following problem:

7 3 3 1 3
min x  5x23  2x33  x12  x22  x32  2x1 x2  x1 x3  x2 x3  x1  5x2  3x3
3 1 2 2 2
4.1

3
s.t. x∈D 1, 2 .
i1

Let

⎡ ⎤
3 2 1
⎢ ⎥
⎢ ⎥
A  ⎢2 2 1⎥ 4.2
⎣ ⎦
1 1 1

and a  3/2, 5, 3T , b  7/3, 5, 2T . Obviously A is a positive semidefinite matrix.

Considering x  1, 1, 1T , obviously we have, for each xi ∈ 1, 2 , bi xi − xi  ≥ 0 i 
1, 2, 3. Note that Ax  a  15/2, 10, 6T and X  diag−1, −1, −1, and so

⎡ ⎤
−15
⎢ 2 ⎥
⎢ ⎥
 ⎢ ⎥
XAx  a  ⎢ −10 ⎥ < 0. 4.3
⎢ ⎥
⎣ ⎦
−6

According to Corollary 2.41, x  1, 1, 1 is a global minimizer.

Example 4.2. Consider the following problem:

1 3 1
min −x13 − 3x23  x43 − x12 − x22  x32 − x42 − 2x1 x2  x1 x4  2x2 x4 − x1 − 4x2  5x4
2 2 2
4.4

4
s.t. x∈D −1, 1 .
i1
Mathematical Problems in Engineering 13

Let

⎡ ⎤
−2 −2 0 1
⎢ ⎥
⎢−2 −2 0 2 ⎥
⎢ ⎥
⎢ ⎥
A⎢ ⎥ 4.5
⎢0 0 3 0⎥
⎢ ⎥
⎣ ⎦
1 2 0 −1

and a  −1, −4, 0, 5T , b  −1, −3, 0, 1/2T . Obviously A not is a positive semidefinite matrix.
Considering x  1, 1, 0, −1T , obviously we have, for each xi ∈ −1, 1 , bi xi − xi  ≥
0 i  1, 2, 3, 4.
Note that Ax  a  −6, −10, 0, 9T . Then letting X   diag1, 1, 0, −1, we have XAx
 
T
a  −6, −10, 0, −9 ≤ 0. Let α1  2x1 Ax  a1 /v1 − u1   −6, α2  −10, α3  0 and α4 
−9. Then Q  diag−6, −10, 0, −9, which satisfies A − Q 0. According to Corollary 2.43,
x  1, 1, 0, −1 is a global minimizer.

Example 4.3. Consider the following problem:

2 3 1
min −x13  x23 − 3x33 − 2x12 − x22 − 4x32  x42 − 2x1  5x2 − 3x3
3 5 2
4.6

4
s.t. x∈D −1, 1 .
i1

Let A  diag−4, −6/5, −8, 1 and a  −2, 5, −3, 0T , b  −1, 2/3, −3, 0T , r 
−4, −6/5, −8, 1T .
Consider x  1, −1, 1, 0T .
Let X  diag1, −1, 1, 0, r  −4, −6/5, −8, 0T . Then

1
x1 r1 x1  a1  − r1 v1 − u1   −2 < 0,
2
1
x2 r2 x2  a2  − r2 v2 − u2   −5 < 0,
2
1 4.7
x3 r3 x3  a3  − r3 v3 − u3   −3 < 0,
2
1
x4 r4 x4  a4  − r4 v4 − u4   0,
2
xi ∈ −1, 1 , bi xi − xi  ≥ 0, i  1, 2, 3, 4.

According to Corollary 2.5, x  1, −1, 1, 0 is a global minimizer.

14 Mathematical Problems in Engineering

Example 4.4. Consider the following problem:

5 8 3 3
min 4x13  x23 − 3x33 − x43 − x12 − x22  3x32 − x42  2x1 x2  x1 x4  x2 x3 − x3 x4
2 3 2 2
9
 5x1  x2 − 2x3 − 2x4 4.8
2

4
s.t. x ∈ DB  {−1, 1}.
i1

Let
⎡ ⎤
−3 2 0 1
⎢ ⎥
⎢2 −3 1 0⎥
⎢ ⎥
⎢ ⎥
A⎢ ⎥ 4.9
⎢0 1 6 −1⎥
⎢ ⎥
⎣ ⎦
1 0 −1 −2

and a  5, 9/2, −2, −2T , b  4, 5/2, −3, −8/3T . Obviously A not is a positive semidefinite
matrix.
Considering x  −1, −1, 1, 1T , it follows that, for each x ∈ DB , bi xi − xi  ≥
0 i  1, 2, 3, 4. Note that Ax  a  7, 13/2, 2, −6T and X   diag−1, −1, 1, 1. Let α1 
2x1 Ax  a1 /v1 − u1   −7. Similarly we have, α2  −13/2, α3  2 and α4  −6.
Then Q  diag−7, −13/2, 2, −6, which satisfies A − Q 0. According to Theorem 3.12,
x  −1, −1, 1, 1 is a global minimizer.

Example 4.5. Consider the following problem:

1 5
min 3x13 − 8x23  5x33  x43 − x12  4x22 − x32 − 3x42  x1 − 2x2  3x3  4x4
2 3
4.10

4
s.t. x ∈ DB  {−1, 0}.
i1

Let a  1, −2, 3, 4T , b  3, −8, 5, 1/2T , and r  −2, 8, −10/3, −6T .
Consider x  −1, 0, −1, −1T .
  diag−1, 1, −1, −1. Then
Let X

1
x1 r1 x1  a1  − r1 v1 − u1   −2 < 0,
2
1
x2 r2 x2  a2  − r2 v2 − u2   −6 < 0,
2
1 14
x3 r3 x3  a3  − r3 v3 − u3   − < 0,
2 3
Mathematical Problems in Engineering 15

1
x4 r4 x4  a4  − r4 v4 − u4   −7 < 0,
2
x ∈ DB , bi xi − xi  ≥ 0, i  1, 2, 3, 4.
4.11

According to Corollary 3.3, x  −1, 0, −1, −1 is a global minimizer.

Example 4.6. Consider the following problem:

1 5
min 3x13 − 8x23  5x33  x43 − x12 − 4x22  x32 − 3x42 − x1  2x2  3x3  4x4
2 3
4.12

4
s.t. x ∈ DB  {−1, 0}.
i1

Let a  −1, 2, 3, 4T , b  3, −8, 5, 1/2T and r  −2, −8, 10/3, −6T .
Consider x  −1, 0, −1, −1T .
  diag−1, 1, −1, −1. Then
Let X

1
x1 r1 x1  a1  − r1 v1 − u1   0,
2
1
x2 r2 x2  a2  − r2 v2 − u2   6 > 0,
2
4.13
1 4
x3 r3 x3  a3  − r3 v3 − u3   − < 0,
2 3
1
x4 r4 x4  a4  − r4 v4 − u4   −7 < 0.
2

We can see that the conditions are not true in x  −1, 0, −1, −1T in Corollary 3.3. But
x  −1, 0, −1, −1 is a global minimizer. This fact exactly shows that the conditions are just
sufficient.

Acknowledgment
This research was supported by Innovation Program of Shanghai Municipal Education
Commission 12ZZ071, Shanghai Pujiang Program 11PJC059, and the National Natural
Science Foundation of China 71071113.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 423524, 24 pages
doi:10.1155/2012/423524

Research Article
A Two-Stage DEA to Analyze the Effect of
Entrance Deregulation on Iranian Insurers:
A Robust Approach

Seyed Gholamreza Jalali Naini and Hamid Reza Nouralizadeh

Department of Industrial Engineering, Iran University of Science and Technology, Narmak,
Tehran 1684613114, Iran

Correspondence should be addressed to Hamid Reza Nouralizadeh, [email protected]

Received 17 February 2012; Revised 5 May 2012; Accepted 29 May 2012

Academic Editor: Yi-Chung Hu

Copyright q 2012 Seyed Gholamreza Jalali Naini et al. This is an open access article distributed
under the Creative Commons Attribution License, which permits unrestricted use, distribution,
and reproduction in any medium, provided the original work is properly cited.

We use two-stage data envelopment analysis DEA model to analyze the effects of entrance
deregulation on the efficiency in the Iranian insurance market. In the first stage, we propose a robust
optimization approach in order to overcome the sensitivity of DEA results to any uncertainty in the
output parameters. Hence, the efficiency of each ongoing insurer is estimated using our proposed
robust DEA model. The insurers are then ranked based on their relative efficiency scores for an
eight-year period from 2003 to 2010. In the second stage, a comprehensive statistical analysis
using generalized estimating equations GEE is conducted to analyze some other factors which
could possibly affect the efficiency scores. The first results from DEA model indicate a decline
in efficiency over the entrance deregulation period while further statistical analysis confirms that
the solvency ignorance which is a widespread paradigm among state owned companies is one of
the main drivers of efficiency in the Iranian insurance market.

1. Introduction
In line with the Iran’s Third Development Plan in 1999, the Iranian parliament approved the
establishment of private insurance companies in August 2002 with the aim of improving
efficiency, increasing consumer choices through increased rivalry, and finally enhancing
transparency in the market 1. There are some differences in the literature regarding to
the deregulation impact analysis on the efficiency of insurance companies. While Rees
et al. 2 reported small improvement in German and Britain life insurance market after
deregulation, Hussels and Ward also could not find any strong evidence of deregulation
effects on insurance business efficiency between 1992 until 2002 3, Wang and her colleague
showed the whole market getting more competitive due to leaders market-share losing after
2 Mathematical Problems in Engineering

entrance deregulation in life insurance 4. Jeng and Lai’s study showed that the deregulation
and liberalization, reduction of government or other barriers to market, do not have major
adverse impact on the technical, cost, and revenue efficiency of existing firms in the long run.
The dominance of existing firms has declined but persisted throughout the sample period 5.
Cummins and Rubio-Misas found a positive effect of deregulation on the Spanish insurance
companies’ efficiency 6. Boonyasai et al. also found similar evidence in some Southeast
Asian countries stemmed from joint deregulation and liberalization policies 7. Based on
the previous studies, one could observe that in some cases the developed insurance markets
have improved slightly after deregulation, while there is the possibility of having no effect or
affecting negatively.
In this paper, we test the effects of deregulation on Iranian insurance market. After
Iran’s revolution in 1979, all private insurers were merged compulsorily into four state-
owned companies. Following the entrance deregulation, the Iranian insurance market has
witnessed considerable increase in the number of companies since 2003. A criticism of the
entrance deregulation process was however the lack of sufficient supervision in the insurance
market. To find more evidence whether the Iranian insurance companies have been able
to improve their efficiency as a result of the deregulation process, this paper analyzes the
efficiency of the Iranian insurance market using a two-stage robust DEA model. We use data
from 2003 to 2010, which include the accomplishment of the entrance deregulation. To our
best knowledge, this paper is the first research conducted to examine the relative efficiency
of all Iranian insurance companies for the period of entrance deregulation.
The academic novelty of this research is presenting comprehensive literature review
and applying a two-stage robust DEA model to the problem. We show that traditional DEA
has a limitation to caver all aspects of insurers’ behavior, and a robust DEA model can be used
to overcome the limitations of previous methods. We also use GEE model to extract the most
significant factors explaining robust CRS efficiency scores. According to our study, applying
GEE model as second stage in analyzing efficiency scores is another novelty of this research.
To the best of our knowledge, some efforts have been conducted to analyze the effects of
insurance deregulation on the efficiency of the industry throughout the world using DEA,
however, few researches, if any, considered this issue within Iranian insurance market.
The rest of the paper is arranged as follows: in Section 1, we review different
characteristics of Iranian Insurance market. Section 2 reviews the existing literature on
the topic, especially those related to mathematical programming approach in efficiency
measurement DEA, robust optimization, and generalized estimating equations GEE. Section 3
discusses applications of DEA in institutional changes of insurance industry. In order to
describe different approaches in output selection for DEA model, Section 4 investigates the
Value Added versus the Financial Intermediary approaches. Section 5 presents the results of
efficiency analysis of Iranian insurance companies from 2003 until 2010. This section presents
the first stage and compares traditional CRS DEA scores with robust CRS DEA scores and tries
to find factors explaining efficiencies. In Section 6, a GEE model is applied to capture the most
important factors that explain efficiencies. Finally, Section 7 illustrates the conclusions.

2. Overview of the Iranian Insurance Market

The Iranian insurance market is one of the less developed in the world. Its position also
is not different substantially from its neighbors. Over the past 10 years, as shown in the
Table 1, Iranian insurance market is in the last rank based on Premium per Capita; while,
Mathematical Problems in Engineering 3

its rank based on Penetration Ratio is a little better among its neighbors, as shown in Table 2.
However, If the index is compared with the global average, 6.89% in 2010 20, then the level
of the ratio would not be satisfactory. It seems that the insurance sector has not been able
to play its primary role in the economy when compared with its counterparts in developed
countries. During last 10 years, Iranian insurance industry has witnessed two major changes
in the institutions. The first one was entrance deregulation which abolished the monopoly of
state-owned companies in 2001. Based on the new law, the private insurance companies have
been established and number of insurance companies increased to 23 from 4 since 2001. The
effects of this institutions change can be seen in Tables 1 and 2, where the premium per capita
and penetration ratio is increasing at very high clip from US$ 11.1 to US$ 34.4 and from
0.86% to 1.28%, respectively, within three years. The second institutions change was price
deregulation in 2009. Based on the new law, the insurances companies are allowed to set their
own premium rates in property and casualty lines of business P&L. It is also obvious that
following price deregulation the growth of the insurance industry has been revitalized after a
period of calm. By the way, due to the lack of available data, the main purpose of this paper
focuses on the first event.
The last issue is that the share of life insurance in Iran is very low in comparison with
its global average. Based on the yearbook of Central Insurance of IR Iran, the average of life
insurance share in total written premium of Iran’s market is around 7.5% in the last 10 years.
The analysis of this issue is beyond the scope of this paper, but this phenomenon has caused
all companies established in Iran to be general mixed insurers which mostly do business in
P&L lines. This in turn, helps us to deal with all companies in a similar way when assessing
the efficiency.

3. Theoretical Framework
3.1. The Economic Efficiency
Frontier methodologies have been used in majority of papers published in recent years. There
are two common tools in frontier methodologies: the econometric frontier analysis and the data
envelopment analysis DEA, Both have their own pros and cons. Unlike the data envelopment
analysis approach, it’s not allowed in econometric stochastic frontier approach to use various
inputs and outputs and it also requires researchers to define functional form on the data and
set assumptions about distributional form of the inefficiency term. Both of them presume
the production function is known. The economic efficiency is stemmed from production
frontier in theory of the firm. Figure 1 shows a production frontier PF for a firm with single
input/output.
If a firm is producing at point I, J in time t, it could produce more efficiently by
moving to the frontier PFt horizontally or vertically. If it moves to PFt horizontally by
reducing its excess input, this is called input-oriented and, it is called output-oriented if
the point moves vertically by producing more output. The technical efficiency of the firm
is calculated by the ratio 0H/0I for input-oriented approach, which is the reciprocal of its
distance from the frontier PFt . Defining efficiency by the concept of the distance from the
production frontier is formulated by Shephard 21 as below; assume a producer uses input
 4

Table 1: Premium per Capita PPC trend of selected countries 2003–2010 US Dollar.
Year
S.C. 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
P.P.C. P.P.C. A.G. P.P.C. A.G. P.P.C. A.G. P.P.C. A.G. P.P.C. A.G. P.P.C. A.G. P.P.C. A.G. P.P.C. A.G. P.P.C. A.G.
UAE 302.4 317 5% 310.7 −2% 350.2 13% 414.2 18% 585.1 41% 811.6 39% 1114 37% 1111.8 0% 1248.1 12%
Qatar NA NA NA NA NA 444.4 NA 442.3 0% 683.5 55% 640.2 −6% NA NA 548.6 NA 618.8 13%
Bahrain 219.7 295.2 34% NA NA NA NA NA NA NA NA NA NA 588.7 NA 624.8 6% 527 −16%
Kuwait 131.5 154.1 17% 148 −4% 161.2 9% 185.5 15% 227.2 22% 257.3 13% 313 22% 153 −51% 235.5 54%
Oman 77.4 84 9% 99 18% 103.1 4% 113.7 10% 143.7 26% 159.5 11% 218.2 37% 220.4 1% 260.8 18%
Saudi Arabia 47.2 41.6 −12% 41.2 −1% 51.4 25% 57.1 11% 63.1 11% 91.7 45% 121.4 32% 151.5 25% 178.4 18%
Iran 11.1 17.3 56% 22.9 32% 29.1 27% 34.4 18% 41.1 19% 50.9 24% 59.1 16% 63.9 8% 76.8 20%
Mathematical Problems in Engineering
 Table 2: Penetration ratio PR trend of selected countries 2003–2010 %.
Year
Mathematical Problems in Engineering

S.C. 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
P.R. P.R. A.G. P.R. A.G. P.R. A.G. P.R. A.G. P.R. A.G. P.R. A.G. P.R. A.G. P.R. A.G. P.R. A.G.
UAE 1.25 1.28 2% 1.12 −13% 1.65 47% 1.53 −7% 1.7 11% 1.9 12% 2 5% 2.5 25% 2.1 −16%
Qatar NA NA NA NA NA 1.23 NA 1.09 −11% 1.1 1% 0.9 −18% NA NA 0.8 NA 0.8 0%
Bahrain 1.93 2.08 8% NA NA NA NA NA NA NA NA NA NA 2 NA 2.3 15% 2.8 22%
Kuwait 0.79 0.95 20% 0.92 −3% 0.93 1% 0.79 −15% 0.7 −11% 0.6 −14% 0.6 0% 0.5 −17% 0.5 0%
Oman 0.96 1.01 5% 1.44 43% 1.28 −11% 1.14 −11% 1 −12% 1.1 10% 1.1 0% 1.2 9% 1.3 8%
Saudi Arabia 0.53 0.48 −9% 0.47 −2% 0.48 2% 0.46 −4% 0.5 9% 0.6 20% 0.6 0% 1 67% 1.1 10%
Iran 0.86 1 16% 1.16 16% 1.25 8% 1.28 2% 1.3 2% 1.29 −1% 1.35 5% 1.39 3% 1.5 8%
S.C.: selected countries; P.P.C: premium per capita; A.G.: annual growth; P.R.: penetration ratio.
Source: 8.
5
6 Mathematical Problems in Engineering

Y
P F t+1

P Ft
(xt+1 , yt+1 )
M

J (Xt , Yt )

0 L K H I X

Figure 1: Production Frontier PF for a firm with one input and one output.

x  x1 , x2 , . . . , xk  to obtain output vector y  y1 , y2 , . . . , yn , then Shephard’s distance by

definition is equal to

   
  x         −1
D x, y  sup θ : , y V y  inf θ : θx, y V y , 3.1
θ

where V , D, and θ are production frontier, distance function, and distance, respectively.
The technical efficiency TEx, y is therefore defined as TEx, y  1/Dx, y. It should
be mentioned here that TEx, y for each decision making unit can be obtained by linear
programming 22. If a firm uses two or more inputs, inefficiency can be also stemmed
from the fact that it’s not deploying the cost minimizing combination of inputs. This kind
of inefficiency is called allocative inefficiency. A firm is considered to be fully cost efficient if
it operates at a point where both technical and allocative efficiency are met. Cost efficiency is
then defined as follows:

Cost efficiency  Technical Efficiency × Allocative Efficiency. 3.2

We can also use production frontier to capture productivity improvement. Productiv-

ity means technology improvement between periods, and it differs from efficiency. Figure 1
shows production frontiers for periods t and t 1 PFt and PFt 1 , resp. for the one input-
one output firm. The frontier for period t is on the right of the frontier for period t 1.
This reveals that productivity has improved between period t and t 1. Suppose a firm
operating at point xt , yt  in period t and at point xt 1 , yt 1  at period t 1. As it is obvious
in Figure 1, both productivity and efficiency of the firm have improved between two periods.
The firm’s operation at period t 1 is impossible in period t indicating that productivity has
been improved, and as the xt 1 is closer to its frontier than xt , means that its efficiency has
been also improved between t and t 1. Based on these two kinds of distance, the distance
can also be defined as the Malmquist Index to capture total factor productivity. If we want
to determine whether productivity change has occurred between period t and t 1, we can
Mathematical Problems in Engineering 7

choose PFt or PFt 1 as the frontier reference. With respect to the period t frontier, an input-
oriented Malmquist productivity index can be defined as:

 
D t xt , y t
M  t t 1 t 1 .
t
3.3
D x ,y

Similarly, the Malmquist index based on period t 1 frontier can be defined. To avoid
arbitrarily selecting one frontier to compute the index, the geometric mean could be applied
as follows:

   
D t xt , y t D t 1 xt , y t
M xt 1 , y t 1 , xt , y t     ×  . 3.4
D t xt 1 , y t 1 D t 1 xt 1 , y t 1

With some mathematical calculations, these expressions can be decomposed into

technical change and efficiency. If production frontier changes by scale, one can separate
efficiency into pure technical and scale efficiency. Pure technical efficiency is defined as the
distance from the variable returns to scale VRS frontier, and the relationship TEx, y 
PTx, y × Sx, y is applicable to separate pure technical and scale efficiency, in which Sx, y
represents scale efficiency and PTx, y pure technical efficiency. Two types of production
frontiers can be considered for the single input-single output case; Constant returns to scale
CRS frontier and variable returns to scale VRS frontier. It is socially and economically
optimal for firms to operate at constant returns to scale, providing the motivation for
separating pure technical and scale efficiency 23.
It is worth noting that assuming efficient frontier to be a convex set is criticized by
some scholars. Deprins et al. 24 criticize the DEA methodology for imposing the convexity
assumption. They proposed the elimination of the convexity assumption which leads to the
free disposal hull FDH estimation technique. The FDH implies free disposability supposing
that outputs do not change if some inputs increase. It has been shown that FDH increases
goodness of fit 25; however, the convex frontier may be required in some industries 23.

3.2. Mathematical Programming (DEA)

DEA is a mathematical programming introduced by Charnes et al. in 1978 26. There are
two approaches in DEA modeling; the input oriented and the output oriented. Input oriented
models have an objective in such a form that maximizes weighted outputs given the level of
inputs. On the other hand, the objective function in output oriented models takes the form
of minimizing weighted inputs given the level of outputs 27. The basic fractional Constant
Returns to Scale CRS DEA estimates the relative efficiencies of n DMUs which are described
in model 3.5. Each DMU is shown with m for input and s for outputs denoted by b1j , . . . , bmj
8 Mathematical Problems in Engineering

and a1j , . . . , asj , respectively, where the ratio of the weighted sum of outputs to the weighted
sum of inputs for some given DMUo is maximized as follows:

s
xr ar0
max δ0  r1 m
i1 vi bi0
s
r1 xr arj 3.5
subject to m ≤ 1, ∀j  1, . . . , n,
i1 vi bij

xr , vi ≥ 0,

where xr and vi are the weight factors, and the δ0 , ar0 , and bi0 are the observed efficiency,
output and input values, respectively, of DMUo , the DMU to be evaluated. Model 3.5 is
a nonlinear fractional programming model which could be converted into the following LP
model 26:

max δ0

s 
m
subject to xr arj − vi bij ≤ 0, ∀j  1, . . . , n, 3.6
r1 i1

ur , vi ≥ 0.

In order to have an objective function without any uncertain parameter, we further

reformulate model 3.7 using some auxiliary variable w, as follows:

max W

s
subject to w−  rj≤0
xr α
r1


s 
m
 rj − vi bij ≤ 0,
xr α ∀j  1, . . . , n 3.7
r1 i1


m
vi bij  1
i1

xr , vi ≥ 0,

where, x and v are input and output variables and Indices i, r, and j represent the number
of inputs, outputs and DMUs respectively. One could observe that in this formulation,
the parameter α  rj is an uncertain value. We cannot solve this problem with popular
Linear Programming techniques, since the primary assumption, that is, certainty of input
parameters is violated.
Mathematical Problems in Engineering 9

3.3. Robust Optimization

The implicit assumption behind the traditional DEA is that input and output are
deterministic. But output of an insurer is not necessarily deterministic. For example, if we
consider paid loss as output of an insurer, it may be changed due to incorrect estimate of
outstanding loss reserve Outstanding loss reserve refers to the loss that incurred and reported
but not paid yet. or IBNR reserve IBNR reserve refers to the loss that incurred but not reported
yet.. These kinds of output can be modified over time; however, it is hard to find them
in financial statements of insurers which are released to the public, so it’s not possible to
determine the real ultimate loss of an insurer for each year.
Robust optimization is one of the leading optimization methodologies to handle
uncertainty 28. In classical optimization modeling input parameters are considered as
certain values. However, in real cases we are not certain about all parameter values as
mentioned before. Robust optimization is a new approach to incorporate uncertainty within
mathematical models. The approach based on robust optimization is the most preferred
method among practitioners due to its applicability. Recently the robust optimization
techniques become very popular among practitioners and have been applied in different
context 29.
Soyster was the first one who addressed the uncertainty in optimization 30. Soyster
considered the worst possible cases for each data input realization where we may lose some
part of the optimality but the final solution remains feasible for all possible cases. Ben-Tal and
Nemirovski developed a new robust method based on cone programming. They proposed an
ellipsoidal uncertainty which turned an ordinary linear programming problem into nonlinear
programming 31. Although, Ben-Tal and Nemirovski’s robust approach has proven to be
efficient but it requires solving nonlinear optimization problem which is not popular among
many practitioners.
Bertsimas and Sim proposed another robust optimization method for linear pro-
gramming problem under uncertainty 28. They assumed the uncertainty set followed a
polyhedral shape. Proposing new type of norm, they proved that the method held linearity
of the problem. Gharakhani et al. developed such robust DEA model for educational context
to measure the efficiency of public high-Scholl in Iran 32. In this paper we apply a similar
approach to insurance companies. In the next section, we formulate DEA model based on
Bertsimas et al. approach 28. In order to get familiar with the type of uncertainty which is
used in this paper, consider the following standard linear programming problem:

min c x

subject to Ax ≥ b, 3.8

x ∈ X.

The uncertainty is assumed to influence the technical coefficient matrix A. In order to

introduce uncertainty in the coefficients, consider a particular row i of the matrix A, and
 ij , j ∈ Ji is assumed as a
let j represent the set of uncertain coefficient in row i. Each entry α
symmetric and bounded random variable which only can take values in aij − aij , aij aij 
centered at the point aij that is the expected value and aij denotes the maximum possible
deviation from the corresponding estimate.
10 Mathematical Problems in Engineering

Bertsimas and Sim proposed an approach for linear optimization that provides full
control on the degree of conservatism and keeps the advantages of the linear framework of
Soyster. They defined the scaled deviation from nominal value of aij as shown here;

aij − aij
ηij  ,
aij
3.9

n
ηij ≤ Γi , ∀i  1, . . . , m,
j1

where ηij has an unknown but symmetric distribution which could only take value within
−1, 1. Despite the fact that the cumulative scaled deviation of constraint i can take no value
within −n, n, but it is assumed to be confined. In this approach, Γi is some control parameter
known as the price of robustness. These parameters adjust the robustness of the method
against the level of conservatism of the solution. For Γi  0, we get nominal model and
no uncertain coefficient involved. On the other hand, Γi  n means that the ith constraint
of the problem is protected against all possible realizations of uncertain coefficients. For any
value Γ within 0, n, the decision maker takes into account a tradeoff between the level of
the protection of constraint and the level of solution conservation.
Based on Bertsimas approach, we can reformulate DEA model. The reformulated DEA
model, known as robust counterpart is as follwos:

max W
 

s 
s
subject to W − xr aro z0 Γ pr0 ≤ 0,
r1 r1


s 
m 
s
xr arj − vi bij zj Γ prj ≤ 0, ∀j  1, . . . , n,
r1 i1 r1
3.10
zj prj ≥ arj yr , ∀r  1, . . . , s, ∀j  1, . . . , n,

m
vi bij  1, ∀j  1, . . . , n,
i1

− yr ≤ xr ≤ yr , ∀r  1, . . . , s,

xr , zj , yr , vi , prj ≥ 0,

where arj vector of nominal value of arj , Γ degree of uncertainty within constraint
parameters, arj precision of estimation of arj , zj some auxiliary variable related to the robust
counterpart denoting the cost of robustness in each constraints, prj some auxiliary variable
related to the robust counterpart counting the number of uncertain parameters in each
constraints, and y decision variable for making the absolute term |xr | to linear one. Other
notations are defined in previous equations.
This robust counterpart is obviously a linear programming model which can be solved
with popular solver packages. Since original DEA model is linear programming problem,
Mathematical Problems in Engineering 11

incorporating uncertainty does not deteriorate solvability of the model. In other words,
applying this reformulation preserves the type of original linear problem.

3.4. Statistical Analysis of Correlated Data Using Generalized Estimating

Equations (GEE)
The generalized estimating equations GEE method, an extension of the quasi-likelihood
approach, is used to analyze longitudinal and other correlated data. Textbooks all advise
researchers not to treat observations from the same cluster as if they were independent and
warn against being misled by great masses of observations 33. Some articles do discuss how
much statistical information is obtainable from observations on individuals in clusters such
as insurance companies’ efficiencies during 8 years. Investigators often have a conservative
approach, but GEE approach uses weighted combinations of observations to extract the
appropriate amount of information from correlated data. GEEs belong to a class of semi-
parametric regression techniques as they rely on specification of only the first two moments.
Under mild regularity conditions, parameter estimates from GEEs are consistent 34. The
parameter estimates typically obtained via the Newton-Raphson algorithm.
δij is the response, CRS efficiency score, for DMU i at time j; xij , explaining factors, is
covariate; β is a p × 1 vector of unknown regression coefficients; g· is the link function.
Let ω be the vector of all identifiable parameters of the covariance structure of the
observed dependent variables; let Xn be the fixed matrix collecting all xij , and δn be a vector of
response. It is assumed throughout that the interpretation of β does not depend on the value
of ω. The starting point is the assumption of the existence of a set of unbiased estimating
functions for the parameters of the mean structure, denoted as gn ≡ gn δn , Xn , β, such that
Egn ; β, ω | Xn   0 for all possible β, ω, which are uncorrelated with each other. Optimal
estimating functions in a variance minimizing sense with respect to g are given by

N  
∂gn T  
g E Cov−1 gn gn , 3.11
n1
∂β

where Covgn  is the covariance of gn , conditional on Xn . The use of gn  δn − μn , where μn

is a correctly specified model of the conditional mean Eδn | Xn  and is a function of β but not
of ω, leads to estimating functions which have been referred to as the generalized estimating
equations GEEs by Liang and Zeger 34. A GEE estimator of β, β,  is obtained as the root of
the unbiased estimating functions as follows:

N  
∂μn T  
0 E Cov−1 δn  δn − μn , 3.12
n1
∂β

where Covδn  is the covariance of δn , conditional on Xn , and depends on ω. Usually ω is

unknown and must be estimated. However, it can be shown that the nuisance parameter, ω,
has only little impact on g and on the solution of g  0 at least for large N. Thus, replacing
ω by any consistent estimator ω  of ω, for example, the classical minimum distance estimator,

the asymptotic variance of β is not affected. To complete the estimating equations for β, Liang
and Zeger propose a working correlation matrix, Rα, which is common to all units and is a
12 Mathematical Problems in Engineering

working model of the correlation structure in the observed dependent variables, where α is a
possibly vector-valued parameter 34.

4. Applying DEA in Institutions Changes Measurement; Cases from

Insurance Industry
Due to convenient usage of DEA, the majority of researches have been done in recent years
have used DEA approaches in efficiency analysis. Based on working paper of Eling and
Luhnen, there are 87 studies which used DEA approach on efficiency analysis in insurance
industry. They also found 11 studies of DEA and SFA whose main purpose is assessment
of regulation changes in insurance industry 35. We have completed the previous study in
Table 3.

5. Output Selection; Value Added versus Financial Intermediary

As it is shown in Table 3, scholars have consensus about input selection, but do not about
outputs. Selecting and measuring outputs have been a challenging step in the insurance
frontier efficiency studies. There are two major approaches to measure insurers’ outputs: the
value-added approach 23 and the financial intermediary approach 36.
The value-added approach uses outputs related to the amount of financial services
insurance companies provide. In the value-added approach, P/L insurer’s outputs consist
primarily of intangible financial services; therefore, it is necessary to define suitable proxies
that are highly correlated with the quantity of financial services provided. Based on
value-added approach and the operating-cost allocations concept developed by Berger
and Humphrey in 1992 37, Cummins and Weiss discussed the three principal services
provided by P/L insurers: risk-pooling and risk-bearing, real insurance services, and
financial intermediation. They recommend that the most common proxy for the quantity of
risk-pooling and real insurance services is losses incurred which is the sum of losses paid
plus the net change in loss reserves for the period. Present value of real losses incurred PV
L uses in practice as proxy for loss-based 23.
Alternatively, the financial intermediary approach developed by Brockett et al. in 2004
considers three outputs which have the most crucial rule in financial safety for three groups of
stakeholders: firm’s policyholders, employees, and regulators. They use a rule of thumb, ceteris
paribus, discussed originally by Charnes and Cooper: an increase in an output or alternatively,
a decrease in input should be desirable and should improve the efficiency score. This rule
challenges the recommendation of Cummins and Weiss where they choose loss incurred as
output. When a researcher wants to test whether a particular variable is an input or an output,
while all other things being held constant, s/he should check that an increase in the quantity
is favorable or unfavorable. They argue that no insurance firm would try to encourage their
employees to perform in a manner that engendered large losses while charging premiums
similar to their competitors. A firm that pays great losses due to a catastrophe without an
appropriate change in premiums may become insolvent, not efficient 36.
Financial intermediary view an insurance firm provides a bundle of attributes to the
stakeholders. In fact, the pledged payment of losses can be viewed as an intermediate stage
by that the insurers collect money, investors get rewarded, consumers get a valued promise
of quick claim payment, and consumers, regulators, and employees get a promise of future
solvency of the firm. In the financial intermediary approach, the frontier efficiency method
 Table 3: Summary of previous research.
Papers Method Units Inputs Outputs
17 Italian life, 58 Life insurance benefits and
nonlife, and 19 Wages, administrative wages, changes in reserves, nonlife
Cummins et al. 9 mixed life insurance fixed capital, equity capital, and incurred losses in auto property,
DEA-Mamquist
companies, other ratios. in auto liability, in other property,
1985–1993. and in other liability, and
invested assets.
25 Japanese life
Asset value, number of workers,
insurance
Fukuyama 10 DEA-Mamquist and tied agents or sales Insurance reserves and loans.
companies,
representatives.
1988–1993.
Short-tail personal lines,
Labor costs, materials, policy
short-tail commercial lines,
US insurers holders supplied debt capital and
Cummins et al. 11 DEA-Mamquist long-tail personal lines, long-tail
1981–1990. equity capital, and real invested
commercial lines, and return on
assets
assets
Total premium income and
Mathematical Problems in Engineering

annual changes of it for the UK

companies, and aggregate sums
German and British Administration costs and
Rees et al. 2 DEA insured excluding participation
insurers. acquisition costs.
in surpluses and the annual
changes of these for German
companies.
Claims payments net change in
provisions allocated
Administration and distribution
Mahlberg and Url 12 DEA German insurers. investment returns, bonuses, and
costs.
returned premia for each line of
business.
11 Greece life
Direct cost claims and indirect
Insurance
costs salaries and other Premium income and revenue
Noulas et al. 13 DEA companies,
expenditures. from investments.
1991–1996.

Cross-country
studies; four life Group life insurance premiums,
Salaries, wages, commissions,
insurance markets: individual life insurance
Boonyasai et al. 7 DEA and business and services
Korea, Philippines, premiums, and investment
expense.
Taiwan, and income
Thailand.
Claims incurred net change in
13

Administration cost, distribution

provisions allocated
Mahlberg and Url 14 DEA Austrian insurers. costs and Costs of capital
investment returns, bonuses, and
investments.
returned premia.
 Table 3: Continued.
Papers Method Units Inputs Outputs
Austrian health, life
Health and life: incurred benefits
and nonlife Health, life, and nonlife: net
net of reinsurance, changes in
insurance operating expenses, equity
14

reserves net of reinsurance, and

Ennsfellner et al. 15 SFA companies, 1994– capital, and technical provisions
total invested assets.
1999. net of reinsurance.
Nonlife: claims incurred net of
reinsurance, total invested assets.
27 Portugal
Wages, capital, total investment
insurance
Barros et al. 16 DEA-Mamquist income, and premiums issued. Claims paid and profits.
companies.

Price of nonlife output, price of

life output, labor input, materials,
equity capital, debt capital, price
of labor, price of materials, price
Spanish stock and
of equity capital, price of debt
mutual life
capital, total costs, total assets,
insurance Total output, nonlife output, and
Cummins and Rubio-Misas 6 DEA nonlife premiums, life premiums,
companies, life output.
net income, reserves/total assets,
1989–1997.
net income/equity income, debt
capital/total capital, equity
capital/total assets, and net
income/total assets.

160 Ukrainian
Various types of premiums, such
insurance Equity, liabilities, and fixed and
Badunenko et al. 17 DEA as personal, property, liability,
companies current assets
and so forth
2003–2005.
German and british
Annual average number of
life insurance Net written premiums, additions
Hussels and Ward 3 DEA employees, total assets minus
companies to reserves.
total liabilities.
1991–2002.
Total operating costs, total Profit and loss account, net
Nigerian insurers number of employees, and total premiums, settled claims,
Barros et al. 18 DEA
1994–2005 investments. outstanding claims, and
investment.
Benefit payments disaggregated
into four categories: ordinary life
Taiwanese life insurance, personal accident
Home office labor, agent labor,
insurance insurance, individual health
Jeng and Lai 5 DEA business service, and equity
companies insurance, and group insurance,
capital.
Mathematical Problems in Engineering

1981–2004 and increase in policy reserve as

the output of intermediation
function.
Greek life insurance Invested assets, losses incurred,
Two-stage DEA, Labor cost, nonlabor cost, and
Barros et al. 19 companies reinsurance reserves, and own
bootstrapped equity capital.
1994–2003. reserves.
Mathematical Problems in Engineering 15

is used as a goal-directing technique in which the firm’s managers balance maintaining

short-term claim paying ability and preserving the long-term ability to meet its fiduciary
responsibilities against earning a reasonable financial return.
Leverty and Grace empirically examine two approaches for measuring outputs in
property-liability insurer efficiency studies. Their study shows that the value-added approach
is closely related to traditional measures of firm performance, but the financial intermediary
approach is not. In addition, efficient value-added approach firms are less likely to go
insolvent in comparison with firms characterized as efficient by the financial intermediary
approach. They also find that the theoretical concern regarding the value-added approach’s
use of losses as a measure of output is not validated empirically then they go to conclude
that the value-added approach is the appropriate measure for insurer efficiency 38. Based
on work of Leverty and Grace, we choose value-added approach in our research.

6. Computational Results
6.1. First Stage: Efficiency Scores, Traditional DEA versus
Robust DEA Results
To calculate insurers’ efficiencies, we used panel data for the years 2003–2010, obtained from
the Central Insurance yearbook of IR Iran on 20 mixed general insurance companies for a
period of 8 years. The sample consists of 139 observations. The insurance companies that are
considered in this analysis represent almost all of the market. Keeping in mind the popular
DEA rule of thumb, the number of companies in each year is almost greater than three times
the number of inputs plus output.
To determine inputs, we followed previous works discussed in the literature review
section, and for outputs we followed value-added approach as described in Cummins and
Weiss 23 but in order to capture the intermediary function of insurance companies we
added ROE as an output. In short, we measured output by: 1 losses incurred; 2 return on
equity ROE; measured inputs by 1 number of employees; 2 general and administrative
expenses’ 3 surplus that is total asset minus total liabilities. It should be mentioned here that
all insurance companies in Iran are general mixed, and in the last 10 years the average of
life insurance share in total premium of Iran’s market is around 7.5%. In fact Iranian insurers
mostly do business in P&L line. This helps us to consider loss incurred as output for all
observations. Table 4 presents the CRS efficiency scores for the Iranian insurance companies.
Some conclusions can be stemmed from Table 4.
First, based on DEA with certain and uncertain outputs, the overall inefficiency gap for
the Iranian insurance industry is 0.18 and 0.3, respectively. However, it should be mentioned
that these gaps do not follow any particular trend. This finding implies that in overall, no
major change could be found in the market. It is also true about standard deviations in both
DEA models see Table 4.
Second, as expected, CRS efficiency of models with certain outputs is always greater
than that of with uncertain outputs, but the gaps between private and state owned insurers
is deferent. As it is shown in Figure 2, the average gap in private insurers is much higher
than that of in state owned insurers. It could be observed that the private insurers would be
much more venerable if the conditions changed. It convince us to work with Robust CRS
efficiency scores instead of traditional CRS scores because of the fact that in case of any
 16

Table 4: CRS relative efficiency observed in Iranian insurance companies in percent %: 2003–2010; DEA with certain and uncertain outputs traditional
DEA versus robust DEA.
Year
DMUs 2003 2004 2005 2006 2007 2008 2009 2010
Certain Uncertain Certain Uncertain Certain Uncertain Certain Uncertain Certain Uncertain Certain Uncertain Certain Uncertain Certain Uncertain
outputs outputs outputs outputs outputs outputs outputs outputs outputs outputs outputs outputs outputs outputs outputs outputs
DMU1a 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
DMU2a 100 100 100 100 100 100 100 100 100 100 100 100 100 100 71 67
DMU3a 100 100 100 100 100 100 68 68 100 100 100 100 100 100 100 100
DMU4a 46 46 51 45 72 61 56 42 64 64 71 71 74 73 60 53
DMU5 41 41 69 33 26 14 27 20 56 51 35 34 70 64 97 92
DMU6 100 88 71 58 100 99 79 79 75 74 79 78 100 100 100 100
DMU7 70 60 67 61 57 57 66 64 98 98 100 90 87 77 69 68
DMU8 86 71 100 100 86 81 100 100 100 53 100 58 100 100 100 100
DMU9 32 31 49 42 55 55 51 26 51 28 54 54 53 47 44 29
DMU10 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
DMU11 100 94 100 78 100 44 100 62 65 31 52 38 44 33 52 21
DMU12 100 100 100 100 100 71 100 33 100 97 100 74 100 100 100 100
DMU13 100 100 63 56 54 50 79 78 95 95 100 100 100 100 100 100
DMU14 92 46 21 6 68 57 100 100 100 100 100 100 100 100
DMU15 100 100 100 100 100 100 100 88 100 92 100 76
DMU16 34 22 73 57 97 96 100 100 100 64 74 69
DMU17 100 55 61 53 43 34 58 52 72 49 51 35
DMU18 77 52 69 40 52 24 64 30 69 33
DMU19 62 48 64 46 53 30
DMU20 100 100 100 36
Average 83 79 83 73 77 65 78 66 84 76 82 74 86 79 82 70
Standard
26 26 20 27 29 32 21 27 21 29 23 26 19 26 21 30
deviation
a
State-owned insurers.
Mathematical Problems in Engineering
Mathematical Problems in Engineering 17

change in outputs such as ROE or loss incurred, the efficiency of private insurers will change
dramatically. Indeed, the right model for this uncertain data is robust model.
Third, it seems that some companies could be able to compete with their state-owned
companies counterparts. For example, DMU8, DMU10, and DMU14 which established in
2003, 2003, and 2004, respectively, could reach to the state owned insurers DMU1, DMU2,
DMU3, and DMU4. It shows that state-owned insurers are not secure. They should upgrade
the quality of their management practices, responding to the results of the present research
see Figure 3.
The reason why these insurers could be able to catch their state-owned counterparts
is out of our research scope, and can be done in separate research. But it can be briefly noted
that all these companies are captive.

6.2. Second Stage: Finding the Factors Explaining Efficiency Scores

To find the factors explaining efficiency scores, first we considered the research of Barros et
al. 19, and then we modified it to fit with insurance industry in Iran. Barros et al. defined
determinant factors as Life, Nonlife, M&A, Foreign, Big, Quoted, MkShare, and CastNew. Life is
a dummy variable, which is one for life insurance companies. Nonlife is a dummy variable
which is one for nonlife insurance companies. M&A is a dummy variable which is one for
enterprises linked to mergers and acquisitions. Foreign is a dummy variable, which is equal
to one for foreign insurance companies in the sample. Big is a dummy variable which is one
for big companies measured by the total value of asset. Quoted is a dummy variable which is
one for companies quoted in the stock market. MkShare is the logarithm of the market share
of the insurance companies analyzed. CastNew is the logarithm of the ratio equity/invested
assets.
Due to the fact that all Iranian insurers are general, we omitted the Life and NonLife
factors. And because of the fact that there is not any evidence of merger and acquisition, we
did not consider it too. There is not any foreign insurer in Iran therefore this factor was not
considered as well. Besides, we consider some other factors that are significant in Iran.
Figure 4 demonstrates two significant factors, average premium to surplus P/S ratio
and ownership state of companies, in Iran from 2003 to 2010. The bars are representative
of average P/S ratio and the lines show the average efficiency scores. The P/S ratio is an
insurer’s underwriting risk indication which is typically laid between 100% and 300%. The
more an insurer is solvent, the more its P/S is closer to 100%. However, as illustrated in
Figure 4 this ratio for Iranian companies varies considerably beyond its regular range, from
below 100% up to 1200% due to absence of solvency regime. It is obvious that average
P/S ratio for state-owned companies fluctuates in a noticeably higher range than private
companies. Considering this challenge, the average efficiency of private companies is always
lower than state-owned companies. Based on Figure 4 we conclude that ownership and P/S
may have a significant effect on efficiency scores.
The capital structure for different types of companies is also compared in Figure 5.
We use financial leverage index FLI as the main measure of the capital structure which is
calculated through dividing return on equity ROE by return on asset ROA. The FLI ratio
is laid between 0 and 100%. FLI ratio of a company which creates higher liability with a
small amount of capital is closer to 0. It could be observed from the Figure 5 that FLI varies
increasingly between different types of companies. While their difference in capital structure
was significant in the early years of observation period, it decreases over the course of
18 Mathematical Problems in Engineering

Traditional efficiency scores minus robust efficiency

16

14

12

10
scores
8

0
2003 2004 2005 2006 2007 2008 2009 2010
Year
State owned
Private

Figure 2: Average gap between traditional efficiency scores and robust efficiency scores for different types
of insurance companies.

100
Average of robust CRS

90
80
efficiency scores

70
60
50
40
30
20
10
0
2003 2004 2005 2006 2007 2008 2009 2010
Year
Average of robust CRS efficiency scores of state = owned insurers
Average of robust CRS efficiency scores of DMU8, DMU10, and DMU14

Figure 3: Comparison between average of robust CRS efficiency scores for state owned insurers and
selective private insurers.

institutions change. Based on Figure 5 we conclude that FLI may have a significant effect
on efficiency scores. This factor is similar to CastNew which is used in Barros et al. 19.
Based on the material before, to find the most significant factors explaining efficiency
scores we consider six factors for next stage, GEE model. The factors are: Ownership, Being in
stock exchange market, Insurer’s size, Insurer’s market share, capital structure, and solvency index.
Mathematical Problems in Engineering 19

1200 100

Premium to surplus ratio (%)

90
1000
80
800 70

Efficiency (%)
60
600 50
40
400
30
200 20
10
0 0
2003 2004 2005 2006 2007 2008 2009 2010

State-owned company P/S ratio

Private company P/S ratio
State-owned company efficiency
Private company efficiency

Figure 4: Comparison between premium to surplus ratio and efficiency for different types of insurance
companies.

100
90
80
70
60
(%)

50
40
30
20
10
0
2003 2004 2005 2006 2007 2008 2009 2010

State-owned company FLI

Private company FLI
State-owned company efficiency
Private company efficiency

Figure 5: Comparison between capital structure and efficiency for different types of insurance company
Financial Leverage Index FLI, a ratio indicating the capital structure, is defined as the ratio between
assets to equity.

7. Second Stage: The Most Important Factors Explaining Efficiencies

In order to examine the hypothesis that Insurers’ efficiency is explained by different
contextual variables, we used the two-stage method, as proposed by Coelli et al. 39
estimating the regression as shown below:

δit  β1 β2 × P rivateit β3 × Stockit β4 × Big it β5 × Marketshareit

7.1
β6 × Capitalstructureit β7 × P rmtoSrpit ,
20 Mathematical Problems in Engineering

where δit represents the CRS efficiency score of insurer i at time t. Private is a dummy
variable, which is one for state-owned insurance companies. The inclusion of this variable
is based on the assumption that private companies may exhibit higher efficiency due to type
of ownership. Stock is a dummy variable which is one for insurance companies whose shares
could be traded on the stock exchange aiming to capture the effect of transparency due to
the stock market governance requirements. Big is a dummy variable which is one for big
companies, and is measured by the total value of assets. Following Barros et al. 19 we set
a limit for companies’ total assets. If a company’s total assets values more than $300 million
U.S., it is considered as a big company, and variable Big for that is equal to 1. It helps us to
summarize data without losing valuable information because there are two major categories
of companies in Iran. Some of them are old and huge, and the others are recently established
and small. Marketshare is the market share of each insurance company within the market.
Capitalstructure is the ratio of equity to total assets Equity to total assets is equal to dividing
return on asset (ROA) by return on equity (ROE) or FLI−1 . or FLI−1 , aiming to capture the effect
of capital structure. PrmtoSrp is the ratio of premium divided by surplus aiming to measure
the risk-aversion behavior of insurers and the company’s attitude toward solvency issue.
It is obvious that an insurer’s efficiency in a given year is correlated with its efficiency
in the other years. In other words, there are correlations among the yearly observations
belong to an insurer. GEE is an extension of the quasi-likelihood approach, is used to
analyze longitudinal and other correlated data. Some articles do discuss how much statistical
information is obtainable from observations on individuals in clusters such as cluster of an
insurance company’s efficiencies during 8 years.
Following Liang and Zeger 34, we employ GEE method to determine the most
important variables, with 139 observations categorized into 20 clusters. The results are
presented in Table 5. Lots of models are estimated in order to compare the results. The
results are quite stable since the variables that were significant in the Model 1, remained
significant after dropping the insignificant variables. Based on Table 5, we can conclude
that private contributes negatively to efficiency, signifying that this type of companies face
different constraints in the Iranian insurance market. Second, the variable Capitalstructure
shows that the specific capital structure of Iranian insurance companies exercises a positive
effect on efficiency. Finally the variable PrmtoSrp has a positive influence on efficiency. This
result along with the result of capitalstructure shows that the companies which do not respect
to solvency measures are more efficient than the others. Marketshare, Big, and Stock do not
have a significant effect on efficiency.
Since the GEE model makes a working correlation matrix in order to obtain the optimal
estimators, we test higher degrees of correlations between with-in-the-subjects observations.
This can be seen in Table 6, where we estimate parameter with M  5, M  6, and M  7. This
means that the insurer’s efficiency score in a given year is related to the insurer’s efficiency
in adjacent 5 years if we set M  5. It is obvious that m cannot be more than 7 due to the fact
that the maximum number of observations within a cluster or with-in-the-subject is equal to
8 a company’s efficiency scores during 8 years. Table 6 shows that Private and PrmtoSrp are
consistently significant while we increase the degree of with-in-the-subject dependency.
In GEE model, QIC is a measure used to choose best correlation structure which can
be applied to determine the best subsets of covariates for a particular model. The best model
is the one with the smallest QIC value. If we consider QIC as the model’s goodness of fit, it
gets better while we increase M, the with-in-the-subject dependency.
Mathematical Problems in Engineering 21

Table 5: Second stage—Generalized estimating equations models that capture the most important factors
explaining the efficiency score for robust DEA.

Models
Predictors Model 1 Model 2 Model 3 Model 4
Hypothesis Hypothesis Hypothesis Hypothesis
B B B B
Test-Sig. Test-Sig. Test-Sig. Test-Sig.
Intercept .681 .006 .681 .005 .779 .000 1.141 .000
Private −.367 .000 −.370 .000 −.352 .000 −.402 .000
Stock .118 .143 .118 .138 — — — —
Big .165 .193 .172 .129 .178 .093 — —
Marketshare .001 .751 — — — — — —
Capitalstructure .007 .003 .007 .003 .006 .004 .005 .005
PrmtoSrp .018 .000 .018 .000 .017 .000 .017 .000
QICa 46.367 44.537 41.933 35.142
QICCa 25.739 23.785 21.424 19.649
Residual normal testb .224
Asymp. Sig. 2-tailed
a
Computed using the full log quasilikelihood function.
b
Being normal is not rejected at 5% level if the statistic is more than 0.05.

Table 6: Sensitivity analyzing of significant factors, Private and PrmtoSrp, based on the within-subject
dependencies.

Working Correlation Matrix Structure

Predictors 5-dependant 6-dependant 7-dependant
Hypothesis Hypothesis Hypothesis
B B B
Test-Sig. Test-Sig. Test-Sig.
Intercept 1.291 .000 .986 .000 1.040 .000
Private −.333 .000 −.168 .004 −.203 .000
PrmtoSrp .013 .117 .014 .009 .009 .012
QICa 29.944 24.579 19.816
QICCa 15.427 14.501 14.471
Residual normal testb .067 .244 .248
Asymp. Sig. 2-tailed
a
Computed using the full log quasi-likelihood function.
b
Being normal is not rejected at 5% level if the statistic is more than 0.05.

8. Concluding Remarks
In this paper, we have analyzed technical efficiency for Iranian insurance companies between
2003 and 2010, a period that insurers experienced intense volatility due to the entrance
deregulation of the market. We propose a two-stage procedure to analysis the most important
determinants affecting efficiency scores. In the first stage, we obtained the CRS efficiency
scores by robust DEA model proposed by Bertsimas and Sim in 2003. In the second stage, we
determined the most important factors that can explain the efficiency scores by using GEE
developed by Liang and Zeger in 1986. The major results of our study are that ownership type
and failure to meet the risk management rules are the main drivers of efficiency. In other words,
any state owned insurer which issued more policies without respect to the sufficient capital
22 Mathematical Problems in Engineering

provision could obtain better score. It should be mentioned here that state owned companies
issued more policies and paid more loss, in the hope that the government supports in case
of difficult financial situations. Indeed, instead of issuing insurance policies in proportion
to their capital, the insurance policies issued on behalf the government credit. This finding
shows the violation of competition rules by state, and the inadequacies of the institutions
necessary for private sector development.
What should the managers of inefficient insurance companies do to improve
efficiency? First, in order to prepare the institutions, they must pursue the new regulations
that require state-owned insurers to have sufficient capital and prevent them to issue
insurance policies unlimitedly. Also, following the Williamson if we consider culture as
the first level of institutions 40, it seems that private companies should try to change the
commonly thought that state-owned companies are more reliable. This cannot be achieved
unless their quality of services is as good as their state-owned counterparts, and it cannot
be done unless they design and manage their processes efficiently. They should establish a
benchmark management procedure in order to evaluate their relative position and to adopt
appropriate managerial procedures for catching up with the frontier of “best practices.”
It seems that some private companies have been able to compete with their state-owned
counterparts. Finally, the regulatory authority has an important role in making a fair business
environment and improving the efficiency of insurers by 1 participation in developing
new rules of business and in enforcing its regulatory duties. 2 Developing indicators to
monitor solvency and requiring state-owned companies to comply with. One of the central
insurance of IR Iran initial duties is to arrange the market so that insurers could compete fairly
while they meet at least the minimum required solvency margin. 3 Publishing information
in order to introduce greater transparency into the market especially those related to the
sufficient capital and reserves for future commitments.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 841410, 36 pages
doi:10.1155/2012/841410

Research Article
Solving Constrained Global Optimization Problems
by Using Hybrid Evolutionary Computing and
Artificial Life Approaches

Jui-Yu Wu
Department of Business Administration, Lunghwa University of Science and Technology, No. 300,
Section 1, Wanshou Road, Guishan, Taoyuan County 333, Taiwan

Correspondence should be addressed to Jui-Yu Wu, [email protected]

Received 28 February 2012; Revised 15 April 2012; Accepted 19 April 2012

Academic Editor: Jung-Fa Tsai

Copyright q 2012 Jui-Yu Wu. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

This work presents a hybrid real-coded genetic algorithm with a particle swarm optimization
RGA-PSO algorithm and a hybrid artificial immune algorithm with a PSO AIA-PSO
algorithm for solving 13 constrained global optimization CGO problems, including six nonlinear
programming and seven generalized polynomial programming optimization problems. External
RGA and AIA approaches are used to optimize the constriction coefficient, cognitive parameter,
social parameter, penalty parameter, and mutation probability of an internal PSO algorithm. CGO
problems are then solved using the internal PSO algorithm. The performances of the proposed
RGA-PSO and AIA-PSO algorithms are evaluated using 13 CGO problems. Moreover, numerical
results obtained using the proposed RGA-PSO and AIA-PSO algorithms are compared with those
obtained using published individual GA and AIA approaches. Experimental results indicate that
the proposed RGA-PSO and AIA-PSO algorithms converge to a global optimum solution to a
CGO problem. Furthermore, the optimum parameter settings of the internal PSO algorithm can
be obtained using the external RGA and AIA approaches. Also, the proposed RGA-PSO and AIA-
PSO algorithms outperform some published individual GA and AIA approaches. Therefore, the
proposed RGA-PSO and AIA-PSO algorithms are highly promising stochastic global optimization
methods for solving CGO problems.

1. Introduction
Many scientific, engineering, and management problems can be expressed as constrained
global optimization CGO problems, as follows:

Minimize fx,

s.t. gm x ≤ 0, m  1, 2, . . . , M,
2 Mathematical Problems in Engineering

hk x  0, k  1, 2, . . . , K,

xnl ≤ xn ≤ xnu , n  1, 2, . . . , N,
1.1

where fx denotes an objective function; gm x represents a set of m nonlinear inequality
constraints; hk x refers to a set of k nonlinear equality constraints; x represents a vector
of decision variables which take real values, and each decision variable xn is constrained
by its lower and upper boundaries xnl , xnu ; N is the total number of decision variables
xn . For instance, generalized polynomial programming GPP belongs to the nonlinear
programming NLP method. The formulation of GPP is a nonconvex objective function
subject to nonconvex inequality constraints and possibly disjointed feasible region. The
GPP approach has been successfully used to solve problems including alkylation process
design, heat exchanger design, optimal reactor design 1, inventory decision problem
economic production quantity 2, process synthesis and the design of separations,
phase equilibrium, nonisothermal complex reactor networks, and molecular conformation
3.
Traditional local NLP optimization approaches based on a gradient algorithm are
inefficient for solving CGO problems, while an objective function is nondifferentiable.
Global optimization methods can be divided into deterministic or stochastic 4. Often
involving a sophisticated optimization process, deterministic global optimization methods
typically make assumptions regarding the problem to be solved 5. Stochastic global
optimization methods that do not require gradient information and numerous assumptions
have received considerable attention. For instance, Sun et al. 6 devised an improved
vector particle swarm optimization PSO algorithm with a constraint-preserving method
to solve CGO problems. Furthermore, Tsoulos 7 developed a real-coded genetic algorithm
RGA with a penalty function approach for solving CGO problems. Additionally, Deep and
Dipti 8 presented a self-organizing GA with a tournament selection method for solving
CGO problems. Meanwhile, Wu and Chung 9 developed a RGA with a static penalty
function approach for solving GPP optimization problems. Finally, Wu 10 introduced an
artificial immune algorithm AIA with an adaptive penalty function method to solve CGO
problems.
Zadeh 11 defined “soft computing” as the synergistic power of two or more fused
computational intelligence CI schemes, which can be divided into several branches: gran-
ular computing e.g., fuzzy sets, rough sets, and probabilistic reasoning, neurocomputing
e.g., supervised, unsupervised, and reinforcement neural learning algorithms, evolutionary
computing e.g., GAs, genetic programming, and PSO algorithms, and artificial life e.g.,
artificial immune systems 12. Besides, outperforming individual algorithms in terms of
solving certain problems, hybrid algorithms can solve general problems more efficiently
13. Therefore, hybrid CI approaches have recently attracted considerable attention as a
promising field of research. Various hybrid evolutionary computing GA and PSO methods
and artificial life such as AIA methods approaches have been developed for solving
optimization problems. These hybrid algorithms focus on developing diverse candidate
solutions such as chromosomes and particles of population/swarm to solve optimization
problems more efficiently. These hybrid algorithms use two different algorithms to create
diverse candidate solutions using their specific operations and then merge these diverse
Mathematical Problems in Engineering 3

candidate solutions to increase the diversity of the candidate population. For instance, Abd-
El-Wahed et al. 14 developed an integrated PSO algorithm and GA to solve nonlinear
optimization problems. Additionally, Kuo and Han 15 presented a hybrid GA and PSO
algorithm for bilevel linear programming to solve a supply chain distribution problem.
Furthermore, Shelokar et al. 16 presented a hybrid PSO method and ant colony optimization
method for solving continuous optimization problems. Finally, Hu et al. 17 developed an
immune cooperative PSO algorithm for solving the fault-tolerant routing problem.
Compared to the above hybrid CI algorithms, this work optimizes the parameter
settings of an individual CI method by using another individual CI algorithm. A standard
PSO algorithm has certain limitations 17, 18. For instance, a PSO algorithm includes
many parameters that must be set, such as the cognitive parameter, social parameter, and
constriction coefficient. In practice, the optimal parameter settings of a PSO algorithm are
tuned based on trial and error and prior knowledge is required to successfully manipulate
the cognitive parameter, social parameter, and constriction coefficient. The exploration and
exploitative capabilities of a PSO algorithm are limited to optimum parameter settings.
Moreover, conventional PSO methods involve premature convergence that rapidly losses
diversity during optimization.
Fortunately, optimization of parameter settings for a conventional PSO algorithm
can be considered an unconstrained global optimization UGO problem, and the diversity
of candidate solutions of the PSO method can be increased using a multi-nonuniform
mutation operation 19. Moreover, the parameter manipulation of a GA and AIA method
is easy to implement without prior knowledge. Therefore, to overcome the limitations of
a standard PSO algorithm, this work develops two hybrid CI algorithms to solve CGO
problems efficiently. The first algorithm is a hybrid RGA and PSO RGA-PSO algorithm,
while the second algorithm is a hybrid AIA and PSO AIA-PSO algorithm. The proposed
RGA-PSO and AIA-PSO algorithms are considered to optimize two optimization problems
simultaneously. The UGO problem optimization of cognitive parameter, social parameter,
constriction coefficient, penalty parameter, and mutation probability of an internal PSO
algorithm based on a penalty function approach is optimized using external RGA and AIA
approaches, respectively. A CGO problem is then solved using the internal PSO algorithm.
The performances of the proposed RGA-PSO and AIA-PSO algorithms are evaluated using a
set of CGO problems e.g., six benchmark NLP and seven GPP optimization problems.
The rest of this paper is organized as follows. Section 2 describes the RGA, PSO
algorithm, AIA, and penalty function approaches. Section 3 then introduces the proposed
RGA-PSO and AIA-PSO algorithms. Next, Section 4 compares the experimental results of
the proposed RGA-PSO and AIA-PSO algorithms with those of various published individual
GAs and AIAs 9, 10, 20–22 and hybrid algorithms 23, 24. Finally, conclusions are drawn
in Section 5.

2. Related Works
2.1. Real-Coded Genetic Algorithm
GAs are stochastic global optimization methods based on the concepts of natural selection
and use three genetic operators, that is, selection, crossover, and mutation, to explore and
exploit the solution space. RGA outperforms binary-coded GA in solving continuous function
optimization problems 19. This work thus describes operators of a RGA 25.
4 Mathematical Problems in Engineering

2.1.1. Selection
A selection operation selects strong individuals from a current population based on their
fitness function values and then reproduces these individuals into a crossover pool. The
several selection operations developed include the roulette wheel, ranking, and tournament
methods 19, 25. This work uses the normalized geometric ranking method, as follows:

 r−1
pj  q  1 − q , j  1, 2, . . . , psRGA , 2.1

pj  probability of selecting individual j, q  probability of choosing the best individual here

q  0.35

q
q   psRGA , 2.2
1− 1−q

r  individual ranking based on fitness value, where 1 represents the best, r  1, 2, . . . , psRGA ,
psRGA  population size of the RGA.

2.1.2. Crossover
While exploring the solution space by creating new offspring, the crossover operation
randomly selects two parents from the crossover pool and then uses these two parents to
generate two new offspring. This operation is repeated until the psRGA /2 is satisfied. The
whole arithmetic crossover is easily implemented, as follows:

 
v1  β × v1 1 − β × v2 ,
  2.3
v2  1 − β v1 β × v2 ,

where v1 and v2  parents, v1 and v2  offspring, β  uniform random number in the interval
0, 1.5.

2.1.3. Mutation
Mutation operation can increase the diversity of individuals candidate solutions. Multi-
nonuniform mutation is described as follows:
⎧  
⎨xcurrent,n xnu − xcurrent,n pert gRGA if U1 0, 1 < 0.5,
xtrial,n      2.4
⎩x
current,n − xcurrent,n − xn pert gRGA if U1 0, 1 ≥ 0.5,
l

where pertgRGA   U2 0, 11 − gRGA /gmax,RGA 2 , perturbed factor, U1 0, 1 and U2 0, 1 
uniform random variable in the interval 0, 1, gmax,RGA  maximum generation of the RGA,
gRGA  current generation of the RGA, xcurrent,n  current decision variable xn , xtrial,n  trial
candidate solution xn .
Mathematical Problems in Engineering 5

2.2. Particle Swarm Optimization

Kennedy and Eberhart 26 first introduced a conventional PSO algorithm, which is inspired
by the social behavior of bird flocks or fish schools. Like GAs, a PSO algorithm is a
population-based algorithm. A population of candidate solutions is called a particle swarm.
The particle velocities can be updated by 2.5, as follows:

      lb    
vj,n gPSO 1  vj,n gPSO c1 r1j gPSO pj,n gPSO − xj,n gPSO
  gb    
c2 r2j gPSO pj,n gPSO − xj,n gPSO j  1, 2, . . . , psPSO , n  1, 2, . . . , N,
2.5

vj,n gPSO 1  particle velocity of decision variable xn of particle j at generation gPSO 1,

vj,n gPSO   particle velocity of decision variable xn of particle j at generation gPSO , c1 
cognitive parameter, c2  social parameter, xj,n gPSO   particle position of decision variable
xn of particle j at generation gPSO , r1,j gPSO , r2,j gPSO   independent uniform random
numbers in the interval 0, 1 at generation gPSO , pj,n
lb
gPSO   best local solution at generation
gb
gPSO , pj,n gPSO   best global solution at generation gPSO , psPSO  population size of the PSO
algorithm.
The particle positions can be computed using 2.6, as follows:

     
xj,n gPSO 1  xj,n gPSO vj,n gPSO 1 j  1, 2, . . . , psPSO , n  1, 2, . . . , N. 2.6

Shi and Eberhart 27 developed a modified PSO algorithm by incorporating an inertia
weight ωin  into 2.7 to control the exploration and exploitation capabilities of a PSO
algorithm, as follows:

      lb    
vj,n gPSO 1  ωin vj,n gPSO c1 r1j gPSO pj,n gPSO − xj,n gPSO
  gb    
c2 r2j gPSO pj,n gPSO − xj,n gPSO j  1, 2, . . . , psPSO , n  1, 2, . . . , N.
2.7

A constriction coefficient χ was inserted into 2.8 to balance the exploration and
exploitation tradeoff 28–30, as follows:

      lb    
vj,n gPSO 1  χ vj,n gPSO ρ1 gPSO pj,n gPSO − xj,n gPSO
  gb    
ρ2 gPSO pj,n gPSO − xj,n gPSO j  1, 2, . . . , psPSO , n  1, 2, . . . , N,
2.8
6 Mathematical Problems in Engineering

where

2U3 0, 1
χ , 2.9
2−τ − ττ − 4

U3 0, 1  uniform random variable in the interval 0, 1, τ  τ1 τ2 , τ1  c1 r1j , τ1  c2 r2j .
This work considers parameters ωin and χ to update the particle velocities, as follows:

      lb    
vj,n gPSO 1  χ ωin vj,n gPSO c1 r1j gPSO pj,n gPSO − xj,n gPSO
  gb    
c2 r2j gPSO pj,n gPSO − xj,n gPSO j  1, 2, . . . , psPSO , n  1, 2, . . . , N,
2.10

where ωin  gmax,PSO − gPSO /gmax,PSO , increased gPSO value reduces the ωin , gmax,PSO 
maximum generation of the PSO algorithm.
According to 2.10, the optimal values of parameters c1 , c2 , and χ are difficult to obtain
through a trial and error. This work thus optimizes these parameter settings by using RGA
and AIA approaches.

2.3. Artificial Immune Algorithm

Wu 10 presented an AIA based on clonal selection and immune network theories to solve
CGO problems. The AIA approach comprises selection, hypermutation, receptor editing,
and bone marrow operations. The selection operation is performed to reproduce strong
antibodies Abs. Also, diverse Abs are created using hypermutation, receptor editing, and
bone marrow operations, as described in the following subsections.

2.3.1. Ab and Ag Representation

In the human immune system, an antigen Ag has multiple epitopes antigenic determi-
nants, which can be recognized by various Abs with paratopes recognizers, on its surface.
In the AIA approach, an Ag represents known parameters of a solved problem. The Abs are
the candidate solutions i.e., decision variables xn , n  1, 2, . . . , N of the solved problem. The
quality of a candidate solution is evaluated using an Ab-Ag affinity that is derived from the
value of an objective function of the solved problem.
Mathematical Problems in Engineering 7

2.3.2. Selection Operation

The selection operation, which is based on the immune network principle 31, controls the
number of antigen-specific Abs. This operation is defined according to Ab-Ag and Ab-Ab
recognition information, as follows:

1 N 1
prj  ,
N n1 ednj
2.11
xn∗ − xnj
dnj  , j  1, 2, . . . , rs, n  1, 2, . . . , N,
xn∗

where prj  probability that Ab j recognizes Ab∗ the best solution, xn∗  the best Ab∗ with
the highest Ab-Ag affinity, xnj  decision variables xn of Ab j, rs  repertoire population
size of the AIA.
The Ab∗ is recognized by other Abj in a current Ab repertoire. Large prj implies that
Abj can effectively recognize Ab∗ . The Abj with prj that is equivalent to or larger than the
threshold degree prt is reproduced to generate an intermediate Ab repertoire.

2.3.3. Hypermutation Operation

Multi-nonuniform mutation 19 is used as the somatic hypermutation operation, which can
be expressed as follows:
  
xcurrent,n xnu − xcurrent,n pert gAIA , if U4 0, 1 < 0.5,
xtrial,n      2.12
xcurrent,n − xcurrent,n − xnl pert gAIA , if U4 0, 1 ≥ 0.5,

where pertgAIA   {U5 0, 11 − gAIA /gmax,AIA }2  perturbation factor, gAIA  current
generation of the AIA, gmax,AIA  maximum generation number of the AIA, U4 0, 1 and
U5 0, 1  uniform random number in the interval 0, 1.
This operation has two tasks, that is, a uniform search and local fine-tuning.

2.3.4. Receptor Editing Operation

A receptor editing operation is developed using the standard Cauchy distribution C0, 1,
in which the local parameter is zero and the scale parameter is one. Receptor editing is
performed using Cauchy random variables that are generated from C0, 1, owing to their
ability to provide a large jump in the Ab-Ag affinity landscape to increase the probability of
escaping from the local Ab-Ag affinity landscape. Cauchy receptor editing can be defined by

xtrial  xcurrent U5 0, 12 × σ, 2.13

where σ  σ1 , σ2 , . . . , σN T , vector of Cauchy random variables, U5 0, 1  uniform random

number in the interval 0, 1.
This operation is employed in local fine-tuning and large perturbation.
8 Mathematical Problems in Engineering

2.3.5. Bone Marrow Operation

The paratope of an Ab can be generated by recombining gene segments VH DH JH and VL JL
32. Therefore, based on this metaphor, diverse Abs are synthesized using a bone marrow
operation. This operation randomly chooses two Abs from the intermediate Ab repertoire
and a recombination point from the gene segments of the paratope of the selected Abs. The
selected gene segments e.g., gene x1 of Ab 1 and gene x1 of the Ab 2 are reproduced to create
a library of gene segments. The selected gene segments in the paratope are then deleted.
The new Ab 1 is formed by inserting the gene segment, which is gene x1 of the Ab 2 in
the library plus a random variable created from standard normal distribution N0, 1, at the
recombination point. The literature details the implementation of the bone marrow 10.

2.4. Penalty Function Methods

Stochastic global optimization approaches, including GAs, AIAs, and PSO, are naturally
unconstrained optimization methods. Penalty function methods, which are constraint
handling approaches, are commonly used to create feasible solutions to a CGO problem
and transform it into an unconstrained optimization problem. Two popular penalty functions
exist, namely, the exterior and interior functions. Exterior penalty functions use an infeasible
solution as a starting point, and convergence is from the infeasible region to the feasible one.
Interior penalty functions start from a feasible solution, then move from the feasible region
to the constrained boundaries. Exterior penalty functions are favored over interior penalty
functions, because they do not require a feasible starting point and are easily implemented.
The exterior penalty functions developed to date include static, dynamic, adaptive, and death
penalty functions 33. This work uses the form of a static penalty function, as follows:

⎧  2 ⎫
  ⎨M   K ⎬
Minimize fpseudo x, ρ  fx ρ max 0, gm x hk x , 2.14
⎩m1 k1
⎭

where fpseudo x, ρ  pseudo-objective function obtained using an original objective function
plus a penalty term, ρ  penalty parameter.
Unfortunately, the penalty function scheme is limited by the need to fine-tune the
penalty parameter ρ 8. To overcome this limitation, this work attempts to find the optimum
ρ for each CGO problem using the RGA and AIA approaches. Additionally, to obtain high-
quality RGA-PSO and AIA-PSO solutions accurate to at least five decimal places for the
violation of each constraint to a specific CGO problem, the parameter ρ is within the search
space 1 × 109 , 1 × 1011 .

3. Method
3.1. RGA-PSO Algorithm
Figure 1 shows the pseudocode of the proposed RGA-PSO algorithm. The external RGA
approach is used to optimize the best parameter settings of the internal PSO algorithm, and
the internal PSO algorithm is employed to solve CGO problems.
Mathematical Problems in Engineering 9

Procedure external RGA

begin
gRGA ← 0
Step 1: Initialize the parameter settings
Procedure internal PSO Algorithm
a parameter setting
gPSO ←0
b generate initial population
While gRGA ≤ gmax,RGA do Step 1 Create an initial particle swarm
a parameter settings from RGA
Step 2: Compute the fitness function value
b generate initial particle swarm
Candidate
solution j, j = 1, 2,..., psRGA χ c1 c2 ρ p m,PSO While executing time the predefined fixed total time
Step 2 Calculate the objective function value
fitness j = f (x∗PSO ) x∗PSO
Step 3 Update the particle velocity and position
Step 3: Implement a selection operation For each candidate particle j, j = 1, 2,..., psPSO do
if rand (·) ≤ pm, PSO then
For each candidate solution j, j = 1, 2,..., psRGA / 2 do Step 4 Implement a mutation operation
if rand (·) ≤ pc then
endIf
Step 4: Perform a crossover operation
endIf Step 5 Perform an elitist strategy
endFor endFor
For each candidate solution j, j 1, 2,..., psRGA do gPSO ← gPSO 1
end
if rand (·) ≤ pm , RGA then
end
Step 5: Conduct a mutation operation
endIf
endFor
Step 6: Implement an elitist strategy

gRGA ← gRGA 1

end
end
end

Figure 1: The pseudocode of the proposed RGA-PSO algorithm.

Candidate solution1 χ c1 c2 ρ pm,PSO fitness1

Candidate solution 2 χ c1 c2 ρ pm,PSO fitness2

.
.
.

Candidate solution psRGA χ c1 c2 ρ pm,PSO fitnesspsRGA

Figure 2: Chromosome representation of the external RGA.

External RGA

Step 1 initialize the parameter settings. Parameter settings are given such as psRGA ,
crossover probability pc , mutation probability of the external RGA approach pm,RGA , the lower
and upper boundaries of these parameters c1 , c2 , χ, ρ, and the mutation probability of the
internal PSO algorithm pm,PSO . The candidate solutions individuals of the external RGA
represent the optimized parameters of the internal PSO algorithm. Finally, Figure 2 illustrates
the candidate solution of the external RGA approach.
10 Mathematical Problems in Engineering

Candidate solution 1 x1 x2 ··· xN f(xPSO,1 )

Candidate solution 2 x1 x2 ··· xN f(xPSO,2 )

.
.
.

Candidate solution psPSO x1 x2 ··· xN f(xPSO,psPSO )

Figure 3: Candidate solution of the internal PSO algorithm.

Step 2 compute the fitness function value. The fitness function value fitnessj of the external
RGA approach is the best objective function value fx∗PSO  obtained from the best solution
x∗PSO of each internal PSO algorithm execution, as follows:

 
fitnessj  f x∗PSO , j  1, 2, . . . , psRGA . 3.1

Candidate solution j of the external RGA approach is incorporated into the internal
PSO algorithm, and a CGO problem is then solved using the internal PSO algorithm, which
is executed as follows.

Internal PSO Algorithm

Step 1 create an initial particle swarm. An initial particle swarm is created based on the
psPSO from xnl , xnu  of a CGO problem. A particle represents a candidate solution of
a CGO problem, as shown in Figure 3.
Step 2 calculate the objective function value. According to 2.14, the pseudo-objective
function value of the internal PSO algorithm is defined by

 
  M
   2
fpseudo,j  f xPSO,j ρ× max 0, gm xPSO,j , j  1, 2, . . . , psPSO . 3.2
m1

Step 3 update the particle velocity and position. The particle position and velocity can
be updated using 2.6 and 2.10, respectively.
Step 4 implement a mutation operation. The standard PSO algorithm lacks evolution
operations of GAs such as crossover and mutation. To maintain the diversity of
particles, this work uses the multi-nonuniform mutation operator defined by 2.4.
Step 5 perform an elitist strategy. A new particle swarm is created from internal step
3. Notably, fxPSO,j  of a candidate solution j particle j in the particle swarm
Mathematical Problems in Engineering 11

is evaluated. Here, a pairwise comparison is made between the fxPSO,j  value of

candidate solutions in the new and current particle swarms. A situation in which
the candidate solution j j  1, 2, . . . , psPSO  in the new particle swarm is superior to
candidate solution j in the current particle swarm implies that the strong candidate
solution j in the new particle swarm replaces the candidate solution j in the current
particle swarm. The elitist strategy guarantees that the best candidate solution is
always preserved in the next generation. The current particle swarm is updated to
the particle swarm of the next generation.

Internal steps 2 to 5 are repeated until the gmax,PSO value of the internal PSO algo-
rithm is satisfied.

End

Step 3 implement selection operation. The parents in a crossover pool are selected using
2.1.

Step 4 perform crossover operation. In GAs, the crossover operation performs a global
search. Thus, the crossover probability pc usually exceeds 0.5. Additionally, candidate
solutions are created using 2.3.

Step 5 conduct mutation operation. In GAs, the mutation operation implements a local
search. Additionally, a solution space is exploited using 2.4.

Step 6 implement an elitist strategy. This work updates the population using an elitist
strategy. A situation in which the fitnessj of candidate solution j in the new population is
larger than that in the current population suggests that the weak candidate solution j is
replaced. Additionally, a situation in which the fitnessj of candidate solution j in the new
population is equal to or worse than that in the current population implies that the candidate
solution j in the current population survives. In addition to maintaining the strong candidate
solutions, this strategy eliminates weak candidate solutions.

External Steps 2 to 6 are repeated until the gmax,RGA value of the external RGA approach
is met.

3.2. AIA-PSO Algorithm

Figure 4 shows the pseudocode of the proposed AIA-PSO algorithm, in which the external
AIA approach is used to optimize the parameter settings of the internal PSO algorithm and
the PSO algorithm is used to solve CGO problems.

External AIA

Step 1 initialize the parameter settings. Several parameters must be predetermined. These
include rs and the threshold for Ab-Ab recognition prt , as well as the lower and upper
boundaries of these parameters c1 , c2 , χ, ρ, and pm,PSO . Figure 5 shows the Ab and Ag
representation.
12 Mathematical Problems in Engineering

Step 2 evaluate the Ab-Ag affinity.

Internal PSO Algorithm

The external AIA approach offers parameter settings c1 , c2 , χ, ρ, and pm,PSO for the internal
PSO algorithm, subsequently leading to the implementation of internal steps 1–5 of the
PSO algorithm. The PSO algorithm returns the best fitness value of PSO fx∗PSO  to the
external AIA approach.

Step 1 create an initial particle swarm. An initial particle swarm is created based on psPSO
from xnl , xnu  of a CGO problem. A particle represents a candidate solution of a
CGO problem.
Step 2 calculate the objective function value. Equation 3.2 is used as the pseudo-
objective function value of the internal PSO algorithm.
Step 3 update the particle velocity and position. Equations 2.6 and 2.10 can be used
to update the particle position and velocity.
Step 4 implement a mutation operation. The diversity of the particle swarm is increased
using 2.4.
Step 5 perform an elitist strategy. A new particle swarm population is generated from
internal step 3. Notably, fxPSO,j  of a candidate solution j particle j in the
particle swarm is evaluated. Here, a pairwise comparison is made between the
fxPSO,j  value of candidate solutions in the new and current particle swarms. The
elitist strategy guarantees that the best candidate solution is always preserved in
the next generation. The current particle swarm is updated to the particle swarm of
the next generation.

Internal steps 2 to 5 are repeated until the gmax,PSO value of the internal PSO
algorithm is satisfied.

End
Consistent with the Ab-Ag affinity metaphor, an Ab-Ag affinity is determined using 3.3, as
follows:
   
max affinityj  −1 × f x∗PSO j  1, 2, . . . , rs. 3.3

Following the evaluation of the Ab-Ag affinities of Abs in the current Ab repertoire, the
Ab with the highest Ab-Ag affinity Ab∗  is chosen to undergo clonal selection operation in
external Step 3.

Step 3 perform clonal selection operation. To control the number of antigen-specific Abs,
2.11 is used.

Step 4 implement Ab-Ag affinity maturation. The intermediate Ab repertoire that is created
in external Step 3 is divided into two subsets. These Abs undergo somatic hypermutation
operation by using 2.12 when the random number is 0.5 or less. Notably, these Abs suffer
receptor editing operation using 2.13 when the random number exceeds 0.5.
Mathematical Problems in Engineering 13

Procedure external AIA Procedure internal PSO Algorithm

begin gPSO ← 0
gAIA ← 0 Step 1 Create an initial particle swarm
Step 1: Initialize the parameter settings a parameter settings from RGA
while gAIA < gmax,AIA do b generate initial particle swarm
Step 2: Evaluate the Ab-Ag affinity χ c1 c2 ρ p m,PSO
while executing time ≤ the predefined fixed total time do
Ab∗ ←max affinity j , j 1, 2, . . ., rs ∗
−1 × xPSO
Step 2 Calculate the objective function value
Step 3: Perform clonal selection operation Step 3 Update the particle velocity and position
for each Abj , j 1, 2, . . ., rs do For each candidate particle j, j 1, 2,..., psPSOdo
if prj ≥ prt then if rand (·) ≤ pm, PSO then
promote clone Step 4 Implement a mutation operation
else endIf
suppress Step 5 Perform an elitist strategy
endIf endFor
endFor gPSO ← gPSO 1
Step 4: Implement affinity maturation
end
for each promoted Abj do end
if rand (·) ≤ 0.5 do
somatic hypermutation
else
receptor editing
endIf
endFor
Step 5: Introduce diverse Abs
Step 6: Update an Abrepertoire
gAIA ← gAIA 1
endwhile
end
end

Figure 4: The pseudocode of the AIA-PSO algorithm.

Step 5 introduce diverse Abs. Based on the bone marrow operation, diverse Abs are created
to recruit the Abs suppressed in external Step 3.

Step 6 update an Ab repertoire. A new Ab repertoire is generated from external Steps 3–

5. The Ab-Ag affinities of the Abs in the generated Ab repertoire are evaluated. This work
presents a strategy for updating the Ab repertoire. A situation in which the Ab-Ag affinity of
Ab j in the new Ab repertoire exceeds that in the current Ab repertoire implies that a strong
Ab in the new Ab repertoire replaces the weak Ab in the current Ab repertoire. Additionally,
a situation in which the Ab-Ag affinity of Ab j in the new Ab repertoire equals to or is worse
than that in the current Ab repertoire implies that the Ab j in the current Ab repertoire
survives. In addition to maintaining the strong Abs, this strategy eliminates nonfunctional
Abs.

External Steps 2–6 are repeated until the termination criterion gmax,AIA is satisfied.

4. Results
The 13 CGO problems were taken from other studies 1, 20, 21, 23, 34. The set of CGO
problems comprises six benchmark NLP problems TPs 1–4 and 12–13, and seven GPP
problems, in which TP 5 alkylation process design in chemical engineering, TP 6 optimal
reactor design, TP 12 a tension/compression string design problem, and TP 13 a pressure
vessel design problem are constrained engineering problems, were used to evaluate the
performances of the proposed RGA-PSO and AIA-PSO algorithms. In the appendix, the
objective function, constraints, boundary conditions of decision variables, and known global
14 Mathematical Problems in Engineering

Ag

The known coefficient parameters

for a CGO problem

Epitope (antigenic determinants)

Stimulate

Suppress
Candidate solution

χ c1 c2 ρ pm.PSO Max(affinityj ) = −1 × f(x∗PSO )

x1 x2 x3 x4 x5

Ab

Ab

Paratope (recognizer)

Ab RGA-PSO/AIA-PSO

Figure 5: Ag and Ab representation.

optimum for TPs 1−11 are described and the problem characteristics of TPs 5, 12, and 13 are
further detailed.
The proposed RGA-PSO and AIA-PSO algorithms were coded in MATLAB software
and executed on a Pentium D 3.0 GHz personal computer. Fifty independent runs were
conducted to solve each test problem TP. Numerical results were summarized, including
the best, median, mean, and worst results, as well as the standard deviation S.D. of objective
function values obtained using RGA-PSO and AIA-PSO solutions, mean computational CPU
times MCCTs, and mean absolute percentage error MAPE, as defined by

50   
fx∗  − f xsstochastic /fx∗ 
MAPE 
s1
× 100%, s  1, 2, . . . , 50, 4.1
50

where fx∗   value of the known global solution, fxsstochastic   values obtained from
solutions of stochastic global optimization approaches e.g., RGA-PSO and AIA-PSO
algorithms.
Table 1 lists the parameter settings for the RGA-PSO and AIA-PSO algorithms, as
shown in Table 1.
Mathematical Problems in Engineering 15

Table 1: The parameter settings for the RGA-PSO and AIA-PSO algorithms.

Methods Parameter settings Search space

pc  1

The external RGA pm,RGA  0.15 χl , χu   0.1, 1

psRGA  10 c1l , c1u   0.1, 2
gmax,RGA  3 c2l , c2u   0.1, 2
prt  0.9 ρ , ρ   1×109 , 1 × 1011 
l u

The external AIA rs  10 pm,PSO

l u
, pm,PSO   0.1, 0.5
gmax,AIA  3
psPSO  100
The internal PSO algorithm gmax,PSO  3500 for TPs 1–4 xnl , xnu  for a CGO problem
gmax,PSO  3000 for TPs 5–13
χl , χu : the lower and upper boundaries of parameter χ.
c1l , c1u : the lower and upper boundaries of parameter c1 .
c2l , c2u : the lower and upper boundaries of parameter c2 .
ρl , ρu : the lower and upper boundaries of parameter ρ.
pm,PSO
l u
, pm,PSO : the lower and upper boundaries of pm,PSO for the internal PSO algorithm pm,PSO .

4.1. Comparison of the Results Obtained Using the RGA-PSO

and AIA-PSO Algorithms
Table 2 summarizes the numerical results obtained using the proposed RGA-PSO and AIA-
PSO algorithms for TPs 1–13. Numerical results indicate that the RGA-PSO and the AIA-PSO
algorithms can obtain the global minimum solution to TPs 1–11, since each MAPE% is small.
Moreover, the best, median, worst, and S.D. of objective function values obtained using the
RGA-PSO and AIA-PSO solutions are identical for TPs 1, 2, 3, 4, 6, 7, 8, 9, and 11. Furthermore,
the worst values obtained using the AIA-PSO algorithm for TPs 5 and 13 are smaller than
those obtained using the RGA-PSO algorithm. Additionally, t-test is performed for each TP,
indicating that the mean values obtained using the RGA-PSO and AIA-PSO algorithms are
statistically significant for TPs 5, 10, 12, and 13, since P value is smaller than a significant level
0.05. Based on the results of t-test, the AIA-PSO algorithm yields better mean values than the
RGA-PSO algorithm for TPs 5, 12, and 13, and the AIA-PSO algorithm yields worse mean
value than the RGA-PSO algorithm for TP 10.
Tables 3 and 4 list the best solutions obtained using the RGA-PSO and AIA-PSO
algorithms from TPs 1–13, respectively, indicating that each constraint is satisfied i.e., the
violation of each constraint is accurate to at least five decimal places for every TP. Tables
5 and 6 list the best parameter settings of the internal PSO algorithm obtained using the
external RGA and AIA approaches, respectively.

4.2. Comparison of the Results for the Proposed RGA-PSO and AIA-PSO
Algorithms with Those Obtained Using the Published Individual GA
and AIA Approaches and Hybrid Algorithms
Table 7 compares the numerical results of the proposed RGA-PSO and AIA-PSO algorithms
with those obtained using published individual GA and AIA approaches for TPs 1–4. In this
table, GA-1 is a GA with a penalty function methods, as used by Michalewicz 20. Notably,
 16

Table 2: Numerical results of the proposed RGA-PSO and AIA-PSO algorithms for TPs 1–13.
Global
TP number Methods Best Mean Median Worst MAPE % S.D. MCCT sec P value
optimum
The proposed
24.323 24.568 24.521 24.831 1.078 0.13 432.39
1 24.306 RGA-PSO 0.643
The proposed
24.358 24.579 24.564 24.809 1.125 0.11 417.63
AIA-PSO
The proposed
−30665.539 −30665.539 −30665.539 −30665.534 1.34E − 06 7.36E − 04 349.55
2 −30665.539 RGA-PSO 0.478
The proposed
−30665.539 −30665.539 −30665.539 −30665.539 9.95E − 07 3.81E − 05 349.76
AIA-PSO
The proposed
680.632 680.640 680.639 680.658 1.46E − 03 5.55E − 03 398.72
3 680.630 RGA-PSO 0.839
The proposed
680.633 680.640 680.640 680.657 1.50E − 03 0.01 398.84
AIA-PSO
The proposed
−15 −15 −15 −15 1.27E − 06 1.27E − 06 466.00
4 −15 RGA-PSO 0.294
The proposed
−15 −15 −15 −15 1.20E − 10 2.64E − 11 450.28
AIA-PSO
The proposed
1227.2321 1228.8471 1228.3935 1231.6003 1.34E − 01 1.27 481.86
5 1227.1978 RGA-PSO 0.002∗
The proposed
1227.1598 1228.1800 1227.9762 1229.6590 8.02E − 02 0.71 461.30
AIA-PSO
The proposed
3.9521 3.9577 3.9566 3.9722 1.67E − 01 5E − 03 439.16
6 3.9511 RGA-PSO 0.682
The proposed
3.9516 3.9581 3.9569 3.9735 1.77E − 01 4.79E − 03 438.55
AIA-PSO
The proposed
−5.7398 −5.7398 −5.7398 −5.7398 2.54E − 04 1.13E − 05 325.73
7 −5.7398 RGA-PSO 0.358
Mathematical Problems in Engineering
 Table 2: Continued.
Global
TP number Methods Best Mean Median Worst MAPE % S.D. MCCT sec P value
optimum
The proposed
−5.7398 −5.7398 −5.7398 −5.7398 2.42E − 04 7.74E − 06 329.12
AIA-PSO
The proposed
−83.2497 −83.2497 −83.2497 −83.2497 5.13E − 03 1.26E − 06 211.91
8 −83.254 RGA-PSO 0.291
The proposed
−83.2497 −83.2497 −83.2497 −83.2497 5.13E − 03 6.85E − 07 213.01
AIA-PSO
The proposed
−6.0441 −5.9883 −5.9968 −5.8051 0.991 0.05 440.72
9 −6.0482 RGA-PSO 0.577
Mathematical Problems in Engineering

The proposed
−6.0467 −5.9828 −5.9979 −5.8274 1.082 0.05 441.42
AIA-PSO
The proposed
6299.8374 6299.8412 6299.8419 6299.8428 2.52E − 03 1.42E − 03 224.13
10 6300 RGA-PSO 0.001∗
The proposed
6299.8395 6299.8420 6299.8423 6299.8425 2.51E − 03 6.83E − 04 223.91
AIA-PSO
The proposed
10122.4732 10122.4925 10122.4925 10122.6444 2.01E − 03 2.26E − 02 340.89
11 10122.6964 RGA-PSO 0.884
The proposed
10122.4852 10122.4920 10122.4927 10122.4931 2.02E − 03 1.85E − 03 338.37
AIA-PSO
The proposed
0.012692 0.012724 0.012721 0.012784 — 1.46E − 05 293.67
12 — RGA-PSO 0.014∗
The proposed
0.012667 0.012715 0.012719 0.012778 — 2.00E − 05 296.15
AIA-PSO
The proposed
5885.3018 5895.0381 5885.3326 6005.4351 — 24.33 291.17
13 — RGA-PSO 0.019∗
The proposed
5885.3249 5886.5426 5885.3323 5906.7404 — 4.54 292.16
AIA-PSO
The “—” denotes unavailable information, and ∗ represents that the mean values obtained using the RGA-PSO and AIA-PSO algorithms are statistically different.
17
18 Mathematical Problems in Engineering

Table 3: The best solutions obtained using the RGA-PSO algorithm from TPs 1–13.

TP number fx∗RGA-PSO  x∗RGA-PSO

x∗RGA-PSO  2.16727760, 2.37789634, 8.78162804, 5.12372885,
0.97991270, 1.39940993, 1.31127142, 9.81945011, 8.30004549,
8.45891329
1 24.323
gm x∗RGA-PSO   −0.000171 ≤ 0, −0.003109 ≤ 0, −0.000027 ≤
0, −0.000123 ≤ 0, −0.001371 ≤ 0, −0.002101 ≤ 0, −6.245957 ≤
0, −47.846302 ≤ 0
x∗RGA-PSO  78, 33, 29.99525450, 45, 36.77581373
2 −30665.539 gm x∗RGA-PSO   −92.000000 ≤ 0, 2.24E − 07 ≤ 0, −8.840500 ≤
0, −11.159500 ≤ 0, 4.28E − 07 ≤ 0, −5.000000 ≤ 0
x∗RGA-PSO  2.33860239, 1.95126191, −0.45483579, 4.36300325,
−0.62317747, 1.02938443, 1.59588410
3 680.632
gm x∗RGA-PSO   −7.76E − 07 ≤ 0, −252.7211 ≤ 0, −144.8140 ≤
0, −6.15E − 05 ≤ 0
x∗RGA-PSO  1, 1, 1, 1, 1, 1, 1, 1, 1, 3, 3, 3, 1
4 −15 gm x∗RGA-PSO   0 ≤ 0, 0 ≤ 0, 0 ≤ 0, −5 ≤ 0, −5 ≤ 0, −5 ≤ 0, 0 ≤ 0, 0 ≤
0, 0 ≤ 0
x∗RGA-PSO  1697.13793410, 54.17332240, 3030.44600072,
90.18199040, 94.99999913, 10.42097385, 153.53771370
gm x∗RGA-PSO   0.999978 ≤ 1, 0.980114 ≤ 1, 1.000005 ≤ 1, 0.980097 ≤
5 1227.1139
1, 0.990565 ≤ 1, 1.000005 ≤ 1, 1.00000 ≤ 1, 0.976701 ≤ 1, 1.000003 ≤
1, 0.459311 ≤ 1, 0.387432 ≤ 1, 0.981997 ≤ 1, 0.980364 ≤ 1, −8.241926 ≤
1
x∗RGA-PSO  6.444100620, 2.243029250, 0.642672939, 0.582321363,
5.940008650, 5.531235784, 1.018087316, 0.403665649
6 3.9521
gm x∗RGA-PSO   1.000000 ≤ 1, 1.000000 ≤ 1, 0.999996 ≤ 1, 0.99986 ≤
1
x∗RGA-PSO  8.12997229, 0.61463971, 0.56407162, 5.63623069
7 −5.7398
gm x∗RGA-PSO   1.000000 ≤ 1, 1.000000 ≤ 1
x∗RGA-PSO  88.35595404, 7.67259607, 1.31787691
8 −83.2497
gm x∗RGA-PSO   1.000000 ≤ 1
x∗RGA-PSO  6.40497368, 0.64284563, 1.02766984, 5.94729224,
2.21044814, 0.59816471, 0.42450835, 5.54339987
9 −6.0441
gm x∗RGA-PSO   0.999997 ≤ 1, 0.999959 ≤ 1, 0.999930 ≤ 1, 0.999975 ≤
1
x∗RGA-PSO  108.66882633, 85.10837983, 204.35894362
10 6299.8374
gm x∗RGA-PSO   1.000002 ≤ 1
x∗RGA-PSO  78, 33, 29.99564864, 45, 36.77547104
11 10122.4732 gm x∗RGA-PSO   −0.309991 ≤ 1, 1.000004 ≤ 1, −0.021379 ≤
1, 0.621403 ≤ 1, 1.000002 ≤ 1, 0.681516 ≤ 1
x∗RGA-PSO  0.050849843, 0.336663305, 12.579603478
12 0.012692 gm x∗RGA-PSO   −0.000143 ≤ 0, −0.000469 ≤ 0, −4.009021 ≤
0, −0.741658 ≤ 0
x∗RGA-PSO  0.77816852, 0.38464913, 40.31961883, 199.99999988
13 5885.3018 gm x∗RGA-PSO   1.23E − 07 ≤ 0, 3.36E − 08 ≤ 0, −0.006916 ≤
0, −40.00000012 ≤ 0
Mathematical Problems in Engineering 19

Table 4: The best solutions obtained using the AIA-PSO algorithm from TPs 1–13.

TP number fx∗AIA-PSO  x∗AIA-PSO

x∗AIA-PSO  2.18024296, 2.35746157, 8.75670935, 5.11326109,
1.03976363 1.54784227, 1.32994030, 9.83127443, 8.27618717,
8.32717779
1 24.358
gm x∗AIA-PSO   −0.000071 ≤ 0, −0.003699 ≤ 0, −0.000440 ≤
0, −0.684025 ≤ 0, −0.000086 ≤ 0, −0.001024 ≤ 0, −5.973866 ≤
0, −47.371958 ≤ 0

x∗AIA-PSO  78, 33, 29.99525527, 45, 36.77581286

2
gm x∗AIA-PSO   −92.000000 ≤ 0, 5.57E − 08 ≤ 0, −8.840500 ≤
−30665.539
0, −11.159500 ≤ 0, 2.76E − 07 ≤ 0, −5.000000 ≤ 0
x∗AIA-PSO  2.32925164, 1.95481519, −0.47307614, 4.35691576,
−0.62313420, 1.05236194, 1.59750978
3 680.633
gm x∗AIA-PSO   −4.26E − 06 ≤ 0, −252.612733 ≤ 0, −144.741194 ≤
0, −1.00E − 05 ≤ 0
x∗AIA-PSO  1, 1, 1, 1, 1, 1, 1, 1, 1, 3, 3, 3, 1
4 −15 gm x∗AIA-PSO   0 ≤ 0, 0 ≤ 0, 0 ≤ 0, −5 ≤ 0, −5 ≤ 0, −5 ≤ 0, 0 ≤ 0, 0 ≤
0, 0 ≤ 0

x∗AIA-PSO  1697.91645044, 53.78132825, 3031.07989059, 90.12651301,

94.99999995, 10.48103708, 153.53594861

5 1227.1598 gm x∗AIA-PSO   1.000000 ≤ 1, 0.980100 ≤ 1, 1.000002 ≤ 1, 0.980099 ≤
1, 0.990562 ≤ 1, 1.000001 ≤ 1, 1.000002 ≤ 1, 0.976715 ≤ 1, 1.000001 ≤
1, 0.459425 ≤ 1, 0.387515 ≤ 1, 0.981856 ≤ 1, 0.987245 ≤ 1, −8.302533 ≤
1
x∗AIA-PSO  6.44373647, 2.23335111, 0.68233303, 0.60026617,
5.93745119, 5.53146186, 1.01862958, 0.40673661
6 3.9516
gm x∗AIA-PSO   0.999999 ≤ 1, 0.999999 ≤ 1, 0.999994 ≤ 1, 0.999985 ≤
1
x∗AIA-PSO  8.13042985, 0.61758136, 0.56393603, 5.63618191
7 −5.7398
gm x∗AIA-PSO   0.999999 ≤ 1, 0.999998 ≤ 1
x∗AIA-PSO  88.35635930, 7.67202113, 1.31765768
8 −83.2497
gm x∗AIA-PSO   3.00E − 18 ≤ 1
x∗AIA-PSO  6.46393173, 0.67575021, 1.01188804, 5.94072071,
2.24639462, 0.60683404, 0.39677469, 5.52596342
9 −6.0467
gm x∗AIA-PSO   0.999980 ≤ 1, 0.999999 ≤ 1, 0.998739 ≤ 1, 0.999928 ≤
1
x∗AIA-PSO  108.97708780, 85.02248757, 204.45439729
10 6299.8395
gm x∗AIA-PSO   1.000003 ≤ 1
x∗AIA-PSO  78, 33, 29.99571251, 45, 36.77534593
11 10122.4852 gm x∗AIA-PSO   −0.309991 ≤ 1, 1.000001 ≤ 1, −0.021380 ≤
1, 0.621403 ≤ 1, 1.000001 ≤ 1, 0.681517 ≤ 1
x∗AIA-PSO  0.05164232, 0.35558085, 11.35742676
12 0.012667 gm x∗AIA-PSO   −8.83E − 05 ≤ 0, −3.04E − 05 ≤ 0, −4.050924 ≤
0, −0.728518 ≤ 0
x∗AIA-PSO  0.77816843, 0.38464909, 40.31961929, 199.99999330
13 5885.3310 gm x∗AIA-PSO   2.22E − 07 ≤ 0, 7.80E − 08 ≤ 0, −0.006015 ≤
0, −40.000007 ≤ 0
20 Mathematical Problems in Engineering

Table 5: The best parameter settings of the best solution obtained using the RGA-PSO algorithm from TPs
1–13.
TP number χ c1 c2 ρ pm,PSO
1 0.73759998 1.52939998 1.72753568 28709280994 0.3750
2 0.67057537 0.45010388 2 1000000000 0.2709
3 0.75493696 0.36925226 1.91198475 54900420223 0.3856
4 0.45438391 1.45998477 1.25508289 1000000000 0.1
5 1 0.77483233 2 1000000000 0.5
6 0.70600559 0.82360083 0.91946627 26622414511 0.1619
7 0.74584341 0.95474855 1.17537957 86557786169 0.1958
8 1 0.69725160 1.53028620 1000000000 0.1675
9 0.41638718 0.46594542 1.97807798 12976330236 0.3686
10 0.25378610 0.59619170 0.83891277 1000000000 0.1
11 0.48183123 2 2 1000000000 0.1
12 0.76190087 0.1 1.16855713 100000000000 0.5
13 0.71783704 1.39420750 1.33590124 29071187026 0.2098

Table 6: The best parameter settings of the best solution obtained using the AIA-PSO algorithm from TPs
1–13.
TP number χ c1 c2 ρ pm,PSO
1 0.44896780 0.71709211 1.93302154 72140307110 0.4058
2 1 1.36225259 1.97905466 182831007 0.5
3 0.46599492 0.90346435 1.89697456 69125199709 0.2613
4 0.98124982 0.27882671 0.87437226 85199047430 0.1
5 0.99082484 0.1 1.11371788 4231387044 0.5
6 0.82869043 0.88773247 2 1387448505 0.5
7 0.87571243 1.89936723 0.74306310 94752095153 0.2194
8 0.93583844 1.53906226 1.30374874 22520728225 0.1798
9 1 0.22556712 1.52263349 67578847151 0.4507
10 1 1.93003999 0.1 1351461763 0.5
11 1 1.51209364 1.63826995 1811017789 0.5
12 0.52068067 0.1 2 81914376144 0.1
13 0.82395890 1.60107152 0.93611204 17767111886 0.1813

GA-2 represents a GA with a penalty function, but without any penalty parameter, as used
by Deb 21. Also, GA-3 is an RGA with a static penalty function, as developed by Wu and
Chung 9. Notably, AIA-1 is an AIA method called CLONALG, as proposed by Cruz-Cortés
et al. 22. Finally, AIA-2 is an AIA approach based on an adaptive penalty function, as
developed by Wu 10. The numerical results of GA-1, GA-2, and AIA-1 methods for solving
TPs 1–4 were collected from the published literature 20–22. Furthermore, the GA-1, GA-2,
and AIA-1 approaches were executed under 350,000 objective function evaluations. To fairly
compare the performances of the proposed hybrid CI algorithms and the individual GA and
AIA approaches, the GA-3, AIA-2, the internal PSO algorithm of RGA-PSO method, and the
internal PSO algorithm of AIA-PSO method were independently executed 50 times under
350,000 objective function evaluations for solving TPs 1–4.
For solving TP 1, the median values obtained using the RGA-PSO and AIA-PSO
algorithms are smaller than those obtained using the GA-1, GA-3, and AIA-2 approaches, and
Mathematical Problems in Engineering 21

Table 7: Comparison of the results of the proposed RGA-PSO and AIA-PSO algorithms and those of the
published individual GA and AIA approaches for TPs 1–4.

TP Global
Methods Best Mean Median Worst MAPE%
number optimum
GA-1 20 24.690 — 29.258 36.060 —
GA-2 21 24.372 — 24.409 25.075 —
GA-3 9 24.935 27.314 27.194 33.160 12.377
1 24.306 AIA-1 22 24.506 25.417 — 26.422 —
AIA-2 10 24.377 24.669 24.663 24.988 1.495
The proposed
24.323 24.568 24.521 24.831 1.078
RGA-PSO
The proposed
24.358 24.579 24.564 24.809 1.125
AIA-PSO
GA-1 20 — — — — —
GA-2 21 — — — — —
GA-3 9 −30665.526 −30662.922 −30664.709 −30632.445 8.53E − 03
2 −30665.539 AIA-1 22 −30665.539 −30665.539 — −30665.539 —
AIA-2 10 −30665.539 −30665.526 −30665.527 −30665.506 4.20E − 05
The proposed
−30665.539 −30665.539 −30665.539 −30665.534 1.34E − 06
RGA-PSO
The proposed
−30665.539 −30665.539 −30665.539 −30665.539 9.95E − 07
AIA-PSO
GA-1 20 680.642 — 680.718 680.955 —
GA-2 21 680.634 — 680.642 680.651 —
GA-3 9 680.641 680.815 680.768 681.395 2.72E − 02
3 680.630 AIA-1 22 680.631 680.652 — 680.697 —
AIA-2 10 680.634 680.653 680.650 680.681 3.45E − 03
The proposed
680.632 680.640 680.639 680.658 1.46E − 03
RGA-PSO
The proposed
680.633 680.640 680.640 680.657 1.50E − 03
AIA-PSO
GA-1 20 −15 −15 −15 −15 —
GA-2 21 — — — — —
GA-3 9 −13.885 −12.331 −12.267 −10.467 17.795
4 −15 AIA-1 22 −14.987 −14.726 — −12.917 —
AIA-2 10 −14.998 −14.992 −14.992 −14.988 5.08E − 02
The proposed
−15 −15 −15 −15 1.27E − 06
RGA-PSO
The proposed
−15 −15 −15 −15 1.20E − 10
AIA-PSO
The “—” denotes unavailable information.

the worst values obtained using RGA-PSO and AIA-PSO algorithms are smaller than those
obtained using the GA-1, GA-2, GA-3, AIA-1, and AIA-2 approaches. For solving TP 2, the
median and worst values obtained using the RGA-PSO and AIA-PSO algorithms are smaller
than those obtained using the GA-3 method. For solving TP 3, the median and worst values
22 Mathematical Problems in Engineering

Table 8: Results of the t-test for TPs 1–4.

GA-3 versus GA-3 versus GA-3 versus AIA-2 versus AIA-2 versus RGA-PSO versus
TP number
AIA-2 RGA-PSO AIA-PSO RGA-PSO AIA-PSO AIA-PSO
1 0.000∗ 0.000∗ 0.000∗ 0.000∗ 0.001∗ 0.643
∗ ∗ ∗ ∗ ∗
2 0.003 0.003 0.003 0.000 0.000 0.478
∗ ∗ ∗ ∗ ∗
3 0.000 0.000 0.000 0.000 0.000 0.839
∗ ∗ ∗ ∗ ∗
4 0.000 0.000 0.000 0.000 0.000 0.294
∗
Represents that the mean values obtained using two algorithms are statistically different.

obtained using the RGA-PSO and AIA-PSO algorithms are smaller than those obtained using
the GA-1 and GA-3 approaches. For solving TP 4, the median and worst values obtained
using the RGA-PSO and AIA-PSO algorithms are smaller than those obtained using the GA-
3 method, and the worst values obtained using the RGA-PSO and AIA-PSO algorithms are
smaller than those obtained using the AIA-1 approach. Moreover, the GA-3 method obtained
the worst MAPE% for TP 1 and TP 4. Table 8 lists the results of the t-test for the GA-3,
AIA-2, RGA-PSO, and AIA-PSO methods. This table indicates that the mean values of the
RGA-PSO, and AIA-PSO algorithms are not statistically significant, since P values are larger
than a significant level 0.05, and the mean values between GA-3 versus AIA-2, GA-3 versus
RGA-PSO, GA-3 versus AIA-PSO, AIA-2 versus RGA-PSO, and AIA-2 versus AIA-PSO are
statistically significant. According to Tables 7 and 8, the mean values obtained using the RGA-
PSO and AIA-PSO algorithms are better than those of obtained using the GA-3 and AIA-1
methods for TPs 1–4.
Table 9 compares the numerical results obtained using the proposed RGA-PSO and
AIA-PSO algorithms and those obtained using AIA-2 and GA-3 for solving TPs 5–13.
The AIA-2, GA-3, the internal PSO algorithm of the RGA-PSO approach, and the internal
PSO algorithm of AIA-PSO approach were independently executed 50 times under 300,000
objective function evaluations. Table 9 shows that MAPE% obtained using the proposed
RGA-PSO and AIA-PSO algorithms is close to 1%, or smaller than 1% for TPs 5–11, indicating
that the proposed RGA-PSO and AIA-PSO algorithms can converge to global optimum for
TPs 5–11. Moreover, the worst values obtained using the RGA-PSO and AIA-PSO algorithms
are significantly smaller than those obtained using the GA-3 method for TPs 5, 6, 11, and
13. Additionally, the worst values obtained using the RGA-PSO and AIA-PSO algorithms are
smaller than those obtained using the AIA-2 method for TPs 5, 6, and 13.
Table 10 summarizes the results of the t-test for TPs 5–13. According to Tables 9 and 10,
the mean values of the RGA-PSO and AIA-PSO algorithms are smaller than those of the GA-3
approach for TPs 5, 6, 7, 8, 9, 10, 11, and 13. Moreover, the mean values obtained using the
RGA-PSO and AIA-PSO algorithms are smaller than those of the AIA-2 approach for TPs 6,
7, 8, 10, and 12. Totally, according to Tables 7−10, the performances of the hybrid CI methods
are superior to those of individual GA and AIA methods.
The TPs 12 and 13 have been solved by many hybrid algorithms. For instance,
Huang et al. 23 presented a coevolutionary differential evolution CDE that integrates
a coevolution mechanism and a DE approach. Zahara and Kao 24 developed a hybrid
Nelder-Mead simplex search method and a PSO algorithm NM-PSO. Table 11 compares
Table 9: Comparison of the numerical results of the proposed RGA-PSO and AIA-PSO algorithms and those of the published individual AIA and RGA for
TPs 5–13.
TP number Global optimum Methods Best Mean Median Worst MAPE%
AIA-2 10 1227.3191 1228.6097 1227.8216 1239.5205 1.15E − 01
GA-3 9 1228.5118 1279.3825 1263.2589 1481.3710 4.266
5 1227.1978
The proposed RGA-PSO 1227.2321 1228.8471 1228.3935 1231.6003 1.34E − 01
The proposed AIA-PSO 1227.1598 1228.1800 1227.9762 1229.6590 8.02E − 02
AIA-2 10 3.9518 4.1005 4.0460 4.2997 3.781
GA-3 9 3.9697 4.1440 4.1358 4.3743 4.881
6 3.9511
The proposed RGA-PSO 3.9521 3.9577 3.9566 3.9722 1.67E − 01
The proposed AIA-PSO 3.9516 3.9581 3.9569 3.9735 1.77E − 01
AIA-2 10 −5.7398 −5.7398 −5.7398 −5.7396 6.03E − 04
GA-3 9 −5.7398 −5.7375 −5.7383 −5.7316 3.98E − 02
7 −5.7398
The proposed RGA-PSO
Mathematical Problems in Engineering

−5.7398 −5.7398 −5.7398 −5.7398 2.54E − 04

The proposed AIA-PSO −5.7398 −5.7398 −5.7398 −5.7398 2.42E − 04
AIA-2 10 −83.2504 −83.2499 −83.2499 −83.2496 4.93E − 03
GA-3 9 −83.2497 −83.2490 −83.2494 −83.2461 6.06E − 03
8 −83.254
The proposed RGA-PSO −83.2497 −83.2497 −83.2497 −83.2497 5.13E − 03
The proposed AIA-PSO −83.2497 −83.2497 −83.2497 −83.2497 5.13E − 03
AIA-2 10 −6.0471 −5.9795 −6.0138 −5.7159 1.136
GA-3 9 −6.0417 −5.8602 −5.8772 −5.6815 3.108
9 −6.0482
The proposed RGA-PSO −6.0441 −5.9883 −5.9968 −5.8051 0.991
The proposed AIA-PSO −6.0466 −5.9808 −5.9969 −5.8274 1.082
AIA-2 10 6299.8232 6299.8388 6299.8403 6299.8494 2.56E − 03
GA-3 9 6299.8399 6299.8546 6299.8453 6299.9407 2.31E − 03
10 6300
The proposed RGA-PSO 6299.8374 6299.8412 6299.8419 6299.8428 2.52E − 03
The proposed AIA-PSO 6299.8395 6299.8420 6299.8423 6299.8425 2.51E − 03
AIA-2 10 10122.4343 10122.5014 10122.5023 10122.6271 1.93E − 03
GA-3 9 10122.4809 10125.2441 10123.9791 10155.1349 2.58E − 04
11 10122.6964
The proposed RGA-PSO 10122.4732 10122.4925 10122.4925 10122.6444 2.01E − 03
The proposed AIA-PSO 10122.4852 10122.4920 10122.4927 10122.4931 2.02E − 03
AIA-2 10 0.012665 0.012703 0.012719 0.012725 —
GA-3 9 0.012665 0.012739 0.012717 0.013471 —
12 —
The proposed RGA-PSO 0.012692 0.012724 0.012721 0.012784 —
The proposed AIA-PSO 0.012667 0.012715 0.012719 0.012778 —
23
 24

Table 9: Continued.
TP number Global optimum Methods Best Mean Median Worst MAPE%
AIA-2 10 5885.5312 5900.4860 5894.7929 6014.2198 —
GA-3 9 5885.3076 5943.4714 5897.2904 6289.7314 —
13 —
The proposed RGA-PSO 5885.3018 5895.0381 5885.3326 6005.4351 —
The proposed AIA-PSO 5885.3310 5886.5426 5885.3323 5906.7404 —
The “—” denotes unavailable information.
Mathematical Problems in Engineering
Mathematical Problems in Engineering 25

Table 10: Results of t-test for TPs 5–13.

GA-3 versus GA-3 versus GA-3 versus AIA-2 versus AIA-2 versus RGA-PSO
TP number
AIA-2 RGA-PSO AIA-PSO RGA-PSO AIA-PSO versus AIA-PSO
5 0.000∗ 0.000∗ 0.000∗ 0.485 0.163 0.002∗
6 0.112 0.000∗ 0.000∗ 0.000∗ 0.000∗ 0.682
7 0.000∗ 0.000∗ 0.000∗ 0.000∗ 0.000∗ 0.358
8 0.000∗ 0.000∗ 0.000∗ 0.000∗ 0.000∗ 0.291
∗ ∗ ∗
9 0.000 0.000 0.000 0.516 0.814 0.577
∗ ∗ ∗ ∗ ∗
10 0.000 0.000 0.000 0.009 0.001 0.001∗
11 0.000∗ 0.000∗ 0.000∗ 0.069 0.013∗ 0.884
∗ ∗ ∗
12 0.049 0.389 0.178 0.000 0.007 0.014∗
13 0.003∗ 0.001∗ 0.000∗ 0.240 0.000∗ 0.019∗
∗
Represents that the mean values obtained using two algorithms are statistically different.

Table 11: Comparison of the numerical results of the proposed RGA-PSO and AIA-PSO algorithms and
those of the published hybrid algorithms for TPs 12-13.

TP number Methods Best Mean Median Worst S.D.

CDE 23 0.0126702 0.012703 — 0.012790 2.7E − 05
NM-PSO 24 0.0126302 0.0126314 — 0.012633 8.73E − 07
12 The proposed
0.012692 0.012724 0.012721 0.012784 1.46E − 05
RGA-PSO
The proposed
0.012667 0.012715 0.012719 0.012778 2.00E − 05
AIA-PSO
CDE 23 6059.7340 6085.2303 — 6371.0455 43.01
NM-PSO 24 5930.3137 5946.7901 — 5960.0557 9.16
13 The proposed
5885.3018 5895.0381 5885.3326 6005.4351 24.33
RGA-PSO
The proposed
5885.3310 5886.5426 5885.3323 5906.7404 4.54
AIA-PSO

the numerical results of the CDE, NM-PSO, RGA-PSO, and AIA-PSO methods for solving TPs
12−13. The table indicates that the best, mean, and worst values obtained using the NM-PSO
method are superior to those obtained using the CDE, RGA-PSO, and AIA-PSO approaches
for TP 12. Moreover, the best, mean, and worst values obtained using the AIA-PSO algorithm
are better than those of the CDE, NM-PSO, and RGA-PSO algorithms.
According to the No Free Lunch theorem 35, if algorithm A outperforms algorithm
B on average for one class of problems, then the average performance of the former must
be worse than that of the latter over the remaining problems. Therefore, it is unlikely that
any unique stochastic global optimization approach exists that performs best for all CGO
problems.
26 Mathematical Problems in Engineering

4.3. Summary of Results

The proposed RGA-PSO and AIA-PSO algorithms with a penalty function method have the
following benefits.

1 Parameter manipulation of the internal PSO algorithm is based on the solved CGO
problems. Owing to their ability to efficiently solve an UGO problem, the external
RGA and AIA approaches are substituted for trial and error to manipulate the
parameters χ, c1 , c2 , ρ, and pm,PSO .

2 Besides obtaining the optimum parameter settings of the internal PSO algorithm,
the RGA-PSO and AIA-PSO algorithms can yield a global optimum for a CGO
problem.

3 In addition to performing better than approaches of some published individual GA

and AIA approaches, the proposed RGA-PSO and AIA-PSO algorithms reduce the
parametrization for the internal PSO algorithm, despite the RGA-PSO and AIA-
PSO algorithms being more complex than individual GA and AIA approaches.

The proposed RGA-PSO and AIA-PSO algorithms have the following limitations.

1 The proposed RGA-PSO and AIA-PSO algorithms increase the computational CPU
time, as shown in Table 2.

2 The proposed RGA-PSO and AIA-PSO algorithms are designed to solve CGO prob-
lems with continuous decision variables xn . Therefore, the proposed algorithms
cannot be applied to manufacturing problems such as job shop scheduling and
quadratic assignment problems combinatorial optimization problems.

5. Conclusions
This work presents novel RGA-PSO and AIA-PSO algorithms. The synergistic power of
the RGA with PSO algorithm and the AIA with PSO algorithm is also demonstrated by
using 13 CGO problems. Numerical results indicate that, in addition to converging to
a global minimum for each test CGO problem, the proposed RGA-PSO and AIA-PSO
algorithms obtain the optimum parameter settings of the internal PSO algorithm. Moreover,
the numerical results obtained using the RGA-PSO and AIA-PSO algorithms are superior to
those obtained using alternative stochastic global optimization methods such as individual
GA and AIA approaches. The RGA-PSO and AIA-PSO algorithms are highly promising
stochastic global optimization approaches for solving CGO problems.
Mathematical Problems in Engineering 27

Appendices
A. TP 1 [20, 21]
TP 1 has ten decision variables, eight inequality constraints, and 20 boundary conditions, as
follows:

Minimize fx  x12 x22 x1 x2 − 14x1 − 16x2 x3 − 102

4x4 − 52 x5 − 32 2x6 − 12

5x72 7x8 − 112 2x9 − 102 x10 − 72 45

Subject to g1 x ≡ −105 4x1 5x2 − 3x7 9x8 ≤ 0,

g2 x ≡ 10x1 − 8x2 − 17x7 2x8 ≤ 0,

g3 x ≡ −8x1 2x2 5x9 − 2x10 − 12 ≤ 0,

A.1
g4 x ≡ 3x1 − 22 4x2 − 32 2x32 − 7x4 − 120 ≤ 0,

g5 x ≡ 5x12 8x2 x3 − 62 − 2x4 − 40 ≤ 0,

g6 x ≡ x12 2x2 − 22 − 2x1 x2 14x5 − 6x6 ≤ 0,

g7 x ≡ 0.5x1 − 82 2x2 − 42 3x52 − x6 − 30 ≤ 0,

g8 x ≡ −3x1 6x2 12x9 − 82 − 7x10 ≤ 0,

− 10 ≤ xn ≤ 10, n  1, 2, . . . , 10.

The global solution to TP 1 is as follows:

x∗  2.171996, 2.363683, 8.773926, 5.095984, 0.9906548,

1.430574, 1.321644, 9.828726, 8.280092, 8.375927, A.2

fx∗   24.306.
28 Mathematical Problems in Engineering

B. TP 2 [21]
TP 2 involves five decision variables, six inequality constraints, and ten boundary conditions,
as follows:

Minimize fx  5.3578547x32 0.8356891x1 x5 37.293239x1 − 40792.141

Subject to g1 x ≡ −85.334407 − 0.0056858x2 x5 − 0.0006262x1 x4 0.0022053x3 x5 ≤ 0,

g2 x ≡ −6.665593 0.0056858x2 x5 0.0006262x1 x4 − 0.0022053x3 x5 ≤ 0,

g3 x ≡ 9.48751 − 0.0071371x2 x5 − 0.0029955x1 x2 − 0.0021813x32 ≤ 0,

g4 x ≡ −29.48751 0.0071371x2 x5 0.0029955x1 x2 0.0021813x32 ≤ 0,

g5 x ≡ 10.669039 − 0.0047026x3 x5 − 0.0012547x1 x3 − 0.0019085x3 x4 ≤ 0,

g6 x ≡ −15.699039 0.0047026x3 x5 0.0012547x1 x3 0.0019085x3 x4 ≤ 0,

78 ≤ x1 ≤ 102, 33 ≤ x2 ≤ 45, 27 ≤ xn ≤ 45, n  3, 4, 5.

B.1

The global solution to TP 2 is

x∗  78.0, 33.0, 29.995256, 45.0, 36.775812,

B.2
fx∗   −30665.539.

C. TP 3 [20, 21]
TP 3 has seven decision variables, four inequality constraints, and 14 boundary conditions,
as follows:

Minimize fx  x1 − 102 5x2 − 122 x34 3x4 − 112 10x56

7x62 x74 − 4x6 x7 − 10x6 − 8x7

Subject to g1 x ≡ −127 2x12 3x24 x3 4x42 5x5 ≤ 0,

g2 x ≡ −282 7x1 3x2 10x32 x4 − x5 ≤ 0, C.1

g3 x ≡ −196 23x1 x22 6x62 − 8x7 ≤ 0,

g4 x ≡ 4x12 x22 − 3x1 x2 2x32 5x6 − 11x7 ≤ 0,

− 10 ≤ xn ≤ 10, n  1, 2, . . . , 7.
Mathematical Problems in Engineering 29

The global solution to TP 3 is

x∗  2.330499, 1.951372, −0.4775414, 4.365726, −0.6244870, 1.038131, 1.594227,

C.2
fx∗   680.630.

D. TP 4 [20, 21]
TP 4 involves 13 decision variables, nine inequality constraints, and 26 boundary conditions,
as follows:

4 4 13
Minimize fx  5 xn − 5 xn2 − xn
n1 n1 n5

Subject to g1 x ≡ 2x1 2x2 x10 x11 − 10 ≤ 0,

g2 x ≡ 2x1 2x3 x10 x12 − 10 ≤ 0,

g3 x ≡ 2x2 2x3 x11 x12 − 10 ≤ 0,

g4 x ≡ −8x1 x10 ≤ 0,

g5 x ≡ −8x2 x11 ≤ 0,

D.1
g6 x ≡ −8x3 x12 ≤ 0,

g7 x ≡ −2x4 − x5 x10 ≤ 0,

g8 x ≡ −2x6 − x7 x11 ≤ 0,

g9 x ≡ −2x8 − x9 x12 ≤ 0,

0 ≤ xn ≤ 1, n  1, 2, . . . , 9,

0 ≤ xn ≤ 100, n  10, 11, 12,

0 ≤ x13 ≤ 1.

The global solution to TP 4 is

x∗  1, 1, 1, 1, 1, 1, 1, 1, 1, 3, 3, 3, 1, fx∗   −15. D.2

E. TP 5 (Alkylation Process Design Problem

in Chemical Engineering) [1]
TP 5 has seven decision variables subject to 12 nonconvex, two linear, and 14 boundary
constraints. The objective function is to improve the octane number of some olefin feed
30 Mathematical Problems in Engineering

by reacting it with isobutane in the presence of acid. The decision variables xn are olefin
feed rate barrels/day x1 , acid addition rate thousands of pounds/day x2 , alkylate yield
barrels/day x3 , acid strength x4 , motor octane number x5 , external isobutane-to-olefin
ration x6 , and F-4 performance number x7 :

Minimize fx  ω1 x1 ω2 x1 x6 ω3 x3 ω4 x2 ω5 − ω6 x3 x5 

s.t. g1 x  ω7 x62 ω8 x1−1 x3 − ω9 x6 ≤ 1,

g2 x  ω10 x1 x3−1 ω11 x1 x3−1 x6 − ω12 x1 x3−1 x62 ≤ 1,

g3 x  ω13 x62 ω14 x5 − ω15 x4 − ω16 x6 ≤ 1,

g4 x  ω17 x5−1 ω18 x5−1 x6 ω19 x4 x5−1 − ω20 x5−1 x62 ≤ 1,

g5 x  ω21 x7 ω22 x2 x3−1 x4−1 − ω23 x2 x3−1 ≤ 1,

g6 x  ω24 x7−1 ω25 x2 x3−1 x7−1 − ω26 x2 x3−1 x4−1 x7−1 ≤ 1,

g7 x  ω27 x5−1 ω28 x5−1 x7 ≤ 1,

g8 x  ω29 x5 − ω30 x7 ≤ 1, E.1

g9 x  ω31 x3 − ω32 x1 ≤ 1,

g10 x  ω33 x1 x3−1 ω34 x3−1 ≤ 1,

g11 x  ω35 x2 x3−1 x4−1 − ω36 x2 x3−1 ≤ 1,

g12 x  ω37 x4 ω38 x2−1 x3 x4 ≤ 1,

g13 x  ω39 x1 x6 ω40 x1 − ω41 x3 ≤ 1,

g14 x  ω42 x1−1 x3 ω43 x1−1 − ω44 x6 ≤ 1,

1500 ≤ x1 ≤ 2000, 1 ≤ x2 ≤ 120, 3000 ≤ x3 ≤ 3500,

85 ≤ x4 ≤ 93, 90 ≤ x5 ≤ 95, 3 ≤ x6 ≤ 12, 145 ≤ x7 ≤ 162,

where ωl l  1, 2, . . . , 44 denotes positive parameters given in Table 12. The global solution
to TP 5 is

x∗  1698.18, 53.66, 3031.30, 90.11, 10.50, 153.53, fx∗   1227.1978. E.2

Mathematical Problems in Engineering 31

Table 12: Coefficients for TP 5.

l ωl l ωl l ωl
1 1.715 16 0.19120592E − 1 31 0.00061000
2 0.035 17 0.56850750E 2 32 0.0005
3 4.0565 18 1.08702000 33 0.81967200
4 10.000 19 0.32175000 34 0.81967200
5 3000.0 20 0.03762000 35 24500.0
6 0.063 21 0.00619800 36 250.0
7 0.59553571E − 2 22 0.24623121E 4 37 0.10204082E − 1
8 0.88392857 23 0.25125634E 2 38 0.12244898E − 4
9 0.11756250 24 0.16118996E 3 39 0.00006250
10 1.10880000 25 5000.0 40 0.00006250
11 0.13035330 26 0.48951000E 6 41 0.00007625
12 0.00660330 27 0.44333333E 2 42 1.22
13 0.66173269E − 3 28 0.33000000 43 1.0
14 0.17239878E − 1 29 0.02255600 44 1.0
15 0.56595559E − 2 30 0.00759500

F. TP 6 (Optimal Reactor Design Problem) [1]

TP 6 contains eight decision variables subject to four nonconvex inequality constraints and
16 boundary conditions, as follows:

 
Minimize fx  0.4x10.67 x7−0.67 0.4x20.67 x8−0.67 10 − x1 − x2

s.t. g1 x  0.0588x5 x7 0.1x1 ≤ 1,

g2 x  0.0588x6 x8 0.1x1 0.1x2 ≤ 1,

g3 x  4x3 x5−1 2x3−0.71 x5−1 0.0588x3−1.3 x7 ≤ 1.

g4 x  4x4 x6−1 2x4−0.71 x6−1 0.0588x4−1.3 x8 ≤ 1, 0.1 ≤ xn ≤ 10, n  1, 2, . . . , 8.

F.1

The global solution to TP 6 is

x∗  6.4747, 2.2340, 0.6671, 0.5957, 5.9310, 5.5271, 1.0108, 0.4004, fx∗   3.9511. F.2
32 Mathematical Problems in Engineering

G. TP 7 [1]
TP 7 has four decision variables, two nonconvex inequality constraints, and eight boundary
conditions, as follows:

 
Minimize fx  −x1 0.4x10.67 x3−0.67

s.t. g1 x  0.05882x3 x4 0.1x1 ≤ 1 G.1

g2 x  4x2 x4−1 2x2−0.71 x4−1 0.05882x2−1.3 x3 ≤ 1, 0.1 ≤ x1 , x2 , x3 , x4 ≤ 10.

The global solution to TP 7 is

x∗  8.1267, 0.6154, 0.5650, 5.6368, fx∗   −5.7398. G.2

H. TP 8 [1]
TP 8 contains three decision variables subject to one nonconvex inequality constraint and six
boundary conditions, as follows:

 
Minimize fx  0.5x1 x2−1 − x1 − 5x2−1
H.1
s.t. g1 x  0.01x2 x3−1 0.01x1 0.0005x1 x3 ≤ 1, 1 ≤ xn ≤ 100, n  1, 2, 3.

The global solution to TP 8 is

x∗  88.2890, 7.7737, 1.3120, fx∗   −83.2540. H.2

I. TP 9 [1]
TP 9 contains eight decision variables subject to four nonconvex inequality constraints and
16 boundary conditions, as follows:

 
Minimize fx  −x1 − x5 0.4x10.67 x3−0.67 0.4x50.67 x7−0.67

s.t. g1 x  0.05882x3 x4 0.1x1 ≤ 1,

g2 x  0.05882x7 x8 0.1x1 0.1x5 ≤ 1,

g3 x  4x2 x4−1 2x2−0.71 x4−1 0.05882x2−1.3 x3 ≤ 1,

g4 x  4x6 x8−1 2x6−0.71 x8−1 0.05882x6−1.3 x7 ≤ 1, 0.01 ≤ xn ≤ 10, n  1, 2, . . . , 8.

I.1
Mathematical Problems in Engineering 33

The global solution to TP 9 is

x∗  6.4225, 0.6686, 1.0239, 5.9399, 2.2673, 0.5960, 0.4029, 5.5288, fx∗   −6.0482. I.2

J. TP 10 [34]
TP 10 contains three decision variables subject to one nonconvex inequality constraint and
six boundary conditions, as follows:
 
Minimize fx  5x1 50000x1−1 20x2 72000x2−1 10x3 144000x3−1
J.1
s.t. g1 x  4x1−1 32x2−1 120x3−1 ≤ 1, 1 ≤ xn ≤ 1000, n  1, 2, 3.

The global solution to TP 10 is

x∗  107.4, 84.9, 204.5, fx∗   6300. J.2

K. TP 11 [1, 34]
TP 11 involves five decision variables, six inequality constraints, and ten boundary condi-
tions, as follows:
 
Minimize g0 x  5.3578x32 0.8357x1 x5 37.2392x1

s.t. g1 x  0.00002584x3 x5 − 0.00006663x2 x5 − 0.0000734x1 x4 ≤ 1,

g2 x  0.000853007x2 x5 0.00009395x1 x4 − 0.00033085x3 x5 ≤ 1,

g4 x  0.00024186x2 x5 0.00010159x1 x2 0.00007379x32 ≤ 1,

g3 x  1330.3294x2−1 x5−1 − 0.42x1 x5−1 − 0.30586x2−1 x32 x5−1 ≤ 1,

g5 x  2275.1327x3−1 x5−1 − 0.2668x1 x5−1 − 0.40584x4 x5−1 ≤ 1,

g6 x  0.00029955x3 x5 0.00007992x1 x3 0.00012157x3 x4 ≤ 1,

78 ≤ x1 ≤ 102, 33 ≤ x2 ≤ 45, 27 ≤ x3 ≤ 45, 27 ≤ x4 ≤ 45, 27 ≤ x5 ≤ 45.

K.1

The global solution to TP 11 is

x∗  78.0, 33.0, 29.998, 45.0, 36.7673, fx∗   10122.6964. K.2

L. TP 12 (a Tension/Compression String Design Problem) [23]

TP 12 involves three decision variables, six inequality constraints, and six boundary
conditions. This problem is taken from Huang et al. 23. This problem attempts to minimize
34 Mathematical Problems in Engineering

the weight i.e., fx of a tension/compression spring subject to constraints on minimum

deflection, shear stress, and surge frequency. The design variables are the mean coil diameter
x2 , wire diameter x1 , and number of active coils x3 :

Minimize fx  x3 2x2 x12

x23 x3
s.t. g1 x  1 − ≤ 0,
71785x14

4x22 − x1 x2 1
g2 x    − 1 ≤ 0, L.1
12566 x2 x13 − x14 5108x12
140.45x1
g3 x  1 − ≤ 0,
x22 x3
x1 x2
g4 x  − 1 ≤ 0, 0.05 ≤ x1 ≤ 2, 0.25 ≤ x2 ≤ 1.3, 2 ≤ x3 ≤ 15.
1.5

M. TP 13 (Pressure Vessel Design Problem) [23]

TP 13 involves four decision variables, four inequality constraints, and eight boundary con-
ditions. This problem attempts to minimize the total cost fx, including cost of materials
forming and welding. A cylindrical vessel is capped at both ends by hemispherical heads.
Four design variables exist: thickness of the shell x1 , thickness of the head x2 , inner radius x3 ,
and length of the cylindrical section of the vessel, excluding the head x4 :

Minimize fx  0.6224x1 x3 x4 1.7781x2 x32 3.1661x12 x4 19.84x12 x3

s.t. g1 x  −x1 0.0193x3 ≤ 0,

g2 x  −x2 0.00954x3 ≤ 0,

4
g3 x  −πx23 x4 − πx33 1296000 ≤ 0,
3
g4 x  x4 − 240 ≤ 0, 0 ≤ x1 ≤ 100, 0 ≤ x2 ≤ 100, 10 ≤ x3 ≤ 200, 10 ≤ x3 ≤ 200.
M.1

Acknowledgment
The author would like to thank the National Science Council of the Republic of China,
Taiwan, for financially supporting this research under Contract no. NSC 100-2622-E-262-006-
CC3.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 726564, 17 pages
doi:10.1155/2012/726564

Research Article
A Hybrid Algorithm Based on ACO and PSO for
Capacitated Vehicle Routing Problems

Yucheng Kao, Ming-Hsien Chen, and Yi-Ting Huang

Department of Information Management, Tatung University, 40 Chungshan N. Road, Sec. 3,
Taipei 104, Taiwan

Correspondence should be addressed to Yucheng Kao, [email protected]

Received 24 February 2012; Revised 5 May 2012; Accepted 8 May 2012

Academic Editor: Jung-Fa Tsai

Copyright q 2012 Yucheng Kao et al. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

The vehicle routing problem VRP is a well-known combinatorial optimization problem. It has
been studied for several decades because finding effective vehicle routes is an important issue of
logistic management. This paper proposes a new hybrid algorithm based on two main swarm
intelligence SI approaches, ant colony optimization ACO and particle swarm optimization
PSO, for solving capacitated vehicle routing problems CVRPs. In the proposed algorithm, each
artificial ant, like a particle in PSO, is allowed to memorize the best solution ever found. After
solution construction, only elite ants can update pheromone according to their own best-so-far
solutions. Moreover, a pheromone disturbance method is embedded into the ACO framework to
overcome the problem of pheromone stagnation. Two sets of benchmark problems were selected to
test the performance of the proposed algorithm. The computational results show that the proposed
algorithm performs well in comparison with existing swarm intelligence approaches.

1. Introduction
The vehicle routing problem VRP is a well-known combinatorial optimization problem in
which the computational complexity is NP-hard. The capacitated vehicle routing problem
is one of the variants of VRPs. The objective of CVRPs is to minimize the total traveling
distance of vehicles which serve a set of customers. The following constraints are considered
in a typical CVRP: each route is a tour which starts from a depot, visits a subset of the
customers, and ends at the same depot; each customer must be assigned to exactly one of
the vehicles; each customer has its own demand and the total demand of customers assigned
to a vehicle must not exceed the vehicle capacity. In the past decades, researchers proposed
different strategies to solve the CVRP. One of them is to cluster customers into different routes
and then to arrange the visiting sequence for each route. The objective function value will
2 Mathematical Problems in Engineering

be apparently influenced by the results of customer clustering and sequencing. For more
detailed descriptions of vehicle routing problems, the reader may refer to the articles by
Laporte 1, Osman 2, and Cordeau et al. 3.
Because the CVRP is an NP-hard problem 4, the optimal solution of a large-size
instance cannot be found within a reasonable time. To overcome this difficulty, many classical
heuristic methods and metaheuristic methods are proposed in the past five decades. Some
metaheuristic algorithms can provide competitive solutions to the CVRP, such as Simulated
Annealing SA, Tabu Search TS, and Genetic Algorithm GA. Metaheuristic algorithms
have some advantages, for example, the abilities to escape from local optima through
stochastic search, to speed convergence using solution replacement, to guide the search
direction with the elitist strategy, and so on. The following paragraph gives a brief review
of some articles which use these metaheuristic algorithms to solve CVRPs.
Barbarosoglu and Ozgur 5 designed a TS-based algorithm using a new neighbor-
hood generation procedure for the single-depot vehicle routing problems. The neighbors
are defined by using two procedures: the first one ignores the scattering patterns of
customer locations, and the second one considers the underlying clustering of customer
locations. Baker and Ayechew 6 put forward a hybrid of GA algorithms with neighborhood
search methods. The pure GA has three specific processes: initialization, reproduction, and
replacement. The neighborhood search methods are used to accelerate the convergence
of GA. Computational results showed that this approach is competitive with published
results obtained using TS and SA. Lin et al. 7 proposed a hybrid algorithm which takes
the advantages of SA and TS. In their paper, SA is used to adjust the probability of
accepting worse solutions according to the extent of solution improvement and the annealing
temperature, while TS is embedded in the framework of SA to avoid cycling to some extent
while searching for neighborhood.
In the recent ten years, swarm intelligence, a new category of metaheuristics, has
emerged and attracted researchers’ attention. Swarm intelligence mimics the social behavior
of natural insects or animals to solve complex problems. Some commonly used swarm
intelligence algorithms for the solution of the CVRP include ant colony optimization ACO,
particle swarm optimization PSO and artificial bee colony 8.
ACO is a population-based swarm intelligence algorithm and was proposed by Dorigo
and Gambardella 9. This algorithm has been inspired by the foraging behavior of real ant
colonies and originally designed for the traveling salesman problem TSP. The artificial
ants use pheromone laid on trails as an indirect communication medium to guide them
to construct complete solution routes step by step. More pheromone deposits on better
routes attract more ants for later search. This effect is called dynamic positive feedback and
helps speed convergence of ACO. Recently, some researchers have studied vehicle routing
problems using ACO algorithms. Applying ACO to the CVRP is quite natural, since we can
view ant nests as depots, artificial ants as vehicles, foods as customers, and trails as routes.
Some of the relevant papers are briefly reviewed as follows.
Bell and McMullen 10 made modifications of the ACO algorithm in order to solve
the vehicle routing problem. They used multiple ant colonies to search vehicle routes.
Each vehicle route is marked with unique pheromone deposits by an ant colony, but the
communication among ant colonies is limited. Later, Liu and Cai 11 proposed a new
multiple ant colonies technique, which allows ant colonies to communicate with each other
in order to escape from local optima. Chen and Ting 12 developed an improved ant colony
system algorithm, in which pheromone trails will be reset to initial values for restarting
the search if the solution is not improved after a given number of iterations. Zhang and
Mathematical Problems in Engineering 3

Tang 13 hybridized the solution construction mechanism of ACO with scatter search SS.
The algorithm stores better solutions in a reference set. Some new solutions are generated
by combining solutions selected from the reference set, and some are produced by using
the conventional ACO method. Yu et al. 14 also developed an improved ant colony
optimization for vehicle routing problems. Their algorithm uses the ant-weight strategy to
update pheromone in terms of solution quality and the contribution of each edge to the
solution. Lee et al. 15 proposed an enhanced ACO algorithm for the CVRP. Their algorithm
adopts the concept of information gain to measure the variation of pheromone concentrations
and hence to dynamically adjust the value of heuristic parameter β which determines the
importance of heuristic value η at different iterations.
PSO is also a population-based swarm intelligence algorithm and was originally
proposed by Kennedy and Eberhart 16. PSO is inspired by social behavior of bird flocking.
It has been shown that PSO can solve continuous optimization problems very well. In the
PSO, solution particles try to move to better locations in the solution space. The movements
of particles are guided by the individuals’ and the swarm’s best positions. PSO can converge
very fast due to its two unique mechanisms: memorizing personal best experiences Pbest 
and information sharing of global best experiences Gbest . Note that the Gbest solution of the
particle swarm is equal to the Pbest solution of the best particle. In 1998, Shi and Eberhart 17
enhanced PSO by adding the concept of inertia weight, which becomes the standard version
of PSO.
PSO being originally developed for continuous optimization problems, a special
solution representation or solution conversion should be designed first in order to solve
CVRPs. Chen et al. 18 first proposed a PSO-based algorithm to solve the CVRP. In
their approach, each iteration has two main steps: customers are first clustered by using
a discrete PSO algorithm DSPO and then sequenced by applying a SA algorithm. Due
to its long solution strings, their approach takes much computational time in solving large
scale problems. To improve Chen et al.’s work, Kao and Chen 19 addressed a new
solution representation and solved the CVRP with a combinatorial PSO algorithm. Ai and
Kachitvichyanukul 20 presented two solution representations for solving CVRPs. For
example, in their second solution representation SR-2, each vehicle is represented in three
dimensions, with two for the reference point and one for the vehicle coverage radius. SR-
2 employs these points and radius to construct vehicle routes. The particle solutions are
adjusted by using a continuous PSO. Marinakis et al. 21 proposed a hybrid PSO algorithm
to tackle large-scale vehicle routing problems. Their proposed algorithm combines a PSO
algorithm with three heuristic methods, with the first for particle initialization, the second
for solution replacement, and the third for local search.
This study proposes a new hybrid algorithm for the capacitated vehicle routing
problem, which is based on the framework of ACO and is hybridized with the merits of PSO.
The reasons why ACO and PSO, rather than SA, TS, and GA, are adopted in the proposed
algorithm are given as follows. First, SA and TS perform the so-called single-starting-point
search and thus their performance relies highly on a good initial solution. However, GA,
ACO, and PSO are all population-based algorithms and can start the search from multiple
points. Their initial solutions have little influence on their performance. Thus, we consider
adopting the population-based algorithms to solve CVRPs. Second, ACO and PSO have
memory that enables the algorithms to retain knowledge of good solutions, while the genetic
operators of GA may destroy previously learned knowledge when producing the offspring.
In view of these two considerations, we select ACO and PSO as the solution approach for this
paper.
4 Mathematical Problems in Engineering

In the past, most relevant papers adopted either ACO 10–15 or PSO 18–21 alone
without trying to use both in combination for solving CVRPs. In this paper, we try to
integrate ACO with PSO to develop a new hybrid approach which can take advantage of
both algorithms. That is, the proposed algorithm uses the solution construction approach of
ACO to cluster customers and build routes at the same time and use the short-term memory
inspired by PSO to speed convergence through laying pheromone on the routes of Gbest and
Pbest solutions.
Like most ACO-based algorithms, the proposed hybrid algorithm also faces the
limitation of pheromone stagnation, which results in premature convergence. To solve this
problem, Shuang et al. 22 employed the mechanism of PSO to modify the pheromone
updating rules of ACO. Their proposed algorithm is called PS-ACO and is used to solve
traveling salesman problems TSPs. PS-ACO can improve the performance of ACO to some
extent, but it may still be trapped in local optima due to the overaccumulation of pheromone
on some edges when solving more complicated problems like CVRPs. To attain a high degree
of search accuracy, this paper proposes a pheromone disturbance approach to overcome the
problem of pheromone stagnation. The remainder of this paper is organized as follows.
Section 2 defines the mathematical formulation of the CVRP. The proposed methodology
is described in Section 3. Section 4 presents computational results. Finally, conclusions are
drawn in the last section.

2. Mathematical Model of CVRP

This section gives a typical mathematical formulation of the CVRP, including notations,
objective function, and constraint equations.

Notations. 0: index of depots;

N: total number of customers;

K: total number of vehicles;

Cij : cost incurred when traveling from customer i to customer j;

Si : service time needed for customer i, S0  0;

Q: maximum loading capacity of a vehicle;

T : maximum traveling distance of a vehicle;

di : demand of customer i, d0  0;

Xijk : 0-1 variable, where Xijk  1 if the edge from customer i to customer j is traveled by
vehicle k; otherwise, Xijk  0. Note that i /
 j;

p: penalty coefficient;

R: set of customers served by a vehicle, and |R| is the cardinality of R.

Mathematical Problems in Engineering 5

Objective function


N 
N 
K
Minimize Cij Xijk , 2.1
i0 j0 k1


K 
N
subject to Xijk  1, j  1, 2, . . . , N, 2.2
k1 i0


K 
N
Xijk  1, i  1, 2, . . . , N, 2.3
k1 j0


N 
N
k
Xiu − k
Xuj  0, k  1, 2, . . . , K; u  1, 2, . . . , N, 2.4
i0 j0


N 
N
Xijk di ≤ Q, k  1, 2, . . . , K, 2.5
i0 j0


N 
N
 
Xijk Cij Si ≤ T, k  1, 2, . . . , K, 2.6
i0 j0


N 
N
Xijk  Xjik ≤ 1, i  0; k  1, 2, . . . , K, 2.7
j1 j1


Xijk ≤ |R| − 1, R ⊆ {1, . . . , N}, 2 ≤ |R| ≤ N − 1; k  1, 2, . . . , K, 2.8
i,j∈R

Xijk ∈ {0, 1}, i, j  0, 1, . . . , N; k  1, 2, . . . , K. 2.9

Equation 2.1 is the objective function of the CVRP. Equations 2.2 and 2.3 ensure
that each customer can be served by only one vehicle. Equation 2.4 maintains the continuity
at each node for every vehicle. Equation 2.5 ensures that the total customer demand of
a vehicle cannot exceed its maximum capacity. Similarly, 2.6 ensures that the total route
distance of a vehicle cannot exceed its route length limit. Equation 2.7 makes sure that
every vehicle can be used at most once and must start and end at the depot. The subtour
elimination constraints are given in 2.8. Equation 2.9 is the integrality constraint.

3. PACO Algorithm
This section describes the proposed solution algorithm to the capacitated vehicle routing
problem. The algorithm, called PACO, hybridizes the solution construction mechanism of
6 Mathematical Problems in Engineering

ACO and the short-term memory mechanism of PSO to find optimal or near optimal vehicle
routes.

3.1. Basic Idea

The PACO algorithm incorporates the merits of PSO into the ACO algorithm. One of the
advantages of applying ACO to the CVRP is that ACO can cluster customers and build
routes at the same time. However, laying pheromone long-term memory on trails as
ant communication medium is time consuming. The merit of PSO is that it can speed
convergence through memorizing personal and global best solutions to guide the search
direction. Inspired by the merit of PSO, the PACO algorithm allows artificial ants to memorize
their own best solution so far and to share the information of swarm best solution. Hence
PACO can speed convergence through intensifying pheromone on routes of Gbest and Pbest
solutions.
To avoid falling into local optima, our approach employs elitist strategy, pheromone
disturbance, and short-term memory resetting to resolve pheromone stagnation. After ants
complete solution construction, the first r iteration-best ants are allowed to perform local
search to improve their current solutions. After that, all ants update their Pbest solutions and
Gbest solution. The ants with better Pbest solutions are called elite ants. Pheromone updating
is conducted by these elite ants only. Elite ants lay pheromone on their Pbest solution routes
in a distributed way. The elitist strategy updates the pheromone in terms of solution quality
and attracts ants searching for solutions around distributed Pbest solution paths.
When the Gbest solution is not improved within a given number of iterations, PACO
will carry out pheromone disturbance to change pheromone trails randomly in order to find
new solutions. Pheromone disturbance can prevent the paths of the Pbest solution of elite ants
from becoming too dominant. After pheromone disturbance, the paths of the Pbest solution of
elite ants may become dominant again because they can still evoke memories of current Pbest
solutions which determine the way of laying pheromone. To avoid that, the algorithm should
allow ants to reset their Pbest solutions. It means that the ants will discard their current Gbest
and Pbest solutions and find new ones in the following iteration according to the disturbed
pheromone trails. The algorithm allows any ant, not limited to elite ants, to change their Pbest
solutions if and only if its Pbest solution is very similar to the Gbest solution.

3.2. Solution Representation

For solving the CVRP, each artificial ant represents a candidate solution. A solution is
represented with the route representation of all vehicle tours. Let 0 denote the depot and
positive integers from 1 to N represent the customers. Suppose that the total number of
vehicles is K. The solution code is a permutation of 1 to N and K − 1 zeros. Zeros divide a
solution code into K segments, with each of them representing a vehicle route. For example,
a solution code 1, 2, 3, 0, 4, 5, 6, 0, 7, 8, 9 means that customers 1, 2, 3 are serviced by vehicle
1; customer 4, 5, 6 by vehicle 2; customers 7, 8, 9 by vehicle 3. Thus, the length of a solution
string is N K − 1. It is clear that this solution representation scheme can fully meet the
constraints defined in 2.2–2.4.
The goodness of a solution is evaluated by using the objective function 2.1. Here, we
modify the objective function in order to handle the infeasible solutions violating capacity
Mathematical Problems in Engineering 7

and length constraints see 2.5 and 2.6. Two penalty functions are added to the original
objective function, as defined in 3.1, one for excess vehicle capacity and the other for
excess route length. These penalty functions increase the objective function value of infeasible
solutions so as to prefer feasible solution to be selected as elite ants which are allowed to
perform local search and to update pheromone on their routes see Sections 3.5 and 3.6.

⎡ ⎧ ⎫ ⎧ ⎫⎤
N  N  K K ⎨  N N ⎬ ⎨  N N
  ⎬
Minimize f  Cij Xijk p ⎣max 0, Xijk di −Q max 0, Xijk Cij Si − T ⎦.
i0 j0 k1 k1
⎩ i0 j0 ⎭ ⎩ i0 j0 ⎭
3.1

3.3. Main Steps

The main steps of PACO are solution construction, local search, Gbest and Pbest updating,
pheromone updating, and pheromone disturbance. Suppose there are m ants starting from
the depot. Each ant selects customers to construct a solution route by applying the state
transition rules of ACO. When all ants finish solution construction, the top r best ants
perform local search to improve their solutions. Then, ants update their short-term memory:
Gbest solution and individual Pbest solutions. After that, PACO updates the pheromone trails
according to the Gbest solution and the Pbest solutions of elite ants. When the Gbest is not
improved over w consecutive iterations, PACO performs pheromone disturbance to modify
current pheromone trails. PACO also resets the Pbest solutions of some ants in order to prevent
them from laying pheromone on the same routes again. The flowchart of the PACO algorithm
is shown in Figure 1 and described briefly as follows.

Step 1 Initialization. Initialize all parameters.

Step 2 Solution construction. Let m ants construct solution routes.

Step 3 Local search. The top r best ants perform local search.

Step 4. Update the Gbest and Pbest solutions of ants and select r elite ants.

Step 5. If Gbest is not improved within w successive iterations, go to Step 6; otherwise, go to

Step 7.

Step 6 Pheromone disturbance. Randomly disturb the pheromone matrix, reset the Pbest
solutions for some ants, and go to Step 8.

Step 7 Pheromone updating. Update the pheromone matrix based on the Pbest solutions of
elite ants.

Step 8. If iteration number reaches the maximum number of iterations MaxIte, go to Step 9;
otherwise, go to Step 2 for the next iteration.

Step 9. Output Gbest , the best solution ever found.

8 Mathematical Problems in Engineering

Begin

Initialization

Solution construction

Local search

Gbest and Pbest updating

fGbest (t + 1) < No
fGbest (t)?

NG = NG + 1
Yes
NG = 0
No
NG = w ?

Yes

Pheromone Pheromone
updating disturbance

Pbest
resetting

No Reach
NG = 0
maxIter?

Yes
Output G best

End

Figure 1: Flowchart of PACO.

3.4. Solution Construction

PACO can cluster customers into K vehicles and arrange vehicle visiting sequences at the
same time. At each of the iterations, m ants construct individual solutions independently.
Each solution contains K vehicle routes. Each ant starts from the depot, selects customers
for the first vehicle, moves back to the depot before the capacity or distance limit is violated,
then restarts from the depot and selects customers for the second vehicle. The procedure is
repeated until all customers are selected and their sequences are arranged in used vehicles.
It is possible that the last vehicle will serve all of the remaining customers even if it violates
the capacity or distance limit. The procedure of ant solution construction ensures that the
constraints defined in 2.7 and 2.8 can be satisfied.
Mathematical Problems in Engineering 9

The customer selection follows the state transition rule defined in 3.2. Suppose ant s
is moving from customer i to the next customer, v:

⎧     
⎨arg max τij α ηij β q ≤ q0 ,
v j∈Us 3.2
⎩V q > q0 ,
 α  β
τij ηij
V : Pij    α  β , 3.3
j∈Us τij ηij

where Us is the set of customers that remain to be selected by ant s positioned on customer i,
τij is the pheromone trail on edge i, j, ηij is the inverse of the distance of edge i, j, α and β
are parameters which determine the relative importance of pheromone versus distance, q is
a random number uniformly distributed in the interval of 0 and 1, q0 is a parameter ranged
between 0 and 1, and Pij is the probability that ant s moves from customer i to customer j.
If q ≤ q0 , then ant s uses the greedy method 3.2 to select the next customer; otherwise, it
uses the probabilistic rule 3.3 to determine the next customer. If vehicle k is full or reaches
its distance limit, ant s has to go back to the depot and restarts from the depot to load the
next vehicle. However, if vehicle k is the last vehicle of ant s, then it has to serve all of the
remaining customers, even if the capacity or distance limit is violated.

3.5. Local Search

After all ants complete route construction, only the first r iteration-best ants can perform
local search to improve their current solutions. PACO performs three types of neighborhood
search: sequence inversion, insertion, and swap. These methods are often used in CVRP
papers to improve iteration solutions, as is the case with 7, 8, 15. Sequence inversion selects
a vehicle at random from the current solution string, chooses two customers randomly,
and then inverts the substring between these two customers. The swap operation selects
two customers at random and then swaps these two customers in their positions. The
insertion operation selects a customer at random and then inserts the customer in a random
position. The swap operation may select two customers in different vehicles, and the insertion
operation may assign the selected customer to a different vehicle. For such a case, the capacity
and distance limits of the vehicles have to be checked. If the constraints are violated, the new
solution becomes invalid and another one should be generated.
The whole procedure of local search for an ant solution is controlled by using
a simulated annealing approach. SA performs neighborhood search R times at each
temperature T t. Each time one of the three local search methods is randomly selected with
equal probability to implement neighborhood search. A worse solution may have a chance to
be accepted according to the following equations:

 
Δ  f S − fS,
  3.4
  Δ
P S  exp − ,
T t
10 Mathematical Problems in Engineering

where S is the current solution, S is the new solution, fS is the objective function value
of S, fS  is the new objective function value, t is the current temperature, and P S  is
the probability that SA accepts new solution S . After carrying out neighborhood search R
times, SA reduces the temperature. New temperature T t 1 is equal to λ × T t, where
0 < λ < 1. PACO adopts a best improvement strategy in its local search step. That is, the best-
so-far solution will be recorded during the run of the SA algorithm. When the termination
condition is met, the ant solution will be replaced with the best-so-far solution of SA if the
latter is really better.
After solution construction and local search, all ants compare their Pbest solutions with
their iteration solutions and perform Pbest replacement if the iteration solutions are better.
Then, ants are ranked in terms of the goodness of their Pbest solutions, and the first r ants are
the elite ants. Of course, the Gbest solution of all ants is equal to the Pbest solution of the best
elite ant.

3.6. Pheromone Updating

Pheromone trails play the role of long-term memory in the PACO algorithm. Global updating
is used to enhance the search in the neighborhood of better solutions. The paths of better
solutions have higher levels of pheromone so as to attract more ants for later search.
The pheromone on other paths evaporates over time and becomes less attractive to ants.
Therefore, convergence of PACO can be accelerated by intensifying pheromone on the paths
of elite solutions. The pheromone updating rule is defined as follows:

  
r
P
τij  1 − ρ τij Δτij bests ΔτijGbest ,
s2

P 1
Δτij bests  , 3.5
fPsbest

1
ΔτijGbest  ,
fGbest

where ρ is the pheromone evaporation rate and ranges between 0 and 1, r is the total number
P
of elite ants, Δτij bests and ΔτijGbest , are the pheromone added by elite ant s and the best ant,
respectively, and fPsbest and fGbest are the objective function values of elite ant s and the best
ant, respectively.

3.7. Pheromone Disturbance

Since only elite ants lay pheromone on the routes of their Pbest solutions, the pheromone
on the paths of elite solutions will accumulate very fast. It leads to the state of pheromone
stagnation, and the search may be trapped by local optima. To overcome this problem, PACO
adopts pheromone disturbance to escape from local optima and to explore different areas of
the search space. Pheromone disturbance is performed when the Gbest solution of ants is not
updated improved up to w successive iterations. w is called the disturbance period. Large
w makes PACO easy to raise the chances of settling for a false optimum, while small w retards
Mathematical Problems in Engineering 11

Table 1: Original pheromone matrix.

j
i
1 2 3 4 5
1 0 0.1 0.8 0.2 0.5
2 0 0.2 0.1 0.2
3 0 0.3 0.5
4 0 0.8
5 0

the search convergence and takes more computational time. It is suggested that w be equal
to the number of customers.
The basic idea of pheromone disturbance is similar to arithmetic crossover in GA, but
it is used to produce new pheromone trails, rather than to generate new solutions. Pheromone
disturbance has three steps. The first step is to select edges for disturbance. The disturbance
rate μ determines the probability that an edge is selected for disturbance. If μ is set too
high, it will be difficult to retain previous search experiences; on the other hand, if it is set
too low, the effect of disturbance will not be evident. The second step is to cluster selected
edges into groups, each of which has two edges with the same customer node. The groups
with single edges will be abandoned. The third step is to use a random number q ∈ 0, 1 to
determine a disturbance type for each of the paired edges. There are three types of pheromone
disturbance: unchanging, replacement, and weighted average. As defined in 3.6, paired
edges i, j and i, u have three possible results. That is, the pheromone on edge i, j may
remain the same, be replaced by the pheromone level of edge i, u, or be replaced with the
weighted average of the pheromone levels of these two edges.
⎧
⎪
⎪
t
⎨τij q < 0.2,
τijt 1  τiu
t
0.2 ≤ q < 0.4 , 3.6
⎪
⎪
⎩δτ t 1 − δτiu
t
, j
/ u, q ≥ 0.4,
ij

where δ is a uniform random number in the range 0, 1 and determines the ratios of
pheromone on the two edges.
After pheromone disturbance, ant s positioned on customer node i has a chance to
explore different edges rather than to keep selecting the same next customer node to move to.
Hence, pheromone disturbance increases the probability of finding optimal solutions. Note
that we deal with symmetric CVRPs in this paper, where the distances between customer
nodes are independent of the direction of traversing the edges. The same situation applies to
pheromone trails. Accordingly, dij  dji and τij  τji for each pair of nodes.
We use an example to illustrate the idea of pheromone disturbance. Suppose we have
five customers, then there are 20 edges with pheromone deposits. The original pheromone
matrix is shown in Table 1. Since τij  τji for each pair of nodes, the algorithm considers only
half the edges to be disturbed.
The first step is to select edges for disturbance. Each edge is selected with a probability
of μ  0.3. For each edge, we generate a random number from uniform distribution in the
range between 0 and 1. The generated random numbers are shown in Table 2. A edge is
selected if its random number is less than μ. Table 2 tells us that four edges are selected and
marked in bold type. The second step is to pair two edges that have the same customer node.
12 Mathematical Problems in Engineering

Table 2: Edges selected for disturbance.

j
i
1 2 3 4 5
1 0 0.5 0.2 0.6 0.1
2 0 0.1 0.2 0.7
3 0 0.8 0.4
4 0 0.5
5 0

Table 3: Disturbance results.

Edge τij t q Option τij t 1
1–3 0.8 0.1 1 0.8
1–5 0.5 0.8 3 0.65
2-3 0.2 0.3 2 0.1
2–4 0.1 0.5 3 0.11

Table 4: New pheromone matrix.

j
i
1 2 3 4 5
1 0 0.1 0.8 0.2 0.65
2 0 0.1 0.11 0.2
3 0 0.3 0.5
4 0 0.8
5 0

Scanning the matrix in Table 2 row by row, we obtain the pairing results: {edge 1, 3, edge
1, 5} and {edge 2, 3, edge 2, 4}. The third step uses 3.6 to determine new pheromone
trails for paired edges. Random number q is first generated to determine a disturbance type
for each selected edge. The disturbance results are shown in Table 3. For example, for the first
paired edges, option 1 unchanging applies to edge 1, 3 and option 3 weighted average
applies to edge 1, 5. Note that here δ is a random number in the range of 0, 1. In our
example of edge 1, 5, δ is equal to 0.5. The new pheromone matrix is presented in Table 4.

3.8. Pbest Solution Resetting

Since pheromone updating is based on the Pbest solutions of elite ants, it may diminish the
effect of pheromone disturbance very fast in the following iterations. To avoid that situation,
PACO resets the Pbest solutions of some better ants. That is, the Pbest solutions of the ants
are removed from their memory and find new ones in the next iteration. Note that not all
of the ants need to reset their Pbest solutions. The resetting is determined by the difference
in objective function value between Pbest and Gbest solutions. For ant s, if the difference is
less than or equal to a threshold, Δf, i.e., Δf ≤ fPsbest − fGbest , then ant s has to reset its Pbest
solution.
Mathematical Problems in Engineering 13

4. Computational Results
The PACO algorithm described in Section 3 was coded in Java, and all experiments were
performed on a personal computer with Intel Core 2 CPU T7500 running at 2.20 GHz. Two
sets of benchmark problems were selected to evaluate the effectiveness of our proposed
algorithm for the capacitated vehicle routing problem.
The first set has 16 test problems and can be downloaded from the website
http://www.branchandcut.org/VRP/data/. The problems in this benchmark set are subject
to capacity constraints only. The total number of customers varies from 29 to 134, and the
total number of vehicles ranges from 3 to 10. The locations of customers appear in clusters
in the problems with their names initiated with B and M, while in the remaining problems
customers are randomly scattered or semiclustered. The first benchmark set was used by
Chen et al. 18 and Ai and Kachitvichyanukul 20 to test their PSO-based algorithms.
The second benchmark set can be downloaded from the website http://
people.brunel.ac.uk/∼mastjjb/jeb/orlib/vrpinfo.html. It has been widely used in previous
studies and contains 14 classical test problems selected from Christofides et al. 23. Problems
1, 2, 3, 4, 5, 11, and 12 consider the constraint of capacity only, while the remaining problems
are subject to the capacity and distance limits. The total number of customers varies from
50 to 199, and the total number of vehicles ranges from 5 to 18. Besides, customers are
randomly distributed in the first ten problems whereas customers are clustered in the last
four problems.
The PACO parameters set as follows were found to be robust for most of the test
problems according to our pilot tests. PACO parameters are maximum iteration number
MaxIte  1000, population size pop  N/2, number of elite ants r  3, penalty coefficient
p  100, q0  0.8, ρ  0.5, α  2, β  1, and τ0  1/N×Lnn , where Lnn is the tour length
found by the nearest neighbor heuristic. Local search parameters are initial temperature t0 
2, final temperature tf  0.01, R  max{N × K/2, 250}, λ  0.9. Pheromone disturbance
parameters are: μ  0.3, w  N, Δf  5.
Table 5 lists the computational results of PACO on two sets of test problems. The best
solution, average solution, worst solution, and standard deviation Std. computed over 20
independent runs on each problem are summarized, along with their average computational
time in seconds required to reach the final best solutions. The best solutions equal to the
best-known solutions of benchmark problems are asterisked and typed in bold. Table 5
reveals that PACO is able to generate reasonable good solutions for most of CVRPs in terms
of solution quality. Twelve out of sixteen test problems can be solved successfully by the
proposed algorithm in the first benchmark set. For the second set, seven out of fourteen test
problems can be solved successfully by PACO.
To evaluate the pheromone disturbance strategy and Pbest -resetting operation, the
proposed algorithm is compared with standard ACO 9 and PS-ACO 22 in terms of
their convergence trends. Standard ACO and PS-ACO were originally proposed for solving
traveling salesman problems TSP, not CVRPs. We implemented these two algorithms
in Java and tried to apply them to solve CVRPs with the same local search method and
parameter settings used in PACO.
Benchmark problem C1 was selected to test three ACO-based algorithms. Three data
sets of iteration-best solutions are plotted in Figure 2, The curves reveal that both PACO
and PS-ACO can converge faster than standard ACO but only PACO can find the optimal
solution. It demonstrates that, with pheromone disturbance and Pbest solution resetting,
PACO can effectively escape from local optima and find better solutions. In Figure 2, a
14 Mathematical Problems in Engineering

Table 5: Computational results of PACO over 20 runs on two benchmark sets.

First benchmark set Second benchmark set

Best Avg. Worst Std. AT s Best Avg. Worst Std. AT s
A-n33-k5 661∗ 661 661 0 0.87 C1 524.61∗ 527.54 543.16 4.98 32.3
A-n46-k7 914∗ 914 914 0 6.02 C2 835.26∗ 842.71 852.14 4.31 107.91
A-n60-k9 1354∗ 1356.4 1369 4.49 52.88 C3 829.92 838.29 844.65 3.76 141.89
B-n35-k5 955∗ 955 955 0 2.65 C4 1040.23 1053.22 1077.68 9.31 377.83
B-n45-k5 751∗ 751 751 0 5.85 C5 1348.73 1375.05 1392.93 12.73 1048.45
B-n68-k9 1275 1286.25 1288 2.86 62.97 C6 555.43∗ 556.72 560.24 1.09 27.09
B-n78-k10 1221∗ 1228.1 1252 8.6 98.78 C7 909.68∗ 917.93 932.06 7 98.70
E-n30-k3 534∗ 534 534 0 4.38 C8 868.61 880.47 895.7 8.37 117.74
E-n51-k5 521∗ 522.65 528 2.87 19.46 C9 1171.94 1194.96 1233.9 15.24 505.89
E-n76-k7 685 691.15 694 2.35 46.85 C10 1454.81 1498.23 1577.52 28.8 939.08
F-n72-k4 237∗ 237 237 0 30.64 C11 1042.11∗ 1045.01 1049.45 2.87 196.49
F-n135-k7 1170 1193.45 1229 15.99 248.77 C12 819.56∗ 821.55 825.95 1.91 148.67
M-n101-k10 820∗ 822.9 824 1.41 113.28 C13 1562.64 1575.55 1596.63 8.16 320.92
M-n121-k7 1034∗ 1039.6 1127 20.12 80.62 C14 866.37∗ 866.81 867.77 0.51 173.15
P-n76-K4 593∗ 597.95 616 5.72 53.48
P-n101-k4 683 693.35 706 7.21 64.92
∗
The solution equals the best-known solution.
AT denotes the average CPU time required to reach the final best solution over 20 runs.

650

600

550

500
0 100 200 300 400 500 600 700 800 900

PACO
ACO
PSACO

Figure 2: Convergence trends of three ACO-based algorithms tested on problem C1.

couple of peaks on the PACO curve indicate the effects of pheromone disturbance and Pbest -
resetting. The disadvantage of PS-ACO is that all of the local best solutions are considered
in the pheromone updating procedure. When most ants have similar Pbest solutions, the total
amount of pheromone increment on edges will become very large. It results in the state of
pheromone stagnation and the search is trapped by a local optimum.
We conducted a comparative study to compare PACO with a couple of swarm
intelligence methods available for the CVRP. The comparative study contains two parts. In the
first part, the PACO algorithm is compared with three different PSO-based algorithms, which
were all tested on the 16 problems from the first benchmark set. The smaller the objective
function value, the better the solution. Table 6 displays the computational results of PACO
and the best results found in the papers of Chen et al. 18, Ai and Kachitvichyanukul 20,
and Kao and Chen 19, denoted as DPSO-SA, SR-2, CPSO-SA, respectively. Experimental
Mathematical Problems in Engineering 15

Table 6: Comparison of PACO with three PSO-based algorithms.

No. Problem N K BKS DPSO-SA 18 SR-2 20 CPSO-SA 19 PACO
1 A-n33-k5 32 5 661 661∗ /32.2 661∗ /13 661∗ /0.7 661∗ /0.12
2 A-n46-k7 45 7 914 914∗ /128.9 914∗ /23 917/2.4 914∗ /0.16
3 A-n60-k9 59 9 1354 1354∗ /308.8 1355/40 1354∗ /6.5 1354∗ /14.15
4 B-n35-k5 34 5 955 955∗ /37.6 955∗ /14 955∗ /1.2 955∗ /0.06
5 B-n45-k5 44 5 751 751∗ /134.2 751∗ /20 751∗ /4.8 751∗ /1.12
6 B-n68-k9 67 9 1272 1272∗ /344.2 1274/50 1274/27.2 1275/87.19
7 B-n78-k10 77 10 1221 1239/429.4 1223/64 1237/24 1221∗ /54.38
8 E-n30-k3 29 3 534 534∗ /28.4 534∗ /16 534∗ /0.3 534∗ /0.05
9 E-n51-k5 50 5 521 528/300.5 521∗ /22 521∗ /4.6 521∗ /0.51
10 E-n76-k7 75 7 682 688/526.5 682∗ /60 692/9.5 685/18.95
11 F-n72-k4 71 4 237 244/398.3 237∗ /53 237∗ /5.3 237∗ /6.28
12 F-n135-k7 134 7 1162 1215/1526.3 1162∗ /258 1200/202.8 1170/246.85
13 M-n101-k10 100 10 820 824/874.2 820∗ /114 825/6.1 820∗ /66.02
14 M-n121-k7 120 7 1034 1038/1733.5 1036/89 1039/51.5 1034∗ /8.18
15 P-n76-K4 75 4 593 602/496.3 594/48 596/27.6 593∗ /8.61
16 P-n101-k4 100 4 681 694/977.5 683/86 691/29.4 683/25.7
Notes: x/y  f best solution/shortest CPU Time s, BKS is the best-known solution provided by published papers, DPSO-
SA used Intel Pentium IV CPU 1.8 GHz with 256 M RAM, SR-2 used Intel Pentium IV CPU 3.4 GHz with 1 GB RAM, and
CPSO-SA used Intel Core 2 CPU E8400 3 GHz with 3.5 G RAM.

Table 7: Comparison of PACO with three ACO-based algorithms.

Prob. N K BKS IACS 12 SS ACO 13 EACO 15 PACO

C1 50 5 524.61 524.61∗ /3 524.61∗ /55.23 524.61∗ /— 524.61∗ /0.79
C2 75 10 835.26 836.18/26 835.26∗ /70.43 835.26∗ /— 835.26∗ /163.44
C3 100 8 826.14 835.6/101 830.14/120.25 826.14∗ /— 829.92/183.08
C4 150 12 1028.42 1038.22/617 1038.20/250.76 1041.83/— 1040.23/547.88
C5 199 17 1291.45 1327.07/3080 1307.18/707.80 1338.48/— 1348.73/1455.64
C6 50 6 555.43 555.43∗ /5 559.12/65.17 555.43∗ /— 555.43∗ /7.72
C7 75 11 909.68 909.68∗ /41 912.68/90.42 909.68∗ /— 909.68∗ /66.68
C8 100 9 865.94 865.94∗ /115 869.34/210.46 865.94∗ /— 868.61/146.5
C9 150 14 1162.55 1173.76/853 1179.4/520.52 1168.81/— 1171.94/614.53
C10 199 18 1395.85 1413.83/4223 1410.26/1012.23 1413.69/— 1454.81/1114.21
C11 120 7 1042.11 1042.11∗ /204 1044.12/232.46 1045.5/— 1042.11∗ /95.33
C12 100 10 819.56 832.67/88 824.31/156.47 819.56∗ /— 819.56∗ /122.87
C13 120 11 1541.14 1547.07/428 1556.52/467.24 1554.93/— 1562.64/156.32
C14 100 11 866.37 866.37∗ /125 870.26/368.72 866.37∗ /— 866.37∗ /32.75
Notes: x/y  f best solution/shortest CPU Time s, BKS is the best-known solution provided by published papers, —
denotes that the data is not available, IACS used Intel Pentium III CPU 1000 MHz with 128 MB RAM, SS ACO used IBM
computer CPU 1600 MHz with 512 MB RAM, and EACO used Pentium IV CPU 3.0 GHz.

results show that PACO is able to obtain the same or better results compared with three PSO-
based algorithms.
In the second part of the comparative study, the computational results of PACO are
compared with three ACO-based algorithms, which were all tested on the 14 problems
from the second benchmark set. Table 7 reports the best results obtained by these various
ACO algorithms. The best results of IACS, SS ACO, and EACO are found in 12, 13, 15,
16 Mathematical Problems in Engineering

respectively. Table 7 indicates that PACO generates very good solutions for seven problems,
which are equal to the best solutions published so far. For three compared algorithms, only
EACO is better than PACO because it can find best-known solutions for eight problems. It
can be noticed that both PACO and EACO can obtain optimum solutions for six problems
in common. For problem C11, PACO can reach the best-known solution but EACO cannot,
while, for problems C3 and C8, EACO can outperform PACO. However, the best solutions
produced by PACO and EACO are nearly equal for these three problems.
Tables 6 and 7 also list the shortest computational times required to reach the final best
solution over 20 independent runs. From the data, it can be observed that the computation
time taken by PACO is reasonable in practice in comparison with existing PSO- and ACO-
based algorithms. It shows that pheromone disturbance can improve solutions but does not
increase much computational time. Note that the computation time has not been reported
in 15. Instead, the authors of 15 used the maximum execution time as the termination
condition. They stopped the EACO algorithm after one hour of running for 14 benchmark
problems. The overall result of comparative study shows that the proposed algorithm is
competitive with recent swarm intelligence approaches in terms of solution quality and CPU
time.

5. Conclusion
This paper proposes a hybrid algorithm, PACO, which takes advantage of ant colony
optimization and particle swarm optimization for capacitated vehicle problems. During the
searching process, artificial ants construct solution routes, memorize the best solution ever
found, and lay pheromone on the routes of swarm and personal best solutions. To prevent
being trapped in local optima and to increase the probability of obtaining better solutions,
PACO performs pheromone disturbance and short-term memory resetting operations to
adjust stagnated pheromone trails. Disturbed pheromone trails guide ants to find new Pbest
and Gbest solutions. The merits of PSO adopted in PACO can speed convergence during
a run, even after pheromone disturbance operations. Computational results show that the
performance of PACO is competitive in terms of solution quality when compared with
existing ACO- and PSO-based approaches. For future research, PACO can be modified to
extend its application to vehicle routing problems with time windows or multiple depots,
among others.

Acknowledgments
The authors would like to thank the referees for their valuable comments and suggestions
that have greatly improved the quality of this paper. The authors are also grateful to National
Science Council, Taiwan Grant no. NSC 99-2410-H-036-003-MY2 for the financial support.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 897027, 19 pages
doi:10.1155/2012/897027

Research Article
New Bounds for Ternary Covering Arrays Using a
Parallel Simulated Annealing

Himer Avila-George,1 Jose Torres-Jimenez,2

and Vicente Hernández3
1
Instituto Tecnológico Superior de Salvatierra, Madero 303, 38900 Salvatierra, Guanajuato, Mexico
2
Information Technology Laboratory, Cinvestav Tamaulipas, Km. 5.5 Carretera Victoria-Soto La Marina,
87130 Victoria, TAMPS, Mexico
3
Instituto de Instrumentación para Imagen Molecular (I3M), Universitat Politècnica de València, Camino
de Vera s/n, 46022 Valencia, Spain

Correspondence should be addressed to Himer Avila-George, [email protected]

Received 24 February 2012; Revised 15 June 2012; Accepted 7 July 2012

Academic Editor: John Gunnar Carlsson

Copyright q 2012 Himer Avila-George et al. This is an open access article distributed under
the Creative Commons Attribution License, which permits unrestricted use, distribution, and
reproduction in any medium, provided the original work is properly cited.

A covering array CA is a combinatorial structure specified as a matrix of N rows and k columns
over an alphabet on v symbols such that for each set of t columns every t-tuple of symbols is
covered at least once. Given the values of t, k, and v, the optimal covering array construction
problem CAC consists in constructing a CA N; t, k, v with the minimum possible value of N.
There are several reported methods to attend the CAC problem, among them are direct methods,
recursive methods, greedy methods, and metaheuristics methods. In this paper, There are three
parallel approaches for simulated annealing: the independent, semi-independent, and cooperative
searches are applied to the CAC problem. The empirical evidence supported by statistical analysis
indicates that cooperative approach offers the best execution times and the same bounds as the
independent and semi-independent approaches. Extensive experimentation was carried out, using
182 well-known benchmark instances of ternary covering arrays, for assessing its performance
with respect to the best-known bounds reported previously. The results show that cooperative
approach attains 134 new bounds and equals the solutions for other 29 instances.

1. Introduction
A covering array, denoted by CAN; t, k, v, is a matrix M of size N × k which takes values
from the set of symbols {0, 1, 2, . . . , v − 1} called the alphabet, and every submatrix of size
N × t contains each tuple of symbols of size t or t-tuple, at least once. The value N is the
number of rows of M, k is the number of parameters, where each parameter can take v
values, and the interaction degree between parameters is described by the strength t. Each
2 Mathematical Problems in Engineering
 
combination of t columns must cover all the vt t-tuples. Given   that there are kt sets of t
columns in M, the total number of t-tuples in M must be vt kt . When a t-tuple is missing in
a specific set of t columns, we will refer to it as a missing t-wise combination. Then, M is a
covering array if the number of missing t-wise combinations is zero.
When a matrix has the minimum possible value of N to be a CAN; t, k, v, the value
N is known as the covering array number. The covering array number is formally defined
as CANt, k, v  min{N : ∃ CAN; t, k, v}. Given the values of t, k, and v, the optimal
covering array construction problem CAC consists in constructing a CAN; t, k, v such
that the value of N is minimized.
A major application of covering arrays CAs arises in software interaction testing
1, where a covering array can be used to represent an interaction test suite as follows. In
a software test, we have k components or factors. Each of these parameters has v values or
levels. A test suite is an N × k array where each row is a test case. Each column represents a
component, and a value in the column is the particular configuration. By mapping a software
test problem to a covering array of strength t, we can guarantee that we have tested, at
least once, all t-way combinations of component values 2. Thus, software testing costs can
be substantially reduced by minimizing the number of test cases N in the covering array.
Please observe that software interaction testing is a black-box testing technique, and thus
it exhibits weaknesses that should be addressed by employing white-box testing techniques.
For a detailed example of the use of covering arrays in software interaction testing, the reader
is referred to 3.
In this paper, we aim to develop an enhanced sequential simulated annealing ESSA
algorithm for finding near-optimal covering arrays. Simulated annealing algorithm is a
general-purpose stochastic optimization technique that has proved to be an effective tool
for approximating globally optimal solutions to many optimization problems. However, one
of the major drawbacks of the technique is the time it requires to obtain good solutions
moreover, when the evaluation function requires too much time. To address this drawback,
we propose three parallel simulated annealing approaches to solve the CAC problem. The
objective is to find the best bounds to some ternary covering arrays by using parallelism. To
our knowledge, the application of parallel simulated annealing to the CAC problem has not
been reported in the literature. Some methods of parallelization of simulated annealing are
discussed in 4–8.
The remainder of this paper is organized as follows. Some techniques that have been
used for constructing covering arrays are presented in Section 2. Section 3 describes the
components of our sequential annealing algorithm. In Section 4, three parallel simulated
annealing approaches are discussed. Section 5 describes the experimental results. Finally,
Section 6 presents the conclusions derived from the research presented in this paper.

2. Review of Covering Arrays Construction Methods

Because of the importance of the construction of near optimal covering arrays, much
research has been carried out in developing effective methods for constructing them. There
are several reported methods for constructing these combinatorial models. Among them are
1 direct methods; 2 recursive methods; 3 greedy methods; 4 metaheuristics methods.
Chateauneuf and Kreher 9 introduced a new method to construct covering arrays of
strength three. This construction uses the structure of covering arrays and the repetition in
covering arrays. The idea is to construct a covering array from a small array, a starter vector,
Mathematical Problems in Engineering 3

and a group. This construction builds the covering array column by column by considering
the group acting on the columns of the starter vector. Meagher and Stevens 10 extended
the idea exhibited in 9, presenting a strategy for obtaining the starter vector by local search
and the selection of a group action. Recently, Lobb et al. 11 presented a generalization of
this method to permit any number of fixed points, permit an arbitrary group acting on the
symbols, and permit an arbitrary group acting on the columns. With all these generalizations
were obtained new bounds for covering arrays of strength two.
Tang and Woo 12 used constant weight vectors to construct test suites to be applied
to logic circuit testing. Martinez-Pena et al. 13 introduced a new method for constructing
covering arrays using trinomial coefficients, and they improved the results presented in 12.
Martinez-Pena et al. used the trinomial coefficients for the representation of the search space
in the construction of ternary covering arrays. It is clear that any covering array is formed by
a row set. In this sense, a trinomial coefficient represents a particular subset of rows which
may belong to a ternary covering array.
Hartman 3 presented a recursive construction which gives a method of squaring the
number k of columns in a covering array of strength t while multiplying the rows N by a
factor dependent only on t and v, but independent of k. This factor is related to the Turan
numbers T t; v that are defined to be the number of edges in the Turan graph.
Colbourn et al. 14 presented a product construction for t  2. In general, the product
of two covering arrays where t  2 consists in obtaining a new covering array where the
number of columns is equal to the product of the columns of the ingredients, and the number
of rows is equal to the sum of the rows of each ingredient.
The majority of commercial and open-source test data generating tools use greedy
algorithms for covering arrays construction AETG, TCG, ACTS, DDA, among others.
Cohen et al. 1 presented a strategy called AETG. In AETG, covering arrays are
constructed one row at a time. To generate a row, the first t-tuple is selected based on the
one involved in most uncovered pairs. Remaining factors are assigned levels in a random
order. Levels are selected based on the one that covers the most new t-tuples. For each
row that is actually added to the covering array, there are a number of, M, candidate rows
that are generated, and only a candidate that covers the most new t-tuples is added to the
covering array. Once a covering is constructed, a number, R, of test suites are generated and
the smallest test suite generated is reported. This process continues until all pairs are covered.
Tung and Aldiwan 15 proposed a tool called TCG. In TCG, one row is added at a
time to a covering array until all pairs are covered. Before each row is added, a number of
up to M candidate rows are generated, and the best candidate covering the most new pairs
is added. M is defined to be the maximum cardinality of factors the maximum number of
levels associated with any factor. To construct each row, factors are assigned levels in an
order based on a nonascending order of the cardinality of each factor. Each level for the factor
is evaluated, and a count of the number of pairs that are covered is used to determine whether
or not to select a level for a factor.
Bryce and Colbourn 16 presented an algorithm called DDA. The DDA constructs one
row of a covering array at a time using a steepest ascent approach. Factors are dynamically
fixed one at a time in an order based on density. New rows are continually added until all
interactions have been covered.
Lei and Tai 17 introduced a new algorithm called IPO, for pairwise testing. For a
system with two or more input parameters, the IPO strategy generates a pairwise test set for
the first two parameters, extends the test set to generate a pairwise test set for the first three
parameters, and continues to do so for each additional parameter. Contrary to many other
4 Mathematical Problems in Engineering

algorithms that build covering arrays one row at a time, the IPO strategy constructs them one
column at a time. Lei et al. 18 introduced an algorithm for the efficient production of covering
arrays, called IPOG, which generalizes the IPO strategy from pairwise testing to multiway
testing. The main idea is that covering arrays of k − 1 columns can be used to efficiently build
a covering array with degree k.
Ronneseth and Colbourn 19 introduced a new algorithm for constructing covering
arrays, the BBA. The BBA’s fundamental idea is to combine smaller covering arrays by
reordering the rows and then to append additional rows for the remaining uncovered pairs.
Some stochastic algorithms in artificial intelligence, such as tabu search 20, 21,
simulated annealing 22, generic algorithms, and ant colony optimization algorithm 23, provide
an effective way to find approximated solutions. In these algorithms, the optimization focuses
on one value of N at a time, attempting to find a covering array for that size.
A simulated annealing metaheuristic henceforth called SAC has been applied by
Cohen et al. in 22 for constructing covering arrays. SAC starts with a randomly generated
initial solution M whose cost cM is measured as the number of uncovered t-tuples. In
their implementation, Cohen et al. use a simple geometric function Tn  0.9998Tn−1 with an
initial temperature fixed at Ti  0.20. At each temperature, 2000 neighboring solutions are
generated. The algorithm stops either if a valid covering array is found, or if no change in
the cost of the current solution is observed after 500 trials. The authors justify their choice
of these parameter values based on some experimental tuning. They conclude that their
simulated annealing implementation is able to produce smaller covering arrays than other
computational methods, sometimes improving upon algebraic constructions.
Torres-Jimenez and Rodriguez-Tello 24 introduced a new simulated annealing
implementation for constructing binary covering arrays.

3. Sequential Simulated Annealing

In this section, we briefly review simulated annealing SA algorithm and propose an
enhanced sequential simulated annealing ESSA implementation to solve the CAC problem.
ESSA is an extension of the simulated annealing presented in 24 for constructing covering
arrays for v > 2 and mixed-level covering arrays.
Simulated annealing is a randomized local search method based on the simulation of
annealing of metal. The acceptance probability of a trial solution is given by 3.1, where T is
the temperature of the system, ΔC is the difference of the costs between the trial and the current
solutions the cost change due to the perturbation, and 3.1 means that the trial solution is
accepted by nonzero probability e−ΔC/T even though the solution deteriorates uphill move


1 if ΔC < 0,
P  3.1
e−ΔC/T otherwise.

Uphill moves enable the system to escape from the local minima; without them, the
system would be trapped into a local minimum. Too high of a probability for the occurrence
of uphill moves, however, prevents the system from converging. In simulated annealing,
the probability is controlled by temperature in such a manner that at the beginning of the
procedure the temperature is sufficiently high, in which a high probability is available, and
Mathematical Problems in Engineering 5

as the calculation proceeds, the temperature is gradually decreased, lowering the probability
25.
The following paragraphs will describe each of the components of the implementation
of our simulated annealing implementation. The description is done given the matrix rep-
resentation of a covering array.

3.1. Internal Representation

Let M be a potential solution in the search space M, that is, a covering array CAN; t, k, v
of size N, strength t, degree k, and order v. Then M is represented as an N × k array on v
symbols, in which the element mi,j denotes the symbol assigned in the test configuration i to
the parameter j. The size of the search space M is then given by

|M|  vNk . 3.2

3.2. Initial Solution

The initial solution M is constructed by generating M as a matrix with maximum Hamming
distance. The Hamming distance dx, y between two rows x, y ∈ M is the number of
elements in which they differ. Let ri be a row of the matrix M. To generate a random matrix
M of maximum Hamming distance, the following steps are performed:

1 generate the first row r1 at random,

2 generate s rows c1 , c2 , . . . , cs at random, which will be candidate rows,
3 select the candidate row ci that maximizes the Hamming distance according to 3.3
and added to the ith row of the matrix M,
4 repeat from step 2 until M is completed;



i−1 
k
 mi,v ,
1 if ms,v /
gri   dms,v , mi,v , where dms,v , mi,v   3.3
s1 v1 0 otherwise.

An example is shown in 3.4; the number of symbols different between rows r1 and c1
is 4 and between r2 and c1 is 3 summing up 7. Then, the Hamming distance for the candidate
row c1 is 7:

⎧ ⎧
⎪
⎪ r  2 1 0 1 ⎪
⎪
⎨ 1 ⎨dr1 , c1   4
⎪
Rows r2  1 2 0 1 , Distances dr2 , c1   3 , 3.4
⎪
⎪ ⎪
⎪
⎪
⎩c 1  0 2 1 0 ⎩gc   7
1

Equation 3.4 is an example of the Hamming distance between two rows r1 , r2 that
are already in the matrix M and a candidate row c1 .
6 Mathematical Problems in Engineering

3.3. Evaluations Function

The evaluation function CM is used to estimate the goodness of a candidate solution. Pre-
viously reported metaheuristic algorithms for constructing covering arrays have commonly
evaluated the quality of a potential solution covering array as the number of combination
of symbols missing in the matrix M 20, 22, 23. Then, the expected solution will be zero
missing. In the proposed simulated annealing implementation, this evaluation
 function
definition was used. Its computational complexity is equivalent to ON kt .

3.4. Neighborhood Function

Given that ESSA is based on local search LS, then a neighborhood function must be defined.
The main objective of the neighborhood function is to identify the set of potential solutions
which can be reached from the current solution in a local search LS algorithm. In case two or
more neighborhoods exhibit complementary characteristics, it is then possible and interesting
to create more powerful compound neighborhoods. The advantage of such an approach is
well documented in 26. Following this idea, and based on the results of our preliminary
experimentations, a neighborhood structure composed by two different functions is proposed
for ESSA.
The neighborhood function N1 s makes a random search of a missing t-tuple and
then tries by setting the jth combination of symbols in every row of M. The neighborhood
function N2 s randomly chooses a position i, j of the matrix M and makes all possible
changes of symbol. During the search process, a combination of both N1 s and N2 s
neighborhood functions is employed by ESSA algorithm. The former is applied with
probability P, while the latter is employed at a 1 − P rate. This combined neighborhood
function N3 s, x is defined in 3.5, where x is a random number in the interval 0, 1:


N1 s if x ≤ P,
N3 s, x  3.5
N2 s if x > P.

3.5. Cooling Schedule

The cooling schedule determines the degree of uphill movement permitted during the search
and is thus critical to the ESSA algorithm’s performance. The parameters that define a cooling
schedule are an initial temperature, a final temperature or a stopping criterion, the maximum
number of neighboring solutions that can be generated at each temperature, and a rule for
decrementing the temperature. The literature offers a number of different cooling schedules,
see, for instance, 4, 27. ESSA uses a geometrical cooling scheme mainly for its simplicity.
It starts at an initial temperature Ti which is decremented at each round by a factor α using
the relation Tk  αTk−1 . For each temperature, the maximum number of visited neighboring
solutions is L. It depends directly on the parameters N, k, and v of the studied covering
array. This is because more moves are required for covering arrays with alphabets of greater
cardinality.
Mathematical Problems in Engineering 7

1 INITIALIZEM, T, L /∗ Create the initial solution. ∗/

2 M ← M; /∗ Memorize the best solution. ∗/
3 T  T0 ; /∗ Initial temperature of SA. ∗/
4 repeat
5 for i ← 1 to L do
6 Mi ← GENERATE M; /∗ Perturb current state. ∗/
7 ΔC ← CMi  − CM; /∗ Evaluate cost function. ∗/
8 x ← random; /∗x in the range 0,1. ∗/
9 if ΔC < 0 or e−ΔC/T > x then
10 M ← Mi ; /∗ Accept new state.∗/
11 if CM < CM  then
12 M ← M; /∗ Memorize the best solution. ∗/
13 end if
14 end if
15 end for
16 CALCULATE CONTROLT, φ
17 until termination condition is satisfied;

Algorithm 1: Sequential simulated annealing for the CAC problem.

3.6. Termination Condition

The stop criterion for ESSA is either when the current temperature reaches Tf , when it ceases
to make progress, or when a valid covering array is found. In the proposed implementation,
a lack of progress exists if after φ frozen factor consecutive temperature decrements the
best-so-far solution is not improved.

3.7. Simulated Annealing Pseudocode

Algorithm 1 presents the simulated annealing heuristic as described above. The meaning of
the three functions is obvious: INITIALIZE computes a start solution and initial values of
the parameters T and L; GENERATE selects a solution from the neighborhood of the current
solution, using the neighborhood function N3 s, x; CALCULATE CONTROL computes a
new value for the parameter T cooling schedule and the number of consecutive temperature
decrements with no improvement in the solution.
This is unlike the classical method which takes as a solution to the problem the last
value obtained in the annealing chain 28. We memorize the best solution found during the
whole annealing process see lines 2 and 12.
In the next section, it is presented three parallel simulated annealing approaches for
solving the CAC problem.

4. Parallel Simulated Annealing

Parallelization is recognized like a powerful strategy to increase algorithms efficiency;
however, simulated annealing parallelization is a hard task because it is essentially a sequen-
tial process.
8 Mathematical Problems in Engineering

In evaluating performance of a parallel simulated annealing PSA, it needs to

consider solution quality as well as execution speed. The execution speed may be quantified
in terms of speed-up S and efficiency E. The S is defined as the ratio of the execution time
on one processor by the sequential simulated annealing to that by the PSA on P processors
for an equivalent solution quality. In the ideal case, S would be equal to P . The E is defined
as the ratio of the actual S to the ideal SP .
Next, we propose three parallel implementations of the simulated annealing algorithm
described in Section 3. For these cases, let P denote the number of processors and L the length
of Markov chain.

4.1. Independent Search Approach

A common approach to parallelizing simulated annealing is the ISA 4, 6, 29. In this
approach, each processor independently perturbs the configuration, evaluates the cost, and
decides on the perturbation. The processors Pi , i  0, 1, . . . , P − 1 carry out the independent
annealing searches using the same initial solution and cooling schedule as in the sequential
algorithm. At each temperature, Pi executes N × k × v2 annealing steps. When each processor
finishes, it sends its results to processor P0 . Finally, processor P0 chooses the final solution
among the local solutions.
We have implemented a simulated annealing algorithm using ISA approach for
constructing covering arrays. In the developed implementation, the processors do not interact
during individual annealing processes until all processors find their final solution. Then, the
best of the solutions is saved and the others are discarded.

4.2. Semi-Independent Search Approach

Aarts and van Laarhoven 4 introduced a new parallel simulated annealing algorithm
named division algorithm. In the division algorithm, the number of iterations at each
temperature is divided equally between the processors. After a change in temperature,
each processor may simply start from the final solution obtained by that processor at
the previous temperature. The best solution from all the processors is then taken to be
the final solution. Another variant of this approach is to communicate the best solution
from all the processors to each processor every time the temperature changes. Aarts
and van Laarhoven 4 found no significant differences in the performance of these two
variants.
We have developed an implementation of division algorithm; we named the
implementation SSA. In SSA, parallelism is obtained by dividing the effort of generation
a Markov chain over the available processors. A Markov chain is divided into P
subchains of the length L/P . In this approach, the processors exchange local information
including intermediate solutions and their costs. Then, each processor restarts from the best
intermediate ones.
Compared to the ISA, communication overhead in this SSA approach would be
increased. However, each processor can utilize the information from other processors such
that the decrease in computations and idle times can be greater than the increase in
communication overhead. For instance, a certain processor which is trapped in an inferior
solution can recognize its state by comparing it with others and may accelerate the annealing
procedure. That is, processors may collectively converge to a better solution.
Mathematical Problems in Engineering 9

4.3. Cooperative Search Approach

In order to improve the performance of the SSA approach, we propose the cooperative
search approach CSA; it used asynchronous communication among processors accessing
the global state to eliminate the idle times. Each processor follows a separate search path,
accesses the global state which consists of the current best solution and its cost whenever it
finished a Markov subchain, and updates the state if necessary. Once a processor gets the
global state, it proceeds to the next Markov subchain with any delay.
Unlike SSA, CSA has the following characteristics:

i idle times can be reduced since asynchronous communications overlap a part of the
computation;
ii less communication overhead, an isolated access to the global state is needed by
each processor at the end of each Markov subchain;
iii the probability of being trapped in a local optimum can be smaller. This is because
not all the processors start from the same state in each Markov subchain.

5. Experimental Results
This section presents an experimental design and results derived from testing the parallel
ISA, SSA, and CSA algorithms described in the Section 4. In order to show the performance
of these approaches, three experiments were developed. The first experiment had as purpose
to fine-tune the probabilities of the neighborhood functions to be selected. The second
experiment had as purpose to compare the three approaches in terms of parallel execution
time. Among the three approaches, the CSA approach was the fastest. The third experiment
evaluated the quality of the solutions of the CSA approach over a new benchmark proposed
in this paper. The results were compared against the best-known solutions reported in the
literature to construct covering arrays 30.
The three parallel approaches were implemented using C language and the message
passing interface MPI library. The implementations were run on the Tirant supercom-
puter The Tirant supercomputer: http://www.uv.es/siuv/cas/zcalculo/res/informa.wiki.
Tirant comprises 256 JS20 compute nodes blades and 5 p515 servers. Every blade has two
IBM Power4 processors at 2.0 GHz running Linux operating system with 4 GB of memory
RAM and 36 GB of local disk storage. All the servers provide a total of nearly 10 TB of
disk storage accessible from every blade through GPFS global parallel file system. Tirant
has in total 512 processors, 1 TB of memory RAM, and 19 TB of disk storage. The following
parameters were used for all simulated annealing implementations:

1 Initial temperature Ti  4.0,

2 Final temperature Tf  1.0E − 10,
3 Cooling factor α  0.99,
4 Maximum neighboring solutions per temperature L  N × k × v2 ,
5 Frozen factor φ  11;
6 The neighborhood function N3 s, x is applied using a probability P  0.3.
10 Mathematical Problems in Engineering

12 12
11 11
10 10
9 9
8 8

Best times
7 7
6 6
5 5
4 4
3 3
2 2
1 1
0 0
[0, 1]

[0.1, 0.9]

[0.2, 0.8]

[0.3, 0.7]

[0.4, 0.6]

[0.5, 0.5]

[0.6, 0.4]

[0.7, 0.3]

[0.8, 0.2]

[0.9, 0.1]

[1, 0]
Probabilities
ca1 ca4 ca7
ca2 ca5
ca3 ca6

Figure 1: Performance of ESSA with the 11 combinations of probabilities.

5.1. Tuning of the Parameters of Parallel Simulated Annealing

It is well known that the performance of a simulated annealing algorithm is sensitive to
parameter tuning. In this sense, we follow a methodology for a fine-tuning of the two
neighborhood functions used in ESSA. The fine-tuning was based on the linear Diophantine
equation 5.1, where xi represents a neighborhood function, and its value set to 1, Pi is a
value in {0.0, 0.1, . . . , 1.0} that represents the probability of executing xi , and q is set to 1.0
which is the maximum probability of executing any xi :

P1 x1 P2 x2  q. 5.1

A solution to the given linear Diophantine equation must satisfy 5.2. This equation
has 11 solutions, each solution is an experiment that tests the degree of participation of each
neighborhood function in ESSA to accomplish the construction of a covering array. Every
combination of the probabilities was applied by ESSA to construct the set of covering arrays
shows in Table Ia, and each experiment was run 31 times; with the data obtained for each
experiment, we calculate the median. A summary of the performance of ESSA with the
probabilities that solved the 100% of the runs is shown in Table Ib:


2
Pi xi  1.0 5.2
i1

Finally, given the results shown in Figure 1, the best configuration of probabilities was
P1  0.3 and P2  0.7 because it found the covering arrays in smaller time median value.
The values P1  0.3 and P2  0.7 were kept fixed in the second experiment.
Mathematical Problems in Engineering 11

Table 1: a A set of 7 covering arrays configurations. b Performance of ESSA. Columns 3–9 show the
time taken to construct each of the covering arrays.

a

Id CA description
ca1 CA19; 2, 30, 3
ca2 CA35; 3, 5, 3
ca3 CA58; 3, 10, 3
ca4 CA86; 4, 5, 3
ca5 CA204; 4, 10, 3
ca6 CA243; 5, 5, 3
ca7 CA1040; 5, 15, 3
b

Covering arrays
P1 P2
ca1 ca2 ca3 ca4 ca5 ca6 ca7
0 1 4789.763 3.072 46.989 12.544 3700.038 167.901 0.102
0.1 0.9 1024.635 0.098 0.299 0.236 344.341 3.583 0.008
0.2 0.8 182.479 0.254 0.184 0.241 173.752 1.904 0.016
0.3 0.7 224.786 0.137 0.119 0.222 42.950 1.713 0.020
0.4 0.6 563.857 0.177 0.123 0.186 92.616 3.351 0.020
0.5 0.5 378.399 0.115 0.233 0.260 40.443 1.258 0.035
0.6 0.4 272.056 0.153 0.136 0.178 69.311 2.524 0.033
0.7 0.3 651.585 0.124 0.188 0.238 94.553 2.127 0.033
0.8 0.2 103.399 0.156 0.267 0.314 81.611 5.469 0.042
0.9 0.1 131.483 0.274 0.353 0.549 76.379 4.967 0.110
1 0 7623.546 15.905 18.285 23.927 1507.369 289.104 2.297

5.2. Comparison of the ISA, SSA, and CSA Approaches

To test the performance of the ISA, SSA, and CSA approaches, we propose the construction
of a covering array with N  80, t  3, k  22, and v  3. Each approach was executed 31
times for providing statistical validity to experiment using P  {4, 8, 16, 32}.
The performance of the algorithms has been compared based on median speedup as a
function of the number of processors; the results are shown in Figure 2.
The ISA approach; had difficulty in handling the large problem instances, it does
not scale well. The SSA approach provides reasonable results; however, because it is a
synchronous algorithm, the idle and communication times are inevitable. The CSA approach
is the one which offers the best results; it reduces the execution time of the SSA approach by
employing asynchronous information exchange.
In the next subsection, it is presented the third experiment of this work, and the
purpose is to measure the performance of the CSA algorithm against the best-known
solutions reported in the literature.

5.3. Comparison with State-of-the-Art Procedures

The purpose of this experiment is to carry out a performance comparison of the bounds
achieved by the CSA approach with respect to the best-known solutions reported in
12 Mathematical Problems in Engineering

32
30
28
26
24
22
20
18

Speedup
16
14
12
10
8
6
4
2
0
0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30 32
P

ISA approach
SSA approach
CSA approach

Figure 2: Median speedup for the ISA, SSA, and CSA approaches.

the literature 30, which were produced using the following state-of-the-art procedures:
orthogonal array construction, Roux type constructions, doubling constructions, algebraic
constructions, deterministic density algorithm DDA, Tabu search, and IPOG-F.
For this experiment, we have fixed the maximum computational time expended by
our PSA for constructing a covering array to 72 hours and 50 processors. We create a new
benchmark composed of 182 covering arrays distributed as follows:
i 47 covering arrays with strength t  3, degree 4 ≤ k < 50, and order v  3,
ii 46 covering arrays with strength t  4, degree 5 ≤ k < 50, and order v  3,
iii 45 covering arrays with strength t  5, degree 6 ≤ k < 50, and order v  3,
iv 44 covering arrays with strength t  6, degree 7 ≤ k < 50, and order v  3,
The detailed results produced by this experiment are listed in Table 2. The first two
columns in each subtable indicate the strength t and the degree k of the selected instances.
Next two columns show, in terms of the size N of the covering arrays, the best-known
solution reported in the literature and the improved bounds produced by the CSA approach.
Last column depicts the difference between the best result produced by CSA approach and
the best-known solution Δ  β − ϑ.
Figure 3 compares the results shown in Table 2 involving the CSA algorithm and the
best-known solutions. The analysis of the data presented led us to the following observation.
The solutions quality attained by the CSA approach is very competitive with respect to that
produced by the state-of-the-art procedures summarized in column 3 ϑ. In fact, it is able to
improve on 134 previous best-known solutions.

6. Conclusions
The long execution time of simulated annealing due to its sequential nature hinders its
application to realistically sized problems, in this case, the CAC problem when t > 3,
Mathematical Problems in Engineering 13

Table 2: It shows the improved bounds produced by CSA approach. Column ϑ represents the best-known
solution reported in the literature 30. Column β represents the best solution in terms of N produced by
CSA approach. Last column Δ depicts the difference between the best result produced by CSA approach
and the best-known solution Δ  β − ϑ. a Improved bounds on CAN3, k, 3; b improved bounds on
CAN4, k, 3; c improved bounds on CAN5, k, 3; d improved bounds on CAN6, k, 3.

a

t k ϑ β Δ
3 4 27 27 0
3 5 33 33 0
3 6 33 33 0
3 7 40 39 −1
3 8 42 42 0
3 9 45 45 0
3 10 45 45 0
3 11 45 45 0
3 12 45 45 0
3 13 50 49 −1
3 14 51 50 −1
3 15 57 57 0
3 16 60 59 −1
3 17 60 59 −1
3 18 60 59 −1
3 19 60 59 −1
3 20 60 59 −1
3 21 66 67 1
3 22 66 71 5
3 23 69 71 2
3 24 72 71 −1
3 25 75 72 −3
3 26 78 72 −6
3 27 81 79 −2
3 28 81 79 −2
3 29 87 84 −3
3 30 87 84 −3
3 31 90 88 −2
3 32 90 89 −1
3 33 90 89 −1
3 34 90 89 −1
3 35 90 89 −1
3 36 90 89 −1
3 37 90 89 −1
3 38 90 89 −1
3 39 90 89 −1
3 40 90 89 −1
3 41 98 94 −4
3 42 98 94 −4
3 43 100 99 −1
3 44 100 99 −1
3 45 103 99 −4
3 46 103 101 −2
3 47 106 101 −5
3 48 106 101 −5
3 49 108 101 −7
3 50 108 102 −6
14 Mathematical Problems in Engineering
b

t k ϑ β Δ
4 5 81 81 0
4 6 111 111 0
4 7 123 123 0
4 8 141 135 −6
4 9 159 135 −24
4 10 159 164 5
4 11 183 183 0
4 12 201 201 0
4 13 219 219 0
4 14 237 249 12
4 15 237 277 40
4 16 237 277 40
4 17 300 287 −13
4 18 307 300 −7
4 19 313 313 0
4 20 315 321 6
4 21 315 338 23
4 22 315 347 32
4 23 315 359 44
4 24 377 375 −2
4 25 384 375 −9
4 26 393 387 −6
4 27 393 387 −6
4 28 393 392 −1
4 29 393 406 13
4 30 393 401 8
4 31 440 424 −16
4 32 445 431 −14
4 33 454 438 −16
4 34 462 447 −15
4 35 471 440 −31
4 36 471 456 −15
4 37 471 460 −11
4 38 471 465 −6
4 39 471 468 −3
4 40 499 472 −27
4 41 506 484 −22
4 42 509 488 −21
4 43 518 494 −24
4 44 522 497 −25
4 45 526 497 −29
4 46 530 506 −24
4 47 534 510 −24
4 48 542 516 −26
4 49 549 523 −26
4 50 549 525 −24
Mathematical Problems in Engineering 15
c

t k ϑ β Δ
5 6 243 243 0
5 7 351 351 0
5 8 405 405 0
5 9 483 405 −78
5 10 483 405 −78
5 11 705 550 −155
5 12 723 600 −123
5 13 723 828 105
5 14 922 890 −32
5 15 963 944 −19
5 16 963 1025 62
5 17 1117 1117 0
5 18 1167 1165 −2
5 19 1197 1190 −7
5 20 1266 1257 −9
5 21 1317 1312 −5
5 22 1346 1319 −27
5 23 1405 1387 −18
5 24 1447 1420 −27
5 25 1486 1440 −46
5 26 1521 1493 −28
5 27 1538 1527 −11
5 28 1579 1555 −24
5 29 1615 1585 −30
5 30 1647 1616 −31
5 31 1681 1643 −38
5 32 1724 1671 −53
5 33 1783 1702 −81
5 34 1783 1724 −59
5 35 1851 1748 −103
5 36 1882 1778 −104
5 37 1909 1800 −109
5 38 1937 1829 −108
5 39 1960 1851 −109
5 40 1986 1866 −120
5 41 2023 1896 −127
5 42 2046 1923 −123
5 43 2069 1940 −129
5 44 2091 2089 −2
5 45 2112 2111 −1
5 46 2130 2129 −1
5 47 2150 2149 −1
5 48 2174 2168 −6
5 49 2191 2189 −2
5 50 2213 2211 −2
16 Mathematical Problems in Engineering
d

t k ϑ β Δ
6 7 729 729 0
6 8 1152 1152 0
6 9 1431 1600 169
6 10 1449 1849 400
6 11 1449 2136 687
6 12 2181 2482 301
6 13 2734 2744 10
6 14 2907 3220 313
6 15 3234 3338 104
6 16 3443 3672 229
6 17 3658 3882 224
6 18 3846 4098 252
6 19 4054 4256 202
6 20 4486 4400 −86
6 21 4678 4600 −78
6 22 4853 4732 −121
6 23 4942 4941 −1
6 24 5193 5100 −93
6 25 5257 5238 −19
6 26 5709 5380 −329
6 27 5853 5810 −43
6 28 6003 5965 −38
6 29 6150 6110 −40
6 30 6281 6250 −31
6 31 6413 6393 −20
6 32 6535 6518 −17
6 33 6656 6642 −14
6 34 6772 6760 −12
6 35 6877 6871 −6
6 36 6989 6978 −11
6 37 7092 7086 −6
6 38 7194 7187 −7
6 39 7293 7284 −9
6 40 7391 7385 −6
6 41 7490 7478 −12
6 42 7574 7569 −5
6 43 7672 7661 −11
6 44 7757 7748 −9
6 45 7845 7836 −9
6 46 7938 7928 −10
6 47 8013 8005 −8
6 48 8092 8089 −3
6 49 8179 8176 −3
6 50 8256 8253 −3
Mathematical Problems in Engineering 17

110 550
100 500

90 450
400
80
350
70
300

N
N

60
250
50 200
40 150
30 100
20 50
5 10 15 20 25 30 35 40 45 50 5 10 15 20 25 30 35 40 45 50
k k

Best-known solution Best-known solution

CSA approach solution CSA approach solution
a CAN3, k, 3 b CAN4, k, 3
2400 8800
2200 8000
2000 7200
1800 6400
1600 5600
1400 4800
N
N

1200 4000
1000 3200
800 2400
600 1600
400 800
200 0
5 10 15 20 25 30 35 40 45 50 5 10 15 20 25 30 35 40 45 50
k k

Best-known solution Best-known solution

CSA approach solution CSA approach solution
c CAN5, k, 3 d CAN6, k, 3

Figure 3: Graphical comparison of the quality solutions between CSA and the state of the art 30.

5 < k ≤ 100, and v  3. A more efficient way to reduce execution time and make the simulated
annealing a more promising method is to parallelize sequential simulated annealing. It is a
challenging task. In fact, there are many approaches that may be considered in parallelizing
simulated annealing. However, an inappropriate strategy used will likely result in poor
performance.
In this paper, we have used three different approaches to do the parallelization of
the simulated annealing algorithm. From the experimental results, we found that the ISA
approach has the worst performance, and it does not scale well. The SSA approach offers
reasonable execution times; compared to the ISA, communication overhead in the SSA
approach would be increased when the size of the problem grows. However, each processor
can utilize the information from other processors such that the decrease in computations and
idle times can be greater than the increase in communication overhead. For instance, a certain
processor which is trapped in an inferior solution can recognize its state by comparing it
18 Mathematical Problems in Engineering

with others and may accelerate the annealing procedure. That is, processors may collectively
converge to a better solution.
The CSA approach is the one which offers the best results; it significantly reduces the
execution time of the SSA approach by employing asynchronous information exchange. The
quality solutions attained by the CSA approach are very competitive with respect to that
produced by the state-of-the-art procedures; in fact, it is able to improve on 134 previous
best-known solutions and equals the solutions for other 29 instances.
These experimental results confirm the practical advantages of using CSA algorithm
in the software testing area. It is a robust algorithm yielding smaller test suites than other
representative state-of-the-art algorithms, which allows reducing software testing costs.
The new bounds are available in Cinvestav covering array repository CAR, which
is available under request at http://www.tamps.cinvestav.mx/∼jtj/authentication.php. We
have verified all covering arrays described in this paper using the tool described in 31.

Acknowledgments
The authors thankfully acknowledge the computer resources and assistance provided by
Spanish Supercomputing Network TIRANT-UV. This research work was partially funded
by the following projects: CONACyT 58554; Cálculo de Covering Arrays; 51623-Fondo Mixto
CONACyT; Gobierno del Estado de Tamaulipas.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 475018, 16 pages
doi:10.1155/2012/475018

Research Article
A VNS Metaheuristic with Stochastic Steps for
Max 3-Cut and Max 3-Section

Ai-fan Ling1, 2
1
Research Center of Security and Future, School of Finance, Jiangxi University of Finance and Economics,
Nanchang 330013, China
2
Key Laboratory of Management, Decision and Information Systems, Academy of Mathematics and Systems
Science, CAS, Beijing 100190, China

Correspondence should be addressed to Ai-fan Ling, [email protected]

Received 15 February 2012; Accepted 30 May 2012

Academic Editor: John Gunnar Carlsson

Copyright q 2012 Ai-fan Ling. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

A heuristic algorithm based on VNS is proposed to solve the Max 3-cut and Max 3-section
problems. By establishing a neighborhood structure of the Max 3-cut problem, we propose a
local search algorithm and a variable neighborhood global search algorithm with two stochastic
search steps to obtain the global solution. We give some numerical results and comparisons
with the well-known 0.836-approximate algorithm. Numerical results show that the proposed
heuristic algorithm can obtain efficiently the high-quality solutions and has the better numerical
performance than the 0.836-approximate algorithm for the NP-Hard Max 3-cut and Max 3-section
problems.

1. Introduction
Given a graph GV ; E, with nodes set V and edges set E, the Max 3-cut problem is to
 
find a partition S0 ⊂ V , S1 ⊂ V and S2 ⊂ V , of the set V , such that S0 S1 S2  V ,

Si Sj  ∅i /  j and the sum of the weights on the edges connecting the different parts is
maximized. Similar to the Max cut problem, the Max 3-cut problem has long been known
to be NP complete 1, even for any un-weighted graphs 2, and has also applications in
circuit layout design, statistical physics, and so on 3. However, due to the complexity of this
problem, its research progresses is much lower than that of the Max cut problem. Based on
the semidefinite programming relaxation proposed by Goemans and Williamson 4, Frieze
and Jerrum 5 obtained a 0.800217-approximation algorithm for the Max 3-Cut problem.
Recently, Goemans and Williamson 6 and Zhang and Huang 7 improved Frieze and
2 Mathematical Problems in Engineering

Jerrum’s 0.800217-approximation ratio to 0.836 using a complex semidefinite programming

relaxation of the Max 3-cut problem.
For the purpose of our analysis, we first introduce some
√ notations. We denote the
complex conjugate of y  a ib by y  a − ib, where i  −1 is the pure image number
and the real part and image part of a complex number by Re· and Im·, respectively. For
an n dimensional complex vector y ∈ Cn written as bold letter and n dimensional complex
matrix Y ∈ Cn×n , we write y∗ and Y ∗ to denote their conjugate and transpose. That is, y∗  yT
T
and Y ∗  Y . The set of n dimensional real symmetric semidefinite positive matrices and
the set of n dimensional complex Hermitian semidefinite positive matrices are denoted by
Sn Sn  and Hn Hn , respectively. We sometimes use A  0 to show A ∈ Sn or A ∈ Hn . For
any two complex vector u, v ∈ Cn , we write u, v  u · v  u∗ v as their inner product. For
any two complex matrices A, B ∈ Hn , we write A, B  A · B as their inner product; that is,

A, B  A · B  TrB∗ A  i,j bij aij , where A  aij  and B  bij . · means the module of
a complex number or the 2-norm of a complex vector or the F-norm of a complex matrix.
Let the third root of unity be denoted by ω0  1, ω  ω1  ei2π/3 , ω2  ei4π/3 .
Introduce a complex variable yi ∈ {1, ω, ω2 }, i  1, . . . , n, then it is not hard to know that

2 1 1 2  
− yi · yj − yj · yi  1 − Re yi · yj . 1.1
3 3 3 3

Denote Sk  {i : yi  ωk , k  0, 1, 2} and y  y1 , . . . , yn T . Then the Max 3-cut problem can be

expressed as

2   
M3C : max fy  wij 1 − Re yi · yj
3 i<j
1.2
2 n
s.t. y ∈ {1, ω, ω } ,

here y ∈ {1, ω, ω2 }n means that yi ∈ {1, ω, ω2 }, i  1, . . . , n, W  wij  is the weight-valued

matrix of a given graph.
By relaxing the complex variable yi into an n dimensional complex vector yi , we get a
complex semidefinite programming CSDP relaxation of M3C as follows:

2   
CSDP : max wij 1 − Re yi · yj
3 i<j

s.t. yi  1, i  1, 2, . . . , n, 1.3
Akij · Y ≥ −1, i, j  1, 2, . . . , n, k  0, 1, 2

Y  0,
Mathematical Problems in Engineering 3

where Yij  yi · yj , Akij  ωk ei eTj ω−k ej eTi and ei denotes the vector with zeros everywhere
except for an unit in the ith component. It is easily to verify that constraints Akij · Y ≥ −1 can
be expressed as

  1
Re ωk Yij ≥ − , k  0, 1, 2. 1.4
2

To get an approximate solution of M3C, Goemans and Williamson 6 do not directly solve
the CSDP, but solve an equivalent real SDP with following form Although some softwares,
such as SeDuMi 8 and the earlier version of SDPT3-4.0 9, can deal with SDPs with complex
data, this does not reduce the dimensions of problems:


1 Q O
RSDP : max ·X
2 O Q
 T
ei ei O
s.t. · X  2, i  1, 2, . . . , n,
O ei eTi
⎡ ⎤
Re Akij − Im Akij
⎣ ⎦ · X ≥ −2, 1 ≤ i < j ≤ n, k  0, 1, 2
Im Akij Re Akij
 
A0ij O 1.5
· X  0, 1 ≤ i < j ≤ n,
O −A0ij
 
O A0ij
· X  0, 1 ≤ i < j ≤ n,
A0ij O

O ei eTi
· X  0, i  1, 2, . . . , n,
ei eTi O

X ∈ S 2n ,

where Q  1/3 diagWe − W is the Laplace matrix of given graph, O is an n-dimensional

full zeros matrix.
In RSDP, the first, third, and forth classes of equality constraints ensure that Xii  1,
i  1, 2, . . . , n and with the form


R −S
X . 1.6
S R

The final two classes of equality constraints ensure that Sii  0 i  1, . . . , n and S is a skew-
symmetric matrix.
4 Mathematical Problems in Engineering

If X is an optimal solution of RSDP, then the complex matrix Y  R iS is an optimal

solution of CSDP. Then one can randomly generate a complex vector ξ, such that ξ ∼ N0, Y ,
and set

⎧  
⎪
⎪ 2π
⎪
⎪ 1, if Argξi  ∈ 0, ,
⎪
⎪ 3
⎪
⎪  
⎨ 2π 4π
yi  ω, if Argξi  ∈ , , 1.7
⎪
⎪ 3 3
⎪
⎪  
⎪
⎪
⎪
⎪ 4π
⎩ω2 , if Argξi  ∈ , 2π ,
3

where Arg· ∈ 0, 2π means the complex angle principal value of a complex number.
Goemans and Williamson 6 had verified that, see also Zhang and Huang 7,

y ≥ 0.836 · Q · Y .
f 1.8

The algorithm proposed by Goemans and Williamson 6 can obtain a very good
approximate ratio, and RSDP can be solved by interior point algorithm, but the 0.836-
approximate algorithm will be not practical in numerical study for the Max 3-cut problem.
From RSDP, one can see that for a graph with n nodes, RSDP has 2n 5nn − 1/2 constraints
and 3nn − 1/2 slack variables via the inequality constraints. That is to say, RSDP has a 2n
dimensional unknown symmetrical semidefinite positive matrix variable and a 3nn − 1/2
dimensional unknown vector variable, and 2n 5nn − 1/2 constraints, and has also many
matrices without an explicit block diagonal structure although they are sparse. For instance,
when n  100, RSDP becomes a very-high-dimensional semidefinite programming problem
with 14850 slack variables and 24950 constraints. Further, as we known, it is only a class of
universal and medium-scale instances for Max 3-cut problems with 50 to 100 nodes. Hence,
it will be very time consuming to solve such a RSDP relaxation of M3C using the current
existing any SDP softwares. This leads that 0.836-approximate algorithm is not suitable for
computational study of the Max 3-cut problem. This limitation for solving M3C based on
CSDP or RSDP relaxation motivates us to find a new efficient and fast algorithm for the
practical purpose for the Max 3-cut problem.
In the current paper, we first establish a definition of K-neighborhood structure of the
Max 3-cut problem and design a local search algorithm to find the local minimizer. And then,
we propose a variable neighborhood search VNS metaheuristic with stochastic steps which
is originally considered by Mladenović and Hansen 10, by which we can find efficiently
a high-quality global approximate solution of the Max 3-cut problem. Further, combining a
greed algorithm, we extend the proposed algorithm to the Max 3-section problem. To the
best of our knowledge, it is first time to consider the computational study of the Max 3-
cut problem. In order to test the performance of the proposed algorithm, we compare the
numerical results with Goemans and Williamson’s 0.836-approximate algorithm.
This paper is organized as follows. In Section 2, we give some definitions and lemmas.
In Section 3, we present the VNS metaheuristic for solving the Max 3-cut problem. The VNS
is extended to the Max 3-section problem in Section 4. In Section 5, we give some numerical
results and comparisons.
Mathematical Problems in Engineering 5

2. Preliminaries
In this section, we will establish some definitions and give some facts for our sequel purpose.
For the third roots of unity, 1, ω, ω2 , we can get the following fact:

 2  2
2     2.1
1−ω  ω − ω2   1 − ω2   3.

Denote S  {1, ω, ω2 }n . Then based on 2.1, for any y ∈ S, we may definite a K-neighborhood
of y as follows.

Definition 2.1. For any y ∈ S and any positive integer number K 1 ≤ K ≤ n, one defines the
K-neighborhood, denoted by NK y, of y as the set

 n 

 2
NK y  z∈S: z−y 2
  zi − yi  ≤ 3K . 2.2
i1

In particular, if K  1, we write the 1-neighborhood N1 y of y as Ny.

The boundary of the K-neighborhood NK y is defined by ∂NK y  {z ∈ S :

y − z 2  3K}. Clearly, Ny  ∂Ny. If z ∈ ∂NK y, we call z a K-neighbor of y. From
Definition 2.1, the difference of between points y and its K-neighbor z is that they have only
K different components. By computing straightforwardly, we get the number of elements of
∂NK y, that is |∂NK y|  2K CnK . Particularly, |∂Ny|  2n when K  1.

Example 2.2. Let y  ω, ω, ω2 T ∈ {1, ω, ω2 }3 . Then 1, ω, ω2 T ∈ Ny, 1, ω2 , ω2 T ∈

∂N2 y ⊂ N2 y, and 1, ω2 , ωT ∈ ∂N3 y ⊂ N3 y.

Definition 2.3. For any u ∈ {0, 1, 2}, define two maps from {1, ω, ω2 } to itself as follows:
τi ωu   ωu i ∈ {1, ω, ω2 }, i  1, 2.

Clearly, for any u ∈ {0, 1, 2}, τi ωu  /  ωu , i  1, 2 and τ1 ωu  /  τ2 ωu . Applying
Definition 2.3, for any z ∈ Ny there exists an unique component, zk say, of z, such that
 yk and either zk  τ1 yk  or zk  τ2 yk , and other components of z and y are the same.
zk /
For simplicity, for any z ∈ Ny with zk /  yk and zi  yi i  1, . . . , n, i /
 k, we denote by
z  τ1k y or z  τ2k y corresponding to zk  τ1 yk  or zk  τ2 yk . By Definitions 2.1
and 2.3, for any y ∈ S, we can structure its 1-neighborhood points using maps defined by
Definition 2.3; that is, we have the following result.

Lemma 2.4. Let τi · i  1, 2 be defined by Definition 2.3. Then, for any y ∈ S and any fixed positive
integer number k 1 ≤ k ≤ n, one has

τik y ∈ Ny, i  1, 2, 2.3

that is, τ1k y and τ2k y are two 1-neighborhood points of y.

Definition 2.5. A point y

 ∈ S is called a K-local maximizer of the function f over S, if fy ≥
fy, for all y ∈ NK 
y. Furthermore, if f y ≥ fy for all y ∈ S, then y
 is called a global
6 Mathematical Problems in Engineering

maximizer of f over S. A 1-local maximizer of the function f is also called a local maximizer
of the function f over S.

3. VNS for Max 3-Cut

3.1. Local Search Algorithm

Let y0  y10 , . . . , yn0 T ∈ S be a feasible solution of problem M3C. If y0 is not a local maximizer
of f, then for all y ∈ Ny0 , we may find a y  ∈ Ny0 , such that f
y  max{fy : y ∈ Ny0 }.
It is clear that f y ≥ fy . If y
0
 is not still a local maximizer of f, then replacing y0 with y
and repeating the process until a point y  satisfying fy  max{fy : y ∈ N y} is found,
which indicates that y  is a local maximizer of f.
For any positive integer number k 1 ≤ k ≤ n, let yk  y1k , . . . , ynk T  τik y0  ∈
Ny0  i  1, 2; that is,

yik  yi0 , i  1, 2, . . . , k − 1, k 1, . . . , n;
3.1
ykk  0
/ yk .

Denote

δk  f y0 − f yk . 3.2

Then, we have the following result whose proof is clear.

Lemma 3.1. Consider

⎧ k−1
⎪ 2   2  n  
⎪
⎪ 0
· k
− 0
wkj Re ykk − yk0 · yj0 ,
⎪
⎨3 w ik Re y i yk yk k > 1;
i1
3 jk 1
δk     3.3
⎪2
⎪
n
⎪
⎪ wkj Re ykk − yk0 · yj0 , k  1.
⎩3
jk 1

Based on Lemma 3.1, if we know the value of fy0 , then we can obtain the value
function fyk  at next iterative point yk by calculating δk by 3.3, instead of calculating
directly the values fyk , which reduces sharply the computational cost. By Definition 2.1,
there exist two points satisfying 3.1 for fixed k; that is, when yk ∈ Ny0  and 3.1 is
satisfied, then either ykk  τ1 yk0  or ykk  τ2 yk0 . For our convenience, we denote δk by
δ1 k when ykk  τ1 yk0  and by δ2 k when ykk  τ2 yk0 . In what follows, we describe the local
search algorithm for the Max 3-cut problem denoted by LSM3C; by this algorithm, we can
get a local maximizer of functionfy over S.
For LSM3C, one has the following.

1 Input any initial feasible solution y0 of problem M3C.

2 For k from 1 to n, set zk1  τ1k y0 , calculate δ1 k, and set again zk2  τ2k y0 ,
calculate δ2 k.
Mathematical Problems in Engineering 7

3 Find δi∗ k∗  by the following way:

δi∗ k∗   min{δ1 1, δ2 1, . . . , δ1 k, δ2 k, . . . , δ1 n, δ2 n}. 3.4

4 If δi∗ k∗  ≥ 0, then set y

  y0 , return y
 , and stop. Otherwise, go to next.
∗
5 Set y0  τik∗ y0 ; go to Step 2.

3.2. Variable Neighborhood Stochastic Search

Let y be a local maximizer obtained by LSM3C and Kmax 1 < Kmax ≤ n a fixed positive
integer number. we now describe the variable neighborhood search VNS with stochastic
steps, by which we can find an approximate global maximizer of problem M3C. The
proposed VNS algorithm actually has three phases: First, for any given positive integer
number K < Kmax , a K-neighborhood point, y say, is randomly selected; that is, y ∈ NK  y.

Next, a solution, y
 say, is obtained by applying algorithm LSM3C to y. Finally, the current
solution jumps from y  to y  if it improves the former one. Otherwise, the order K of the
neighborhood is increased by one when K < Kmax and the above steps are repeated until
some stopping condition is met. The VNS that is also called k-max 11 can be illustrated as
follows.
For VNS-k, one has the following.

1 Arbitrary choose a point y0 ∈ S, implement LSM3C starting from y0 ∈ S and denote
the obtained local maximizer by y  . Set K  1.
2 Randomly take a point y ∈ ∂NIK y and implement again LSM3C from y, and
 .
denote the obtained new local maximizer by y
  > f
3 If fy y, then set y  and K  1; go to Step 2.
y
4 If K < Kmax ≤ n, set K  K 1; go to Step 2. Otherwise, return y
 as an approximate
global solution of problem M3C and stop.

The subscript IK in Step 2 is a function of K and is also a positive integer number
not greater than n. IK reflects the main skill of converting the current neighborhood of
local maximizer y  into another neighborhood of y  . For a given Kmax , let m  n/Kmax  and
K0  n − mKmax , where a means the integral part of a. We divide the n neighborhoods of y ,
Ny, N2 
y, . . . , NK y, . . . , Nn 
y into Kmax neighborhood blocks NI1  y, . . . , NIKmax  
y,
such that, for K  1, 2, . . . , Kmax − K0 ,

y ⊆ NIK 
NK−1m 1  y ⊆ NKm 1 
y, 3.5

and, for K  Kmax − K0 1, . . . , Kmax − K0 j, . . . , Kmax ,

NK−1m y
1 1  ⊆ NIK 
y ⊆ NKm 1 y.
 3.6

In order to obtain the Kmax neighborhood blocks of y  , NIK 

y, K  1, . . . , Kmax , we divide
the set {1, 2, . . . , n} into Kmax disjoint subsets, where each subset of the first Kmax − K0 subsets
8 Mathematical Problems in Engineering

has m integers and each subset of the last K0 subsets has m 1 integers. For any integer
K≤ Kmax , let

IK  K − 1 · m c · m 1, K  1, 2, . . . , Kmax − K0 , 3.7

or

IK  Kmax − K0 m m 1 · c 1 m 1K − Kmax − K0  − 1

 m 1 · c 1 m 1K − 1 − Kmax − K0 , 3.8

K  Kmax − K0 1, . . . , Kmax − K0 j, . . . , Kmax .

Then we can randomly choose a point y in ∂NIK  y, where c ∈ 0, 1 is a random number
from uniformly distribution U0, 1, such that NIK 
y satisfies 3.5 or 3.6.
VNS-k stops when the maximum K neighborhood is reached. Additionally, we also
consider another termination criterion of VNS based on the maximum CPU-time and denoted
by VNS-t. VNS-t can obtain a better solution than VNS-k since VNS-t actually runs several
times VNS-k in the maximum allowing time tmax , but it generally has to spend more
computational time. The VNS-t can be stated as follows.
For VNS-t, one has the following.

1 Set tCPU  0, running VNS-k for an arbitrary initial point y0 ∈ S, and let a local
optimal solution y
 be obtained.

2 If K  Kmax ≤ n, go to Step 3.

3 If tCPU < tmax , then set K  1; go to Step 2 in VNS-k. Otherwise, return y
 as an
approximate global solution of problem M3C and stop.

We mention that it differs from the classical variable neighborhood search meta-
heuristic that is originally proposed by Mladenović and Hansen 10. In order to obtain a
global optimal solution or a high-quality approximate solution of problem M3C, we use
two stochastic steps in VNS. First, for a fixed K, a K-neighbor of y  is chosen randomly.
Second, by the definition of IK, when we change the neighborhood of y  from NIK−1 to
NIK , NIK may take any a neighborhood among NK−1m j , j  1, 2, . . . , m of y
 , which is
decided by random number c. In VNS, positive integer Kmax decides the maximum search
neighborhood block of y  , which also decides directly the CPU-time of VNS. Based on the
second stochastic step, we may choose a relative small Kmax comparing with n. This can
decrease our computational time.

4. A Greedy Algorithm for Max 3-Section

When the number of nodes n is a multiple of three and the condition |S0 |  |S1 |  |S2 |  n/3 is
required, the Max 3-cut problem becomes the Max 3-section problem. Notice that 1 ω ω2 
Mathematical Problems in Engineering 9

0, then the Max 3-section problem can be formulated as the following programming problem
M3S:

2   
M3S : max wij 1 − Re yi · yj
3 i<j


n
4.1
s.t. yi  0,
i1

y ∈ S,

and its CSDP relaxation is

2   
CSDP1 : max wij 1 − Re yi · yj
3 i<j

s.t. eeT · Y  0,
4.2
yi  1, i  1, 2, . . . , n,

Akij · Y ≥ −1, i, j  1, 2, . . . , n, k  0, 1, 2

Y  0,

where e is the column vector of all ones. Andersson 12 extended Frieze and Jerrum’s
random rounding method to M3S and obtained a 2/3 O1/n3 -approximate algorithm,
which is the current best approximate ratio for M3S; also see the recent research of Gaur et
al. 13. The author of the current paper considers a special the Max 3-Section problem and
obtains a 0.6733-approximate algorithm; see Ling 2009 14.
Clearly, the feasible region of problem M3S is a subset of S, and the optimal value of
problem M3S is not greater than that of problem M3C. Assume that we have get a global
optimal solution or a high-quality approximate solution y  of problem M3C. It is clear that y 

may not satisfy the condition ni1 yi  0. But we may adjust y  to get a new feasible solution

ys using a greedy algorithm, such that ys satisfies ni1 yis  0. This is the motivation that we
propose the greedy algorithm for the Max 3-section problem.
For the sake of our analysis, without loss of generality, we assume that the local
maximizer y  satisfies |S0 |  max{|S0 |, |S1 |, |S2 |}. This means that S0  {i : yi  1} is the
subset of V with maximum cardinal number. If |Sk |  max{|S0 |, |S1 |, |S2 |}k /  0, k  1, 2,
then we may set yiN  wk yi , i  1, . . . , n. The resulted new solution yN  y1N , . . . , yiN 
will not change the objective value since f y  fwk y   k 
/ 0, k  1, 2; moreover, the new
partition {S0 , S1 , S2 } based on y satisfies |SN
N N N N
0 |  max{|S 0 |, |S1 |, |S2 |}. By our assumption,
N N N

the partition S  {S0 , S1 , S2 } still exist four possible cases.

Case 1. |S0 | ≥ |S1 | ≥ n/3 ≥ |S2 |.

Case 2. |S0 | ≥ n/3 ≥ |S1 | ≥ |S2 |.

Case 3. |S0 | ≥ |S2 | ≥ n/3 ≥ |S1 |.

Case 4. |S0 | ≥ n/3 ≥ |S2 | ≥ |S1 |.

10 Mathematical Problems in Engineering

The sizes adjusting greedy algorithm of Cases 3 and 4 are similar to Cases 1 and 2.
Hence, we mainly consider Cases 1 and 2 for adjusting the partition of V from S  {S0 , S1 , S2 }
to S  {S0 , S1 , S2 } such that |Sk |  n/3, k  0, 1, 2. Denote

δ0 i  wij , i ∈ S0 ,
j∈S1 ∪S2
 
δ01 i  wij , i ∈ S0 , δ10 i  wij , i ∈ S1 ,
j∈S1 j∈S0
  4.3
δ02 i  wij , i ∈ S0 , δ20 i  wij , i ∈ S2 ,
j∈S2 j∈S0
 
δ12 i  wij , i ∈ S1 , δ21 i  wij , i ∈ S2 .
j∈S2 j∈S1

Then, it follows from simple computation that

δ0 i  δ01 i δ02 i, for each i ∈ S0 ,

 
δkl i  δlk i, k, l  0, 1, 2, k 
/ l,
i∈Sk i∈Sl
 
y 
f δ0 i δ12 i 4.4
i∈S0 i∈S1
  
 δ01 i δ02 i δ12 i
i∈S0 i∈S0 i∈S1

 d01 d02 d12 ,

  
where d01  i∈S0 δ01 i, d02  i∈S0 δ02 i, d12  i∈S1 δ12 i.
In what follows, we describe the size adjusting greedy algorithms SAGAs for Cases
1 and 2, and denote the greedy algorithms for the two cases by SAGA1 and SAGA2,
respectively.
For SAGA1, one has the following.
1 Calculate
 
i∈S0 δ02 i i∈S1 δ12 i
m02  , m12  . 4.5
|S0 | |S1 |

2 If m02 ≥ m12 , let S1  {j1 , j2 , . . . , j|S1 | }, where δ12 jl  ≥ δ12 jl 1 , l  1, 2, . . . , |S1 |. Set

S1  {j1 , j2 , . . . , jn/3 }, S2  S2 S1 \ S1  and renew to calculate


δ02 i  wij ,
4.6
j∈S2


for each i ∈ S0 . Let S0  {i1 , i2 , . . . , i|S0 | }, where δ02 
ik  ≥ δ02 ik 1 . Set S0 
   
{i1 , i2 , . . . , in/3 } and S2  S2 S0 \ S0 .
Mathematical Problems in Engineering 11

3 If m02 < m12 , let S0  {i1 , i2 , . . . , i|S0 | }, where δ02 ik  ≥ δ02 ik 1 , k  1, 2, . . . , |S0 |, set

S0  {i1 , i2 , . . . , in/3 }, S2  S2 S0 \ S0 , and then renew to calculate


δ12 i  wij ,
4.7
j∈S2


for each i ∈ S1 . Set S1  {j1 , j2 , . . . , jn/3 } and S2  S2 S1 \ S1 , where δ12

jk  ≥

δ12 jk 1  here.
4 Return the current partition S  {S0 , S1 , S2 }; stop.

For SAGA2, one has the following.

 
1 Calculate d01  i∈S0 δ01 i, d02  i∈S0 δ02 i, and

d01 d02
m01  , m02  . 4.8
|S0 | |S0 |

2 If m01 ≤ m02 , let

 
S0  i1 , i2 , . . . , i|S0 | , 4.9

where δ01 ik  ≥ δ01 ik 1 , k  1, 2, . . . , |S0 |. Set

 
S0  i1 , i2 , . . . , i|S0 |−q1 , S1  S1 S0 \ S0 , 4.10

where q1  n/3 − |S1 |. Renew to calculate



δ02 i  wij , i ∈ S0 . 4.11
j∈S2

and let
 
S0  i1 , i2 , . . . , i S , 4.12
| 0|


where δ02 ik  ≥ δ02

ik 1 , k  1, 2, . . . , |S0 |. Set

! "
S0  i1 , i2 , . . . , in/3 , S2  S2 S0 \ S0 . 4.13

3 If m01 > m02 , let

 
S0  i1 , i2 , . . . , i|S0 | , 4.14
12 Mathematical Problems in Engineering

where δ02 ik  ≥ δ02 ik 1 , k  1, 2, . . . , |S0 |. Set

 
S0  i1 , i2 , . . . , i|S0 |−q2 , S2  S2 S0 \ S0 , 4.15

where q2  n/3 − |S2 |. Renew to calculate



δ01 i  wij , i ∈ S0 . 4.16
j∈S1

and let
 
S0  i1 , i2 , . . . , i S , 4.17
| 0|


where δ01 ik  ≥ δ01

ik 1 , k  1, 2, . . . , |S0 |. Set

! "
S0  i1 , i2 , . . . , in/3 , S1  S1 S0 \ S0 . 4.18

4 Return the current partition S  {S0 , S1 , S2 }; stop.

5. Numerical Results
This section describes the obtained experimental results for some instances of Max 3-
cut and Max 3-Section problems using the proposed VNS metaheuristic. We also show a
quantitative comparison with 0.836-approximate algorithm. The computational experiments
are performed in an Intel Pentium 4 processor at 2.0 GHz, with 512 MB of RAM, and all
algorithms are coded in Matlab. Because RSDP relaxation of M3C includes many slack
variables, many constraints, and matrices variables without a block diagonal structures, in
our numerical comparisons, we choose SDPT3-4.0 9, one of the best and well-known solvers
of semidefinite programming, to solve RSDP relaxation of M3C.
All our test problems are generated randomly by the following way. Let p ∈ 0, 1 be
a constant and r ∈ 0, 1 a random number. If r ≤ p, then there is an edge between nodes i
and j with weight wij , that is, a random integer between 1 and 10. Otherwise, wij  0; that
is, there is no edge between nodes i and j. Because of the limits of memory of SDPT3, when
n > 200, RSDP becomes a huge semidefinite programming problem with not less than 59700
slack variables and 99900 constraints and is out of memory of SDPT3. Hence, in the numerical
experiments, we consider 30 instances with p  0.1, 0.3, 0.6, and n varying from 20 to 200.
Firstly, we check the influence of Kmax on the quality of solution obtained by VNS-k.
For a given graph, we take Kmax  3, 5, 10, 15, 30; Table 1 presents the results, where Wnp in the
first column of this table and the following tables means that a graph is randomly generated
with nodes n and density p; for instance, W30.6 presents a graph generated randomly with
n  30 and p  0.6. We find from Table 1 that the influence of Kmax to objective value
denoted by Obj in Table 1 is slight when Kmax > 5, but the CPU time increases sharply as
Kmax increases. This result is actually not surprising. Indeed, because IK > K, we choose
Mathematical Problems in Engineering 13

Table 1: The objective value obtained by VNS for M3C with different Kmax .

Kmax 3 Kmax 5 Kmax  10 Kmax  15 Kmax  30

Wnp
Obj t Obj t Obj t Obj t Obj t
W60.1 960 1.38 965 2.14 967 4.63 967 6.29 969 12.50
W100.3 6001 7.55 6010 12.66 6013 23.37 6013 29.28 6015 69.52
W120.1 3323 13.76 3335 34.07 3337 38.78 3339 50.48 3343 101.85

randomly a point y in ∂NIK  y, instead of ∂NK y. This avoids to choose too large Kmax
which leads to more CPU-time cost. Hence, in sequel numerical comparisons, we fix Kmax  5
for all test problems.
Secondly, we compare VNS VNS-k, VNS-t metaheuristic with 0.836-approximate
algorithm for all test problems. To avoid the effect of initial points, for each test problem,
after RSDP is solved, we run the round procedure of 0.836-approximate algorithm and VNS
metaheuristic ten times, respectively.
Table 2 gives the result of numerical comparisons. In the numerical presentations of
Table 2, Objrsdp is the optimal value of problem RSDP; that is, it is an upper bound of M3C.
ObjGM is the largest value obtained by 0.836-approximate algorithm in the ten tests. Objvns
stands for the largest value obtained by VNS for M3C in the ten tests, respectively. m and s.v.
are the number of constraints and slack variables s.v., respectively. tGM and tvns−k are the
average time second associated with the two algorithms in the ten tests. For the maximum
CPU time of VNS-t, we take tmax  2tvns−k , but the real CPU time of VNS-t will be greater than
tmax . Additionally, for measuring the performance of solutions, we take

Objvns − Objrsdp Objvns

ρ  −1 5.1
Objrsdp Objrsdp

for M3C and

Objvns saga − Objrsdp Objvns saga

ρ  −1 5.2
Objrsdp Objrsdp

for M3S. Clearly, ρ can reflect how close to the solution obtained by VNS from the optimal
solution of RSDP. One can see from Table 2 that 1 the VNS metaheuristic not only can
obtain a better solution than 0.836-approximate algorithm for all test problems, but also
that the elapsed CPU-time of VNS metaheuristic is much less than that of 0.836-approximate
algorithm for all test problems, 2 the performance of solution can be improved by VNS-t for
most of test problems when the termination criterion of VNS is based on the maximum CPU-
time, but VNS-t spends more computational time than VNS-k. The improved performance
can be reflected by ∇ρ  ρt − ρk in the final column of Table 2. Average speaking, VNS-t
improves 0.91 percentage point.
Finally, we consider the solution of M3S by combining VNS-k and greedy sizes-
adjusted algorithm SAGA stated in Section 4. Let y  be an approximate solution of M3C
obtained by VNS; we can obtain an approximate solution of M3S from SAGA. The numerical
results are reported by Table 3 in which Objvns saga stands for the largest value obtained
by VNS-k plus SAGA for M3S. Although our sizes-adjusted algorithm may decrease the
objective value obtained by VNS, the changes of objective values are very slight from
14 Mathematical Problems in Engineering

Table 2: The numerical comparisons of 0.836-approximate algorithm with VNS metaheuristic.

m 0.836-algorithm VNS
Wnp Objrsdp
s.v. ObjGM tGM Objvns-k tvns-k ρk % Objvns−t ρt % ∇ρ%
W20.1 990 121 117 22.93 119 0.28 −1.65 119 −1.65 0
W20.3 570 232 225 25.58 228 0.29 −1.72 228 −1.72 0
W20.6 492 464 14.27 479 0.40 −2.65 479 −2.24 0.41
W30.1 2235 147 139 161.56 144 0.81 −2.04 144 −2.04 0
W30.3 1305 566 521 140.12 550 0.97 −2.83 550 −2.30 0.53
W30.6 1181 1101 94.93 1151 0.92 −2.54 1151 −2.03 0.51
W45.1 5040 675 594 202.48 605 0.92 −10.38 612 −9.33 1.05
W45.3 2970 1300 1147 211.72 1192 1.02 −8.31 1300 −7.15 1.16
W45.6 2441 2272 217.57 2313 1.02 −5.25 2350 −3.73 1.52
W60.1 8970 1069 918 256.35 965 2.14 −9.73 981 −8.23 1.50
W60.3 5310 2494 2228 256.57 2301 3.13 −7.74 2332 −6.50 1.24
W60.6 4403 4054 266.68 4213 2.48 −4.32 4307 −2.18 2.14
W80.1 15960 1567 1357 537.58 1415 5.82 −9.71 1438 −8.23 1.48
W80.3 9480 4094 3666 546.23 3801 7.35 −7.16 3912 −4.45 2.71
W80.6 7746 7328 495.34 7423 6.31 −4.17 7481 −3.42 0.75
W100.1 24950 2526 2149 893.52 2262 12.73 −10.46 2302 −8.87 1.60
W100.3 14850 6418 5814 882.73 6010 12.66 −6.36 6113 −4.75 1.61
W100.6 11956 11212 865.28 11391 11.99 −4.73 11422 −4.47 0.26
W120.1 33990 3746 3222 1476.54 3335 34.07 −10.98 3392 −9.45 1.53
W120.3 21420 9173 8266 1498.18 8575 35.41 −6.52 8623 −6.00 0.52
W120.6 16748 15596 1567.43 16056 43.80 −4.14 16114 −3.79 0.35
W150.1 56175 5821 5020 2618.11 5208 69.20 −10.54 5257 −9.69 0.85
W150.3 33525 14432 13209 3021.87 13543 70.60 −6.15 13607 −5.72 0.43
W150.6 26310 25076 3172.22 25405 74.46 −3.44 25517 −3.01 0.43
W180.05 80910 4303 3578 9043.25 3726 133.10 −13.41 3812 −11.41 1.20
W180.1 48330 7236 6328 10225.54 6481 130.07 −10.44 6547 −9.52 0.92
W180.3 20147 18436 9887.36 19031 132.14 −5.54 19213 −4.64 0.90
W180.6 37292 35386 10004.11 35949 102.77 −3.61 36124 −3.13 0.48
W200.05 99900 5174 4306 25872.33 4484 71.90 −13.40 4509 −12.85 0.55
W200.1 59700 9271 8092 29003.28 8799 149.50 −5.10 8853 −4.51 0.59
W200.5 38831 36481 28774.17 37477 200.16 −3.49 37552 −3.29 0.20

Table 3. Particular, objective values of some problems do not decrease, instead increase,
such as W150.3. We do not compare the obtained results with Andersson’s 2/3-approximate
algorithm. Because we find that all approximate solutions of M3S obtained by VNS plus
SAGA still are better than that of 0.836-approximate algorithm with the exception of only
W30.1 and W30.3.

6. Conclusions
A variable neighborhood stochastic metaheuristic was proposed to solve the Max 3-cut and
Max 3-section problems in this paper. Our algorithms can solve Max 3-cut and Max 3-
section problems with different sizes and densities. Although 0.836-approximate algorithm
Mathematical Problems in Engineering 15

Table 3: The numerical results of combining VNS-k metaheuristic with SAGA for M3S.

Wnp Objrsdp ObjGM Objvns saga ρk %

W30.1 147 139 138 −6.12
W30.3 566 521 518 −8.49
W30.6 1181 1101 1151 −2.55
W45.1 675 594 605 −10.38
W45.3 1300 1147 1191 −8.39
W45.6 2441 2272 2313 −5.25
W60.1 1069 918 952 −10.95
W60.3 2494 2228 2301 −7.74
W60.6 4403 4054 4213 −4.32
W120.1 3746 3222 3290 −12.18
W120.3 9173 8266 8449 −7.90
W120.6 16748 15596 16056 −4.14
W150.1 5821 5020 5203 −10.62
W150.3 14432 13209 13551 −6.11
W150.6 26310 25076 25096 −4.62
W180.05 4303 3578 3726 −13.41
W180.1 7236 6328 6396 −11.61
W180.3 20147 18436 18823 −6.58
W180.6 37292 35386 35947 −3.61

has the very good theoretic results, in numerical aspects, our comparisons indicate that the
proposed VNS metaheuristic is superior to the well-known 0.836-approximate algorithm
and can efficiently obtain very high-quality solutions of the Max 3-cut and Max 3-section
problems.
We mention that the proposed algorithm in fact can deal with higher dimensional G-set
graphs problems created by Pro. Rinaldi using a graph generator, rudy. But, we cannot give
numerical comparisons with 0.836-approximate algorithm since RSDP relaxations of these
problems are out of memory of the current all SDP software. In additionally, if we increase
Kmax or tmax in numerical implementing, then the quality of solution of M3C will further be
improved by VNS.

Funding
This work is supported by the National Natural Science Foundations of China no. 71001045,
10971162, the China Postdoctoral Science Foundation no. 20100480491, the Natural Science
Foundation of Jiangxi Province of China no. 20114BAB211008, and the Jiangxi University
of Finance and Economics Support Program Funds for Outstanding Youths.

Acknowledgment
The authors would like to thank the editor and an anonymous referee for their numerous
suggestions for improving the paper.
16 Mathematical Problems in Engineering

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 761708, 12 pages
doi:10.1155/2012/761708

Research Article
Opposition-Based Barebones Particle Swarm for
Constrained Nonlinear Optimization Problems

Hui Wang
School of Information Engineering, Nanchang Institute of Technology, Nanchang 330099, China

Correspondence should be addressed to Hui Wang, wanghui [email protected]

Received 29 December 2011; Revised 9 April 2012; Accepted 10 May 2012

Academic Editor: Jianming Shi

Copyright q 2012 Hui Wang. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

This paper presents a modified barebones particle swarm optimization OBPSO to solve con-
strained nonlinear optimization problems. The proposed approach OBPSO combines barebones
particle swarm optimization BPSO and opposition-based learning OBL to improve the quality
of solutions. A novel boundary search strategy is used to approach the boundary between the
feasible and infeasible search region. Moreover, an adaptive penalty method is employed to handle
constraints. To verify the performance of OBPSO, a set of well-known constrained benchmark
functions is used in the experiments. Simulation results show that our approach achieves a
promising performance.

1. Introduction
Many engineering problems can be converted to constrained optimization problems. The aim
of constrained optimization is to find a feasible solution with minimized cost In this paper,
we only consider minimization problems. A general constrained minimization optimization
problem can be defined as follows.

Minimize fx 1.1

subject to

gj x ≤ 0, j  1, 2, . . . , q,
1.2
hj x  0, j  q  1, 2, . . . , m,
2 Mathematical Problems in Engineering

where gx is inequality constraint, hx is the equality constraint, m is the number of
constraints, q is the number of inequality constraints, and m − q is the number of equality
constraints.
Particle swarm optimization PSO is a population-based stochastic search algorithm
developed by Kennedy and Eberhart 1. Although PSO shares many similarities with
evolutionary algorithms EAs, the standard PSO does not use evolution operators such as
crossover and mutation. For PSO’s simple concept, easy implementation, and effectiveness,
it has been widely applied to many optimization areas.
Although PSO has shown a good performance over many optimization problems, it
does not work well when solving complex problems. Especially for constrained optimization
problems, the standard PSO could hardly search promising solutions. The possible reason is
that constrained optimization problems are usually multimodal and having some constraints.
PSO could easily fall into local minima and hardly search feasible solutions. To enhance the
performance of PSO on constrained optimization problems, many improved PSO variants
have been proposed in the past several years.
Meng et al. 2 used a quantum-inspired PSO QPSO to solve constrained economic
load dispatch. The QPSO shows stronger search ability and quicker convergence speed,
not only because of the introduction of quantum computing theory, but also due to two-
novel strategies: self-adaptive probability selection and chaotic sequences mutation. Coelho
3 presented a novel quantum-behaved PSO QPSO to solve constrained engineering
design problems. The proposed approach embedded a Gaussian mutation into QPSO to
prevent premature convergence to local minima. Sun et al. 4 proposed an improved vector
PSO IVPSO based on multidimensional search, in which a simple constraint-preserving
method is used to handle constraints. Liu et al. 5 used a hybrid PSO called PSO-DE to
solve constrained numerical and engineering optimization problems. The PSO-DE integrates
PSO with differential evolution DE to obtain a good performance. Venter and Haftka 6
proposed a new method to solve constrained optimization problems. The constrained, single
objective optimization problem is converted into an unconstrained, biobjective optimization
problem that is solved using a multiobjective PSO algorithm. Lu and Chen 7 presented
an enhanced PSO by employing a dynamic inertia weight to avoid premature convergence.
The inertia weight of every individual is dynamically controlled by the Euclidean distance
between individual and the global best individual. Daneshyari and Yen 8 proposed a
cultural-based constrained PSO to incorporate the information of the objective function and
constraint violation. The archived information facilitates communication among swarms in
the population space and assists in selecting the leading particles in three different levels:
personal, swarm, and global levels.
There have been many modifications to the original PSO algorithm to improve the
efficiency and robustness of the search. Although these modified PSO variants have shown
good search abilities, their performance greatly depends on the control parameters in the
velocity updating model, such as inertia weight w and acceleration coefficients c1 and c2 .
Recently, a parameter-free PSO, known barebones PSO BPSO 9, used Gaussian normal
distribution to update the particles in the population. It does not involve inertia weight,
acceleration coefficients, and velocity. Its performance has been found to be competitive,
and a number of BPSO algorithms have been proposed in the past several years. Omran
et al. 10 incorporate the idea of BPSO into DE. Krohling and Mendel 11 employed a jump
strategy in BPSO to avoid premature convergence. Motivated by the idea of BPSO, this paper
presents an improved BPSO, namely OBPSO, to solve constrained nonlinear optimization
problems. In OBPSO, opposition-based learning OBL concept 12 is used for population
Mathematical Problems in Engineering 3

initialization and generation jumping. To verify the performance of OBPSO, a set of well-
known constrained benchmark problems are used in the experiments. Results obtained by
the proposed OBPSO are compared with those in the literature and discussed.
The rest of the paper is organized as follows. In Section 2, the standard PSO and
barebones PSO are briefly introduced. Section 3 describes our proposed approach. Section 4
presents experimental simulations, results, and discussions. Finally, the work is concluded in
Section 5.

2. Belief Descriptions of PSO and Barebones PSO

In traditional PSO, a member in the swarm, called a particle, represents a potential solution
in the D-dimensional search space. Each particle has two vectors: velocity and position. It is
attracted by its previous best particle pbest and the global best particle gbest during the
evolutionary process. The velocity vij and position xij of the jth dimension of the ith particle
are updated according to 2.1 13:

 
vij t  1  w · vij t  c1 · rand1ij · pbestij t − xij t
 
 c2 · rand2ij · gbestj t − xij t , 2.1

xij t  1  xij t  vij t  1,

where i  1, 2, . . . , N is the particle’s index, N is the population size, Xi  xi1 , xi2 , . . . , xiD  is
the position of the ith particle; Vi  vi1 , vi2 , . . . , viD  represents the velocity of the ith particle;
the pbesti  pbesti1 , pbesti2 , . . . , pbestiD  is the best previous position yielding the best fitness
value for the ith particle; gbest  gbest1 , gbest2 , . . . , gbestD  is the global best particle found
by all particles so far. The parameter w, called inertia factor, which is used to balance the
global and local search abilities of particles 13, rand1ij and rand2ij are two random numbers
generated independently within the range of 0, 1, c1 and c2 are two learning factors which
control the influence of the social and cognitive components, and t  1, 2, . . . indicates the
iteration number.
Recently, Kennedy 9 developed the barebones PSO BPSO. This new version of PSO
eliminates the velocity term, and the position is updated as follows.

 
gbestj t  pbestij t  

xij t  1  G , gbestj t − pbestij t , 2.2
2

where xij t1 is the position of the ith particle in the population, and G represents a Gaussian
distribution with mean gbestj tpbestij t/2 and standard deviation |gbestj t−pbestij t|.
Note that the particle positions are sampled by the above Gaussian distribution. The
BPSO facilitates initial exploration, due to large deviation initially, pbest will be far from the
gbest. As the number of generation increases, the deviation approaches to zero, by focussing
on exploitation of the pbest and gbest 14.
4 Mathematical Problems in Engineering

3. Opposition-Based Barebones PSO (OBPSO)

3.1. Opposition-Based Learning
Opposition-based learning OBL developed by Tizhoosh 12 is a new concept in
computational intelligence. It has been proven to be an effective concept to enhance
various optimization approaches 15–17. When evaluating a solution x to a given problem,
simultaneously computing its opposite solution will provide another chance for finding a
candidate solution which is closer to the global optimum.
Let X  x1 , x2 , . . . , xD  be a candidate solution in a D-dimensional space, where
x1 , x2 , . . . , xD ∈ R and xj ∈ aj , bj , j ∈ 1, 2, . . . , D. The opposite solution X ∗  x1∗ , x2∗ , ..., xD
∗
 is
defined by 15

xj∗  aj  bj − xj . 3.1

By staying within variables’ interval static boundaries, we would jump outside of the
already shrunken search space and the knowledge of the current converged search space
would be lost. Hence, we calculate opposite particles by using dynamically updated interval
boundaries aj t, bj t as follows 15.

xij∗  aj t  bj t − xij , 3.2

   
aj t  min xij t , bj t  max xij t , 3.3
 
xij∗  rand aj t, bj t , if xij∗ < xmin xij∗ > xmax ,
3.4
i  1, 2, . . . , N, j  1, 2, . . . , D,

where xij is the jth position element of the ith particle in the population, xij∗ is the opposite
particle of xij , aj t and bj t are the minimum and maximum values of the jth dimension in
current search space, respectively, randaj t, bj t are random numbers within aj t, bj t,
xmin , xmax  is the box-constraint of the problem, and N is the population size, and t  1, 2, . . .,
indicates the generations.

3.2. Adaptive Constraint Handling

To handle the constraints in solving constrained optimization problems, this paper employs
an adaptive penalty method APM which was early considered in 18–20. It aims to
help users avoid manually defining the coefficients of penalty functions. In the APM, each
constraint of the candidate solutions is monitored. If a constraint seems to be more difficult
to satisfy, then a larger penalty coefficient is added.
For each candidate solution, its jth constraint violation cvj x is computed as follows:

 
hj x
cvj x  3.5
min 0, gj x ,

where hj x is the jth equality constraint, and gj x is the jth inequality constraint.
Mathematical Problems in Engineering 5

The fitness value of candidate solution is defined by

⎧
⎪
⎨fx, if x is feasible
Fx   
m
  3.6
⎩fx 
⎪ kj · cvj x , otherwise,
j1


where m is the number of constraints, kj is a penalty coefficient for each constraint, and fx
is defined by

 fx, if fx is better than fx

fx  3.7
fx, otherwise,

where fx is the average objective function values in the current swarm, and it is computed
as

1 N
fx  · fxi , 3.8
N i1

where N is the population size.

For the penalty coefficient kj , it determines the scaled factor of the jth constraint. Every
generation, the kj is adaptively adjusted as follows.

  cvj x
 
kj  fx · m 2
, 3.9
l1 cvl x

where cvl x is the violation of the lth constraint averaged over the current swarm, and it is
computed by

1 N
cvj x  · cvij x, 3.10
N i1

where cvij x is the violation of ith particle on the jth constraint.

3.3. Boundary Search Strategy

For constrained optimization problems, the solution search space can be divided into two
parts: feasible space and infeasible space. In some cases, the global optimum is located at
the boundaries of feasible space. It is difficult to find this kind of solutions. Because many
algorithms can hardly judge the boundaries of feasible space. To tackle this problem, this
paper employs a boundary search strategy as follows.
6 Mathematical Problems in Engineering

Infeasible region
New solution
Boundaries

Feasible region

Figure 1: The boundary search strategy.

If the current population contains M feasible solutions and N − M infeasible solutions

M < N, then we randomly select one feasible solution x and one infeasible solution y.
Based on x and y, a new solution z is generated by

zj  0.5 · xj  0.5 · yj , 3.11

where j  1, 2, . . . , D.
Note that the boundary search strategy works when the current population contains
feasible and infeasible solutions. Figure 1 clearly illustrates the boundary search. As seen, if
the new solution z is infeasible, then replace y with z. Because z is nearer to the boundary
than y. If z is feasible, then replace x with z. Because z is nearer to the boundary than x.

3.4. The Proposed Approach

The proposed approach OBPSO uses a similar procedure to that of opposition-based
differential evolution ODE for opposition-based population initialization and dynamic
opposition 15. To handle the constraints, we define a new fitness evaluation function
as described in 3.6. Moreover, we also use a boundary search strategy to find the
solutions located at the margin of the feasible region. The framework of OBPSO is shown
in Algorithm 1, where P is the current population, OP is the population after using OBL, Pi
is the ith particle in P , OPi is the ith particle in GOP, po is the probability of opposition, N is
the population size, D is the dimension size, aj t, bj t is the interval boundaries of current
population, FEs is the number of fitness evaluations, and MAX FEs is the maximum number
of fitness evaluations.

4. Experimental Verifications
4.1. Test Problems
To verify the performance our proposed approach, we employ a set of 13 benchmark
functions from the literature 21, 22. The main characteristics of these benchmark functions
are summarized in Table 1. For specific definitions of these functions, please refer to 23.
Mathematical Problems in Engineering 7

1 Uniform randomly initialize each particle in the swarm;

2 Initialize pbest and gbest;
3 While FEs ≤ MAX FEs do
/∗ Barebones PSO ∗
/
4 for i  1 to N do
5 Calculate the position of the ith particle Pi according to 2.2;
6 Calculate the fitness value of Pi according to 3.6;
7 FEs ;
8 end
/∗ Opposition-based learning ∗
/
9 if rand0, 1 ≤ po then
10 Update the dynamic interval boundaries aj t, bj t in P according to 3.3;
11 for i  1 to N do
12 Generate the opposite particle of Pi according to 3.2
13 Calculate the fitness value of Pi according to 3.6
14 FEs ;
15 end
16 Select N fittest particles from {P , OP } as current population P ;
17 end
/∗ Boundary search strategy ∗
/
18 if M < N then
19 K  min{M, N − M}
20 for i  1 to K do
21 Randomly select a feasible solution x and an infeasible solution y;
22 Generate a new solution z according to 3.11;
23 Calculate the fitness value of z according to 3.6;
24 FEs ;
25 if z is feasible then
26 x  z;
27 end
28 else
29 y  z;
30 end
31 end
32 end
33 Update pbest and gbest;
34 end

Algorithm 1: The proposed OBPSO algorithm.

4.2. Comparison of OBPSO with Similar PSO Algorithms

In this section, we compare the performance of OBPSO with standard PSO, barebones
PSO BPSO, and OBPSO without boundary search strategy OBPSO-1. To have a fair
comparison, the same settings are used for common parameters. The population size N is
set to 40. For PSO, The inertia weight w is set to 0.72984. The acceleration coefficients c1 and
c2 are set to 1.49618. The maximum velocity Vmax was set to the half range of the search space
for each dimension. For OBPSO-1 and OBPSO, the probability of opposition po is set to 0.3.
For each test functions, both OBPSO and PSO stop running when the number of iterations
reaches to 1,000.
Table 2 presents average results of the four PSO algorithms over 30 runs, where Mean
represents the mean best function values. As seen, PSO outperforms BPSO on only one
8 Mathematical Problems in Engineering

Table 1: Summary of main characteristics of benchmark problems, where F means the feasible region, S
is the whole search region, NE represents nonlinear equality, NI indicates nonlinear inequality, LI means
linear inequality, and α is the number of active constraints at optimum.

Problems D Type |F|/|S| LI NE NI α

G01 13 Quadratic 0.011% 9 0 0 6
G02 20 Nonlinear 99.990% 1 0 1 1
G03 10 Polynomial 0.002% 0 1 0 1
G04 5 Quadratic 52.123% 0 0 6 2
G05 4 Cubic 0.000% 2 3 0 3
G06 2 Cubic 0.006% 0 0 2 2
G07 10 Quadratic 0.000% 3 0 5 6
G08 2 Nonlinear 0.856% 0 0 2 0
G09 7 Polynomial 0.512% 0 0 4 2
G10 8 Linear 0.001% 3 0 3 3
G11 2 Quadratic 0.000% 0 1 0 1
G12 3 Quadratic 4.779% 0 0 93 0
G13 5 Exponential 0.000% 0 3 0 3

problem G05. BPSO achieves better results than PSO on 7 problems. Both of them can find
the global optimum on 5 problems. It demonstrates that the barebones PSO is better than
standard PSO for these problems.
For the comparison of OBPSO with BPSO, both of them obtain the same results on 6
problems. For the rest 7 problems, OBPSO performs better than BPSO. It demonstrates that
the opposition-based learning is helpful to improve the quality of solutions.
To verify the effects of the boundary search strategy, we compare the performance of
OBPSO with OBPSO-1. For the OBPSO-1 algorithm, it does not use the proposed boundary
search strategy. As seen, OBPSO outperforms OBPSO-1 on 6 problems, while they obtain
the same results for the rest 7 problems. These results demonstrate the effectiveness of the
boundary search strategy.
Figure 2 shows the evolutionary processes on four representative problems. It can be
seen that OBPSO converges faster than other 3 PSO algorithms. The OBPSO-1 shows faster
convergence rate than PSO and BPSO. This confirms that the opposition-based learning is
beneficial for accelerating the evolution 15.

4.3. Comparison of OBPSO with Other State-of-the-Art PSO Variants

In this section, we compare the performance of OBPSO with three other PSO variants on the
test suite. The involved algorithms and parameter settings are listed as follows.

i New vector PSO NVPSO 4.

ii Dynamic-objective PSO RVPSO 21.

iii Self-adaptive velocity PSO SAVPSO 22.

iv Our approach OBPSO.

Mathematical Problems in Engineering 9

Table 2: Mean best function values achieved by PSO, BPSO, OBPSO-1, and OBPSO, and the best results
among the four algorithms are shown in bold.

Functions Optimum PSO mean BPSO mean OBPSO-1 mean OBPSO mean
G01 −15 −13.013 −14.46 −15 −15
G02 −0.803619 −0.47191 −0.58944 −0.70536 −0.79973
G03 −1.0 −1.00468 −1.00339 −1.00287 −1.00126
G04 −30665.539 −30665.5 −30665.5 −30665.5 −30665.5
G05 5126.4981 5213.14 5228.32 5154.76 5126.68
G06 −6961.814 −6961.81 −6961.81 −6961.81 −6961.81
G07 24.306 25.9185 25.3492 24.8576 24.4196
G08 −0.095825 −0.095825 −0.095825 −0.095825 −0.095825
G09 680.630 680.679 680.630 680.630 680.630
G10 7049.248 7639.4 7474.5 7292.82 7049.2605
G11 0.750 0.749 0.749 0.749 0.749
G12 −1.0 −1.0 −1.0 −1.0 −1.0
G13 0.05395 0.819146 0.61415 0.52312 0.33837

−2 0
Mean best function value

−4
Mean best function value

−0.2
−6
−8 −0.4
−10
−12 −0.6

−14
−0.8
−16
0 200 400 600 800 1000 0 200 400 600 800 1000
Iterations (G1) Iterations (G2)

PSO OBPSO-1 PSO OBPSO-1

BPSO OBPSO BPSO OBPSO
a G1 b G2

10000 1.4
Mean best function value

1.2
Mean best function value

9000 1

0.8

8000 0.6

0.4

7000 0.2
0 200 400 600 800 1000 0 200 400 600 800 1000
Iterations (G10) Iterations (G13)

PSO OBPSO-1 PSO OBPSO-1

BPSO OBPSO BPSO OBPSO
c G10 d G13

Figure 2: The evolutionary processes of PSO, BPSO, OBPSO-1, and OBPSO on four selected problems.
10 Mathematical Problems in Engineering

Table 3: Comparison results of OBPSO with other three PSO algorithms, where “w/t/l” means that OBPSO
wins in w functions, ties in t functions, and loses in l functions, compared with its competitors. The best
results among the four algorithms are shown in bold.

Functions Optimum NVPSO 4 mean RVPSO 21 mean SAVPSO 22 mean OBPSO mean
G01 −15 −13.871875 −14.7151 −14.4187 −15
G02 −0.803619 −0.336263 −0.74057 −0.413257 −0.79973
G03 −1.0 −1.00484 −1.0034 −1.0025 −1.00126
G04 −30665.539 −30665.5 −30665.5 −30665.5 −30665.5
G05 5126.4981 5126.4957 5202.3627 5241.0549 5126.68
G06 −6961.814 −6961.81 −6961.81 −6961.81 −6961.81
G07 24.306 25.1301 24.989 24.317 24.4196
G08 −0.095825 −0.095825 −0.095825 −0.095825 −0.095825
G09 680.630 680.634430 680.653 680.630 680.630
G10 7049.248 7409.065752 7173.2661 7049.2701 7049.2606
G11 0.750 0.749 0.749 0.749 0.749
G12 −1.0 −1.0 −1.0 −1.0 −1.0
G13 0.05395 0.465217 0.552753 0.681123 0.33837
w/t/l — 7/5/1 8/5/0 6/6/1 —

The parameter settings of NVPSO are described in 4. For RVPSO and SAVPSO,
their parameter settings are given in 22. For OBPSO, we use the same parameter values as
described in the previous section. For each test functions, all algorithms stop running when
the number of iterations reaches to the maximum value 1,000.
Table 3 presents average results of NVPSO, RVPSO, SAVPSO, and OBPSO over 30
runs, where Mean represents the mean best function values. The comparison results among
OBPSO and other algorithms are summarized as w/t/l in the last row of the table, which
means that OBPSO wins in w functions, ties in t functions, and loses in l functions, compared
with its competitors.
From the results of Table 3, OBPSO outperforms NVPSO on 7 problems, while NVPSO
only achieves better results on a single problem. For the rest 5 problems, both OBPSO and
NVPSO can find the global optimum. OBPSO performs better than RVPSO on 8 problems,
while both of them obtain the same results for the rest 5 problems. For the comparison of
SAVPSO and OBPSO, both of them achieve the same results on 6 problems. For the rest 7
problems, OBPSO wins 6, while SAVPSO wins only 1.

5. Conclusion
This paper proposes a modified barebones particle swarm optimization to solve constrained
nonlinear optimization problems. The proposed approach is called OBPSO which employs
two novel strategies including opposition-based learning and boundary search. Compared
to other improved PSO variants, OBPSO is almost a parameter-free algorithm except for
the probability of opposition. Moreover, an adaptive penalty method is used to handle
constraints. Experimental verifications on a set of constrained benchmark functions show
that OBPSO achieves a promising performance compared to four other PSO variants. The
parameter po may affect the performance of OBPSO. To determine the best choice of po ,
different values of po will be investigated. This will be conducted in the future work.
Mathematical Problems in Engineering 11

Acknowledgments
The authors would like to thank the editor and anonymous reviewers for their detailed and
constructive comments that helped them to increase the quality of this work. This work
is supported by the Science and Technology Plan Projects of Jiangxi Provincial Education
Department nos. GJJ12641, GJJ12633, and GJJ12307, and the National Natural Science
Foundation of China nos. 61070008, 61165004.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 456047, 18 pages
doi:10.1155/2012/456047

Research Article
A New Hybrid Nelder-Mead Particle Swarm
Optimization for Coordination Optimization of
Directional Overcurrent Relays

An Liu1, 2 and Ming-Ta Yang3

1
Department of Computer Science and Information Engineering, St. John’s University, No. 499,
Section 4, Tam King Road, Tamsui District, New Taipei City 25135, Taiwan
2
Graduate Institute of Computer and Communication Engineering, National Taipei University of
Technology, No. 1, Section 3, Chung Hsiao East Road, Taipei 10608, Taiwan
3
Department of Electrical Engineering, St. John’s University, No. 499, Section 4, Tam King Road,
Tamsui District, New Taipei City 25135, Taiwan

Correspondence should be addressed to Ming-Ta Yang, [email protected]

Received 18 February 2012; Revised 26 April 2012; Accepted 10 May 2012

Academic Editor: Jianming Shi

Copyright q 2012 A. Liu and M.-T. Yang. This is an open access article distributed under the
Creative Commons Attribution License, which permits unrestricted use, distribution, and
reproduction in any medium, provided the original work is properly cited.

Coordination optimization of directional overcurrent relays DOCRs is an important part of an

efficient distribution system. This optimization problem involves obtaining the time dial setting
TDS and pickup current Ip  values of each DOCR. The optimal results should have the shortest
primary relay operating time for all fault lines. Recently, the particle swarm optimization PSO
algorithm has been considered an effective tool for linear/nonlinear optimization problems with
application in the protection and coordination of power systems. With a limited runtime period,
the conventional PSO considers the optimal solution as the final solution, and an early convergence
of PSO results in decreased overall performance and an increase in the risk of mistaking local
optima for global optima. Therefore, this study proposes a new hybrid Nelder-Mead simplex
search method and particle swarm optimization proposed NM-PSO algorithm to solve the
DOCR coordination optimization problem. PSO is the main optimizer, and the Nelder-Mead sim-
plex search method is used to improve the efficiency of PSO due to its potential for rapid conver-
gence. To validate the proposal, this study compared the performance of the proposed algorithm
with that of PSO and original NM-PSO. The findings demonstrate the outstanding performance of
the proposed NM-PSO in terms of computation speed, rate of convergence, and feasibility.

1. Introduction
Transmission lines are exposed to the environment and stretch long distances, which
increases the probability of failure far beyond that of other components of the network,
including generators, transformers, and switchgear equipment.
2 Mathematical Problems in Engineering

A transmission network is usually divided according to function: 1 transmission

lines between various major substations forming the backbone of the network; 2 subtrans-
mission lines connecting substations to load centers or major users; 3 distribution lines
between load centers and end users.
Lines from substations or load centers are often distributed in the form of radial
feeders. Radial feeders only require the installation of relays and breakers at the ends of the
various lines from which the power is sent. When a fault occurs in most radial feeders, the
fault current will be greater than the load current with no reverse fault current. As a result,
these types of radial feeders can be protected using nondirectional overcurrent relays.
If the protected line is installed with power supplies at both ends, such as in the case
of loop networks, the fault current may be fed from the left or right in the event of reverse
external failure. In this case, relay malfunctions may occur only if nondirectional overcurrent
relays are used for protection, as these relays cannot be coordinated. Directional overcurrent
relay DOCR is a method to improve protection. DOCR is designed to function only in the
event of a unidirectional fault current.
The study of coordination problems in electrical power systems has become increas-
ingly important in recent years. Economic considerations have propelled DOCR into
widespread use as the primary protection for distribution systems and as the backup protec-
tion for transmission systems. When working with a DOCR system, operators must set time
dial setting TDS and pick up current Ip  values according to the coordination relationship
of the primary/backup P/B pairs to fully secure protection for the entire system.
In recent years, several optimization techniques have been proposed for the optimal
coordination of DOCRs. Urdaneta et al. applied a minima optimization approach to deter-
mine the TDS values for preset Ip values for fixed and multiple power system network
configurations 1. Abyaneh et al. obtained optimum coordination by considering linear
and nonlinear models of relay characteristics and changes in network configuration 2.
Birla et al. demonstrated the simultaneous optimization of all DOCR settings with nonlinear
relay characteristics using a sequential quadratic programming method 3. In 4, a
genetic algorithm was selected as the tool to solve the DOCR coordination problem, which
included nonlinear constraints. The results of 5 reveal that the advantage of the proposed
interval method for the DOCR coordination problem provides robust support against
uncertainty in the topology of the network. Bedekar and Bhide used a genetic algorithm and
nonlinear programming method to systematically determine initial and final values of the
time multiplier and plug settings for optimal DOCR coordination 6.
In general, PSO algorithms are not easily trapped in local optima; however, the
convergence rate is slow, and optimization problems with constraints cannot be effectively
solved. Zeineldin et al. proposed an approach using a modified particle swarm optimization
PSO algorithm to calculate the optimal relay settings, formulating the coordination problem
as a mixed-integer nonlinear programming problem 7. In 8, the problem of setting
the DOCR was formulated and solved as a linear programming problem; a modified
PSO was also applied. The major goal of this study was to investigate the feasibility of
applying a Nelder-Mead simplex search method and a particle swarm optimization NM-
PSO methodology to address the coordination optimization of a DOCR distribution system.
We have divided the remainder of this paper into three sections. The first provides
an introduction to the theoretical foundations of the research, involving the modeling of
DOCR coordination problems. The proposed optimization algorithm includes a constraint
handling method, an NM simplex search method, a PSO algorithm, and an NM-PSO method.
We utilized IEEE 8- and 14-bus test systems to verify the feasibility of the proposed algorithm.
Mathematical Problems in Engineering 3

The results show that the proposed method, comprising a linear programming LP problem
and a mixed-integer nonlinear programming MINLP problem, is capable of overcoming the
relay coordination problem of a power system. The combined approach effectively increases
the convergence rate of calculation and enhances the capability of the PSO when processing
under constraints. Finally, we discuss the results and draw conclusions.

2. DOCR Coordination Problem

The main purpose of the DOCR coordination problem is to determine the TDS and Ip values
of each relay in a power system. The optimal operating times of the primary relays are
then minimized, and coordination pairs of the P/B relays and coordination constraints are
obtained. The DOCR coordination optimization problem in a power system can be described
as follows:


n
min J  wi tik , 2.1
i1

where n is the number of relays in zone k of a power network, and wi is a coefficient

indicating the probability of a fault occurring on the ith line in zone k of a power network. In
general, the value of wi is either 1 or 0. The variable tik indicates the operating time of relay i
for a close-in fault in zone k.
The coordination constraints between the primary relay i and the backup relays j are
as follows:

tjk − tik ≥ CTI, 2.2

where tjk reveals the operating time of relay j, and the relay is the backup relay of relay i. CTI
is the minimum coordination time interval; its value ranges from 0.2 to 0.5 s. In this study, a
CTI of 0.2 s was chosen.
The function for the nonlinear relay characteristics is based on IEEE standard C37.112-
1996 and is represented as follows:

 
28.2
ti  TDSi ×  2 0.1217 , 2.3
Ifi /Ipi − 1

where TDSi and Ipi are the time dial setting and the pickup current setting of the ith relay,
respectively. Ifi is the short-circuit fault current passing through the ith relay.
The constants and exponent in 2.3 define the shape of the extremely inverse trip
characteristics.
The results of this research not only describe the methodology of DOCR coordination
optimization but also demonstrate the feasibility of the TDS and Ip settings of the relays. In
general, DOCR allows for a continuous TDS value, but a discrete Ip setting. To satisfy this
requirement, this study explored both linear and nonlinear programming for DOCR coor-
dination optimization. The variable TDS is optimized according to a predefined Ip for each
DOCR, and this optimization problem can be viewed as a linear programming LP problem.
4 Mathematical Problems in Engineering

For the nonlinear programming NLP problem, variables TDS and Ip are optimized for each
DOCR. In the LP or NLP problem of the DOCR coordination optimization, the TDS values
can range continuously from 0.1000 to 1.1000, and the Ip values can range discretely between
10 and 1000 with a step size of 1, depending on the close-in fault current for each relay.

3. Proposed Optimization Algorithm

PSO is a random optimization technology developed by Eberhart and Kennedy in 1995 9,
who were inspired by simulating the intelligence of swarming bird flocks. PSO shares many
similarities with evolutionary computation techniques such as genetic algorithms GAs 6.
The problem is initialized with a population of feasible random solutions; however, PSO
contains no genetic operations, such as crossover or mutation.
Another important feature of PSO is that each particle has memory. PSO’s information
sharing mechanism differs greatly from that of GAs. In GAs, chromosomes mutually share
information, and therefore, the movement of the population as it approaches the best area
is relatively even. In PSO, the possible individual elements of PSO algorithms are called
particles. The global best particle gives information to other particles and updates the
movement direction and speed of each particle.
Based on the PSO method, we propose the NM-PSO method for solving the con-
strained optimization problem. The following section introduces the basic principles of NM-
PSO, including constraint-handling methods, Nelder-Mead NM simplex search, and PSO.

3.1. Constraint-Handling Methods

Constraint handling is a major concern when applying PSO algorithms to solve constrained
optimization problems. This is because the traditional search operators of PSO algorithms are
blind to constraints. Thus far, the most commonly used constraint handling methods for PSO
are the penalty and repair methods.
The gradient-based repair method was addressed by 10, 11. This method adopts
gradient information derived from the constraint set to gradually repair an infeasible
solution by directing the infeasible solution toward a feasible area. Because the constraints
of the DOCR coordination optimization are not complicated, this method is highly suitable.
Furthermore, because DOCR coordination optimization has no equality constraints, equality
constraint equations can be ignored. This method is described below.

1 For a random solution, determine the degree of constraint violation ΔV using the
following equation:

   
V  g m×1 ⇒ ΔV  −gj x k×1 when gj x > 0, j  1, . . . , m, 3.1

where V is the vector of inequality constraints g, and k is the degree of constraint
violation ΔV .
2 Compute Δx g, where Δx g are the derivatives of these constraints with respect to
the solution vector n decision variables

 
Δx V  Δx g k×n , x  1, . . . , k. 3.2
Mathematical Problems in Engineering 5

Pworst Pbest
Pworst Pbest Pworst Pbest

Pcent
Pcent
Pcent

Prefl Pexp
a b c

Pworst Pbest Pworst Pbest Pworst Pbest

Pcont
Pcent Pcent Pcent

Pcont

d e f

Figure 1: Illustration of the Nelder-Mead simplex method.

3 The relationship between changes in the constraint violation ΔV and the solution
vector Δx is expressed as

ΔV  Δx V × Δx ⇒ Δx  Δx V −1 × ΔV. 3.3

4 Compute the pseudoinverse Δx V −1 .

5 Update the solution vector by

xt 1
 xt Δx  xt Δx V −1 × ΔV. 3.4

The degree of constraint violation is adjusted according to the above procedure. In

this algorithm, a “repair method” rapidly revises infeasible solutions to move them toward
a feasible region. The number of constraint violations decreases and quickly vanishes with
each iteration. Finally, a solution in the feasible region will be obtained.

3.2. The Nelder-Mead Simplex Search Method

When the search space is n-dimensional, the simplex consists of n 1 solutions 12. As shown
in Figure 1a, in a two-dimensional search plane, a simplex is a triangle. The fitness of each
solution is considered at each step of the Nelder-Mead method, and the worst solution Pworst
is identified. The centroid, Pcent , of the remaining n points is computed, and the reflection
of Pworst is determined. This reflection yields a new solution, Prefl , which replaces Pworst , as
shown in Figure 1b. If the solution Prefl produced by this reflection has a higher fitness than
any other solution in the simplex, the simplex is further expanded in the direction of Prefl , and
Pworst is replaced with Pexp , as shown in Figure 1c.
6 Mathematical Problems in Engineering

On the other hand, if Prefl has a comparatively low fitness, the simplex is contracted.
Contraction can either be outward or inward, depending upon whether Prefl is better or worse
than Pworst , respectively. The contraction operations i.e., Pworst is replaced with Pcont  are
shown in Figures 1d and 1e. If neither contraction improves the worst solution in the
simplex, the best point in the simplex is computed, and a shrinkage is then performed; all the
points of the simplex are moved a little closer towards the best solution Pbest , as shown in
Figure 1f.

3.3. Particle Swarm Optimization

In the past several years, PSO has been successfully applied in many fields 13, 14. It has
been demonstrated that the results of PSO are superior to other methods. The PSO procedure
is reviewed below.
1 Initialization. It randomly generates a swarm of potential solutions called “particles”
and assigns a random velocity to each.
2 Velocity Update. The particles are then “flown” through hyperspace by updating
their own velocity. The velocity update of a particle is dynamically adjusted, subject
to its own past flight and those of its companions. The velocity and position of the
particles are updated by the following equations:

Vidnew t 1  co × Vidold t c1 × rand  × pid t − xid

old
t c2 × rand  × pgd t − xgd
old
t ,
3.5
new
xid t 1  xid
old
t Vidnew t 1, 3.6

rand 
co  0.5 , 3.7
3

where c1 and c2 are two positive constants; c0 is an inertia weight, and rand  is a random
value between 0, 1. Zahara and Hu suggested c1  c2  2 and c0  0.5 rand /2 15.
However, many experiments have shown that using c0  0.5 rand /3 provides better
results. Equation 3.5 illustrates the calculation of a new velocity for each individual. The
velocity of each particle is updated according to its previous velocity Vid , the particle’s
previous best location pid , and the global best location pgd . Particle velocities for each
dimension are clamped to a maximum velocity Vmax . Equation 3.6 shows how each
particle’s position is updated in the search space.

3.4. NM-PSO Method

The NM-PSO optimization method 16 integrates the constraint-handling methods, the
Nelder-Mead simplex search method traditional algorithm, and the PSO algorithm
evolutionary algorithm 17. The PSO optimal method resists easily falling into the local
best solution, but it requires many particles in an optimal process, which reduces the speed
of computation. The Nelder-Mead simplex search method improves the efficiency of PSO
due to its capacity for rapid convergence. However, the drawback of this method is that
Mathematical Problems in Engineering 7

it easily falls into a local best solution. This drawback is improved by integrating the two
algorithms. Combining the two algorithms and the gradient-based repair methods enables
feasible optimal solutions to be found that satisfy the constraint conditions 18.
Using the advantages mentioned above, the NM-PSO method clearly overcomes the
drawbacks of low convergence speed, the need for more particles, and the inability to deal
with constraint conditions to accurately find optimal solutions.

3.5. Implementation of Proposed Method

The following section introduces the NM-PSO algorithm procedure. Assume the problem to
be solved is n-dimensional. First produce N N  2n 1 particles to form a swarm. For every
particle that violates the constraints, use the gradient repair method to direct the infeasible
solution toward the feasible region. In most cases, the repair method does move the solution
to the feasible region. Arrange the results of the objective function in order of good to bad and
divide the N particles into n particles, the n 1th particle, and N − n 1 particles and then
create three groups. First calculate the top n particles and the n 1th particle using the NM
simplex method. The updated best particle is obtained and the result saved. The PSO method
adjusts the N particles by taking into account the position of the n 1 best particle. Through
the calculation of a simple NM algorithm, the probability of finding the optimal solution was
increased. This procedure for adjusting the N particles involves selection of the global best
particle, the selection of the neighboring best particles, and finally the velocity updates. The
global best particle of the population is determined according to the sorted fitness values.
Unlike the original PSO calculation method proposed by 15, which updates the
remaining particles N − n 1, we use the PSO algorithm to update all of the N particles.
These two PSO algorithms combination NM methods are referred to in this paper as the
original NM-PSO method and the proposed NM-PSO method, respectively. Repeat the entire
NM-PSO optimization process until the condition is fulfilled. Figure 2 depicts the schematic
representation of the proposed NM-PSO. Algorithm 1 shows the pseudocode of the NM-PSO
algorithm embedded within the constraint-handling methods.

4. Case Study
The appearance and parameters of the relevant line equipment of two typical test systems
are introduced. We discuss the fault current and the corresponding DOCR relationship of the
coordination pairs of P/B when a close-in three-phase short fault occurs in transmission lines.
Taking the above two test systems as examples, this study validated the feasibility
of the proposed NM-PSO optimization algorithm to solve the DOCR optimal coordination
problem. The results were compared with PSO and original NM-PSO algorithm. The results
of the comparison demonstrate that the proposed NM-PSO algorithm is clearly better than
PSO and original NM-PSO in terms of the objective function, the rate of convergence, and
computation speed.
In this study, the multiples 2 × n 1, 5 × n 1, 10 × n 1, and 20 × n 1 were adopted
as the number of populations to demonstrate the influence of the number of particles on
the proposed algorithm. To observe the process and changes of convergence in the objective
function, the number of iterations was set at 300, to highlight the superior performance of the
proposed system.
8 Mathematical Problems in Engineering

Formulation of the
coordination
problem

NM-PSO parameters

Generate initial
population

New set of solution

Evaluate solutions
PSO method

Repair Nelder-Mead method

(constraint handling No Feasible?
method)

Yes Sorting

Stopping criteria meet No

Yes

Report the solution

Figure 2: Flow chart of the proposed NM-PSO algorithm.

1. Initialization. Generate a population of size N N > n 1.

Repeat
2. Constraint handling method
2.1 The Gradient Repair Method. Repair particles that violate the constraints by
directing the infeasible solution toward the feasible region.
2.2 Identify solutions that fulfill the constraint conditions and arrange them in the
order of good to bad.
3. Nelder-Mead Method. Apply NM operator to the top n 1 particles and update the
n 1th particle.
4. PSO Method. Apply PSO operator for updating the N particles.
4.1 Selection. Select the global best particle and the neighborhood best particle from
the population.
4.2 Velocity Update. Apply velocity updates to the N particles
until the condition is fulfilled.

Algorithm 1: Pseudocode of the proposed hybrid NM-PSO algorithm.

Mathematical Problems in Engineering 9

1 Line 13 3 4
Line 34
8 14 2 9 3 10 4
Line 16
Line 12 Line 45

7
13 Line 26 6 12 Line 65 5 11
1
2 6 5

Figure 3: One-line diagram for an IEEE 8-bus test system.

3.5
Objective function

2.5

1.5
0 50 100 150 200 250 300
Iteration number

Proposed NM-PSO
Original NM-PSO
PSO

Figure 4: Convergence of PSO, original NM-PSO, and proposed NM-PSO to the optimal solution for an
IEEE 8-bus test system LP problem.

4.1. IEEE 8-Bus Test System

As shown in Figure 3, the 8-bus test system consists of 9 lines, 2 transformers, and 14 DOCRs.
All the DOCRs have the IEEE standard inverse-time characteristics mentioned in 2.3 above.
The system parameters are the same as in 6. At bus 4, there is a link to another network
modeled by a short-circuit capacity of 400 MVA. The DOCR coordination problem can be
formulated as an LP problem or an MINLP problem. Additionally, there are 20 inequality
constraints corresponding to each relay pair.
Table 1 illustrates the fault currents of the DOCR coordination pairs of P/B of each
phase in the event of a close-in three-phase short fault of the system. If a DOCR coordination
10 Mathematical Problems in Engineering

Table 1: P/B relays and the close-in fault currents for an IEEE 8-bus test system.

Primary relay Backup relay

No. Current No. Current
1 3230 6 3230
8 6080 9 1160
8 6080 7 1880
2 5910 1 993
9 2480 10 2480
2 5910 7 1880
3 3550 2 3550
10 3880 11 2340
6 6100 5 1200
6 6100 14 1870
13 2980 8 2980
14 5190 9 1160
7 5210 5 1200
14 5190 1 993
7 5210 13 985
4 3780 3 2240
11 3700 12 3700
5 2400 4 2400
12 5890 13 985
12 5890 14 1870

3
2.9
2.8
2.7
Objective function

2.6
2.5
2.4
2.3
2.2
2.1
2
0 50 100 150 200 250 300
Iteration number

Figure 5: Convergence of the NM-PSO for five different random initial populations for an IEEE 8-bus test
system LP problem.

optimization problem with known Ip values is assumed to be an LP problem, the results

obtained using PSO, original NM-PSO, and proposed NM-PSO for the case of 300 iterations
and a population size of 141 10 × n 1, where n is the number of variables TDS of the 14
relays are illustrated in Table 2. The results are also compared to those of Linprog linear
programming obtained using the MATLAB optimization toolbox.
To validate the feasibility of the proposed method, the obtained TDS values and
known Ip values were entered as constraints to obtain the results shown in Table 3. Since
Mathematical Problems in Engineering 11

Table 2: Optimal settings of the relays for an IEEE 8-bus test system LP problem.

Algorithm Linprog PSO Original NM-PSO Proposed NM-PSO

Relay Ip TDS TDS TDS TDS
1 600 0.1007 0.1000 0.1000 0.1000
2 800 0.2485 0.2191 0.2260 0.2178
3 500 0.2294 0.2272 0.2369 0.2240
4 800 0.1115 0.1104 0.1234 0.1097
5 600 0.1003 0.1000 0.1075 0.1000
6 500 0.3858 0.3844 0.3882 0.3850
7 600 0.1103 0.1030 0.1233 0.1028
8 500 0.3575 0.3645 0.3587 0.3537
9 600 0.1001 0.1000 0.1007 0.1000
10 500 0.2947 0.3476 0.2963 0.2943
11 600 0.1794 0.2102 0.1958 0.1786
12 500 0.5591 0.6000 0.6194 0.5954
13 600 0.1007 0.1000 0.1000 0.1000
14 800 0.1094 0.1000 0.1030 0.1000
Obj-Fun 1.9640 2.0468 2.0278 1.9783

Table 3: Operating time of P/B relays for an IEEE 8-bus test system LP problem.

Proposed NM-PSO method

Backup relay Primary relay Constraint value
No. Operating time No. Operating time
6 0.3134 1 0.1130 0.2004
9 1.0422 8 0.1110 0.9312
7 0.3413 8 0.1110 0.2303
1 1.6338 2 0.1412 1.4926
10 0.3875 9 0.1875 0.2000
7 0.3413 2 0.1412 0.2001
2 0.3551 3 0.1551 0.2000
11 0.3762 10 0.1760 0.2002
5 0.9522 6 0.1203 0.8319
14 0.6439 6 0.1203 0.5236
8 0.3320 13 0.1313 0.2007
9 1.0422 14 0.0808 0.9614
5 0.9522 7 0.0515 0.9007
1 1.6338 14 0.0808 1.5530
13 1.6758 7 0.0515 1.6243
3 0.3585 4 0.1584 0.2001
12 0.3848 11 0.1578 0.2270
4 0.4000 5 0.2000 0.2000
13 1.6758 12 0.1943 1.4815
14 0.6439 12 0.1943 0.4496
12 Mathematical Problems in Engineering

11 12
2 3
2 3 13
7
1
1
5

6 4 9 10 8 14
4
5
15 26 29

28 27
25
8 7
24

16 17 18 19 20 21 22
23 30
6 11 10 9
39 38 31

37
12

36
34 33
40 35 32
13 14

Figure 6: One-line diagram for an IEEE 14-bus test system.

the proposed method satisfies all constraints i.e., CTI  0.2, the best coordination setting for
DOCR can be efficiently completed.
As expected, the proposed NM-PSO yields better objective function results than PSO
and original NM-PSO. Figure 4 shows that proposed NM-PSO nearly reached the global
optimum after 189 iterations. The results of this proposed NM-PSO algorithm reveal better
convergence.
To analyze the convergence consistency of the proposed NM-PSO algorithm when
solving the LP problem in the case of different initial values, this study randomly performed
the proposed method five times. As seen in Figure 5, the proposed NM-PSO algorithm can
reduce the objective function to the same value after nearly 200 iterations. The convergence
of the proposed NM-PSO is evidently not affected by different initial values.

4.2. IEEE 14-Bus Test System

The IEEE 14-bus test system consists of 5 generators, 2 power transformers, 20 transmission
lines, and 40 DOCRs, as shown in Figure 6. The system parameters are given in 19. The
voltage level and the power base of this system are 138 kV and 100 MVA, respectively.
It is assumed that the DOCRs all have the standard IEEE inverse-time characteristics
as an IEEE 8-bus test system. Table 4 reveals the P/B relay pairs and the corresponding fault
Mathematical Problems in Engineering 13

Table 4: P/B relays and the close-in fault currents for an IEEE 14-bus test system.

Primary relay Backup relay Primary relay Backup relay Primary relay Backup relay
No. Current No. Current No. Current No. Current No. Current No. Current
1 11650 6 654 8 3880 30 188 19 955 17 955
5 12400 2 1980 29 4720 7 1220 18 725 20 725
2 4260 4 750 29 4720 9 1990 22 1930 29 499
2 4260 12 875 29 4720 13 1070 22 1930 24 1160
2 4260 8 723 29 4720 25 449 22 1930 32 280
3 7310 1 3920 6 3830 3 1280 23 1200 21 434
3 7310 12 848 6 3830 10 1990 23 1200 29 499
3 7310 8 689 6 3830 16 560 23 1200 32 281
11 7180 4 725 4 3920 5 1370 30 1810 21 424
11 7180 1 3920 4 3920 16 562 30 1810 24 1130
11 7180 8 695 4 3920 10 1990 30 1810 32 275
7 7330 1 3920 15 4610 5 1360 31 2060 21 428
7 7330 4 716 15 4610 3 1280 31 2060 24 1150
7 7330 12 845 15 4610 10 1970 31 2060 29 494
13 3280 11 1380 9 3260 5 1390 27 2030 26 1230
12 3130 14 1250 9 3260 3 1310 27 2030 23 808
26 4640 9 2080 9 3260 16 569 25 1430 28 633
26 4640 13 1120 16 1490 40 201 25 1430 23 806
26 4640 7 1270 16 1490 18 388 24 1870 26 1230
26 4640 30 179 16 1490 37 51 24 1870 28 634
10 3110 13 1140 17 2210 15 1110 37 572 35 572
10 3110 7 1290 17 2210 37 51 36 781 38 781
10 3110 25 495 17 2210 40 199 35 1480 33 368
10 3110 30 190 39 2400 15 1120 35 1480 39 1110
14 4030 9 2090 39 2400 18 389 34 1390 36 284
14 4030 7 1270 39 2400 37 47 34 1390 39 1110
14 4030 25 489 38 2530 15 1110 40 654 36 285
14 4030 30 188 38 2530 40 191 40 654 33 370
8 3880 9 2090 38 2530 18 386 32 547 34 547
8 3880 25 489 21 564 19 564 33 783 31 783
8 3880 13 1120 20 1310 22 1310 x x x x

currents passing through them for a close-in fault in this network. There are 92 inequality
constraints corresponding to each relay pair.
This study also used PSO, original NM-PSO, and proposed NM-PSO to solve the
DOCR coordination optimization of the MINLP problem, which required obtaining the TDS
and Ip values of each DOCR. The results after 300 iterations with a population size of 1601
20 × n 1, where n is the number of TDS and Ip variables of the 40 relays are shown in
Table 5. The integer Ip can be directly applied in the current intelligent electronic device IED
settings.
Figure 7 shows the results of the comparison demonstrate that the proposed NM-PSO
algorithm is clearly better than PSO and original NM-PSO in terms of the objective function,
the rate of convergence, and computation speed.
14 Mathematical Problems in Engineering

Table 5: Optimal settings of the relays for an IEEE 14-bus test system MINLP problem.

Algorithm PSO Original NM-PSO Proposed NM-PSO

relay Ip TDS Ip TDS Ip TDS
1 881 0.1746 807 0.2024 736 0.3038
2 579 0.1000 515 0.1729 540 0.1211
3 408 0.2746 422 0.2108 437 0.1418
4 216 0.1239 261 0.1574 237 0.1184
5 758 0.1059 700 0.1860 700 0.1184
6 296 0.1607 227 0.2694 200 0.1020
7 532 0.2192 435 0.1187 419 0.1718
8 226 0.1335 206 0.1605 270 0.1452
9 444 0.1812 504 0.1454 537 0.1258
10 488 0.3347 528 0.1154 450 0.1523
11 477 0.1717 516 0.2881 550 0.1006
12 352 0.1015 295 0.2357 220 0.1414
13 394 0.1546 355 0.2212 350 0.1307
14 418 0.1000 362 0.2003 358 0.1250
15 333 0.1342 316 0.2404 359 0.1872
16 149 0.1451 126 0.2268 117 0.2302
17 216 0.3880 268 0.2414 177 0.3258
18 110 0.1172 101 0.1418 100 0.1301
19 164 0.2737 168 0.1379 108 0.3402
20 151 0.2322 170 0.1708 211 0.1057
21 100 0.3998 121 0.1308 115 0.1534
22 174 0.6243 339 0.1427 326 0.1473
23 119 0.5556 193 0.1457 150 0.2554
24 147 0.7269 307 0.1543 315 0.1437
25 133 0.2076 127 0.1483 102 0.3358
26 260 0.3107 351 0.1631 399 0.2024
27 150 0.1005 150 0.2364 150 0.1641
28 204 0.1230 127 0.3070 154 0.1779
29 245 0.2288 200 0.2564 200 0.2033
30 150 0.1000 100 0.2557 100 0.2124
31 241 0.1776 247 0.1765 164 0.2053
32 100 0.1066 100 0.1000 100 0.1001
33 177 0.1000 108 0.2252 100 0.1511
34 123 0.2518 100 0.2858 112 0.2285
35 100 0.3861 100 0.2349 100 0.3681
36 146 0.1132 121 0.1311 100 0.1300
37 36 0.1000 10 0.2869 11 0.3143
38 238 0.2182 245 0.1527 249 0.1892
39 268 0.2090 269 0.1850 266 0.1596
40 113 0.1000 100 0.2529 100 0.1485
Obj-Fun 4.2233 3.6362 3.1829
Mathematical Problems in Engineering 15

13

12

11

10

Objective function
9

3
0 50 100 150 200 250 300
Iteration number

Proposed NM-PSO
Original NM-PSO
PSO

Figure 7: Convergence of PSO, original NM-PSO, and proposed NM-PSO to the optimal solution for an
IEEE 14-bus test system MINLP problem.

14

12
Objective function

10

2
0 50 100 150 200 250 300
Iteration number

Figure 8: Convergence of the proposed NM-PSO for five different random initial populations for an IEEE
14-bus test system MINLP problem.

To analyze the consistency in convergence of the proposed NM-PSO when solving

MINLP problems, this study randomly executed the proposed method five times. As seen
from Figure 8, the proposed NM-PSO can reduce the objective function to almost the same
value after approximately 220 iterations. Results show that the convergence of the proposed
NM-PSO is not seriously influenced by optimization problems of high complexity.
In addition to convergence rate, we investigated the final convergence values of the
objective function Obj-Fun. Figures 9a and 9b show the results of LP coordination
16 Mathematical Problems in Engineering

2.5

Objective function
2

1.5

0.5

0
particle = 29 Particle = 71 Particle = 141 Particle = 281
PSO 2.5016 2.2912 2.0468 2.0148
Original NM-PSO 2.3864 2.1569 1.9782 1.9682
Proposed NM-PSO 2.363 2.1021 1.9783 1.9682

a IEEE 8-bus test system LP problem

25

20
Objective function

15

10

0
Particle = 81 Particle = 201 Particle = 401 Particle = 801
PSO 19.3419 15.0223 14.441 13.5383
Original NM-PSO 14.9341 13.2828 13.4241 13.1195
Proposed NM-PSO 13.7139 13.2828 13.1982 13.049
b IEEE 14-bus test system LP problem

Figure 9: Objective function values by PSO, original NM-PSO, and proposed NM-PSO algorithms for the
LP problem with n  40 for four different populations.

problems, for the same number of iterations 300 and for four different populations 2 × n
1, 5 × n 1, 10 × n 1, and 20 × n 1.
It can clearly be seen that the proposed NM-PSO method results in better Obj-Fun
values than the PSO and original NM-PSO algorithm. For the more complicated MINLP
problem shown in Figures 10a and 10b, the proposed NM-PSO after 300 iterations results
in even better Obj-Fun values in the case of particles 2 × n 1 than the Obj-Fun values of PSO
algorithm in the case of particles 20 × n 1. Hence, the proposed method produces better
results than the PSO algorithm using fewer particles less computation time.

5. Conclusions
In this paper, the DOCR coordination problem is formulated as a constrained optimization
problem. It can be concluded that the proposed NM-PSO optimization algorithm is applicable
Mathematical Problems in Engineering 17

2.5

Objective function
1.5

0.5

0
Particle = 57 Particle = 141 Particle = 281 Particle = 561
PSO 2.2577 2.1932 2.0096 1.9066
Original NM-PSO 2.1577 2.0232 1.8572 1.7606
Proposed NM-PSO 2.1504 2.0079 1.8289 1.7301
a IEEE 8-bus test system MINLP problem
10
9
8
Objective function

7
6
5
4
3
2
1
0
Particle = 161 Particle = 401 Particle = 801 Particle = 1601
PSO 8.9499 7.6434 4.8378 4.2233
Original NM-PSO 5.1933 7.6434 4.8378 3.6362
Proposed NM-PSO 4.1063 3.7405 3.6522 3.1829
b IEEE 14-bus test system MINLP problem

Figure 10: Objective function values by PSO, original NM-PSO, and proposed NM-PSO algorithms for the
MINLP problem with n  80 for four different populations.

to the DOCR coordination optimization of a distribution system. In contrast to other methods

in the literature that only find TDS, the algorithm proposed in this study obtains Ip and TDS
values simultaneously, and the Ip values can be represented by integers for applications in
the IED setting to complete a more comprehensive coordination optimization. The proposed
method makes use of the advantages of both the NM and PSO methods, while overcoming
the drawbacks associated with these methods. Regardless of whether LP or MINLP is used
to solve a coordination optimization problem, we have demonstrated that the proposed
algorithm performs better than PSO and original NM-PSO algorithm in terms of computation
speed, rate of convergence, and objective function value. The reduction in the DOCR
operating time in our results demonstrates that the proposed method can be adopted for
determining the optimum settings of DOCRs.
18 Mathematical Problems in Engineering

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 827193, 24 pages
doi:10.1155/2012/827193

Research Article
Evaluating the Performance of Taiwan Homestay
Using Analytic Network Process

Yi-Chung Hu, Jen-Hung Wang, and Ru-Yu Wang

Department of Business Administration, Chung Yuan Christian University, 200 Chung Pei Road,
Chungli 32023, Taiwan

Correspondence should be addressed to Jen-Hung Wang, [email protected]

Received 24 February 2012; Revised 20 April 2012; Accepted 21 April 2012

Academic Editor: Jung-Fa Tsai

Copyright q 2012 Yi-Chung Hu et al. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

Homestay industry in Taiwan is not only thriving, but also its operation is moving gradually
toward elaboration strategy and in a specialized-operation manner these years. Nevertheless,
the evaluation frameworks of the earlier studies were sporadically constructed from an overall
perspective of homestays. Moreover, the functions, operational model, and natures of homestays
are dissimilar to those of hotels; therefore, if the evaluation criteria of homestays employ the
ones of hotels, it would appear to be incoherent and incompatible. This study has accordingly
developed and constructed a set of evaluation indicators tailor-made for homestay sector through
discussion of literatures and interviewing experts so that the evaluation framework would be
more comprehensive and more practical. In the process of interviewing experts, it was discovered
that dependences lay on the aspects and criteria. Consequently, this research chose the ANP
analytic network process to get the weights and, further, to acquire the homestay business
performance through fuzzy theory. The result reveals, as regards key aspects, homestay proprietors
and customer groups both weight the surroundings of the building and features, service quality,
operation, and management most. In respect to overall homestay performance, customer groups
consider it has reached the satisfactory level.

1. Introduction
The growing work pressure has made travelling as the best way to relieve stress in a society
pursuing high efficiency 1. In the wake of increased incomes, better living, change of
traditional values, and convenient traffic network as well as more leisure time, the demand
of recreational activities are swelling in Taiwan. Recreational activities and tourism has
steadily become part of modern life 2, which has driven a multiaspect development of
Taiwan domestic tourism and recreational market. The most considerable development
and evolvement lie in the accommodation business at tourism attractions, also known as
homestay 3. Homestays are the best Taiwan promoters. If any tourists from all over the
2 Mathematical Problems in Engineering

world visit Taiwan and stay in homestays, hosts of homestays not only can introduce them
the local cultures and past, but also can act as tour guides as well as good public relation
practitioners. Homestays, therefore, play a very essential role. Homestays accordingly are
with crucial marketing functions and can drive local economic development. On these
grounds, the authors have deemed homestay is an important and discuss-worthy issue.
Based on the World Tourism Organization data, concerning global tourism market,
there are approximately seven hundred million people travelling abroad every year. The scale
of global tourism sector including both domestic and international tour takes up over 10% of
the global GDP gross domestic product, which has reached an amount of 3.5 trillion US
dollars. Tourism 2020 Vision, which was published by the World Tourism Organization in
2001, also indicated that the number of tourists in 2020 would reach 1.56 billion persons,
showing a growth of 1.76 times comparing to the 565 million persons in 1995 4. In addition,
according to the Taiwan Tourism Bureau 5, the total tourism revenue in Taiwan had reached
TWD$514 billion in 2010, and the number of visitors has been growing significantly for a
decade. In 2011, the number of in-bound visitors to Taiwan was 6.09 millions, which was
an all-time peak and showed a growth of 9.34% compared to the number in 2010. Visitors
with “pleasure” purpose were 3.63 million persons, which was up by 11.95%. The ones with
business purpose were 984.85 thousand persons, showing an increase of 5.02%. In view of
the data above, the number of inbound visitors has kept rising, which would benefit the
development of Taiwan industries of tourism, recreation, hospitality, and accommodation.
On top of that, the Taiwan Council for Economic Planning and Development revealed
that Taiwan residents’ expenditures in recreational and cultural consumption were increasing
significantly in 2010 with a real growth rate at 9.88%, up by 0.98 percentage point compared
to 2011. The annual growth rate of consumer expenditures in restaurants and lodging has
reached 8.11%, up by 0.22 percentage point compared to 2001 6. Regarding the expected
utility of the development plans of six emerging industries biotech, tourism, green energy,
medical and caring, boutique farming, culture, and creativeness, the Taiwan Council for
Economic Planning and Development 7 proposed that the entire revenue of tourism will
increase from TWD$402.2 billion in 2008 to TWD$550 billion in 2012, including TWD$
300 billion from tourism foreign exchange earning. Further, in 2012, it will attract private
investment with TWD$200 billion. In view of the above, it not only demonstrates leisure
and entertainment activities certainly carrying weight in Taiwan people’s life, but also
highlighting immense business potentials in tourism market.
Taiwan is promoting itself to be a “Green Silicon-Valley Island” for sustainable
tourism; thus, tourism has become one of the major development targets. Homestay sector
has shot up among the trends of recreational farming and ecotourism. According to Taiwan
Tourism Bureau 8, the number of approved homestays has swelled from 1,237 in January
2006 to 3,397 in January 2012, with an increase number of 2,160. The homestay sector, on
this ground, is not only prosperous, but also with immeasurable business opportunities in
tourism sector. In recent years, the operation of homestays has developed into an elaborate
and specialized manner. With marketing and media promotion, it has become an important
option when people engage in recreational activities and has further turned into an emerging
sector with great potential 9. The Regulations for the Management of Home Stay Facilities
10 have been implemented for years since December 12, 2001, and approved homestays
would receive validation certificates. But good ones always mingling with black sheep, some
opportunists have entered this sector and often left negative images, which would impact
consumers’ image about homestays 3. The Chief Secretary of Taiwan Tourism Bureau,
Wayne Liu the present Deputy Director General, said that there would be a classified
Mathematical Problems in Engineering 3

evaluation for Taiwan’s approved homestays in the future. The preliminary plan was to
categorize them into fourteen groups, which are architecture, room features, landscape,
ecology, culture, aboriginal, experiential activities, sport activities, bicycling, hot spring, tour
guiding service, language, industrial heritage, and miscellaneous so that people could clearly
know each homestay’s features 11.
In order to safeguard visitors’ lodging interests, choices of recreational commodities
and its safety, as well as maintaining the quality of recreational activities while enjoying the
vocation, appropriate evaluation items for Taiwan homestay quality validation should be
set up by weighing up multi-aspect evaluating items so that applicable, impartial validation
assessment and criteria could be accordingly established 12. The earlier homestay studies
were mainly about customer satisfaction 13–15, marketing strategies 16–18, experiential
marketing 19–21, operation and management 22–26, and consumer behaviors 27–30,
but few were from an overall perspective to construct homestay evaluation framework.
Furthermore, the homestay sector is showing a thriving trend and it is hoped that an
evaluation mechanism could be formed through this research; notwithstanding, the main
distinguishable features of homestay operation different from those of hotels are that
homestays lay more stress on 1 inexpensive price and help-your-self service, 2 not
emphasizing luxury facilities, but aware of safety issue and hygiene facilities, 3 its service
might not be full-scaled, but is with hospitality, local color, and homeyness. What is more
important is that homestays make use of nature resources and local cultures in order to let
visitors be able to experience the local social customs in person. On top of these, homestays
can provide functions like sport, recreation, amusement, and so on to make visitors fully
enjoy their leisure time 31. On these accounts, it is obvious that the homestays and
hotels vary in their functions, business model, and natures 3, 12, 32–34; therefore, if the
hotel evaluation criteria are applied indiscriminately to homestays, it would appear to be
unconnected and illogical. This research hence deems that it is vital and crucial to develop
and construct applicable homestay evaluation indicators, which is one of the motives.
On the other hand, beside homestay validation, such as “hospitable homestays”, there
is sporadic research into homestay evaluation indicators. For example, Ou and Gian 31
made researches into leisure farming homestay visitor characteristics and needs, whose
measure aspects were facilities, service, landscape, operation, and management. Yen et al.
34 studied the homestay evaluation indicators, whose measure aspects were infrastructures,
service quality, features of resources, and the association with communities. Chen 35 has
constructed evaluation indicators for Taiwan green homestays, whose measure aspects were
green building, sustainable landscape engineering, organic farming, environment education,
community co-prosperity, and so forth. Shi 12 researched Taiwan homestay quality
validation, whose measure aspects were surroundings and facilities, business features,
service quality, and community participation. To conclude, it is found that most underlined
the hardware, service quality, or exterior settings. It was discovered in the interview process
that the forementioned measure aspects are essential to the current external context; however,
with respect to evaluation, it should be brought back to the homestay’s natures and geist,
such as the interaction between the homestay hosts and guests. This study has thus added
the aspect of “homestay geist and community co-prosperity” into the final framework and
discussed its nuances, which is another motive.
At the end, it found that there is dependence among aspects and criteria of the
homestay evaluation. Saaty 36 suggested employing ANP to solve the decision-making
issues of dependence. Zadeh 37 introduced fuzzy set theory in 1965, which is to address
the uncertainties arising from subjective belief by quantitative methods, and by fuzzifying, it
4 Mathematical Problems in Engineering

would provide a better promotability, error tolerance, and is better for applying to the real-
world nonlinear system 38.
The following structures of this paper are: Section 2 is the constructing process of the
research framework, mainly by literature review and interviewing experts; Section 3 is about
methodology, including majority rule, ANP analytic network process and Fuzzy Theory;
Section 4 is about empirical results; Section 5 is conclusion and suggestions.

2. Constructing the Framework

2.1. Preliminary Framework
This research has organized the evaluation aspects and criteria of the preliminary framework
by literature review as Table 1, covering six aspects and 33 criteria.

2.2. Final Framework

After settling the preliminary framework, 3 academic and field experts were invited. After
interviewing them, a final framework was established accordingly. It is hoped that the final
framework could be a comprehensive one and meet homestays’ situation in real practice.
Experts in this research are as follows. Expert A is an academic expert, who has
been teaching in a technology university for 8 years and whose expertise is leisure farming,
long stay, and marketing and management of recreational business. His papers were all
related to recreational industry and he had worked in agricultural public service for 18 years.
Currently he is also holding a position as director in two recreational associations. Expert B
and C are the ones in practice. They are not only holding positions as director in homestay-
related association, but also running homestays. The operating experience of Experts B is
approximately 10 years and that of Expert C is about 5 years. In conclusion, the expert group
in this research is not only with expertise, but also with rich experiences. In other words, they
are representative as expert. In addition, three interviews were conducted for this study and
the framework was altered according to the expert group’s opinions and suggestions refer
to the Appendix section. A final framework was accordingly formed as shown in Table 2,
covering 5 aspects and 30 criteria. The definitions of aspects were elaborated in Table 3.
After finalizing the final framework, three experts were asked to fill up the relevancy
among criteria, and a questionnaire was drawn up afterwards. This research considered that
if there are too many questions, customers might have no patience or might be not willing to
complete the questionnaire, and the result accuracy would thus decrease. In order to prevent
this situation, the influential threshold of this research was set to 100 degree; that is, only if
three experts all deem a criterion must fully influence another criterion, these two criteria
would be considered to be with relevancy. The result is exhibited in Table 4.

3. Methodology
3.1. Majority Rule
Majority rule is a decision rule that selects alternatives which are the major consensus among
most experts. Majority rule can be the more-than-half-vote rule or two-thirds rule 40. On
Mathematical Problems in Engineering 5

Table 1: Preliminary framework.

Aspect References Criteria References

To utilize natural ventilation sufficiently 34, 35
To utilize plenty natural light
To use nontoxic paint 35
Surroundings To maintain the land’s vitality and good condition in the
of the building 32, 34
process of design and construction
and features
To incorporate the local heritage and landscape elements
31, 35
into design
The beautification and uniqueness of the interior design 32, 34, 39
Greenization and uniqueness of the garden design
Cooking facilities such as kitchen and BBQ 31, 34, 39
Parking space 31, 32, 34, 39
Emergency lighting settings 31, 39
Facilities 31, 34, 39
Fire and safety 31, 32, 34, 39
Medical aid 31, 39
Room settings 12, 31, 39
Room tidiness 32, 34, 39
Room coziness 30, 32, 34
39
Hygiene and surrounding cleanness 32, 39
Management
Local catering planning 31, 39
Introduction of the homestay and resources
Overall ambience forming 39
Reception service such as booking, checking out 39
Information 31, 32, 34, 39
Guiding services 31, 32, 34
Catering 31, 32, 34, 39
Staff quality 12
Service quality 12, 31, 32, 34
Service attitude 30, 32, 34
Food quality 12, 32, 34
Interaction with guests 12, 32
Transportation and pick-up service 12, 32, 34, 39
Local activity arrangement 31, 39
Privacy and Lodging safety management
safety 34
Lodging risk management
12
Business Room themes and features
features 12
Homestay features

this basis, this research has set that all must agree have 100 degree full influence as the
screening threshold when determining criteria relevancy.
6 Mathematical Problems in Engineering

Table 2: Final framework.

Aspect References Criteria References

To utilize natural ventilation sufficiently A1 34, 35
To utilize plenty natural light A2
To use non-toxic paint A3 35
Surroundings of the To maintain the land’s vitality and good condition in
building and 32, 34 the process of design and construction A4
features A
To incorporate the local heritage and landscape ele-
ments into design A5 31, 35

The beautification and uniqueness of the interior

32, 34,
design A6
39
Greenization and uniqueness of the garden design
A7
Service attitude e.g., reception service, to treat lodgers
30, 32, 34
with voice of the customers B1
12, 31, 32, Pick-up service offering free pick-up service B2 12, 32, 34, 39
Service quality B
34 Information service e.g., local hot spot, tour route
31, 32, 34, 39
planning B3
Catering service and quality e.g., the hosts prepare
12, 31, 32, 34,
diversified breakfast in person, freshness of ingredi-
39
ents B4
Cooking facilities e.g., kitchen C1 31, 34, 39
Parking space C2 31, 32, 34, 39
Homestay facilities Safety facilities e.g., emergency lighting setting, fire
31, 34, 39 31, 32, 34, 39
C prevention settings C3
Medical aid e.g., first-aid box C4 31, 39
Room settings C5 12, 31, 39
Room tidiness D1 32, 34, 39
Room coziness D2 30, 32, 34
Room privacy D3 34
Homestay operation Safety e.g., lodger insurance and room safety D4 12, Expert
and management 12, 39 Interview
D Room themes and features, for instance, oceanic 12
themes D5
Homestay features e.g., aboriginal culture D6
Overall ambience forming D7 39
Overall tidiness and hygiene D8 32, 39
Degree of interaction between hosts and lodgers E1 12, 32
Guiding services E2 31, 32, 34
Homestay geist and 12, 35, Arranging local experiential activities and food E3 30, 31, 39
community Expert Contribution for living quality of local community
co-prosperity E Interview 12, 34
E4
Initiating preserving actions toward local resources
35
E5
Expert
Promoting and preserving local cultural resources E6
Interview
Mathematical Problems in Engineering 7

Table 3: The definition of aspect.

Aspect Definition
The entire exterior and interior design of the homestay. Local
Surroundings of the building and
cultural features are demonstrated and incorporated into the
features A
homestay.
Customer satisfaction at services provided by homestay
Service quality B
proprietors.
Homestay facilities C Hardware of the homestay.
This section is about how the homestay proprietors manage, plan,
Homestay operation and
and design its rooms and surroundings as well as how they guard
management D
roomers’ lodging privacy and safety.
The homestay proprietors carry out the homestay operation in
Homestay geist and community person and frequently interact with their guests and run the
co-prosperity E homestay business with a concept of incorporating into its local
community in order to help local economic prosper.

3.2. ANP (Analytic Network Process)

In the real environment, there are many decision-making problems that cannot just take the
pure hierarchical relationship to construct the framework, because the high- and the low-
level element may exist the dependence relationship and interaction 41. As a result, Saaty
41 advanced ANP which has dependence and feedback, and in 2001 36, he recommended
using ANP to solve the problem of interdependent relationships among the criteria or
alternatives. In ANP, when nodes correspond to levels or components, that means there
exists the network feedback in a system 42. The elements in the nodes may influence
some or all elements in other nodes. In the network, all the nodes can be source nodes,
intermediate nodes, or sink nodes. The relationship in the network is represented by the arc,
and the direction of arrow means dependence relationship 41. When the two nodes have the
external dependence, it will be represented by the two-way arrow; the nodes in the elements
have the internal dependence, it will be represented by the circle arc 43.
ANP has four steps 41, 44 as follows.

Step 1. Establish the model and the framework. The question should be clearly described and
decomposed a rational system.

Step 2. Do the pairwise comparison to get the priority vector. The decision makers are asked to
answer the series of pairwise comparison of two random elements or criteria.

Step 3. Construct the supermatrix. The concept of super matrix is similar to the Markov chain
Saaty, 1996. To obtain the global priority vector of systematic dependence, we must put the
local priority vector into each corresponding line element to get the super matrix.

Step 4. Choose the best alternative. The alternative getting the highest weight is the best
alternative. In our study, we do not have the alternatives; therefore, we just finish from Step 1
to Step 3.
 8

Table 4: Criteria dependence.

A1 A2 A3 A4 A5 A6 A7 B1 B2 B3 B4 C1 C2 C3 C4 C5 D1 D2 D3 D4 D5 D6 D7 D8 E1 E2 E3 E4 E5 E6
A1 — • • • • • • • •
A2 • — • • • • • • • •
A3 — • • • • • • • • • •
A4 — • • • •
A5 — • • • • • •
A6 — • • • • • •
A7 • — • • • • •
B1 — • • • • • •
B2 — • •
B3 • — •
B4 • — • • •
C1 • —
C2 • — •
C3 — • •
C4 — •
C5 — • • • • •
D1 • • • —
D2 • — • • • • •
D3 • • • — • • •
D4 • • • • —
D5 • — • •
D6 • • • • • — • • • •
D7 • • • — •
D8 • • • • • • — • •
E1 • • • • — • •
E2 • • — • •
E3 • • • • — •
E4 — • •
E5 • • • —
E6 • • • • • —
Mathematical Problems in Engineering
Mathematical Problems in Engineering 9

Table 5: Linguistic values representations for Likert’s scale and fuzzy set.

Linguistic values Likert’s scale Fuzzy numbers

Highly unsatisfactory 1 0, 0, 20
Unsatisfactory 2 0, 20, 40
Slightly unsatisfactory 3 20, 40, 60
Slightly satisfactory 4 40, 60, 80
Satisfactory 5 60, 80, 100
Highly satisfactory 6 80, 100, 100

3.3. Fuzzy Theory

Fuzzy sets theory was introduced by Zadeh 37 in 1965. This theory is about human beings’
thoughts, inferences, and perceptions basically are within a certain degree of ambiguity.
Therefore, a fuzzy logic is required to describe that something is good or bad or its condition
in order to make up the shortcomings of two-value logic yes-no, true-or-false choices of
traditional sets.
A linguistic variable is a variable with linguistic words or sentences in a natural
language 45. The performance can be treated as a linguistic variable defined in the
closed interval 0, 100, whereas a set of the six linguistic values highly unsatisfactory,
unsatisfactory, slightly unsatisfactory, slightly satisfactory, satisfactory, highly satisfactory is
called a term set, denoted by Tpreference, with respect to the performance. Each linguistic
value can be represented by a triangular fuzzy number, which is a fuzzy set in the universe
of discourse that is both convex and normal 45, 46.
If the membership function of A  is μ  X : R → 0, 1, then A is a fuzzy number which
A
should satisfy the following conditions 47: 1 μA x is convex; 2 μA x is normal such that
a real number x0 exists which makes μA x0   1; 3 μA x is piecewise continuous. This study
takes the triangular membership function which is the most common. Each linguistic value
can be represented by a triangular fuzzy number l, m, u within the scale ranging from 0 to
100. An example of linguistic values described by triangular fuzzy numbers is demonstrated
in Table 5.
In addition, while computing synthetic performance value, fuzzy numbers are often
converted into a quantifiable value, which is defuzzification, also known as linguistic-
numerical transformation 48. In Table 5, for example, it is unsatisfactory is demonstrated
as “20” 0 20 40/3 and thereafter should be followed by the same analogy. The way
to compute the average performance value of the criteria in this research is that assuming
there are two interviewees, A and B, they are evaluating a single criterion. If A thinks
it is unsatisfactory, the corresponding value is 0, 30, 60. If B feels it is satisfactory, the
corresponding value is 60, 80, 100. As a result, their average performance value of this
criterion is 1/2  0, 30, 60 ⊕ 60, 80, 100  30, 55, 80, and the defuzzified value is
1/3  30 ⊕ 55 ⊕ 80  55.

4. Empirical Result
4.1. Validity and Reliability
The framework of this research is based on literature review and expert interviews; therefore,
it is with content validity and expert validity. This research has employed Cronbach’s α
10 Mathematical Problems in Engineering

Table 6: Cronbach’s α value of aspect.

Aspect Cronbach’s α
Surroundings of the building and features A 0.76
Service quality B 0.83
Homestay facilities C 0.75
Homestay operation and management D 0.90
Homestay geist and community co-prosperity E 0.93

coefficient to assess the scale reliability. Cronbach 49 suggested that an α coefficient less than
0.35 would be deemed as low reliability, the one between 0.35 and 0.7 would be considered
as mediocre reliability, and the one above 0.7 is high reliability. The result reveals that
Cronbach’s α coefficients of all aspects are above 0.7 as in Table 6, which indicates the scales
of this research are with good reliability.

4.2. Scope, Objects, Questionnaire, and Sampling

Regarding researching scope, Hsinchu County was selected, including Zhubei City, Wufong
township, Jianshih township, Emei township, Beipu township, Baoshan township, Cyonglin
township, Xinfeng township also known as Hong Mao Kang, Hengshan township, Hukou
township, Jhudong township, Xinpu township, and Guansi township also known as town
of longevity. There are two aboriginal towns in Hsinchu, which are Wufong township
and Jianshih township. Wufong township is habitat of Atayals and Saisiyats. Atayals and
its Ubong Fiesta worshipping ancestors and Saisiyats and its Pastaai Fiesta celebrating
harvest are all important local cultural assets. Jianshih township is also a place of Atayals,
where has developed a homestay cluster with aboriginal cultures, such as Smangus. Both
places possess abundant natural resources, such as hot and the springs, giant trees, Dabajian
Mountain; in addition, the aboriginals are giving major efforts to growing high-mountain
crops. These places are having great potentials in developing tourism with their leisure
farming and cultural tourism. Besides, Emei township, Xinpu township, and Beipu township
all possess rich Hakka cultural traditions and heritages, which is also with niches and
worthiness to develop tourism. There are bountiful stones in Hengshan township, such
as basalts, igneous rocks, and Septarian Boulders, which have attracted numerous stone
enthusiasts and have formed another culture; furthermore, the Neiwan branch railway is
the artery to maintain its local prosperity. To conclude, Hsinchu has strong aboriginal and
Hakka color as well as cultural heritages, which are not only worthwhile to explore, but also
with niches in developing in-depth tours. Moreover, this research has classified approved
Hsinchu homestays. According to the result, homestays featured with landscape, ecology,
and building play the key part; therefore, the evaluation alternative must cover at least two
of the forementioned features. With Expert C’s strong recommendation, two representative
homestays were selected for the evaluation alternative, and their lodging guests were the
research objects. Four parts are included in the questionnaire design: 1 pairwise comparison
of aspects and criteria, 2 lodging satisfaction, 3 linguistic value for satisfaction, and 4
lodgers’ demographics. Concerning people usually lodge in homestays only at weekend or
on holidays, this questionnaire was distributed from December 24 2011 to January 18 2012,
covering Christmas Eve, Christmas, New Year, and so forth, 50 copies were retrieved in
Homestay A, which are one for the homestay host and 49 for the lodgers. 30 copies were
Mathematical Problems in Engineering 11

Table 7: Demographics distribution.

Homestay A customer Homestay B customer

Number % Number %
Gender
Male 22 44.9 8 28.6
Female 27 55.1 20 71.4
Age
20 and below 6 12.2 3 10.7
21–40 26 53.1 24 85.7
41–60 17 34.7 1 3.6
61 and above 0 0 0 0
Marriage status
Married 24 49 10 35.7
Single 24 49 16 57.1
Divorced 1 2 1 3.6
Widower/widow 0 0 1 3.6
Occupation
Military/public/education service 7 14.3 2 7.1
Agriculture, fishery, and manufacturing 1 2 1 3.6
Service sector 8 16.3 8 28.6
Commercial/financial sector 9 18.4 4 14.3
Electronics manufacturing 7 14.3 6 21.4
Student 8 16.3 3 10.7
Homemaker 0 0 1 3.6
Freelancer 3 6.1 1 3.6
Miscellaneous 6 12.2 2 7.1
Education
Junior high school and below 0 0 0 0
Senior high school 9 18.4 6 21.4
University/college 28 57.1 17 60.7
Graduate and above 12 24.5 5 17.9
Avg. monthly earning NT$
20,000 and below 11 22.4 5 17.9
20,001–40,000 15 30.6 7 25
40,001–60,000 13 26.5 13 46.4
60,001 and above 10 20.4 3 10.7

retrieved in Homestay B, two for homestay hosts and 28 for lodgers. 80 copies are all valid
samples.

4.3. Demographics Analysis

According to Table 7, regarding gender, female plays the key role among the respondents.
About age, the group of 21–40 years old is the most. For marriage status, most are married
or unwed at Homestay A, and at Homestay B, most are unwed. With respect to occupation,
Homestay A’s guests majorly are working in commercial and financial sector and second
major group is working in service sector, and the students. The group working in service
12 Mathematical Problems in Engineering

Table 8: An example of unweighted supermatrix.

A B C D E
A 1 1 1 1
B 1 1 1 1
C 1 1 1
D 1 1 1 1 1
E 1 1 1 1

Table 9: An example of weighted supermatrix.

A B C D E
A 0.4286 0.25 0.2727 0.25
B 0.375 0.25 0.2727 0.25
C 0.125 0.25 0.0909
D 0.4286 0.375 0.25 0.2727 0.25
E 0.1429 0.125 0.0909 0.25

sector is the largest and is followed by the one working in electronic manufacturing sector
at Homestay B. About education level, most are holding college degree. Concerning average
monthly earning, the group earning NT$ 20,001–40,000 is the major one and is followed by
the one earning NT$ 40,001–60,000 at Homestay A, and most of the Homestay B’s lodgers are
from the one earning NT$ 40,001–60,000.

4.4. Analyze the Key Aspects and the Key Criteria

The study got unweighted supermatrix, weighted supermatrix, and limiting supermatrix
by Super Decisions Software which is for ANP analytic network process. Taking one of
respondents for example, the three matrices are showed as from Tables 8, 9, and 10.

4.4.1. Aspects
This research has verified that the CI consistency index value of each pairwise comparison’s
matrix is less than 0.1, and the values of limiting supermatrix were obtained by arithmetic
average in order to get the rank of aspects as in Tables 11 and 12. According to Table 11,
Homestay A’s key aspects are homestay operation and management, surroundings of
the building and features, and service quality. Key aspects of its customer group are
homestay operation and management, service quality, and surroundings of the building and
features. Both do not attach great importance to homestay facility and homestay geist and
community co-prosperity. Based on Table 12, key aspects of Homestay B are service quality,
homestay operation and management, and surroundings of the building and features. Its
customer group’s key aspects are homestay operation and management, service quality, and
surroundings of the building and features. Both Homestay B and its customer group do
not pay much attention to homestay facility as well as homestay geist and community co-
prosperity.
Mathematical Problems in Engineering 13

Table 10: An example of limiting supermatrix.

A B C D E
A 0.2452 0.2452 0.2452 0.2452 0.2452
B 0.2242 0.2242 0.2242 0.2242 0.2242
C 0.0773 0.0773 0.0773 0.0773 0.0773
D 0.3293 0.3293 0.3293 0.3293 0.3293
E 0.1240 0.1240 0.1240 0.1240 0.1240

Table 11: The rank of aspect importance of homestay A limiting supermatrix value.

Aspect Proprietor’s Rank Customers’ Rank

A 0.2452 2 0.2080 3
B 0.2242 3 0.2280 2
C 0.0773 5 0.1585 4
D 0.3293 1 0.2637 1
E 0.1240 4 0.1419 5

4.4.2. Criteria
This research has verified the CI consistency index value of each pairwise comparison’s
matrix is less than 0.1, and the values of limiting supermatrix were obtained by arithmetic
average in order to get the rank of criteria as in Tables 13 and 14. According to Table 13,
the top 5 key criteria of the Homestay A are to utilize natural ventilation sufficiently, room
tidiness, to utilize plenty natural light, safety e.g., lodger insurance and room safety, and
room coziness, and the top 5 key criteria of lodgers are room coziness, to utilize plenty natural
light, to utilize natural ventilation sufficiently, safety e.g., lodger insurance and room safety,
service attitude e.g., reception service and treating lodgers with voice of the customers. In
addition, the bottom 5 criteria that Homestay A values are room themes and features e.g.,
oceanic themes, promoting and preserving local cultural resources, cooking facilities e.g.,
kitchen, contribution for living quality of local community, and medical aid e.g., first-aid
box. The bottom 5 criteria that Homestay A lodgers value are room themes and features
e.g., oceanic themes, the beautification and uniqueness of the interior design, to incorporate
the local heritage and landscape elements into design, contribution for living quality of local
community, and medical aid e.g., first-aid box.
According to Table 14, the top 5 key criteria of Homestay B are catering service and
quality e.g., the hosts prepare diversified breakfast in person, freshness of ingredients,
service attitude e.g., reception service, to treat lodgers with voice of the customers,
homestay business features e.g., aboriginal culture, room coziness, and pick-up service
e.g., offering free pick-up service. The ones of its lodgers are safety e.g., lodger insurance
and room safety, service attitude e.g., reception service, to treat lodgers with voice of the
customers, room coziness, pick-up service e.g., offering free pick-up service, and catering
service and quality e.g., the hosts prepare diversified breakfast in person, freshness of
ingredients. Furthermore, the bottom 5 criteria that the Homestay B value are to maintain the
land’s vitality and good condition in the process of design and construction, the beautification
and uniqueness of the interior design, room themes and features e.g., oceanic themes,
medical aid e.g., first-aid box, and contribution for living quality of local community. The
bottom 5 criteria that Homestay B lodgers value are greenization and uniqueness of the
14 Mathematical Problems in Engineering

Table 12: The rank of aspect importance of Homestay B limiting supermatrix value.

Aspect Proprietor’s Rank Customers’ Rank

A 0.1830 3 0.2132 3
B 0.2610 1 0.2240 2
C 0.1447 5 0.1803 4
D 0.2458 2 0.2552 1
E 0.1654 4 0.1273 5

Table 13: The rank of criteria importance of Homestay A limiting supermatrix value.

Criteria Proprietor’s Rank Customers’ Rank

A1 0.0910 1 0.0624 3
A2 0.0741 3 0.0628 2
A3 0.0617 7 0.0487 11
A4 0.0213 16 0.0123 24
A5 0.0180 21 0.0088 28
A6 0.0231 15 0.0112 27
A7 0.0202 18 0.0125 23
B1 0.0304 13 0.0544 5
B2 0.0210 17 0.0537 6
B3 0.0158 23 0.0162 21
B4 0.0424 10 0.0501 10
C1 0.0053 28 0.0119 25
C2 0.0193 19 0.0505 9
C3 0.0140 24 0.0284 16
C4 0.0015 30 0.0035 30
C5 0.0269 14 0.0403 14
D1 0.0856 2 0.0534 7
D2 0.0669 5 0.0688 1
D3 0.0441 9 0.0428 13
D4 0.0708 4 0.0603 4
D5 0.0101 26 0.0113 26
D6 0.0651 6 0.0464 12
D7 0.0379 11 0.0275 17
D8 0.0450 8 0.0512 8
E1 0.0310 12 0.0307 15
E2 0.0170 22 0.0254 18
E3 0.0119 25 0.0173 20
E4 0.0033 29 0.0047 29
E5 0.0192 20 0.0197 19
E6 0.0061 27 0.0131 22

garden design, to maintain the land’s vitality and good condition in the process of design
and construction, to incorporate the local heritage and landscape elements into design,
contribution for living quality of local community, and medical aid e.g., first-aid box.
In conclusion, both homestays set store by room coziness, but do not attach much
weight to the medical aid e.g., first-aid box, room themes and features e.g., oceanic
themes as well as contribution for living quality of local community. Customer groups of
Mathematical Problems in Engineering 15

Table 14: The rank of criteria importance of homestay B limiting supermatrix value.

Criteria Proprietor’s Rank Customers’ Rank

A1 0.0310 15 0.0552 7
A2 0.0282 17 0.0545 8
A3 0.0423 10 0.0483 10
A4 0.0115 26 0.0097 27
A5 0.0134 23 0.0074 28
A6 0.0110 27 0.0102 25
A7 0.0125 24 0.0102 26
B1 0.0717 2 0.0632 2
B2 0.0621 5 0.0602 4
B3 0.0230 18 0.0164 21
B4 0.0720 1 0.0568 5
C1 0.0174 22 0.0145 23
C2 0.0567 7 0.0568 6
C3 0.0308 16 0.0328 15
C4 0.0044 29 0.0028 30
C5 0.0459 9 0.0391 14
D1 0.0348 13 0.0413 13
D2 0.0652 4 0.0614 3
D3 0.0317 14 0.0497 9
D4 0.0595 6 0.0760 1
D5 0.0097 28 0.0147 22
D6 0.0693 3 0.0433 12
D7 0.0176 21 0.0236 18
D8 0.0348 12 0.0434 11
E1 0.0515 8 0.0311 16
E2 0.0415 11 0.0262 17
E3 0.0183 19 0.0165 20
E4 0.0027 30 0.0046 29
E5 0.0181 20 0.0175 19
E6 0.0116 25 0.0125 24

both homestays regard service attitude e.g., reception service, to treat lodgers with voice
of the customers, room coziness, and safety e.g., lodger insurance and room safety, but
do not attach much importance to incorporating the local heritage and landscape elements
into design, medical aid e.g., first-aid box, and contribution for living quality of local
community.

4.5. Compare the Weight and the Performance of Criteria

According to Table 15, the top 5 key criteria of Homestay A customer group are room
coziness, to utilize plenty natural light, to utilize natural ventilation sufficiently, safety e.g.,
lodger insurance and room safety and service attitude e.g., reception service, to treat lodgers
with voice of the customers. This customer group also deemed Homestay A performed well
at most of these criteria, but not the one of service attitude e.g., reception service, to treat
lodgers with voice of the customers, of which the weight rank is 5 and performance is 7.
16 Mathematical Problems in Engineering

Table 15: The weight and the performance of criteria of Homestay A.

Criteria Weight Rank Performance Rank

A1 0.0624 3 247.0332 3
A2 0.0628 2 256.7336 2
A3 0.0487 11 186.0355 10
A4 0.0123 24 48.5820 23
A5 0.0088 28 34.2999 28
A6 0.0112 27 43.6726 25
A7 0.0125 23 51.1644 22
B1 0.0544 5 209.3067 7
B2 0.0537 6 160.3981 14
B3 0.0162 21 58.3286 21
B4 0.0501 10 195.9993 8
C1 0.0119 25 42.2324 26
C2 0.0505 9 187.3879 9
C3 0.0284 16 108.3439 17
C4 0.0035 30 12.9081 30
C5 0.0403 14 161.6255 12
D1 0.0534 7 217.9093 5
D2 0.0688 1 279.5624 1
D3 0.0428 13 161.3169 13
D4 0.0603 4 230.2385 4
D5 0.0113 26 39.5616 27
D6 0.0464 12 176.5603 11
D7 0.0275 17 111.5492 15
D8 0.0512 8 210.6188 6
E1 0.0307 15 111.0706 16
E2 0.0254 18 87.4298 18
E3 0.0173 20 58.7417 20
E4 0.0047 29 15.2610 29
E5 0.0197 19 66.3753 19
E6 0.0131 22 43.9704 24

Besides, the room coziness is the more outstanding one in the performance, of which the
weight rank is 7 and the performance is 5. The bottom 5 criteria that customer does not attach
much importance to are room themes and features e.g., oceanic themes, beautification and
uniqueness of the interior design, to incorporate the local heritage and landscape elements
into design, contribution for living quality of local community, and medical aid e.g., first-
aid box. The Homestay A customer group felt Homestay A did not perform well on these
criteria.
Based on Table 16, the top 5 key criteria of the Homestay B customer group are safety
e.g., lodger insurance and room safety, service attitude e.g., reception service, to treat
lodgers with voice of the customers, room coziness, pick-up service e.g., offering free pick-
up service, and catering service and quality e.g., the hosts prepare diversified breakfast
in person, freshness of ingredients. The customer group deemed Homestay B performed
well in most of these criteria, but not the pick-up service e.g., offering free pick-up service,
whose weight rank is 4 and performance is 7. Besides, the performance in utilizing natural
Mathematical Problems in Engineering 17

Table 16: The weight and the performance of criteria of Homestay B.

Criteria Weight Rank Performance Rank

A1 0.0552 7 134.8743 5
A2 0.0545 8 131.8385 6
A3 0.0483 10 112.2302 10
A4 0.0097 27 21.9683 27
A5 0.0074 28 16.0411 28
A6 0.0102 25 24.2880 25
A7 0.0102 26 24.0641 26
B1 0.0632 2 154.7361 3
B2 0.0602 4 129.8464 7
B3 0.0164 21 38.5182 20
B4 0.0568 5 140.3985 4
C1 0.0145 23 32.8570 23
C2 0.0568 6 125.0572 8
C3 0.0328 15 72.5805 16
C4 0.0028 30 6.3272 30
C5 0.0391 14 93.9949 14
D1 0.0413 13 103.7234 12
D2 0.0614 3 156.1340 2
D3 0.0497 9 121.2171 9
D4 0.0760 1 186.3346 1
D5 0.0147 22 33.9942 22
D6 0.0433 12 102.4864 13
D7 0.0236 18 56.9343 18
D8 0.0434 11 107.4946 11
E1 0.0311 16 79.6609 15
E2 0.0262 17 63.3136 17
E3 0.0165 20 38.2953 21
E4 0.0046 29 11.3007 29
E5 0.0175 19 39.2847 19
E6 0.0125 24 29.9663 24

Table 17: The linguistic value after defuzzification.

Highly Unsatisfactory Slightly Slightly Satisfactory Highly

unsatisfactory unsatisfactory satisfactory satisfactory
A 34 54 69 84
0 100
B 26 45 68 85

ventilation sufficiently is exceedingly good, whose weight rank is 7 and performance is 5.

The bottom 5 criteria that customer group values are greenization and uniqueness of the
garden design, to maintain the land’s vitality and good condition in the process of design
and construction, to incorporate the local heritage and landscape elements into design,
contribution for living quality of local community, and medical aid e.g., first-aid box. The
group also deemed that Homestay B did not perform well in these criteria.
To conclude, customer groups of both homestays think the homestay they stayed in
performed well in utilizing natural ventilation sufficiently, room coziness, and safety e.g.,
18 Mathematical Problems in Engineering

Table 18: The homestay performance.

Homestay A customer Homestay B customer

No. Result No. Result No. Result
1 SU 26 S 1 S
2 SS 27 S 2 HS
3 SS 28 S 3 SS
4 S 29 S 4 S
5 S 30 HS 5 S
6 HS 31 S 6 S
7 S 32 HS 7 HS
8 SS 33 S 8 HS
9 HS 34 S 9 S
10 SU 35 SU 10 S
11 SS 36 SS 11 S
12 S 37 S 12 SS
13 S 38 SS 13 S
14 S 39 SU 14 S
15 S 40 SS 15 HS
16 S 41 S 16 S
17 HS 42 SS 17 SS
18 SS 43 S 18 S
19 SS 44 S 19 HS
20 SS 45 S 20 HS
21 SS 46 S 21 S
22 S 47 S 22 S
23 SU 48 SS 23 S
24 SS 49 S 24 S
25 S Overall S 78 25 S
26 S
27 HS
28 S
Overall S 85
Note. U: unsatisfactory.
SU: slightly unsatisfactory.
SS: slightly satisfactory.
S: satisfactory.

lodger insurance and room safety, but not well in incorporating the local heritage and
landscape elements into design, medical aid e.g., first-aid box, and contribution for living
quality of local community.

4.6. Synthetic Performance of Homestay

The values of highly unsatisfactory, unsatisfactory, slightly unsatisfactory, slightly satis-
factory, satisfactory, and highly satisfactory were obtained through defuzzification and
arithmetic average as in Table 17. The customer group satisfaction with the lodging homestay
was further analyzed, and the result is as Table 18. The computing method is to classify by a
concept of “distance”; for example, a Homestay A customer’s overall performance value is
Mathematical Problems in Engineering 19

83, which is not far from the option of satisfactory 84; that means it is close up to satisfactory,
and it will show as satisfactory. According to Table 18, for Homestay A, 5 customers felt
highly satisfactory, 25 customers considered satisfactory, the number of slightly satisfactory is
14 and the number of feeling slightly unsatisfactory is 5. Regarding Homestay B, there were
7 customers feeling highly satisfactory, 18 thought it was a satisfactory experience, and 3 felt
slightly satisfactory. Overall, both of them are satisfactory.

5. Conclusion and Suggestion

5.1. Conclusion
With respect to key aspects, both homestays and their customer groups attach much weight
to surroundings of the building and features, service quality, and homestay operation and
management, only vary in rank. Moreover, Homestay A and its customer group both value
the aspect of homestay operation and management most, and Homestay B takes service
quality most seriously and its customer group attaches greatest importance to the homestay
operation and management.
With respect to key criteria, both Homestay A and its customer group hold similar
ideas, and the difference lays merely on the rank. Homestay A regards utilizing natural
ventilation sufficiently as the most important issue, but customer group values room coziness
the most. A greater discrepancy lays on service attitude e.g., reception service, to treat
lodgers with voice of the customers, in which the Homestay A’s rank is 13, but the one
of customer group is 5, and the room tidiness, in which the Homestay A’s rank is 2, but
the one of customer group is 7. The key criteria of Homestay B and its customer group are
mostly the same, which are only different in their rank. Homestay B pays greatest attention to
catering service and quality e.g., the hosts prepare diversified breakfast in person, freshness
of ingredients, but its customer group lay greatest stress on safety e.g., lodger insurance
and room safety. Two large discrepancies between Homestay B and its customer group are
safety e.g., lodger insurance and room safety, for which the Homestay B’s rank is 6, but
its customer group’s rank is 1, and homestay features e.g., aboriginal culture, for which
Homestay B’s rank is 3, but the one of its customer group is 12.
Regarding importance rank of criteria and homestay performance, the top 5 key
criteria of Homestay A’s customer group are room coziness, to utilize plenty natural light,
to utilize natural ventilation sufficiently, safety e.g., lodger insurance and room safety,
and service attitude e.g., reception service, to treat lodgers with voice of the customers.
Its lodgers all felt Homestay A performed great in most of these criteria, but not in service
attitude e.g., reception service, to treat lodgers with voice of the customers, whose weight
rank is 5, but performance is 7. The performance in room tidiness also is not bad, whose
weight rank is 7 and performance is 5. The top five key criteria of Homestay B’s customer
group are safety e.g., lodger insurance and room safety, service attitude e.g., reception
service, to treat lodgers with voice of the customers, room coziness, pick-up service offering
free pick-up service, and catering service and quality e.g., the hosts prepare diversified
breakfast in person, freshness of ingredients. Its customers deemed Homestay B performed
greatly in most of these criteria, but not in pick-up service offering free pick-up service,
whose weight rank is 4 but performance is 7. In addition, the criterion of utilizing natural
ventilation sufficiently was doing well, whose weight rank is 7 and performance is 5.
To summarize, both homestays performed outstandingly in utilizing natural ventilation
sufficiently, room coziness, and safety e.g., lodger insurance and room safety.
20 Mathematical Problems in Engineering

With regard to homestay overall performance, five customers felt highly satisfactory
with Homestay A, 25 customers considered satisfactory, 14 were slightly satisfactory, and 5
are slightly unsatisfactory. For Homestay B, 7 customers felt highly satisfactory, 18 thought
it was a satisfactory experience, and 3 were slightly satisfactory. To conclude, the overall
performance of both homestays met the expectation of their customer groups.

5.2. Suggestion
Regarding aspects, both homestays and their customer groups attach greater importance to
surroundings of the building and features, service quality, as well as homestay operation
and management, but not to the homestay facilities and homestay geist and community
co-prosperity, which is consistent with the real situation in Taiwan. Homestay operation in
Taiwan is working toward a specialized model. Homestays tend to attract people with their
magnificent structures and gorgeous settings, among which some even spent hundreds of
millions to set up the facilities. Nevertheless, expert group suggested that is working against
homestay’s natures and geist. Homestay should be a sideline business, and the interaction
between hosts and lodgers should be very tight, but not merely about lodging. On this
ground, this study suggest it should start from educating consumers in order to make them
understand what homestays are and what they should value is not merely about the exterior
condition. Moreover, the interaction between homestay hosts and lodgers should be built up,
such as taking the lodgers to have an in-depth travel in order to give a great impression to
the customers and they would have a wanna-come-again idea. On top of those, government
could work with local communities to form “homestay villages,” which would be helpful for
driving local economic development. Smangus tribe and Tao-Mi Eco Village, for instance, are
both very successful examples of building homestay community in Taiwan.
Regarding customer groups’ criteria importance rank and their lodging homestay’s
performance, the top five key criteria of Homestays A’s customer group are room coziness,
to utilize plenty natural light, to utilize natural ventilation sufficiently, safety e.g., lodger
insurance and room safety, and service attitude e.g., reception service, to treat lodgers with
voice of the customers. The leading four performance rank of Homestay A is consistent with
its importance rank, but service attitude e.g., reception service, to treat lodgers with voice of
the customers is not performing very well, whose weight rank is 5, but performance is 7. This
study therefore suggests Homestay A can improve its service skills by on-the-job trainings or
special courses. In addition, its pick-up service offering free pick-up service also did not
perform well, whose weight rank is 6 and performance is 14. This study deems that it is
because Homestay A does not offer this service, but its customer group apparently attaches
great importance to it. Therefore, it is suggested that Homestay A could buy a shuttle bus or
outsource this service to offer this service and improve the satisfaction. The customer group
of Homestay B values safety e.g., lodger insurance and room safety most, and Homestay
B performs best in this criterion as well. It also performs great in other key criteria, such
as service attitude e.g., reception service, to treat lodgers with voice of the customers,
whose weight rank is 2 and performance is 3, and room coziness, whose weight rank is 3
and performance is 2, and catering service and quality e.g., the hosts prepare diversified
breakfast in person, freshness of ingredients, whose weigh rank is 5 and performance is
4. But Homestay B did not perform well in pick-up service offering free pick-up service,
whose weight rank is 4 and performance is 7. This study believes the main cause is same
as Homestay A, which does not have this service; therefore, the improving measure is
as forementioned. To conclude, the overall performance of both homestays is satisfactory;
Mathematical Problems in Engineering 21

Table 19
No. Date Expert opinions Response and actions
1 This study has integrated and
Both Expert A and C thought the
altered the aspects and criteria with
aspects and criteria in the prelimi-
similar implication as shown in
nary framework are appropriate. It
Table 2.
should not stress the exterior set-
2 A new aspect was added and was
tings and facilities, but the home-
named “Homestay geist and
stay geist and natures in order to
1 2011/10/27 community co-prosperity”, in which
make the framework more distributive
there are five criteria: “interaction
and comprehensive. On top of those,
between hosts and guests”, “guiding
it should underline the connection
service”, “arranging local experiential
between homestays and local commu-
activities and food”, “contribution for
nities. At the end, Expert A indicated
living quality of local community”
that aspects and criteria with similar
and “initiating preserving actions
implications could be merged.
toward local resources”
Expert B pointed out that hardware
of homestays are not on par with the
one of hotels. Therefore, they should
rely heavily on their natures and geist
as well as the interaction with guests,
and he also suggested underlining a
1 A new criteria of “promoting and
marketing concept of “homestay vil-
2 2011/11/17 preserving local cultural resources”
lage.” At the end, the expert consid-
was added into the aspect of homestay
ered the framework after integrating
geist and community co-prosperity
and altering is appropriate, but if a new
criterion of “promoting and preserv-
ing local cultural resources” is added
under the aspect of homestay geist and
community co-prosperity, it would be
more comprehensive.
1 This research was carried out
by emails to ask Expert A about 1 This research has added remarks to
3 2011/11/24 the applicability of the after-integrate the criteria under the service quality
framework. He reckoned it is distribu- aspect as demonstrated in Table 2.
tive and comprehensive.
2 Expert A and this research both
deemed that the rooms of homestays
are limited to 5 to 15 and homestay
should be a sideline business;
therefore, having employees is not an
2 Expert C thought some remarks
essential option. As a result, it would
should be included in each of the four
not be included in the framework.
criteria of the aspect of service qual-
3 Expert A and this research both
ity. In addition, she suggested adding
deemed that homestay is a sideline
“employee” and “outdoor facilities” as
business and its nature is that only if
new evaluation criteria.
there are surplus rooms, it would
become a homestay. Therefore, having
outdoor facilities is not an essential
option, which was not going to be
included in the framework.
22 Mathematical Problems in Engineering

however, if they can improve the criteria that did not have good performance, they would be
able to achieve the level of highly satisfactory.

5.3. Contribution
Researches on homestays most were about the customer satisfaction 13–15, marketing
strategies 16–18, experiential marketing 19–21, operation management 22–26, or con-
sumer behaviors 27–30, but few constructed the evaluation frameworks from perspectives
of the entire homestay business operation. Moreover, the functions, operation models, and
natures of homestays are different from hotels 3, 12, 32–34; therefore, if the evaluation
standards for hotels are applied to homestays, it would be incompatible and at variance. On
these grounds, this research has been carried out through literature review and interviewing
experts in order to develop and construct a set of evaluation indicators applicable to homestay
business and to draw up an evaluation framework, which would be more comprehensive and
tailor-made for the real practice. The expert group pointed out in the interviewing process
that aspects like hardware facilities, service quality, and exterior settings are essential to
the current demand, but they all stressed that the evaluation should be brought back to
the natures and geist of homestay business, such as the interaction between homestay hosts
and lodgers instead of only pursuing the exterior setting relentlessly. Based on this ground,
the value of this study and the evaluation frameworks’ differences between this study and
the earlier ones 12, 31, 34, 35 are to add the criterion of homestay geist and community
co-prosperity and to make a further discussion. At the end, it is hoped that the results of
this study could be a reference for homestay proprietors to improve their business and for
government to promote the homestay business in the future.

5.4. Limitation and Future Research

This research only discussed the homestays in Hsinchu region. It is suggested that the scope
of future researches can be expanded. Furthermore, this research focused on the features
like landscapes, ecology, and building. Homestays with other features can be explored in
the future, such as hot spring homestays.

Appendix
See Table 19.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 979307, 18 pages
doi:10.1155/2012/979307

Research Article
Mixed Mortar Element Method for
P1NC /P0 Element and Its Multigrid Method for
the Incompressible Stokes Problem

Yaqin Jiang1, 2 and Jinru Chen1

1
Jiangsu Key Laboratory for NSLSCS, School of Mathematical Sciences, Nanjing Normal University,
Nanjing 210046, China
2
School of Sciences, Nanjing University of Posts and Telecommunications, Nanjing 210046, China

Correspondence should be addressed to Yaqin Jiang, [email protected]

Received 15 November 2011; Revised 19 April 2012; Accepted 20 April 2012

Academic Editor: Dongdong Ge

Copyright q 2012 Y. Jiang and J. Chen. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

We discuss a mortar-type P1NC /P0 element method for the incompressible Stokes problem. We
prove the inf-sup condition and obtain the optimal error estimate. Meanwhile, we propose a
W-cycle multigrid for solving this discrete problem and prove the optimal convergence of the
multigrid method, that is, the convergence rate is independent of the mesh size and mesh level.
Finally, numerical experiments are presented to confirm our theoretical results.

1. Introduction
As we all know, the application of viscous incompressible flows is of considerable interest. For
example, the design of hydraulic turbines, or rheologically complex flows appears in many
processes which are involved in plastics and molten metals. Therefore, in recent decades,
many engineers and mathematicians have concentrated their efforts on the Stokes problem,
especially the problem that can be handled by the finite element methods. In 1, Girault
and Raviart provided a fairly comprehensive treatment of the most recent development
in the finite-element method. Some new divergence-free elements were proposed to solve
Stokes problem recently see 2, 3 and others. Due to this development in the finite-element
theory, many numerical algorithms were established to solve the Stokes equations. Among
these algorithms, multigrid methods and domain decomposition methods for the Stokes
equations are very prevalent. In 4, the authors constructed an efficient smoother. Based on
the smoother, the multigrid methods have been greatly developed see 5, 6. Meanwhile,
2 Mathematical Problems in Engineering

a FETI-DP method was extended to the incompressible Stokes equations in 7, 8, a BDDC
algorithm for this problem was developed too in 9 and others.
In the last twenty years, mortar element methods have attracted much attention and it
was first introduced in 10. This method is a nonconforming domain decomposition method
with nonoverlapping subdomains. In mortar finite-element methods, the meshes on adjacent
subdomains may not match with each other across the interfaces of the subdomains. The
coupling of the finite-element functions on adjacent meshes is done by enforcing the so-called
mortar condition across the interfaces  see 10 for details. There have been considerable
researches on the mortar element methods see 11–13 and others.
In 12, the author discussed the mortar-type conforming element P2 /P1 element
method for the Stokes problem, and then Chen and Huang proposed the mortar-type
nonconforming element Q1rot /Q0 element method for the problem in 5. It is well known
that the rotated Q1 element is a rectangle element, and it is not a flexible finite element
since it is only suitable for the rectangular or L-shape-bounded domain. Moreover, the
rotated Q1 element is a quadratic element and is not as convenient as the linear elements in
calculating.
In this paper, we apply the mortar element method coupling with P1 nonconforming
finite element to the incompressible Stokes problem. The P1 nonconforming finite element is
a triangular element and it is suitable for more extensive polygonal domain than the rotated
Q1 element. Moreover, owing to its linearity, the computational work is less than the rotated
Q1 element. We prove the so-called inf-sup condition and obtain the optimal error estimate.
When solving the discrete problem, we also present a W-cycle multigrid algorithm, but the
analysis about the convergence of the multigrid is different from 5. We only prove that the
prolong operator satisfies the criterion which proposed in 14 and we obtain the optional
convergence with simpler analysis than that in 5. Meanwhile, we do some numerical
experiments which were realized in 5. From numerical results, we note that the number
of iterations is less than the rotated Q1 element method when achieving the same relative
error.
The rest of this paper is organized as follows. In Section 2, we review the Stokes
problem and introduce the mortar element method for P1 nonconforming element. Section
3 gives verification of the inf-sup condition and error estimate. The multigrid algorithm and
the convergence analysis are given in Sections 4 and 5, respectively. The last section presents
some numerical experiments. Throughout this paper, we denote by “C” a universal constant
which is independent from the mesh size and level, whose values can differ from place to
place.

2. Preliminaries
We only consider the incompressible flow problem, the steady-state Stokes problem, so that
we can compare the results with those in 5.
The partial differential equations of the model problem is

−Δu ∇p f in Ω,

div u 0 in Ω, 2.1

u 0 on ∂Ω,
Mathematical Problems in Engineering 3

where Ω is bounded convex polygonal domain in R2 , u represents the velocity of fluid, p is

pressure, and f is external force. Define
  
L20 Ω q ∈ L Ω |
2
q dx 0 . 2.2
Ω

The mixed variational formulation of problem 2.1 is to find u, p ∈ H01 Ω2 × L20 Ω such
that

   2
au, v b v, p f, v, ∀v ∈ H01 Ω ,
2.3
 
b u, q 0, ∀q ∈ L20 Ω,

where the bilinear formulations a·, · on H01 Ω2 × H01 Ω2 , b·, · on H01 Ω2 × L20 Ω
and the dual parity ·, · on L2 Ω2 × L2 Ω2 are given, respectively, by
  
 
au, v ∇u · ∇v dx, b v, q − div vq dx, f, v f · v dx. 2.4
Ω Ω Ω

It is well known that the bilinear form b·, · satisfies the inf-sup condition, that is, there exists
a positive constant β for any q ∈ L20 Ω such that
 
b v, q
sup ≥β q L2 Ω
. 2.5
2 vH 1 Ω2
v∈H0 Ω
1

According to the assumption on Ω and the saddle point theory in 15, we know that if f ∈
L2 Ω2 , then there exists a unique solution u, p ∈ H01 Ω H 2 Ω2 × L20 Ω H 1 Ω
satisfying

uH 2 Ω2 p H 1 Ω

≤ CfL2 Ω2 . 2.6

We now introduce a mortar finite-element method for solving problem 2.3. First, we
partition Ω into nonoverlapping polygonal subdomains such that

N
Ω Ωi , Ωi Ωj φ if i / j. 2.7
i 1

They are arranged, so that the intersection of Ωi Ωj for i / j is an empty set or an edge, or
a vertex; that is, the partition is geometrically conforming. Denote by γm the common open
N
edge to Ωi and Ωj , then the interface Γ i 1 ∂Ωi \ ∂Ω is broken into a set of disjoint open
straight segments γm 1 ≤ m ≤ M, that is,

M
Γ γ m, γm γn φ if m / n. 2.8
m 1
4 Mathematical Problems in Engineering

By γmi we denote an edge of Ωi called mortar and by δmj an edge of Ωj that geometrically
occupies the same place called nonmortar.
With each Ωi , we associate a quasiuniform triangulation Th Ωi  made of elements
that are triangles. The mesh size hi is the diameter of largest element in Th Ωi . We define
N
h max1≤i≤N hi , Th i 1 Th Ωi . Let CR nodal points be the nonconforming nodal points,
that is, the midpoints of the edges of the elements in Th Ωi . Denote the set of CR nodal
points belonging to Ωi , ∂Ωi and ∂Ω by ΩCR ih
, ∂ΩCR
ih
and ∂ΩCR
h
, respectively.
For each triangulation Th Ωi  on Ωi , the P1 nonconforming element velocity space and
piecewise constant pressure space are defined, respectively, as follows:
  2
Xh Ωi  vi ∈ L2 Ωi  |vi |τ is linear ∀τ ∈ Th Ωi ,

vi is continuous at midpoint of τ, vmi  0 ∀mi ∈ ∂ΩCR , 2.9
h

   
Qh Ωi  qi ∈ L2 Ωi  qi τ is a constant for τ ∈ Th Ωi  .

Then the product space X  h Ω N i 1 Xh Ωi  is a global P1 nonconforming element space for
Th on Ω.
For any interface γm γmi δmj 1 ≤ m ≤ M, there are two different and
independent triangulations Th γmi  and Th δmj , which produce two sets of CR nodes
belonging to γm : the midpoints of the elements belonging to Th γmi  and Th δmj  denoted
CR CR
by γmi and δmj , respectively.
In order to introduce the mortar condition across the interfaces γm , we need the
auxiliary test space Sh δmj  which is defined by
 
Sh δmj
   
2  
v ∈ L δmj
2
| v is piecewise constant on elements of triangulation Th δmj .
2.10

For each nonmortar edge δmj , define the L2 -projection operator: Qh,δmj : L2 γm 2 →
Sh δmj  by
   
Qh,δmj v, w v, wL2 δmj  , ∀w ∈ Sh δmj . 2.11
L2 δ mj 

Now we can define the mortar-type P1 nonconforming element space as follows:

    
Xh Ω  h Ω | v|Ω ∈ Xh Ωi , Qh,δmj v|δ
v∈X Qh,δmj v|γmi ,
i mj

 2.12
∀γm γmi δmj ⊂ Γ ,

the condition of the equality in 2.12 which the velocity function v satisfies is called mortar
condition.
Mathematical Problems in Engineering 5

The global P0 element pressure space on Ω is defined by

  
Qh Ω q ∈ L20 Ω | qΩi ∈ Qh Ωi  . 2.13

We now establish the discrete system for problem 2.3 based on the mixed finite-
element spaces Xh Ω × Qh Ω.
We first define the following formulations:

   
ahi uih , vih ∇uih · ∇vih dx, ∀uih , vih ∈ Xh Ωi ,
τ∈Th Ωi  τ
 2.14
  
bhi vih , phi − div vih · phi dx, ∀vih ∈ Xh Ωi , ∀phi ∈ Qh Ωi .
τ∈Th Ωi  τ

Let


N
  
N
 
ah uh , vh  ahi uh , vh , bh vh , ph bhi vh , ph . 2.15
i 1 i 1

Then the discrete approximation of problem 2.3 is to find uh , ph  ∈ Xh Ω × Qh Ω such
that

 
ah uh , vh  bh vh , ph f, vh , ∀vh ∈ Xh Ω,
  2.16
bh uh , qh 0, ∀qh ∈ Qh Ω.

In the next section, we prove that the discrete problem 2.16 has a unique solution and we
obtain error estimate.

3. Existence, Uniqueness, and Error Estimate of the Discrete Solution

According to the Brezzi theory, the well-posedness of problem 2.16 depends closely on the
characteristics of both bilinear forms ah ·, · and bh ·, ·. We equip the space Xh Ω with the
following norm:


N
v2h : v2h,i , v2h,i : ahi v, v. 3.1
i 1
6 Mathematical Problems in Engineering

We can find in 1 that the local space family {Xh0 Ωi , Qh0 Ωi } is div-stable; that is,
there exists a constant β independent of hi such that

 
bh v h , qh
sup  qh L2 Ω  ,
≥ β ∀qh ∈ Qh0 Ωi , 3.2
v
 h ∈X 0 Ωi 
vh h,i
 i

where Xh0 Ωi  {v ∈ Xh Ωi  | vmi  0, ∀mi ∈ ∂ΩCR

i,h
}, Qh0 Ωi  Qh Ωi  L20 Ωi .
In order to prove that the global space family Xh Ω × Qh Ω is div-stable, it is
necessary to define the global spaces as

 

N
  
N
Q̆h Ω q̆ q̆i ∈ R , q̌, 1
N
q̌i |Ωi | 0 . 3.3
i 1 i 1

We first prove that the family {Xh Ω, Q̌h Ω} is div-stable.

Lemma 3.1. The following inf-sup condition holds:

 
bh vh , q̌
sup ≥ β̌ q̌ L2 Ω
∀q̌ ∈ Q̌h Ω, 3.4
vh ∈Xh Ω vh h

where the constant β̌ does not depend on h.

N
Proof. We decompose the space H01 Ω2 by H01 Ω2 i 1 V Ωi V Ωi  H01 Ω2 |Ωi 
and define a local interpolation operator πi : V Ωi  → Xh Ωi  as


1
πi vmi  v ds, 3.5
|ei | ei

where ei is an edge of τ ∈ Th Ωi , mi is the midpoint of ei . Then we can define a global

 h Ω as follows:
interpolation operator π : H01 Ω2 → X

 2
πv π1 v1 , π2 v2 , . . . , πN vN , vi v|Ωi , ∀v ∈ H01 Ω . 3.6

 h Ω → X
Define the operator Ξh,δmj : X  h Ω by

⎧  
  ⎨Qh,δ v|γmi − v|δmj mi , mi ∈ δm
CR
,
Ξh,δmj v mi 
mj
j  3.7
⎩0, otherwise.
Mathematical Problems in Engineering 7

We can deduce that for any v ∈ H01 Ω2 , there exists a v∗h ∈ Xh Ω satisfying

 
b v − v∗h , q̌ 0. 3.8

M
In fact, we can set v∗h πv m 1 Ξh,δmj πv. Obviously v∗h ∈ Xh Ω and

     
  N
  N
 
b v − v∗h , q̌ − div v − v∗h q̌ dx − v − v∗h · nq̌ ds
i 1 τ∈Th Ωi  τ i 1 τ∈Th Ωi  ∂τ

  
M
− v − πv · nq̌ds Ξh,δmj πv · nq̌ ds
τ∈Th ∂τ τ∈Th ∂τ m 1

M 
  
Qh,δmj πv|γmi − πv|δmj · n q̌j ds
j 1 δmj 3.9
M 
  
πv|γmi − πv|δmj · nq̌j ds
j 1 δmj

M 
  
v|γmi − v|δmj · nq̌j ds
j 1 δmj

0.

On the other hand

v∗ h ≤ πvh Ξh,δmj πv , 3.10

h

by norm equivalence we have

   2
πv2h |πv|2H 1 τ ≤ C πvmi  − πv mj
τ τ
   2
 1 1
C vds −   vds
|ei | ei
 e j
 ej
τ

  2 3.11
1 1
C v − vds −   v − vds
|ei | ei ej  e
τ j

⎛  2  2 ⎞
 1 1
≤C ⎝ 2 v − vds  2 v − vds ⎠,
τ |e i | ei  ej  ej
8 Mathematical Problems in Engineering

where mi , mj are the midpoints of the edges of τ, and v is the integral average of v in τ, by
Hölder inequality, trace theorem, and Friedrichs’ inequality we can get

 2  
1 1
v − vds ≤ v − v2 ds ≤ Ch−1 v − v2 ds
|ei |2 ei |ei | ei ∂τ
!  "
3.12
≤ C h−2 v − v2 dx |v − v|2H 1 τ
τ

≤ C|v|2H 1 τ ,

and combining 3.11, we obtain

πvh ≤ Cvh . 3.13

Using norm equivalence we derive

2   2
Ξh,δmj πv ≤C Ξh,δmj πvmi 
h
mi ∈δCR
mj 

    2
C Qh,δmj πv|γmi − πv|δmj mi 
mi ∈δCR
mj 

  2
≤ Ch−1 Qh,δmj πv|γmi − πv|δmj mi  3.14
0,γm

2
≤ Ch−1 πv|γmi − πv|δmj
0,γm
! "
2 2
≤ Ch−1 πv|γmi − v|δmj v|δmj − πv|δmj
0,γm 0,γm

: Ch−1 K1 K2 .

From trace theorem and 3.13, it follows that

K2 ≤ Chv2h,j . 3.15

So we only need to estimate K1 . Owing to v ∈ H01 Ω2 , we then obtain

2 2
πv|γmi − v|δmj πv|γmi − v|γmi ≤ Chv2h,i . 3.16
0,γm 0,γm

The bounds in 3.15 and 3.16 lead to

2  
Ξh,δmj πv ≤ C v2h,i v2h,j , 3.17
h
Mathematical Problems in Engineering 9

which together with 3.13 and 3.17 give

v∗ h ≤ CvH 1 Ω2 . 3.18

Since {H01 Ω2 , L20 Ω} is div-stable, following 3.8 and 3.18, by Fortin rules, we have
completed the proof of Lemma 3.1

Now we recall the following Brezzi theory about the existence, uniqueness, and error
estimate for the discrete solution.

Theorem 3.2. The bilinear forms ah ·, · and bh ·, · have the following properties:

i ah ·, · is continuous and uniformly elliptic on the mortar-type P1 nonconforming space
Xh Ω, that is,

ah uh , vh  ≤ uh h vh h , ∀uh , vh ∈ Xh Ω,

3.19
ah vh , vh  ≥ Cvh 2h , ∀vh ∈ Xh Ω;

ii bh ·, · is also continuous on the space family Xh Ω × Qh Ω, that is,

 
bh vh , q ≤ vh h q L2 Ω
, ∀vh ∈ Xh Ω, q ∈ Qh Ω; 3.20

iii the family {Xh Ω, Qh Ω} satisfies the inf-sup condition, that is, there exists a constant β
that does not depend on h of triangulation such that

 
bh v, q
sup ≥β q L2 Ω
, ∀q ∈ Qh Ω, 3.21
v∈Xh Ω vh

so the problem 2.16 has a unique solution, and if one lets u, p, uh , ph  be the solution of 2.3 and
2.16, respectively, where u, p ∈ H01 Ω2 × L20 Ω, u|Ωk ∈ H 2 Ωk 2 , p|Ωk ∈ H 1 Ωk , then


N  
u − uh h p − ph L2 Ω
≤C hk uH 2 Ωk 2 p H 1 Ω k
. 3.22
k 1

Proof. The statements of Brezzi theory are that the properties 3.19–3.21 lead to the
existence, uniqueness, and error estimate of the discrete solution. In 16, it is proven
that ah ·, · is continuous on Xh Ω and is elliptic with a constant uniformly bounded.
Furthermore, it is straightforward that bh ·, · is continuous on Xh Ω × Qh Ω. The point
that needs verification is a uniform inf-sup condition 3.21, or equivalently that the family
{Xh Ω × Qh Ω} is div-stable.
Using local inf-sup condition 3.2 and the above lemma, arguing as the proof in
Proposition 5.1 of 12, we have the global inf-sup condition 3.21.
10 Mathematical Problems in Engineering

4. Numerical Algorithm
In this section, we present a numerical algorithm, that is, the W-cycle multigrid method for
the discrete system 2.16, and we prove the optional convergence of the multigrid method.
We use a simpler and more convenient analysis method than that in 5.
In order to set the multigrid algorithm, we need only to change the index h of the
partition Th in Section 2 to be k, and let T1 be the coarsest partition. By connecting the
opposite midpoints of the edges of the triangle, we split each triangle of T1 into four triangles
and we refine the partition T1 into T2 . The partition T2 is quasi-uniform of size h2 h1 /2.
Repeating this process, we get a sequence of the partition Tk k 1, 2, . . . , L, each quasi-
uniform of size hk h1 /2k−1 .
As in Section 2, with the partition Tk , we define the mortar P1 nonconforming element
velocity space and P0 element pressure space as Xk and Qk , respectively. We can see that
Xk k 1, 2, . . . , L are nonnested, and Qk k 1, 2, . . . , L are nested. Furthermore, we
denote the P1 nonconforming element product space on Ω by X k.
Let {ϕk } be the basis of Xk , and let {ψk } be the basis of Qk . For any vk ∈ Xk , qk ∈ Qk ,
i i

we have the corresponding vector vk vk,i  and q q . We introduce the matrice Ak ,

k k,i
j j
Bk , and f having the entries ak,ij a ϕik , ϕk , bk,ij bϕk , ψk ,
i
and f f, ϕik , respectively.
k k,i
Then at level k, the problem 2.16 is equivalent to

! "   
Ak BkT uk f
k . 4.1
Bk 0 p 0
k

In the following of this section, we introduce our multigrid method; the key of this
method is the intergrid transfer operator.
 k−1 → X
We first define the intergrid transfer operator on the product space, Lkk−1 : X k

⎧
⎪
⎪ vmi , mi ∈ κ, κ ∈ Tk−1 ,
⎪
⎪
⎪
⎨1 
Lkk−1 vmi  v|κ1 mi  v|κ2 mi  , mi ∈ ∂κ1 ∂κ2 , κ1 , κ2 ∈ Tk , 4.2
⎪2
⎪
⎪
⎪
⎪
⎩0, mi ∈ ∂Ω,

where κ, κi i 1, 2 is the partition of Tk−1 , Tk respectively, mi ∈ ΩCR

k,i
1 ≤ i ≤ N.
Then we define the intergrid operator on the mortar P1 nonconforming element
velocity space, Rkk−1 :Xk−1 → Xk


M
Rkk−1 v Lkk−1 v Ξk,δmj Lkk−1 v, 4.3
m 1

where Ξk,δmj is defined as 3.7.

k
On the P0 element pressure space, we apply the natural injection operator Jk−1 : Qk−1 →
Qk , that is,

k
Jk−1 I. 4.4
Mathematical Problems in Engineering 11

Therefore, our prolongation operator on velocity space and pressure space can be
written as
$ %
k
Ik−1 Rkk−1 , Jk−1
k
. 4.5

Multigrid Algorithm
If k 1, compute the u1 , p1  directly. If k ≥ 2, do the following three steps.

Step 1. Presmoothing: for j 0, 1, . . . , m1 − 1, solving the following problem:

 j 1
  j
 ! "−1
uk uk αk Ik BkT
−
pj 1
pj Bk 0
k k
! 4.6
" j
  
Ak BkT uk f
× − k ,
Bk 0 pj 0
k

where αk is a real number which is not smaller than the maximal eigenvalue of Ak .

Step 2. Coarse grid correction: find 

uk−1 , pk−1  ∈ Xk−1 × Qk−1 , such that
 
uk−1 , vk−1  bk−1 vk−1 , pk−1
ak−1 
& '    
f, Rkk−1 vk−1 − ak umk
1
, Rk
k−1 vk−1 − b k Rk
k−1 vk−1 , p m1
k
, ∀vk−1 ∈ Xk−1 , 4.7
 
bk−1 u k−1 , qk−1 0, ∀qk−1 ∈ Qk−1 .

Compute the approximation u∗k−1 , pk−1

∗
 by applying μ ≥ 2 iteration steps of the multigrid
algorithm applied to the above equations on level k − 1 with zero starting value. Set

um
k
1 1
um
k
1
Rkk−1 u∗k−1 , pkm1 1
pkm1 ∗
pk−1 . 4.8

Step 3. Postsmoothing: for j 0, 1, . . . , m2 − 1 solving following problem:

 m j 2
  m j 1
 ! "−1
uk 1 uk 1 αk Ik BkT
−
p m1 j 2
p m1 j 1
Bk 0
k k
! 4.9
" m j 1
  
Ak BkT uk 1 f
× − k ,
Bk 0 p m1 j 1
0
k

then, um
k
1 m2 1
, pkm1 m2 1  is the result of one iteration step.
For convenience, at level k the problem 2.16 can be written as followes: find uk , pk  ∈
Xk × Qk such that
       
Lh,k uk , pk ; vk , qk Fk vk , qk , ∀ vk , qk ∈ Xk × Qk . 4.10
12 Mathematical Problems in Engineering

Since Lh,k uk , pk ; vk , qk  is a symmetric bilinear form on Xk ×Qk , there is a complete
j j
set of eigenfunctions φk , ψk , which satisfy

    $ j
  j %  
Lh,k uk , pk ; vk , qk λj φk , vk h2 ψk , qk , ∀ vk , qk ∈ Xk × Qk ,
0 0
    j j 4.11
vk , qk cj φk , ψk .
j

In order to verify that our multigrid algorithm is optimal, we need to define a set of
mesh-dependent norms. For each k ≥ 0 we equip Xk × Qk with the norm

     1/2    1/2
 v, q  v, q v2L2 Ω h2k q
2
v, vk h2k q, q k ,
0,k 0,k L2 Ω
4.12

and define
⎧ ⎫1/2
  ⎨    ⎬ 
 vk , qk  λ s cj 2 , v2k ∇v, ∇vk . 4.13
s,k ⎩ j j ⎭ τ

For our multigrid algorithm, we have the following optional convergence conclusion.

Theorem 4.1. If u, p and uih , phi  0 ≤ i ≤ m 1 are the solutions of problems 2.16 and 4.10,
respectively, then there exists a constant 0 < γ < 1 and positive integer m, all are independent of the
level number k, such that
       
 1 m 1  ≤ γ  u, p − u0k , pk0 
 u, p − um
k , pk  0,k
. 4.14
0,k

To prove this theorem, we give in the next section two basic properties for convergence
analysis of the multigrid, that is, the smoothing property and approximation property.

5. Proof of Theorem 4.1

From the standard multigrid theory, the W-cycle yields a h-independent convergence rate
based on the following two basic properties.
We first show the smoothing property. By 12 Theorem 5.1, we have the following.

Lemma 5.1 smoothing property. Assume that λmax Ak  ≤ αk ≤ Cλmax Ak , if the number of
smoothing steps is m, then

 m  Ch−2 0
 u − uh , pm − ph  ≤ uh − uh . 5.1
h h 2,k m L2 Ω

The property has been proved in [11].

Mathematical Problems in Engineering 13

Next, we prove the approximation property. We just apply the following conclusion in
14, which can simplify the complexity of theoretical analysis.

Lemma 5.2. If the prolongation operator Ik−1k

defined in 4.5 satisfies the following criterion,
Then, the approximation property in multigrid method holds and the multigrid algorithm converges
optimally.

A.1 v − Rkk−1 vL2 Ω ≤ Chk vk−1 , ∀v ∈ Xk−1 ,

A.2 Jk−1
k
qL2 Ω ≤ CqL2 Ω , ∀q ∈ Qk−1 ,

A.3 |uk , pk  − Ik−1

k
uk−1 , pk−1 |0,k ≤ Ch2k uH 2 Ω pH 1 Ω .

where u, p ∈ H01 Ω ∩ H 2 Ω2 × L20 Ω ∩ H 1 Ω is the solution of 2.3 with the force term
f ∈ L2 Ω2 and uk−1 , pk−1 , uk , pk  are the mixed finite element approximation of u, p at levels
k − 1 and k, respectively.

This lemma has been proved in 14.

∗
Lemma 5.3 approximation property. Let Ik−1
k
 : Xk × Qk −→ Xk−1 × Qk−1 k ≥ 1 be defined
as follows:

 ∗    
Lk−1 k
Ik−1 vk , qk , vk−1 , qk−1 ,
 5.2
 k      
Lk vk , qk , Ik−1 vk−1 , qk−1 , ∀ vk−1 , qk−1 ∈ Xk−1 × Qk−1 , vk , qk ∈ Xk × Qk .

Then one has

   ∗       
 
 v, q − Ik−1
k k
Ik−1 v, q  ≤ Ch2k  v, q  2,k
, ∀ v, q ∈ Xk × Qk . 5.3
0,k

k
Proof. By Lemma 5.2, we only need to prove our prolongation operator Ik−1 that satisfies
A.1, A.2, and A.3.
For any v ∈ Xk−1 , the inequality A.1 holds. In fact


M
v − Rkk−1 v ≤ v − Lkk−1 v Ξk,δmj Lkk−1 v , 5.4
L2 Ω L2 Ω
m 1 L2 Ω

by Lemma 5.2 in 14, we can get

v − Lkk−1 v ≤ Chk vk−1 , 5.5

L2 Ω
14 Mathematical Problems in Engineering

by norm equivalence, we deduce

2   2  
Ξk,δmj Lkk−1 v ≤ h2k Ξk,δmj Lkk−1 v mki
L2 Ω
mki ∈δCR
k,mj 

     2  
h2k Qk,δmj Lkk−1 v |γmi − Lkk−1 v |δmj mki
mki ∈δCR
k,mj 

     2
≤ Chk Qk,δmj Lkk−1 v |γmi − Lkk−1 v |δmj 5.6
0,γm
    2
≤ Chk Lkk−1 v |γmi − Lkk−1 v |δmj
0,γm
!   2   2.0
"
≤ Chk Lkk−1 v |γmi − v|δmj v |δmj − Lkk−1 v |δmj
0,γm 0,γm

Chk K1 K2 .

Using trace theorem and 5.5, we have

K2 ≤ Chk v2k−1,j . 5.7

Owing to v ∈ Xk−1 , then

  2     2
Lkk−1 v |γmi − v |δmj ≤2 Lkk−1 v |γmi − Qk−1,δmj v |γmi
0,δmj 0,γmi

  5.8
2
2 Qk−1,δmj v |δmj − v |δmj .
0,δmj

The second term of the above inequality can be estimated as follows:

   
2
Qk−1,δmj v |δmj − v |δmj v − Qe v2 ds, 5.9
0,γm
e∈Tk−1 δmj  e

where Qe is the L2 orthogonal projection onto one-dimensional space which consists of

constant functions on an element e, and e is an edge of E which is in the triangulation Tk−1 .
Using the scaling argument in 17, for any constant c we have

  
2
v − Qe v ds ≤ 2
v − c ds ≤ Chk v − c2 d+
+ v − c21,E+
s ≤ Chk +
e e e+ 5.10
≤ v|21,E+
Chk |+ ≤ Chk |v|21,E ,
Mathematical Problems in Engineering 15

which combining with 5.9 gives

 
Qk−1,δmj v |δmj − v |δmj ≤ Ch1/2
k
vk,j . 5.11
0,γm

For the first term of the right side of 5.8, we have

    2
Lkk−1 v |γmi − Qk−1,δmj v |γmi
0,γm
    2
Lkk−1 v |γmi − v |γmi v |γmi Qk−1,δmj v |γmi
0,γm
5.12
  2   2
≤2 Lkk−1 v − v |γmi 2 v |γmi − Qk−1,δmj v |γmi
0,γmi 0,γmi

F1 F2 .

Trace theorem and 5.5 give

2
F1 ≤ Chk Lkk−1 v ≤ Chk v2k−1,i . 5.13
k,i

For F2 , by trace theorem and the approximation of the operator Qk−1,δmj , we have

F2 ≤ Chk v2k−1,i , 5.14

which together with 5.4–5.13, gives A.1.

Obviously, A.2 naturally holds so we only need to prove A.3.
By proof of Lemma 5.2 in 14, we can see that

   

 uk , pk − Ik−1
k
uk−1 , pk−1 
0,k


M
≤ uk − Lkk−1 uk−1 Ξk,δmj Lkk−1 uk−1 h2k pk − Jk−1
k
pk−1
0,k
m 1
0,k 5.15
0,k

  
M
≤ Ch2k uH 2 Ω p H 1 Ω
Ξk,δmj Lkk−1 uk−1 .
m 1 0,k
16 Mathematical Problems in Engineering

Arguing as 5.6, we obtain

2
Ξk,δmj Lkk−1 uk−1
0,k

  2  
≤ h2k Ξk,δmj Lkk−1 uk−1 mki
mki ∈δCR
k,mj 

      2  
h2k Qk,δmj Lkk−1 uk−1 |γmi − Lkk−1 uk−1 |δmj mki
mki ∈δCR
k,mj 
5.16
     2
≤ Chk Qk,δmj Lkk−1 uk−1 |γmi − uk |γmi uk |δmj − Lkk−1 uk−1 |δmj
0,k
!   2   2
"
≤ Chk Lkk−1 uk−1 |γmi − uk |γmi Lkk−1 uk−1 |δmj − uk |δmj
0,γm 0,γm

Chk K1 K2 .

By 5.15 and trace theorem, we get that

K1 ≤ Ch3k u2H 2 Ωi  , K2 ≤ Ch3k u2H 2 , 5.17

Ωj 

together with 5.15, A.3 has been proved, and we have completed the proof of Lemma
5.3.

6. Numerical Results
In this section, we present some numerical results to illustrate the theory developed in the
earlier sections. The examples are as same as those in 5, so that we can compare the
conclusion with the mortar rotated Q1 element method.
Here we deal with Ω 0, 12 . We choose the exact solution of 2.1 as
    2
u1 2x2 1 − x2 y 1 − y 1 − 2y , u2 −2x1 − x1 − 2xy2 1 − y , 6.1

for the velocity and p x2 − y2 for the pressure.

For simplicity, we decompose Ω into two subdomains: Ω1 0, 1 × 0, 1/2 as
nonmortar domain and Ω2 0, 1 × 1/2, 1 as mortar domain. The sizes of the coarsest grid
are denoted by h1,1 and h1,2 , respectively see Figure 1. The test concerns the convergence
of the W-cycle multigrid algorithm. In what follows, k denotes the level, Nu and Np are the
number of the unknowns of the velocity and pressure, the norm  · 0,d is the usual Euclidean
norm of a vector which is equivalent to  · h . iterm1 ,m2  denotes the number of iterations to
achieve the relative error of residue less than 10−3 , where m1 and m2 are the presmoothing
steps, and the postsmoothing steps respectively, and the initial approximative solution for
the iteration is zero. The numerical results are presented in Tables 1 and 2.
From Table 1, we can see that the errors of the mortar element method for the velocity
and the pressure are small, which demonstrates Theorem 3.2.
Mathematical Problems in Engineering 17

Figure 1: The coarsest mesh with h1,1 1/4 and h1,2 1/6.

Table 1: Error estimate for the mortar element method with h1,1 1/4 and h1,2 1/6.

k Nu Np u − uk 0,d p − pk L2 Ω

1 178 51 0.0772974 0.164013
2 668 207 0.0455288 0.133103
3 2584 831 0.0242334 0.0733174
4 10160 3327 0.0123836 0.037679
5 40288 13311 0.00619081 0.0195834

Table 2: Iterative numbers for the W-cycle with h1,1 1/4 and h1,2 1/6.

k 2 3 4 5
iter4,4 9 8 8 9
iter5,5 8 8 7 7

From Table 2, we can see that the convergence for the W-cycle multigrid algorithm is
optimal; that is, the number of iterations is independent of the level number k. Meanwhile,
we note that the number of iterations is less than the rotated Q1 element method in 5 when
achieving the same relative error.

Acknowledgment
The authors would like to express their sincere thanks to the referees for many detailed and
constructive comments. The work is supported by the National Natural Science Foundation
of China under Grant 11071124.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 959040, 12 pages
doi:10.1155/2012/959040

Research Article
Applying Neural Networks to Prices Prediction of
Crude Oil Futures

John Wei-Shan Hu,1, 2 Yi-Chung Hu,2 and Ricky Ray-Wen Lin3

1
Department of Finance, Chung Yuan Christian University, Chung-Li 32023, Taiwan
2
Department of Business Administration, Chung Yuan Christian University, Chung-Li 32023, Taiwan
3
Tsann Kuen Trans-Nation Group, Taiwan

Correspondence should be addressed to Yi-Chung Hu, [email protected]

Received 2 March 2012; Accepted 12 June 2012

Academic Editor: Jung-Fa Tsai

Copyright q 2012 John Wei-Shan Hu et al. This is an open access article distributed under the
Creative Commons Attribution License, which permits unrestricted use, distribution, and
reproduction in any medium, provided the original work is properly cited.

The global economy experienced turbulent uneasiness for the past five years owing to large
increases in oil prices and terrorist’s attacks. While accurate prediction of oil price is important but
extremely difficult, this study attempts to accurately forecast prices of crude oil futures by adopting
three popular neural networks methods including the multilayer perceptron, the Elman recurrent
neural network ERNN, and recurrent fuzzy neural network RFNN. Experimental results indi-
cate that the use of neural networks to forecast the crude oil futures prices is appropriate and
consistent learning is achieved by employing different training times. Our results further demon-
strate that, in most situations, learning performance can be improved by increasing the training
time. Moreover, the RFNN has the best predictive power and the MLP has the worst one among
the three underlying neural networks. This finding shows that, under ERNNs and RFNNs, the pre-
dictive power improves when increasing the training time. The exceptional case involved BPNs,
suggesting that the predictive power improves when reducing the training time. To sum up, we
conclude that the RFNN outperformed the other two neural networks in forecasting crude oil
futures prices.

1. Introduction
During the past three years, the global economy has experienced dramatic turbulence owing
to uneasinessbecause of terrorists’ attacks and rapidly rising oil prices. For example, the
US light crude oil futures price rapidly climbed to the all-time peak about US$80 recently.
Simultaneously, the US Federal Reserve continuously increased its benchmark short-term
interest rates by seventeen times to prevent inflation till August 2006. Consequently, many
governments and corporate managers attempted to seek a method of accurately forecasting
the crude oil prices.
2 Mathematical Problems in Engineering

Accurate prediction of crude oil price is important yet extremely complicated and
difficult. For example, Kumar 1 found that the traditional model-based forecasts had larger
errors compared to forecast crude oil prices using futures price. However, Pham and Liu 2
and Refenes et al. 3 showed that neural networks had significant performance of forecast-
ing. According to Chen and Pham 4, numerous real-world application problems cannot
be fully described and handled via classical set theory. Meanwhile, fuzzy set theory can
deal with partial membership. Although Omlin et al. 5 argued that fuzzy neural networks
FNNs combine the advantages of both fuzzy systems and neural networks, whereas Omlin
et al. 5 proposed that most of the FNNs could only process state input-output relationships,
FNNs were unable to process temporal input sequences with arbitrary length. Since recurrent
neural networks RNNs are dynamic systems involving temporal state representation,
RNNs are computationally powerful. Although the Elman recurrent neural network ERNN
is a special case of RNN and is less efficient than standard RNN, Pham and Liu 2 posited
that ERNN can model a very large class of linear and nonlinear dynamic systems. Addi-
tionally, Lee and Teng 6 argued that the RFNNs have the same advantages as RNNs and
extended the application domain of the FNNs to temporal problems. These findings motivate
us to apply three neural network models namely, traditional backpropagation neural net-
works BPNs, Elman recurrent neural networks ERNNs, and recurrent fuzzy neural
networks RFNNs to forecast crude oil futures prices.
The focus of this paper is to apply neural networks for predicting crude oil futures
prices. This work has the following objectives: forecast crude oil futures prices using BPNs,
ERNNs, and RFNNs; compare the learning and predictive performance among BPNs,
ERNNs, and RFNNs, and explore how training time affects prediction accuracy.
This study classifies the previous literature into three main groups: 1 the studies
that compared artificial neural networks ANNs with other methods to forecast futures
prices, 2 the works that combined fuzzy systems with recurrent neural networks, and
3 the researches that examined the evolution or forecasting accuracy of energy futures
prices.
The following studies have applied various ANNs to predict futures prices. Refenes
et al. 3, Castillo and Melin 7, Giles et al. 8, Donaldson and Kamstra 9, and Sharma
et al. 10 all demonstrated that neural networks outperformed classical statistical techniques
in forecasting ability. Although Kamstra and Boyd 11 also found that ANNs outperformed
the naive model for most commodities in forecasting ability, yet Kamstra and Boyd found
that ANNs have less predictive power than linear model for barley and rye.
The following works combined fuzzy system with recurrent neural networks. Omlin
et al. 5, Juang and Lin 12, Nürnberger et al. 13, 14, Zhang and Morris 15, Giles et al.
8, Lee and Teng 6, Mastorocostas and Theocharis 16, 17, Juang 18, Yu and Ferreyra
19, Hong and Lee 20, and Lin and Chen 21 all designed to combine recurrent neural
networks RNNs with fuzzy system for identification and prediction.
The following researches examined the evolution or forecasting accuracy of energy
prices. Hirshfeld 22, Ma 23, Serletis 24, Kumar 1, Pindyck 25, Adrangi et al. 26, and
Krehbiel and Adkins 27 reviewed or examined the energy futures prices and the price risk.
Among these literatures, Adrangi et al. 26 found strong evidence of nonlinear dependencies
in crude oil futures prices, but the evidence is not consistent with chaos.
The paper is organized as follows. Three kinds of artificial neural networks are des-
cribed in Section 2. The performance of the proposed learning algorithms is examined by the
computer simulations are described in Section 4. Conclusion in presented in Section 5. The
performance valuation method is presented in Section 3.
Mathematical Problems in Engineering 3

y1 · · · yk Output
layer

Hidden
··· layer

··· Input
layer

x1 · · · x2 · · · xn

Figure 1: Structure of multilayer perceptron.

2. Neural Networks for Crude Oil Forecasting

2.1. Multilayer Perceptron (MLP)
As a promising generation of information processing system that expresses the ability to
learn, recall, and generalize based on training patterns or data, artificial neural networks
ANNs are interconnected assembly of simple processing nodes, whose functionality is sim-
ilar to human neurons. ANNs have become popular during the last two decades for diverse
applications, ranging from financial prediction to machine vision. According to Refenes et al.
3, the main potentials with respect to ANNs include the following: 1 handling complex
nonlinear function; 2 learning from training data; 3 adapting to changing environments;
4 handling incomplete, noisy, and fuzzy information; 5 performing high-speed infor-
mation processing. The most popular and widespread method used to train the multilayer
perceptron MLP is the back propagation algorithm. MLP can be interpreted as a universal
approximators and is used to estimate the parameter values via a gradient descent algorithm
in problems involving nonlinear regression. The popularity of MLP is based on the simplicity
and power of the underlying algorithm. Figure 1 shows the structure of MLP.
BPN involves two steps. The first step generates a forward flow of activation from the
input layer to the output layer via the hidden layer.
The sigmoid function is usually served as

1
y  , 2.1
1 e−α xi

where α ∈ R. An activation function can be differentiated since the steepest descent method is
employed to derive the weight updating rule. The response of the hidden layer is the input of
the output layer. In the second step, an overall error, ET , which is the difference between the
actual and the desired output, is minimized employing a supervised learning task performed
by MLP:
 1  2
ET  Ep  dpk − ypk , 2.2
p 2 p k
4 Mathematical Problems in Engineering

where ET denotes the total error for a neural network across the entire training set, Ep
represents the network error for the pth pattern, dpk denotes the desired output of the kth unit
in the output layer for pattern p, and ypk is the actual output of the kth unit in the output layer
for the pth pattern.
Then the gradient method is applied to optimize the weight vector of ET to minimize
the summed square error between the actual and the desired network outputs throughout
the training period. The network weight is adjusted whenever a training data is inputted. The
size of the adjustment is positively related to the sensitivity of the error function to weight
connections. The general weight updating rule for the connection weight between the ith
input node and the jth output node is as follows:

∂ET
Δwji  −η , 2.3
∂ωji

where η is the learning rate.

BPNs can be widely applied to sample identification, pattern matching, compression,
classification, diagnosis, credit rating, stock price trend forecasting, adaptive control, func-
tional link, optimization, and data clustering. They can also be trained via a supervised learn-
ing task to reduce the difference between the desired and the actual outputs and have high
learning accuracy. Yet BPNs have the following weaknesses: 1 slow learning speed, 2 long
executing time, 3 very slow convergence; 4 falling into a local minimum of error functions,
5 lack of systematic methods in the network dynamics, 6 inability to use past experience to
forecast its future behavior. This study further uses two dynamic neural networks to predict
the crude oil futures prices.

2.2. Recurrent Neural Networks

Recurrent neural networks RNNs were first developed by Hopefield 28 in a single-layer
form and later were developed using multilayer perceptrons comprising concatenated input-
output, processing, and output layers. An RNN is a dynamic neural network that permits
self-loops and backward connections so that the neurons have recurrent actions and provide
local memory functions. The feedback within RNN can be achieved either locally or globally.
The ability of feedback with delay provides memory to the network and is appropriate for
prediction. According to Haykin 29, RNN can summarize all required information on past
system behavior to forecast future behavior. The ability of RNN to dynamically incorporate
past experience based on internal recurrence makes it more powerful than BPN. The structure
of RNN generally comprises the following: a recurring information from the output or
hidden layer to the input layer, and b mutual connection of neurons within the same layer.
The advantages of RNNs are as follows: 1 fast learning speed, 2 short executing time, and
3 fast converging to a stable state.
Refenes et al. 3 argued that RNNs exhibited full connection between each node and
all other nodes in the network, whereas partial recurrent networks contain a number of spe-
cific feedback loops. They quoted Hertz et al. 30 who assigned the name Elman architecture
when the feedback to the network input is from one or more hidden layers. This name origi-
nated from Elman 31 who designed a neural network with recurrent links for providing
networks with dynamic memory. The Elman recurrent neural network ERNN is a temporal
and simple recurrent network with a hidden layer, assuming that the neural network operates
Mathematical Problems in Engineering 5

Output layer

Hidden layer

Input layer Context layer

Figure 2: Structure of the simple recurrent neural network.

using discrete time steps. The activations of the hidden units at time t are fed backwards and
serve as inputs to “context layer” at time t 1 and thus represent a form of short-term memory
that enables limited recurrence. Moreover, the feedback links run from the hidden layer to the
context layer and produce both temporal and spatial patterns. As depicted in Figure 2, this
network is a two-layer network involving feedback in the first layer 32.

2.3. Elmann Recurrent Neural Network

According to Hammer and Nørskov 33, ERNN is a special case of RNN, differing mainly in
that the learning algorithm is simply a truncated gradient descent method and training is less
efficient than the standard method employed for RNN. However, Pham and Liu 2 argued
that ERNN can be used to model a very large class of linear and nonlinear dynamic systems.
Li et al. 34 designed a new nonlinear neuron-activation function into the framework of an
Elman network, thus enabling the neural network to generate chaos. Li et al. 34 described
a context layer xc κ in the Elman network as follows:

xc κ  xκ − 1◦ . 2.4

The descriptive equations of ERNN can be considered as a nonlinear state-space model

in which all weight values are constant following initialization:

⎛ ⎞

N
xi κ  f ⎝ wijx xj κ − 1 wiu uκ − 1⎠, 2.5
j1


n
y
yκ  wi xi κ, 2.6
i1

x
where wi,j demonstrates weight linking the ith hidden-layer neuron and the jth context-
μ
layer neuron, wi indicates weight linking the input neuron uκ − 1 and the ith hidden-layer
y
neuron, wi refers to weight linking the output neuron yκ and the ith hidden-layer neuron,
f· expresses nonlinear activation function in the hidden-layer node, and n is the number of
hidden-layer nodes. Since it is difficult to interpret the network functions of RNNs, this study
further incorporates the fuzzy logic into RNNs.
6 Mathematical Problems in Engineering

y1 · · · y2 · · · yk

∑ ∑ Output layer (o)

∑

Π Fuzzy rule layer (k)

Π Π

Membership layer (j)

Input layer (i)

x1 · · · x 2 · · · x n

Figure 3: A structure of the recurrent fuzzy neural networks.

2.4. Recurrent Fuzzy Neural Networks

Fuzzy sets theory has first been introduced by Zadeh 35, 36. Zimmermann 37 argued
that fuzzy set theory can be adapted to different circumstances and contexts. Buckley and
Hayashi 38 stated that fuzzy neural network FNN is a layered, feedforward, neural net
that has fuzzy set signals and weights. Neural networks may utilize the data bank to train
and learn, while the solution obtained by fuzzy logic may be verified by empirical study and
optimization. Omlin et al. 5 noted that FNN comprises both clear physical meanings and
good training ability. However, FNN only applies to static problems.
Besides the fact that RNN’s underlying theory is complicated and RNN is difficult to
interpret, Hu and Chang 39 also found that there are limitations to forecast the accurate
valuation for the long-term period by both BPN and RNN. This study thus uses a recurrent
fuzzy neuron network RFNN model in addition to BPN and ERNN. According to Lee and
Teng 6, RFNN has several key aspects: dynamic mapping capability, temporal information
storage, universal approximation, and the fuzzy inference system. Li et al. 34 also argued
that RFNN has the same dynamic and robust advantage as RNN. In addition, the network
function can be interpreted using fuzzy inference mechanism. Therefore, long-term predic-
tion fuzzy models can be easily implemented using RFNNs. The network output in RFNN is
fed back to the network input using one or more time delay units. As depicted in Figure 3, the
general microstructure of RFNN consists of four layers in general: an input layer, a member-
ship layer, a fuzzy rule layer, and an output layer.
The information transmission process and basic functions of each layer are as follows.

1 Input layer: the input nodes in this layer represent input variables. The input layer
only transmits the input value to the next layer directly and no computation is
Mathematical Problems in Engineering 7

conducted in this layer. From 2.5, the connection weight at the input layer wi1  is
unity:

1 1
gi  xi . 2.7

2 Membership layer: the membership layer is also known as a fuzzification layer
and contains several different types of neurons, each neuron performs membership
function. The membership nodes in this layer correspond to the linguistic label of
the input variables in the input layer and serve as a unit of memory. Each of these
variables is transformed into several fuzzy sets in the membership layer where each
neuron corresponds to a particular fuzzy set, with the actual membership function
being provided by the neuron output. Each neuron in this layer represents charac-
teristics of each membership function, and Gaussian function serves as the mem-
bership function. The jth neuron in this layer has the following input and output:

⎡ 2 ⎤
2
xij − mij
2 ⎢ ⎥ 2.8
git  exp⎣− ⎦,
σij2

where

2 1 2

xij t  gi t gij t − 1θij , 2.9

mij denotes the mean value of a Gaussian membership function of the jth term
with respect to the ith input variable, σij represents the standard derivation of the
Gaussian type membership function of the jth term with respect to the ith input,
2 2
xij t is the input of this layer at the discrete time t, gij t − 1 denotes the feedback
unit of memory which stores the past network Information and represents the main
difference between FNN and RFNN, and θij indicates the connection weight of the
feedback unit.
Each node in the membership layer possesses three adjustable parameters: mij , σij ,
and θij .
3 Fuzzy rule layer: The fuzzy rule layer comprises numerous nodes, each node
corresponds to a fuzzy operating region of the process being modeled. This layer
constructs the entire fuzzy rule data set. The nodes in this layer equal the number
of fuzzy sets corresponding to each external linguistic input variable and receive
the one-dimensional membership degree of the associated rule from the nodes of
a set in the membership layer. The output of each neuron in the fuzzy rule layer
is obtained by using a multiplication operation. The input and output for the kth
neuron in the fuzzy rule layer are as follows:

  T  
3 3 2 2
gi  Πi xi  exp −Di xi − mi Di xi − mi , 2.10
8 Mathematical Problems in Engineering

where Di  diag1/σ1i , 1/σ2i , . . . , 1/σni , Xi  x1i , x2i , . . . , xni T , mi  m1i , m2i , . . . ,

mni , xj3 is the ith input value that inputs to the neuron of the fuzzy rule
3
layer, and gi denotes the output of a fuzzy rule node representing the “firing
strength” of its corresponding rule. Links before and fuzzy rule layer indicate the
preconditions of the rules, and links after and fuzzy rule layer demonstrate the
consequences of the fuzzy rule nodes.

4 Output layer: the output layer performs the defuzzification operation. Nodes in this
layer are called output linguistic nodes, where each node is for an individual output
of the system. The links between the fuzzy rule layer and the output layer are con-
nected by the weighting values wjk .

For the kth neuron in the output layer,

4

m
3
yk  gk  wjk gj , 2.11
i

where wjk is the output action strength of the kth output associated with the jth
4
fuzzy rule and serves as the tuning factor of this layer, gk is the final inferred result,
and yk represents the kth output of the FRNN.

3. Valuation Performance
This work uses the mean square error MSE method to assess the performance of three neu-
ral networks. The MSE is calculated as the average of the sum of the square of the error, which
is given by the difference between the actual and the designed output. MSE thus is computed
as

1 T
MSE  rt − rt 2 , 3.1
T − T1 − 1 tT1

where T indicates the total number of samples, T1 refers to the number of estimated samples,
rt represents the actual output, and rt denotes the desired output.

4. Computer Simulations
4.1. Data Description
This study focuses on energy futures for the near-month. Daily oil prices for Brent, WTI,
DUBAI, and IPE are used in this investigation. The data sources are obtained from the Energy
Bureau of USA and International Petroleum Exchange IPT of the Great Britain. This work
explores the influence of training times on prediction performance so that it classifies the
training period from January 1, 1990 to April 30, 2005 into three five-year sections. Table 1
shows the different training periods.
Mathematical Problems in Engineering 9

Table 1: The periods of the training patterns.

Data set Training period Training times sec.

I 2000.01.01–2004.12.31. 1244
II 1995.01.01–2004.12.31. 2499
III 1990.01.01–2004.12.31. 3758

Table 2: The training times of three parts of various ANNs.

Data set Backpropagation Elman RNN RNN with fuzzy Times for each ANN
I BPN1 ERNN1 RFNN1 1244
II BPN2 ERNN2 RFNN2 2499
III BPN3 ERNN3 RFNN3 3758

4.2. Comparison among Various Neural Networks

This work divides the training period into three parts and uses Matlab software to perform
training and testing. In order to compare the predictive power of these three artificial neural
network ANNs, the training function, namely, Levenberg Marquardt method, is employed,
and the number of iterations over the data set is arbitrarily set to 1000 in order to train
individual neural networks.
Table 2 shows the symbolization and training times of multi-layer perceptron MLP,
Elman recurrent neural networks ERNNs and recurrent fuzzy neural networks RFNNs.

(1) The Comparison of Learning Performance

Following 1000 training times, Table 3 illustrates the following ranking for the learning
performance of the three ANNs: RFNN ranks first, followed by ERNN, and finally BPN.
Table 3 shows that the learning performance of the ANNs improves with increasing training
time of ANNs. One exceptional case is the MSE at part 2 under RFNN, which is less than that
obtained from part 3.

(2) The Comparison of Predictive Power

The empirical results indicate that the predictive power of the three ANNs is ranked as
follows: RFNN ranks first, followed by ERNN, and finally MLP. Table 4 shows that, under
ERNNs and RFNNs, the predictive power of the ANNs improves with increasing training
time. However, the predictive power of MLP differs from those of ERNNs and RFNNs as the
predictive power of the MLP retrogresses with increasing training time. One possible expla-
nation for this phenomenon is that a large difference exists between the forecasting value and
the actual value from March 20, 2005 to March 28, 2005. The MLP is not a dynamic network
and it cannot be applied by the past experience to the behavioral forecasting.

5. Conclusion
This study uses multi-layer perception MLP, Elman recurrent neural networks ERNNs
and recurrent fuzzy neural networks RFNNs to forecast the crude oil prices and compare
10 Mathematical Problems in Engineering

Table 3: The comparison of the learning ability MSE for the three neural networks.

Data set
ANNs MSE
I II III
BPN 6.84589E − 05 4.13072E − 05 3.75245E − 05 4.90969E − 05
ERNN 6.53719E − 05 3.71397E − 05 3.42490E − 05 4.355769E − 05
RFNN 2.43727E − 05 1.66990E − 05 1.78329E − 05 1.96349E − 05

Table 4: The comparison of the predictive power of the three neural networks.

ANNs Part 1 Part 2 Part 3 MSE average value

MLP 2.6652E − 03 2.6653E − 03 2.6767E − 03 2.6691E − 03
ERNN 2.6730E − 03 2.6558E − 03 2.6449E − 03 2.6579E − 03
RFNN 2.6085E − 03 2.6074E − 03 2.6045E − 03 2.6068E − 03

the predictive power of the above three neural network models. Results of this work are
summarized as follows.
All of the MSE values obtained under different training times through MLP, ERNNs,
and RFNNs are below 0.0026768, suggesting that the use of the neural networks to forecast
the crude oil futures prices is appropriate, and consistent learning ability can be obtained by
using different training times. This investigation confirms that, under most circumstances,
the more training times the neural networks take, the more the learning performance of the
neural networks improves. The only exceptional case occurs at part 2 under the RFNN model,
where MSE is slightly less than that obtained from part 3.
Regarding the predictive power of the three neural networks, this study finds that
RFNN has the best predictive power and MLP has the least predictive power among the three
neural networks. This work also finds that, under ERNNs and RFNNs, the predictive power
improves when increasing the training time. However, the results are different from those
obtained under MLP, indicating that the predictive power improves when decreasing the
training time. Possible explanation for this phenomenon is the existence of a large difference
between the predictive value and the actual value during a 9-day period. To summarize, this
study concludes that the recurrent fuzzy neural network is the best among the three neural
networks.

Acknowledgments
The authors would like to thank Dr. Oleg Smirnov for his insightful comments at the 81st
WEA Annual Conference on July 1, 2006. Also, the authors would like to thank the anon-
ymous referees for their valuable comments. This research is partially supported by the
National Science Council of Taiwan under grant NSC 99-2410-H-033-026-MY3.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 273530, 24 pages
doi:10.1155/2012/273530

Research Article
A Novel Method for Technology Forecasting and
Developing R&D Strategy of Building Integrated
Photovoltaic Technology Industry

Yu-Jing Chiu1 and Tao-Ming Ying2

1
Department of Business Administration, Chung Yuan Christian University, 200 Chung Pei Road,
Chung Li 32023, Taiwan
2
Department of Construction Engineering, National Taiwan University of Science and Technology,
No. 43, Section 4, Keelung Road, Da’an District, Taipei City 106, Taiwan

Correspondence should be addressed to Yu-Jing Chiu, [email protected]

Received 24 February 2012; Revised 17 May 2012; Accepted 22 May 2012

Academic Editor: Jung-Fa Tsai

Copyright q 2012 Y.-J. Chiu and T.-M. Ying. This is an open access article distributed under
the Creative Commons Attribution License, which permits unrestricted use, distribution, and
reproduction in any medium, provided the original work is properly cited.

Because of global warming, renewable energy technologies have become more essential currently,
with solar energy technology advancing worldwide. Therefore, interdisciplinary integration is
an important trend, and building-integrated photovoltaic BIPV is an emerging technology
involving the photovoltaic and building fields. The purpose of this study is to understand the
technology evolution of BIPV and to determine the R&D planning direction. This paper proposes
a hybrid approach to explore the life cycle of BIPV technology and develop the R&D strategy
of related industries. The proposed approach comprises the following submodules. First, patent
analysis is employed to transform patent documents into structured data. Second, the logistic
growth model is used to explore the life cycle of BIPV technology. Third, a patent matrix map
analysis is used to develop the R&D strategy of the BIPV industry. Through the analysis by the
logistic model, the BIPV technology is transformed from the emerging stage to the growth stage
of a long-term life cycle. The other important result is created by the three-dimensional matrix for
R&D strategies in this paper.

1. Introduction
Issues of energy conservation and prevention of global warming have been of great concern
in recent years. For energy shortages, the development of renewable energy technologies is an
inevitable trend and includes solar, wind, hydro- and bio-mass energy. There are advantages
to solar energy, including that it is natural, nonpolluting, inexhaustible, noiseless, and not
subject to geographical constraints. Solar energy contains few moving parts, and therefore,
needs almost no maintenance. The cost of solar energy is fixed at the initial investment stage.
2 Mathematical Problems in Engineering

It is the parity technology in the long-term operation. Solar energy technology can be divided
into the ground-based system, rooftop system, and building-integrated photovoltaic BIPV
system. Since the ground-based system needs considerable land and the rooftop system is
restricted to a limited number of building roofs, this study focuses on the BIPV system, which
is used to construct three-dimensional space to create the largest possible photovoltaic power
generation with less area. In addition, solar energy technology can be embedded in various
ways of designed buildings, which not only has the ability to improve the use of renewable
energy but is also by far the oldest and the most cleanly green energy worldwide. BIPV will
gain increasing attention of the building energy efficiency market in the twenty-first century.
Consequently, the ability to manage intellectual property plays a critical role in the
R&D process or new product development. The report of the World Intellectual Property
Organization WIPO shows that 90%–95% of the world’s inventions can be found in patent
documents, and 80% of these technologies do not appear in other resources, such as journals,
magazines, and encyclopedias 1. Moreover, a WIPO investigation showed that a company
can save up to 60% of time in R&D and 40% of research budget if it can use patent
documents efficiently. Patents contain substantial information including practical and specific
technological content, technical reporting, technological trends of firms, and technological
development trends 2. Patent information is a sufficient source of technical knowledge, and
the patent contains characteristics of the technology and market because it fulfills a clear
standard and originality, technical feasibility, and commercial value 3. It can also be the
basis of technical competitive analysis and technology trends analysis 4, and it can be
regarded as an important indicator of technological changes 5. Therefore, to master the
technology development trend and competitive advantage of enterprises, we must rely on
detailed patent intelligence to fully achieve maximum value from patent analysis 6.
The analysis of patent databases can provide the latest information technology and
product. The growth of the number of patents may represent a national or industrial
development of technology. It is a leading indicator of competitiveness, allowing one to grasp
the message of patent data and analysis of industry trends to trace an evasive technology or
technological innovation development strategy.
Many experts and scholars used patent analysis to investigate different levels as
follows:

1 discussion of national economic growth or innovation activities: Barroso et al. 7
studied 21 Latin American countries, including analysis of patents as a source
of technical information to improve scientific and technological research and
development and innovation in their own countries; Abraham and Moitra 8 used
patent analysis to accurately assess the technical progress and technical innovation;
2 discussion of enterprise technology ability: Liu and Shyu 1 used patent analysis of
Taiwan LED and TFT industry technology development, strategy, and technology
planning and forecasting. Ernst 9 analyzed the German mechanical engineering
industry and four patent strategies of performance associated with the company;
3 discussion of distribution of industries or enterprises: Guo 10 analyzed Taiwan
national patent database TWPAT for the number of applications and development
trend. Chen and Cheng 11 analyzed the US patent database USPTO in patent
classification and UPC solar patent analysis research;
4 an analysis of patent citation data: Hu 12 studied the USPTO citation data
seeking knowledge of the East Asian regional traffic. Tijssen 13 related to patent
Mathematical Problems in Engineering 3

citation analysis of global and domestic industry of interaction between science and
technology and knowledge flows.

Technology forecasting is the theory and practice of technology development strategy.

Many researchers have combined patent analysis with different technology prediction
methods to identify future development trends and strategies. Trappey et al. 14 constructed
the multitechnology cluster to analyze the RFID radio frequency identification technology
forecasting model. They discussed future development strategies of industry by analyzing
RFID patent clustering, which has reached the saturation stage of the technology life
cycle. This model provided systematic quantitative analysis of technology development and
supported expert intuition and judgment 15. Chen et al. 16 considered the time dimension
of technology forecasting. He stated that the S-curve was an effective quantitative technology
forecasting model for cumulatively analyzing patents. However, researcher ability limited
patent data analysis, and the accuracy and reliability of the data also affected analysis
accuracy. Therefore, Cheng et al. 17 used the FAHP fuzzy analytic hierarchy process
method as a technology forecasting method to evaluate and select novel material fields in
a rapidly changing environment.
However, it is more important for an R&D manager to know how to master the
market of technology imports and the exit market of time. If an enterprise wants to keep
a competitive advantage, it must establish a technology forecasting system 18. According
to technology life cycle displayed by S-curve, we can effectively understand the technology
development track.
Technology forecast is through text or digital form to describe future machinery, entity
program, and the application of program and development 19. Technology forecasters
must focus on changes of technology function, the significance of innovation, and the
implementation of time points. Technology forecasting of content contains technology ability
of growth, replacement rate of old and new technology, situation of technology diffusion,
market penetration, and future possibilities 20. There are three types of technological
prediction methods. They are direct forecasting, correlative forecasting, and structural
forecasting. However, as the technology industry competition intensifies and technology
development continues in the globalized world, technology forecasting must master the
principles of accurate, fast, and simple to achieve the desired results. Therefore, we use the
direct forecasting method by reliable patent data in this study.
We are interested in the BIPV’s development and aim to explore its evolution.
This study examines the viewpoint of patent analysis and hopes to offer some useful
recommendations for BIPV’s technology development. Thereby, we use a logistic model to
explore the life cycle of BIPV technology development. The patent database of the United
States Patent and Trademark Office USPTO is by patent number. We combine logistic
growth model analysis of embryonic development of BIPV technology trends and forecasts
to allow industry R&D managers to develop technology strategies for future planning.

2. BIPV Technology and Industry

All energy consumption in a building includes raw-material production, construction
process, decoration, and the final usage stage. Through the combination of solar power
technology and building itself, the building can function as a power generator. Here,
photovoltaic modules are fabricated as building material and facilitate the building to convert
4 Mathematical Problems in Engineering

Crystal solar cells Thin-film solar cells

Single-crystal solar cells Amorphous solar cells
Polycrystalline solar cells Compound solar cells Cell industry

Solar cells
Multiple cells
Encapsulation-lamination
Photovoltaic
modules industry

Building structure
Structural support unit, connecting bolt unit,
Construction industry
construction frame unit, turn unit . . . etc.

Electromechanical system
Balance system BOS, DC/AC control panel,
PV monitoring system, electric engineering . . . etc. Electromechanical industry

BIPV

Figure 1: BIPV technology industry chain.

solar energy into electricity. Therefore, BIPV can be called a static generator as well as the new
generation of photovoltaic building 21.
BIPV is a new concept of converting solar energy into electrical energy. In addition
to developing self-efficient zero-energy buildings ZEB with the use of BIPV, heat load
within the building can be reduced via the thermal resistance of the photovoltaic module
and then achieve the dual effect of energy saving and carbon reduction. At the same time,
the excess of clean energy can be sold back to the commercial electricity providers to sell to
other customers, thus creating a multiple effect of energy saving and carbon reduction. In the
future, the integrated distribution of BIPV electricity network will form the solar power grid
of a metropolitan area that we might call a photovoltaic city.
The methods of integrating photovoltaic and building can be distinguished into two
kinds of technology: installed PV module above a building and PV module integrated with
the building. BIPV’s technology industry chain can be divided into four flows, including solar
cells, photovoltaic modules, building structure, and electromechanical system Figure 1. The
industry chain goes from the most upstream raw material of the silicon, a seed crystal puller
rod for growing silicon boule, and then cuts into a silicon wafer, which is the main source
of solar cells. After being made into solar cells that can be converted into energy, the solar
cells are linked together in modules. Later, these solar modules are combined with a balance
system balance system BOS into a form such as the converter, current breaker, building
support structures, power cables, and monitoring instrumentation and then finally installed.
Figure 1 shows technology and market chain relationships for the BIPV industry. It is
possible to clearly understand technology and market relationships in the BIPV industry. For
example, PV manufacturers must consider and consistently comply with national building
codes when developing products; the construction and electromechanical industries in the
wiring and installation of PV modules; electrical and mechanical piping interface design,
integration, and coordination when building a high-performance, high-security system;
visual appeal. Finally, BIPV building systems are handed to market users after completion
and achieve effective energy savings and carbon reduction, furthering the realization of zero-
energy buildings.
Mathematical Problems in Engineering 5

R&D technology
decision-making

Determination development technology

Patent analysis

Development opportunity Development time

Choose USPTO
database WPO
Patent matrix map Patent number SIPO
.
.
.

Growth curve Logistic growth model

R&D technology strategy

Figure 2: R&D technology strategy model.

Since BIPV is integrated into the three-dimensional space with the building structure
and does not take up any additional ground space, BIPV is the best model of applying
renewable energy in the highly urbanized area. However, its installation cost is high,
which affects the development of market demand. Therefore, when developed countries are
promoting renewable energy, they rely on the government’s four policy factors, including
incentive policy, subsidies, low installation cost, quick approval process, and lending policies
for financial institutions, which sustain the promotion of the BIPV industry and market
development. In the future, the key factor in reducing the impact on market development
is the continuity of technology development. The installation cost, meaning the economies of
scale of the BIPV industry, could flourish unimaginably when the cost of solar photovoltaic
electricity and cost of commercial electricity are balanced.

3. Methodology
For this study, we intend to explore completed lifecycle evolution of BIPV technology. The
quantity and quality of data acquisition are priorities and explicitly defining the industry
technology is necessary to avoid forecasting bias. For the above reasons, we adapt the expert
opinions and growth curve to develop the forecasting models. Therefore, we combined patent
analysis, growth curve, and expert opinions to analyze the development of BIPV technology
and construct the R&D strategy. The framework of this study is presented in Figure 2. These
are summarized below.

3.1. Patent Searching

Patent searching is based on a specific field of study, through the relevant patent documents
issued by relevance of patent data search, application for the analysis, and followup of
6 Mathematical Problems in Engineering

Patent data

Keywords from technology literatures

Patent searching

Stage 1: sieve result New keywords

Make to sieve by IPC

Stage 2: sieve result

Make to sieve by title and abstract

Stage 3: sieve result

Once again search by integrating
UPC and keywords

Search result

To merge

Make to sieve by patent claims

Stage 4: sieve result

BIPV patent

Figure 3: Process of BIPV patent searching.

research. We must understand its retrieval application purpose, scope, search method, and
search tools before patent searching. This research through the patent analysis is to predict
technology trends and use the BIPV technologies as scope, and then to group Boolean
searches through the USPTO patent database of keywords Boolean Search, its use of the
retrieval tools patented analysis software developed for Lian Ying Technology Patent and
Patent Guider 2008 Tech tools for analysis. The patent searching strategies for this study are
the main access point to keywords and to supplement, patent classification international
patent classification IPC, to achieve the accuracy and integrity of the retrieval processes in
Figure 3.

3.2. Keywords Extraction

To construct our patent map, keywords are required first. It forms important patent search
methods by technical or patent documents for keywords, and keywords in groups to a logical
combination of relevance. Therefore, the processes of keywords extraction are including
literature review, compile keywords, re-searching and find out new keywords, and establish
the keywords pool Figure 4. After literature review, the three parts keywords of BIPV
industry chain can be extracted. The new keywords found in the retrieval process to establish
more complete keywords pool of BIPV Figure 5.
Mathematical Problems in Engineering 7

Literatures of patent documents

for technology of solar cell

Compile BIPV Patent Keyword

+ Patent pool
for keywords searching documents

Literatures of Literatures of
building material building application

Figure 4: The process of keywords extraction.

Cell Structures
Cable control (controller)
Single Crystal Tray duct machinery
poly Component construction
Amorphous silicon Framing mechanism
Thin film Building Structure
Dye-sensitized support
Copper indium gallium
diselenide
Cadmium telluride
Application

Shingle
Tile
BIPV photovoltaic
Roof
Solar Curtain
Encapsulation-lamination Wall
Panel
Rain
Roll-to-roll
Install Shelter
Flexible Galleries
Glass Method waterproof Canopy
TCO Install shockproof Sunshade
Skylight
Constitute system
Grate
Assembly Window

Figure 5: Keywords pool of BIPV.

3.3. Patent Map

The main purpose of a patent map is easy and effective understanding of patent information
and analysis on a wide range of complex data and to represent them through measures such
as tables or schemata. Figure 6 explains the process and related information of the patent
map.

3.4. Matrix Map

A matrix map is two-dimensional array, and the array matrix is a simple data structure. Two-
dimensional array is by x, y two-axial plane, and we can construct a spatial distribution of
the state that through the display of the spatial distribution can clearly see the correlation
8 Mathematical Problems in Engineering

Patent
documents

Quantitative Analysis Qualitative

Administrative information Technology information

Bibliography, arrange/statistics Technology analysis

- Patent number map - Matrix map

- Patent trend map - Claim map
- Lifecycle map etc . . .
- Citing/cited map
etc . . .

Figure 6: The process of patent map.

between the x-axis items with the y-axis items and the trends. Therefore, we can understand
the relationship of its elements and functions in a two-dimensional array matrix notation
as shown in Table 1. This study uses this two-dimensional array matrix to represent the
technology function matrix, as shown in Table 2. A matrix map shows patent intelligence with
the correlation between technical information, including technology sort and purpose sort.
The matrix can be used to teach important technology and development trends. Therefore,
R&D managers can use patent matrix maps to develop related technologies and preventive
strategies.

3.5. Logistic Growth Model

The study supposes technology growth with the property of S-curve. We adopt the Loglet Lab
2, which is a kind of analysis software developed by Rockefeller University in 1994. There is
a great advantage in setting all the parameters related to time series into analysis and the
result presents as an S-curve 22. S-curve can be classified into two types of symmetry and
unsymmetry. The symmetry type represents the growth curve with inflection point, which
can be presumed by the following equation:

k
P t  , 3.1
1 e−αt−β

where P t means the patent numbers change with the time t; α means the slope growth
rate of S-curve; β means the inflection point of growth, which is the turning point of time
spent into technique; k means the saturation level of growth; e means nature log. Based on
the practice consideration, k ∗ 10%, k ∗ 90% is defined as the growth interval. The period
time from 10% of technology with maximum utility value to 90% presents by Δt. To proper
Mathematical Problems in Engineering 9

Table 1: Arrays of two dimensions.

Row-Major
n
m R1 R2 R3 ··· ··· Rn
C1 Q11 Q12 Q13 ··· ··· Q1n
C2 Q21 Q22 Q23 ··· ··· Q2n
Column-Major C3 Q31 Q32 Q33 ··· ··· Q3n
.. .. .. .. .. .. ..
. . . . . . .
Cm Qm1 Qm2 Qm3 ··· ··· Qmn

Table 2: Matrix map of patent.

Purpose sort
P1 P2 P3 ··· ··· Pn
T1 PDQ 11 PDQ 12 PDQ 13 ··· ··· PDQ 1n
T2 PDQ 21 PDQ 22 PDQ 23 ··· ··· PDQ 2n
Technology sort T3 PDQ 31 PDQ 32 PDQ 33 ··· ··· PDQ 3n
.. .. .. .. .. .. ..
. . . . . . .
Tm PDQ m1 PDQ m2 PDQ m3 ··· ··· PDQ mn
Notes: PDQ patent document quantity.

represent the growth process and make it with more fitness, α is replaced by 3.2 in practice
23. Therefore, the P t is proposed as 3.3 as follows:

ln 81
Δt  , 3.2
α
k
P t  . 3.3
1 e−ln 81/Δt−t−tm 

This research is through the BIPV technology growth model calculation and describe
technical development trend.

4. BIPV Technology Development

This model of research in technology forecasting and strategy for research and development
is under construction by the world’s major advanced countries such as the United States,
Japan, and Germany, plus positive development of a PV industry in China. The BIPV
technology and applications are as the empirical techniques in the study.

4.1. Patent Map Analysis

Using the keyword pool to begin the patent searching based on USPTO database, the date
from the BIPV technology patents in the field of data begins on July 26, 1977 and runs to
October 31, 2011. Through the patent searching process, results of 263 valid patents in this
study are obtained. The results of patent numbers in every year and accumulative patent
10 Mathematical Problems in Engineering

40 300

35
250

Patent number to accumulate

30

Patent number in every year

27 200
26
25
22
20 150

1515
15 14
12 100
11
10 9 9 10
9
7 7 7 7
6 66 6 50
5 5
5 4
3 3 3
2 2 2 1
1 1
0 0
1977
1979
1980
1981
1982
1983
1985
1986
1987
1988
1989
1990
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
(Time)

Patent number in every year

Patent number to accumulate

Figure 7: Patent number and accumulative numbers of BIPV.

numbers are shown in Figure 7. Global warming and near-future energy crisis results show
an increase in related patents since early 2000.
Analyzing the number of patents for technology, purpose, and application Figure 8
can determine the BIPV technology development level of a country. The patent output
of United States US is the first; Japan JP is the second. Germany DE accounted for
approximately 5% of BIPV technology in Europe. Results show that countries most focused
on R&D of BIPV technology are the United States, Japan, and Germany.
Results of the firm-level analysis show major manufacturers and product applications.
Table 3 shows PV module technology directions and strategies in the BIPV industry. The table
shows that most manufacturers continue developing roof technology and its applications.
However, some manufacturers have changed R&D strategies to focus on glass curtain walls
and external walls.

4.2. Matrix Map

The results of technology effect analysis, the matrix map is shown in Figure 9. According to
the complex BIPV technology, we can classify the functions into two groups: main function
and subfunction. The main functions of BIPV are generating electric, building materials to
diversify quality and reliability, install and maintain, and keeping cost down. The main
function map presents the development of BIPV from 1977 to 2011. A larger pie chart means a
large number of patents and represents the technology development center. On the contrary, a
smaller pie chart means fewer patents, which is worthy of note by research and development
personnel. BIPV derives technologies corresponding to the early functions in the field of
Mathematical Problems in Engineering 11

34
32
30
28
26
24
22
Patent number

20
18
16 US
14 TW
LI
12 JP
10 IT
GB
8 FR
DE
6 CH
4 CA
BM
2 BE
0 AU
T0101
T0102
T0103
T0104
T0201
T0202
T0203
T0204
T0205
T0206
T0207
T0301
T0302
T0303
T0304
T0401
T0402
T0403
T0404
Tech

a The number of patents in the focus on technology

46
44
42
40
38
36
34
32
30
28
Patent number

26
24
22
20 US
18 TW
16 LI
14 JP
12 IT
GB
10 FR
8 DE
6 CH
4 CA
BM
2 BE
0 AU
E0101
E0103
E0104
E0105
E0202
E0203
E0204
E0205
E0206
E0301
E0304
E0305
E0306
E0307
E0401
E0402
E0403
E0404
E0501
E0502
E0504

Effect
AU CA FR JP US
BE CH GB LI
BM DE IT TW

b The number of patents in the focus on the purpose

Figure 8: Continued.
12 Mathematical Problems in Engineering

80

70

60

50
Patent number

US
40 TW
LI
JP
30 IT
GB
FR
20 DE
CH
10 CA
BM
BE
0 AU
E0101
E0102
E0103
E0104
E0201
E0202
E0203
E0204
E0205
E0301
E0302
E0303
E0304
E0305

Effect
AU CA FR JP US
BE CH GB LI
BM DE IT TW

c The number of patents in the focus on the application

Figure 8: BIPV technology three-dimensional technology, purpose, and application map in country level.

Table 3: BIPV manufacturers and product applications.

Manufacturer Country Product name Application

Photovoltaic Laminate Various shapes of roofs in commercial buildings
Uni-solar US Power Tilt The flat roofs in commercial buildings
EnerGen Residential roofs
PowerShingle Residential roofs
Power Film Solar US N/A Commercial building roof
First Solar US N/A Commercial building roof
Ascent Solar US WaveSol Roof
Global Solar
US Power FLEX Roof
Energy
Solyndra US 100/200 series Commercial building roof
Konarka US Power Plastic Roofs and external walls
JP ND/NU series Roof
Sharp
NA series Roofs and external walls
Hybrid silicon Roof
SOLTILEX, VISOLA,
Kaneka Solartech JP Tile style roof in a residential
GRANSOLA
See-Through Glass curtain wall
Honda Soltec JP HEM series Roof
Würth Solar DE GeneCIS series Roofs and external walls
Dyesol AU Sun2 Roofs and external walls
Mathematical Problems in Engineering 13

Purpose Building
Generate Quality Install Cost
materials to and and
electric down
Technology diversify reliability maintain

Photovoltaic module 16(39) 12(24) 7(11) 10(13) 12(23)

7(9) 7(9) 9(11) 20(66) 3(3)

Building structure

Electric and controller 6(7) 7(11)

Engineering technology 11(27) 8(9) 5(5) 10(12) 5(6)

Figure 9: Main purpose matrix map of BIPV. Y Q: patent number of years in accordance with this
technology and the effectiveness of patent. The pie chart represents the number of patents. Patent number
of the more means larger the pie chart, and vice versa smaller.

Apply
Outside wall Sole function
Roof of building
Technology of building of structure

Photovoltaic module 14(42) 4(4)

18(66)

Building structure 9(19) 5(5)

24(69)

Electric and controller 11(16) 1(2)

24(52) 3(3)
Engineering technology

Figure 10: Main apply matrix map of BIPV. Y Q: patent number of years in accordance with this
technology and the effectiveness of patent. The pie chart represents the number of patents. Patent number
of the more means larger the pie chart, and vice versa smaller.

technology development from 1977 to 2011. The technical function matrix gives a more
precise formulation of the future direction of development policy.
We can understand the technology development trends by analyzing the effect of the
technology and the application of BIPV. After further study through a combination of two
oriented analyses, we will be better able to judge technology trends and liquidity phenomena.
According to technology mapping from 1977 to 2011, the main applications of BIPV are in the
roof of the building Figure 10, especially in USPTO patent pieces in the United States, Japan,
and Germany.
14 Mathematical Problems in Engineering

Outside wall Sole function

Generate electric of building of structure

Increase generate electricity capacity

Application

Bricks and tiles of photovoltaic

Bus parking canopy of depot

Flexible canopy of building
Cladding wall of building

Sunshade of glass curtain

Glass curtain of building

Large-scale billboard

Car parking canopy

Building windows t
Building skylights

Telephone booth
Roof of slanted
Technology

Farmhouse
Roof of flat
Photovoltaic building materials 9(10) 2(2)
12(23) 7(8) 1(2) 2(3) 2(2) 3(4)
Module

Photovoltaic module 4(4) 7(14) 2(6) 2(2)

8(17)
Glass packaging 4(5) 4(5)

Test and verify 1(1)

Structure 4(8) 1(1) 1(1) 1(1) 1(1) 1(1)

Building structure

Framework 1(1) 5(5) 2(6) 1(1)

17(39)
2(2) 1(1) 1(1) 1(1)
Adjustment
Coupling 3(5) 2(2) 1(1)

Roof structure 3(3)

Drainage 3(3)

Separateness system 1(1) 1(1) 1(1)

Cable duct 3(3) 1(1) 1(1)

Electric and
controller

Cable to connect 4(6)

1(1)
Control system
Direction system 1(1) 3(3) 2(2)
7(21)
Design 2(2) 1(1) 1(1)
Engineering

Installs the method 14(22) 1(1) 2(2)

Clean of surface glass 2(2)

Purge for snow 3(3)

Figure 11: Subapplication matrix map of BIPV. YQ: patent number of years in accordance with this
technology and the effectiveness of patent. The pie chart represents the number of patents. Patent number
of the more means larger the pie chart, and vice versa smaller.

Due to high latitudes, the technology development is mainly to oblique roof. We also
can find out technology application and purpose in the field of BIPV technology development
by Figures 11 and 12. The subtechnology matrix can provide more accurate positioning and
development of the strategic direction of future research and development.
We can use dynamic trend analysis, technology research, and development activities
to watch the technology development of the whole picture through patent maps. The cross-
analysis by purpose and applications of technology can help us to grasp the accurate R&D
direction.
After analyzing the technology purpose and application matrix map, it was combined
with time to show the evolution of BIPV purposes and applications over time. This study
proposes a patent number weight over time concept. In Figure 13, there are five major
purposes of BIPV technology on the x-axis and three major applications of BIPV technology
Mathematical Problems in Engineering 15

Building materials Quality and reliability Install and Cost down

Generate electric
To diversify maintain

High photovoltaic transfer efficiency

Increase generate electricity capacity

Construction photovoltaic building

Stable generate electricity capacity

Freedom from sunshine influence

Long life of generated electricity

Purpose

Withstanding impact strength

Corrosion resistance ability

Standardize to cost down

Low sunshine demand

Low sunshine demand

Low maintenance cost

Multipurpose unions
Antiwind pressure

Waterproof ability

Low-cost module
Easy to maintain
Clean properties
Pervious to light
Technology

Filters the light

Scale economy
Easy to install
Vicariousness
Lightweight

Pure ability
Shade
Photovoltaic building materials 12(25) 3(4) 3(3) 1(2) 3(3) 2(3) 9(10)
Module

Photovoltaic module 5(7) 4(5) 2(2) 2(5) 1(1) 1(1) 3(3) 2(3) 1(1) 1(1) 1(1) 5(6) 1(1) 4(4) 1(2) 1(3)
Glass packaging 4(4) 1(1) 1(1) 1(1)
Test and verify 1(1)
Structure 2(2) 1(1) 1(1) 7(13) 4(4)
Building structure

Framework 2(2) 1(1) 1(1) 1(1) 1(1) 3(3) 16(34) 1(1) 1(1) 2(2) 3(3)
Adjustment 2(2) 1(1) 2(2) 1(1)

Coupling 1(1) 4(7)

Roof structure 1(2) 3(3) 3(3)
6(6)
Drainage 3(3)
Separateness system 3(3)

Cable duct 1(2)

controller
Electric

Cable to connect 5(6) 1(1)

and

Control system 1(1) 2(3)

Direction system 5(5) 1(1) 1(1)

Design 2(2) 4(4) 3(14) 1(1) 1(1)

Engineering

Installs the method 1(1) 1(1) 4(6) 1(1) 5(5) 8(10) 1(2) 2(2)
Clean of surface glass 2(2)
Purge for snow 3(3)

Figure 12: Subpurpose matrix map of BIPV. Y Q: patent number of years in accordance with this
technology and the effectiveness of patent. The pie chart represents the number of patents. Patent number
of the more means larger the pie chart, and vice versa smaller.

on the y-axis. Over three periods s1 − s3 , the growth in patent number weights of outside
wall building materials and the installation and maintenance of solar panels can be identified.
The patent number weights include technical application and purpose over three periods.
Technical purposes include electricity generation, diversified building materials, quality
and reliability, installation and maintenance, and cost reduction. Technical applications are
structure function, outside building wall, and building roof. The weights for the technical
purpose and application of the patent number are calculated using 4.1:

pxi ,sj
wxi ,sj  m × 100%
i1 pxi ,sj
4.1
pyi ,sj
wyi ,sj  n × 100%,
i1 pyi ,sj

where wxi ,sj is the patent number weight for different technical purposes xi  in a different
stage sj . pxi ,sj is the patent number for different technical purposes xi  in a different stage
sj . wyi ,sj is the patent number weight for different technical applications yi  in a different
stage sj . pyi ,sj is the patent number for different technical purposes yi  in a different stage
sj .
16 Mathematical Problems in Engineering

(x1 ) (x2 ) (x3 ) (x4 ) (x5 )

Purposed Generated Building Materials Quality Install and

Weights for the technical purpose of the patent number (%)

Cost down
Application electricity to diversify and reliability maintain
S1 S2 S3 S1 S3
S3 S1 10
S1 S2
(y1 ) Sole function S3 S2 S2 20
S2
of structure S1
S3 Stage 1: 1977–1989 years 30
S2
Stage 2: 1990–1999 years 40
S3
S1 Stage 3: 2000–2011 years
S1 50
(y2 ) Outside wall
S2
of building Technological developments 60
S3 point in the future
70

80
S1
(y3 ) Roof of
S2 90
building
S3 100

10 20 30 40 50 60 70 80 90 100
Weights for the technical application of the patent number (%)

Figure 13: BIPV technology development trends.

The objective of installation and maintenance is to ensure that diverse building

materials in the outside walls of high-rise buildings are of high quality and reliable. The
technical purpose weights of the number of diverse building material patents are low
Figure 14. Other than R&D into photovoltaic panels, they emphasize future methods of
engineering and installing photovoltaic panels on the outside walls of high-rise buildings.
However, safety and durability must be considered when developing diverse building
materials. Indoor comfort must be considered when installing and maintaining buildings
because people are central to BIPV. Key BIPV R&D factors are insulation, daylight
penetration, visual appeal, wind and rain proof, earthquake proof, fireproof, national
technical building regulations, compliance with building rules, and compliance with
construction material tests Figure 15 and Table 4.

4.3. Technology Forecasting: Logistic Growth

This study uses Loglet Lab developed by Jason Yung, Perrin S. Meyer, and Jesse Ausubel
as a tool to predict future development of BIPV technology trends. Technology start time,
transition time, and saturation time are shown through the S-curve to depict the message
Figure 16. Up to October 31, 2011, a total of 263 pen announcement patents were approved
by the USPTO patent database since July 26, 1977. The logistic growth curve diagram shows
the technical saturation point for the 1881 patents. Defined according to the value of k
k × 10%, k × 90%, it corresponds to the growth point in time in February 2008. The
turning point from growth to maturity is in January 2032. To close to 90% saturation point
in time through the system to calculate the growth time of 49.4 years in June 2057, its BIPV
technology patent saturation point is about 1881 cumulative patents. From the phenomenon
of technology development at the application level, many patents focus on roof of building.
However, the number of patents in the outside wall of building applications has grown well
above the roof of building. This means that focus has moved to outside wall of building
Mathematical Problems in Engineering 17

(x1 ) (x2 ) (x3 ) (x4 ) (x5 )

Purposed Generated Building materials Quality Install and
Cost down

Weights for the technical purpose of the patent number (%)

electricity to diversify and reliability maintain
Application
S1 S2 S3 S1 S3 10
S3 S1
S1 S2
(y1 ) Sole function S3 S2 S2 20
S2
of structure S1
S3 30
S2
S3 40
S1 R&D technology area in
S1 the future 50
(y2 ) Outside wall
S2 Stage 1: 1977–1989 years
of building 60
S3 Stage 2: 1990–1999 years
70
Stage 3: 2000–2011 years
80
S1
(y3 ) Roof of 90
S2
building
S3 100

10 20 30 40 50 60 70 80 90 100
Weights for the technical application of the patent number (%)

Figure 14: BIPV technology R&D areas in the future.

Light penetration
in the diurnally

Insulation factor Artistic visual

BIPV
Key factors of BIPV R&D R&D

Antistrong wind Compliance with

Fireproof
and rain building rules

Antiearthquake Building technical Compliance with

regulations in construction
each country materials testing

Figure 15: Key factors of BIPV R&D.

technology development. Therefore, this field of research for BIPV technology is in line with
the number of patents in the outside wall of building development trend forecast in this study
Figure 17. Through the logistic growth, the curve graph shows the technical saturation point
for the 449 patents. Defined according to the value of k, k × 10%, k × 90% corresponds to
the growth point in time, in February 2010. The turning point from growth to maturity is in
January 2022. To close to 90% saturation point in time through the system to calculate the
growth time of 23.6 years in August 2033, its BIPV technology patent saturation point about
cumulative to 449 patents.
18 Mathematical Problems in Engineering

Table 4: The definition of the key factors of BIPV development.

Key factor Definition

Block thermal radiation heat from the sun and reduce
Insulation
indoor heat loads
Increase PV module light penetration and reduce interior
Daylight penetration
lighting power demands
PV fusion of the exterior of a building improves architec-
Artistic visual
tural aesthetics
Resistant to strong wind and rain, thereby increasing
Antistrong wind and rain
building security
Resistant to earthquakes, thereby increasing building
Antiearthquake
security
Resistant to fire, avoiding fire spreading from inside a
Fireproof building to adjacent buildings and avoiding external fires
spreading inside
National technical building regulations Must comply with national standards
Compliance with building rules Must comply with construction technique rules
Compliance with construction material tests Must comply with specifications for inspection and testing

2000
Patent number of total by USPTO

1800 (1) Saturation: 1881.6 (1548.3, 2256.6)

Midpoint: 2032 (2029.3, 2034.8)
1600
Growth time: 49.4 (48, 50.9)
1400
1200
1000
800
600
400
200 90% CR varying Saturation
0
1960 1980 2000 2020 2040 2060 2080 2100
( Year )

Figure 16: Technology growth curve of BIPV.

700
Patent number of total by USPTO

(1) Saturation: 448.9 (250, 777.6)

600
Midpoint: 2022 (2018.6, 2026.4)
500
Growth time: 23.6 (21.8, 27.3)
400

300

200

100
90% CR varying saturation
0
1980 1990 2000 2010 2020 2030 2040 2050
(Year)

Figure 17: Technology growth curve of BIPV for outside wall of building.
Mathematical Problems in Engineering 19

Table 5: Life cycle phases of BIPV.

Life cycle Introductory stage Growth stage Maturity stage Saturation stage
Beginning time 1977.07 2008.02 2032.01 2057.06

Table 6: Life cycle phases of BIPV on outside wall of building.

Life cycle Introductory stage Growth stage Maturity stage Saturation stage
Beginning time 1987.05 2010.02 2022.01 2033.08

2000
A: Growth saturation point
Patent number of total by USPTO

1800 1881 A: Maturity stage

1600 2033–2057 years

1400

1200

1000 A: Growth stage

2009–2032 years
800 B: Maturity stage
A: Introductory stage 2023–2033 years
600 B: Growth stage
1977–2008 years B: Growth saturation point
400 449 2011–2022 years

200 B: Introductory stage

1987–2010 years
0
1977 1987 2008 2010 2022 2032 2033 2057
Time (years)

Figure 18: S-curve of BIPV. S-curve A: BIPV technology develop forecasting. S-curve B: BIPV on outside
wall of building technology develop forecasting.

By Loglet Lab statistics describing logistic growth curve diagram out BIPV technology
life cycle in Table 5 and BIPV technology application in the outside wall of building
development of the technology life cycle in Table 6.
Figure 18 shows the BIPV technology S-curve. S-curve A refers to BIPV technology
developing forecasting, and S-curve B refers to BIPV outside wall building technology
developing forecasting. S-curve A shows that the introductory BIPV stage was from 1977
to 2008; the growth stage is from 2009 to 2032; the maturity stage is from 2033 to 2057; the
growth saturation point is near 2057. S-curve B shows that the introductory stage of BIPV
outside wall building technology was from 1987 to 2010; the growth stage is from 2011 to
2022; the maturity stage is from 2023 to 2033; the growth saturation point is near 2033.

5. R&D Strategy
BIPV technology functions through the research and technical application of matrix state
space dimensions, combined with the logistic growth curve that takes on a timeline surface.
It shows BIPV technology patents in the field focused on the building roof assembly and
installation techniques and applications. In the vertical plane of buildings, the technology
and application of patents clearly show the phenomenon of loose or blank. This one-block
technology for three-dimensional space of the buildings shows the use of maximum power
generation area in the world’s major countries to actively develop the future generation of
20 Mathematical Problems in Engineering

Table 7: BIPV technology key point in the future.

Technology node Description

When PV modules are used in construction, the difference between the PV
module and the building lifespan must be considered. The life of an average
Durability building is more than several decades or even centuries, but the life of a PV
module is only 10–20 years. Therefore, in addition to enhancing photoelectric
conversion efficiency, PV module durability should be a major focus in the future
When faced with replacing PV modules of BIPV modules in high-rise buildings,
consider
1 speed and ease of replacing the PV module
Ease of maintenance 2 when PV modules become more popular, original specification sizes may
be discontinued and replacement components may be difficult to find. New
specifications must be developed to be compatible with previous specifications.
BIPV installation and maintenance will become more important in the future
Global warming has recently caused intense thermal radiation from the sun
and frequent earthquakes and hurricanes. Therefore, BIPV glass in high-rise
Security buildings must be antiradiative and resistant to strong wind, earthquakes, and
fire. Research should also focus on developing building materials with these
qualities
PV modules must be able to meet a wide range of building installation
requirements. R&D should focus on methods of changing the production process
to produce novel PV modules with different architectural designs. This will allow
for a new industry in the future. It will be able to generate a new industry, that
Customization is, in the future producing a PV module will require semifinished products. A PV
template will be cut according to a building shape and returned to the plant for
postproduction to manage different construction types. This is customized BIPV
building material development technology. It will be a new industry in the future
and a model accepted by the construction industry

Table 8: Matrix of R&D strategy.

Patent
R&D
Degree of R&D Benefit strategy Description
protection capability creation
The patent with high-strength and high-product ben-
H H H Leader efits usually adopt a cross-licensing model and other
competitors to obtain the balance of terror
Actively to the goal of Sheep to obtain royalty patent
H H L Attacker
portfolio through intensive construction
Through the acquisition of key patents, in addition to
H L H Stalker protection products and the other can sue the other
party infringement strategy
As a means through to obtain and hold patents and
H L L Patent Troll patent infringement litigation as a threat to force
payment of royalties
Revenue up to the scale of the degree will become the
L H H The target main subject matter of the patent litigation with the
attacks to pay high royalties
L H L Problem Uncertainty region
Technologies and strategies for competitive advan-
L L H Responder tage, and only passively follow the changes in the
environment
L L L Give up
Mathematical Problems in Engineering 21

low-energy buildings. With technological development of a new generation of low-energy

buildings, researchers also can evade patents in the patent radar district and also can compare
the similarities and differences through analysis and interpretation of the patent information
for reverse engineering in order to find a niche cut into the conducting dig technology policy.
In addition, vertical walls of BIPV technology for space technology to divide policies are
found in the lower reaches of this technology on the chain of a key, and that node is full of
patent as long as the technology vendor in this field must go through this technology node
Table 7 and must pay patent royalties for different strategies.
Technology research and development policy is often associated with the market
environment and technical ability having a close relationship. Technical developments, in
particular in the early development of BIPV, through a technology growth curve that still
has a long development time, and BIPV technology are the future of new generations
of low buildings. Annual energy output of high technology and reduced costs to obtain
construction and low construction investment for technology development and market
factors continue. Therefore, enterprise technology products developed simultaneously must
consider technology research and development capabilities, patent protection, and creating
patent interest to locate the future development strategy of the three factors.
However, enterprises in competitive markets must improve manpower, time, and
resources to maintain the technological lead. Technological backwardness of a company or
country must be to narrow the distance with the technology leader in technology R&D and
innovation. If companies want to enhance overall competitiveness, they must first assess their
own abilities including R&D personnel, capital, and the ability to create benefits and protect
patents and then, according to the size of the business and its abilities, select suitable R&D
strategies. This study provides a three-dimensional matrix Table 8 of degree of protection,
R&D capability, and benefit creation to select R&D strategies. The first assessment indicator is
the intensity of innovative R&D and the degree of patent protection. The second assessment
indicator is the R&D capability of an enterprise with R&D manpower and resources. The third
assessment indicator is the ability of an enterprise to create benefits using technology. This
assessment method proposes eight strategies to assist an enterprise in locating their future
R&D strategy when conducting BIPV technology R&D.
The results Figures 13, 14, and 15 show that BIPV development moves gradually
from roofs to outside walls or glass curtain walls. If companies want to produce a BIPV
technology patent portfolio, they can use the three-dimensional matrix to assess and select a
suitable R&D strategy according to individual enterprise circumstances. They can also use the
patent map from this study to understand key high-intensity factor technologies for strategic
actions to build important technology paths and patent intensity to increase profitability.

6. The Future Work of BIPV Industry

The results show that the BIPV industry is experiencing rapid growth and technology R&D.
However, the BIPV manufacturing industry faces global competitive pressures, and the
following characteristics can assist future development of the BIPV industry.
1 Low installation costs: because of different factors such as global economic
conditions, the built environment, and landscape, balancing the regional economic
environment and technology is important for the BIPV industry;
2 diversification of building materials: materials must be lightweight and fit building
exteriors. PV modules must meet the requirements of different buildings, high
22 Mathematical Problems in Engineering

security and reliability, unique color, and pattern change while maintaining high
photoelectric conversion efficiency. This enhances market appeal;
3 amorphous silicon solar-cell efficiency: amorphous silicon thin-film solar-cell
modules can be bent and absorb diffuse light to produce electrical energy
characteristics. These advantages are not matched by silicon solar-cell modules.
Amorphous silicon thin-film solar-cell module use in the BIPV industry is small.
However, power generation efficiency of amorphous silicon thin-film solar-cell
modules is less than that of silicon solar-cell modules. In the future solar-cell
market, silicon solar-cell modules will remain the main market, but amorphous
silicon thin-film solar-cell modules will continue to grow. Therefore, enhancing
the photoelectric conversion efficiency of amorphous silicon thin-film solar-cell
modules should be a BIPV industry priority;
4 strategic integration of industry groups: to continually improve BIPV market
attractiveness and reduce manufacturing costs, the BIPV industry must integrate
the PV, construction, and electromechanical industries to form an industrial group.
Active industrial and technical cooperation can promote and enhance the BIPV
industry for future development;
5 import green building materials: as government subsidy policies gradually
decrease, subsidies will no longer affect BIPV market development. Future BIPV
technology development must be combined with the concept of green buildings
and comply with building material specifications. Making BIPV products a part of
green building materials is necessary for the future.

7. Conclusions and Recommendations

Due to the issue of global warming, the renewable energy technologies become more essential
nowadays. The solar energy technology is concerned in the worldwide. Therefore, the
interdisciplinary integration is an important trend. The building-integrated photovoltaic
BIPV is an emerging technology integrating the photovoltaic and building fields. We are
interested in the BIPV’s development and aim to explore its evolution. From the perspective
of patent analysis, this study hopes to offer some useful recommendations for BIPV’s
technology development. To explore life cycle of BIPV technology, we use logistic model
analyzing patent numbers from the database of United States Patent and Trademark Office
USPTO.
We propose a hybrid approach in exploring the life cycle of BIPV technology and
develop the R&D strategies of related industry. The proposed approach comprises the
following submodules. First, patent analysis is employed to transform patent documents
into structured data. Second, the logistic growth model is used to explore the life cycle of
BIPV technology. Third, patent matrix map analysis is used to develop the R&D strategies
of BIPV industry. Through the analysis by logistic model, the BIPV technology is expected a
long-term life cycle from the emerging stage to the growth stage. The logistic results show
the development of BIPV technology is growing fast since 2000 and still have development
potential up to 2057.
The other important result is discovered in the three-dimensional matrix for R&D
strategies in this paper. The three dimensions are R&D capability, degree of protection, and
benefit creation of patent. There are eight patent-portfolio strategies for BIPV industry. We
Mathematical Problems in Engineering 23

think that the proposed model is useful for forecasting the trend of technology, especially
in the field of BIPV. In the future, we hope it will also be applied in other technologies and
industries.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 182584, 12 pages
doi:10.1155/2012/182584

Research Article
Solving the Tractor and Semi-Trailer Routing
Problem Based on a Heuristic Approach

Hongqi Li,1 Yue Lu,1 Jun Zhang,2 and Tianyi Wang1

1
School of Transportation Science and Engineering, BeiHang University, No. 37 Xueyuan Road,
Haidian District, Beijing 100191, China
2
School of Economics and Management, BeiHang University, No. 37 Xueyuan Road, Haidian District,
Beijing 100191, China

Correspondence should be addressed to Hongqi Li, [email protected]

Received 27 February 2012; Accepted 27 May 2012

Academic Editor: Jianming Shi

Copyright q 2012 Hongqi Li et al. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

We study the tractor and semi-trailer routing problem TSRP, a variant of the vehicle routing
problem VRP. In the TSRP model for this paper, vehicles are dispatched on a trailer-flow network
where there is only one main depot, and all tractors originate and terminate in the main depot. Two
types of decisions are involved: the number of tractors and the route of each tractor. Heuristic
algorithms have seen widespread application to various extensions of the VRP. However, this
approach has not been applied to the TSRP. We propose a heuristic algorithm to solve the TSRP.
The proposed heuristic algorithm first constructs the initial route set by the limitation of a driver’s
on-duty time. The candidate routes in the initial set are then filtered by a two-phase approach. The
computational study shows that our algorithm is feasible for the TSRP. Moreover, the algorithm
takes relatively little time to obtain satisfactory solutions. The results suggest that our heuristic
algorithm is competitive in solving the TSRP.

1. Introduction
In this paper, we consider the tractor and semi-trailer routing problem TSRP, a variant of the
vehicle routing problem VRP. The VRP is one of the most significant problems in the fields
of transportation, distribution, and logistics. The basic VRP consists of some geographically
dispersed customers, each requiring a certain weight of goods to be delivered or picked up.
A fleet of identical vehicles dispatched from a depot is used to deliver the goods, and the
vehicles must terminate at the depot. Each vehicle can carry a limited weight and only one
vehicle is allowed to visit each customer. It is assumed that some parameters e.g., customer
demands and travel times are known with certainty. The solution of the problem consists
2 Mathematical Problems in Engineering

of finding a set of routes that satisfy the freight demand at minimal total cost. In practice,
additional operational requirements and restrictions, as in the case of the truck and trailer
routing problem TTRP, may be imposed on the VRP 1. The TTRP was first studied by
Semet and Taillard et al. 2 and Gerdessen 3 in the 1990s, and it was subsequently studied
by Chao 4, Scheuerer 5, and others. In the TTRP, the use of trailers a commonly neglected
feature in the VRP is considered. Some customers can be served by a combination vehicle
i.e., a truck pulling a trailer, as in type II in Figure 1, while other customers can only
be served by a truck as type I in Figure 1 due to some limitations such as government
regulations, limited maneuvering space at customer sites, road conditions, and so forth. These
constraints exist in many practical situations 1.
The VRP and its various extensions have long been one of the most studied
combinatorial optimization problems due to the problem’s complexity and extensive
applications in practice 6–10. The truck and trailer combination is employed widely by
enterprises around the world, but there additional features introduced by trailers that have
attracted some research. A number of studies have concentrated on applications of the TTRP.
For instance, Semet and Taillard et al. 2 and Caramia and Guerriero et al. 11 gave some
real-world TTRP applications in collection and delivery operations in rural areas or crowded
cities with accessibility constraints. Theoretically, being an extension of the VRP, the TTRP is
NP-Hard. The TTRP is computationally more difficult to solve than the VRP 1. Because the
VRP is usually tackled by heuristic methods 6–9, 12–15, it is feasible to develop heuristic
approaches for the TTRP.
Gerdessen 3 extended the VRP to the vehicle routing problem with trailers and
investigated the optimal deployment of a fleet of truck-trailer combinations by a construction
and improvement heuristic. Scheuerer 5 proposed construction heuristics called T-Cluster
and T-Sweep along with a tabu search algorithm for the TTRP. Tan et al. 16 proposed
a hybrid multiobjective evolutionary algorithm featuring specialized genetic operators,
variable-length representation; and local search heuristics to solve the TTRP. Lin et al. 1
proposed a simulated annealing SA heuristic for the TTRP and suggested that SA is
competitive with tabu search TS for solving the TTRP. Villegas et al. 17 solved the TTRP
by using a hybrid metaheuristic based on a greedy randomized adaptive search procedure
GRASP, variable neighborhood search VNS, and path relinking PR.
Villegas et al. 18 proposed two metaheuristics based on GRASP, VND, and
evolutionary local search ELS to solve the single truck and trailer routing problem with
satellite depots STTRPSD. Considering the number of available trucks and trailers to be
limited in the TTRP, Lin et al. 19 relaxed the fleet size constraint and developed a SA
heuristic for solving the relaxed truck and trailer routing problem RTTRP. Lin et al. 20
proposed a SA heuristic for solving the truck and trailer routing problem with time windows
TTRPTW.
Research to date has considered most types of road vehicles, especially trucks and
truck and trailer combinations. However, there has been little research on the types of tractor
and semi-trailer combinations. Hall and Sabnani et al. 21 studied routes that consisted of
two or more segments and two or more stops in the tour for a tractor. At each stop, the tractor
could drop off one or more trailers and pick up one or more trailers. Control rules based on
predicted route productivity were developed to determine when to release a tractor. Derigs et
al. 22 presented two approaches to solve the vehicle routing problem with multiple uses of
tractors and trailers. The primary objective was to minimize the number of required tractors.
Cheng et al. 23 proposed a model for a steel plant to find the tractor and semi-trailer
equipment and running routes for the purpose of minimizing transport distance. Liang 24
Mathematical Problems in Engineering 3

Truck Trailer Truck

I II
Tractor Tractor
Semi-trailer Trailer Semi-trailer

III IV

Figure 1: The basic types of vehicles. Note: In practice, many vehicle types are used in road freight
transportation. This figure only lists four basic types. A large number of other types can be derived from
the four basic types by the number of axles, tires and the combination style. Enterprises in most of the
countries in the world employ various types.

established a dispatching model of tractors and semi-trailers in a large steel plant and used a
tabu search algorithm to find the optimal driving path and the cycle program.
We aim to propose a heuristic for the TSRP. This aim is based on the practical
knowledge that tractor and semi-trailer combinations are popular in some countries,
particularly China. The remainder of this paper is organized as follows. Section 2 compares
the TTRP and the TSRP and defines the TSRP. Section 3 proposes a heuristic algorithm to solve
the TSRP. Section 4 employs the heuristic algorithm to solve some experimental networks of
the TSR. Section 5 draws conclusions and gives future research directions.

2. Problem Definition
2.1. The TTRP and the TSRP
Although there is little literature devoted to the definition and solution of the TSRP in the
fields of transportation or logistics, plenty of research has been done on the TTRP, providing
important references for the TSRP. In the TTRP, a heterogeneous fleet composed of mtu trucks
and mtr trailers mtu > mtr  serves a set of customers from a main depot. Each customer
has a certain demand, and the distances between any two points including customers and
depots are known. The capacities of the trucks and trailers are determinate. Some customers
must be served only by a truck, while other customers can be served either by a truck or
by a combination vehicle. The objective of the TTRP is to find a set of routes with minimum
total distance or cost so that each customer is visited in a route performed by a compatible
vehicle, the total demand of the customers visited on a route does not exceed the capacity of
the allocated vehicle, and the numbers of required trucks and trailers are not greater than mtu
and mtr , respectively 1, 17. There are three types of routes in a TTRP solution, as illustrated
in Figure 2: 1 a pure truck route traveled by a single truck; 2 a pure vehicle route without
any subtour traveled by a combination vehicle; 3 a combination vehicle route consisting of
a main tour traveled by a combination vehicle and at least one subtour traveled by the truck
alone.
The vehicle types in the TSRP are different from those in the TTRP. The TTRP focuses
on trucks and trailers, both of which can carry cargo. The TSRP involves mta tractors and
mst semi-trailers mta < mst . Although a tractor cannot carry cargo, it has more flexible
dispatching options, and it can pull different semi-trailers on various segments of its route
by the pick-up and drop-off operation at depots.
4 Mathematical Problems in Engineering

T4

C2
C1 C2
T3
C1 C1 C2

T5

C2
C3
C2
C4
1
C
D
C7 D C4 D C2 C4

C7 D C4 D C3 C4
C4 C3
C7
C6

C6
C5
D

C
5C

T2
6

C5 T1

D Depot
Loaded carriages of trucks T1 , T2 , . . . , Tn Customers for trucks visiting

C1 , C2 , . . . , Cn Customers for combination vehicles visiting Unloaded carriages of trucks

Figure 2: Different types of vehicle routes in the TTRP.

The TSRP can be formally defined on a directed graph G  V, A, where V 
{0, 1, 2, . . . , n} is the set of vertices and A  {i, j : i, j ∈ V } is the set of arcs. Each arc
i, j is generally associated with a transportation distance decided by road infrastructure.
The freight flow from i to j is regarded as certain weight of arc i, j. Vertex 0, . . . , v v < n
represents the main depots, in which many tractors and semi-trailers park. Some loaded
semi-trailers wait for visiting customers, and other unloaded semi-trailers wait for visiting
or maintenance. The remaining vertices si  in V i.e., V \ {0, . . . , v} correspond to customers
who have m m ≥ 1 loaded semi-trailers waiting to visit l 1 ≤ l ≤ n and l ≤ m orientations
at the beginning of the simulation. Customers may have other unloaded semi-trailers waiting
for loading.
There are various tractor-driving modes on graph G during one daily period. For
example, 1 tractor Trj , pulling one loaded semi-trailer, goes from its main depot to a
customer in one-day period, and the customer has tractor-parking available; 2 tractor Trj ,
pulling one loaded semi-trailer, goes from its main depot to c1 . After the dropping and pulling
operations at c1 , the tractor goes on to another customer, c2 . The tractor Trj terminates at a
customer who has tractor-parking available. 3 It is similar to the running course listed in 2,
but Tractor Trj terminates at its main depot. The most basic elements of tractor-driving modes
include the following: how many semi-trailers can be pulled synchronously by a tractor, how
many vertexes are passed by the tractor, how many times per day the tractor can drop off one
or more trailers and pick up one or more trailers, whether a tractor terminates at its original
main depot, whether the semi-trailer pulled by a tractor loads cargo, and if a tractor runs
alone. In addition, a time window constraint is probably required.
Mathematical Problems in Engineering 5

The first selection

G00 G01 G02

8 1 4
1 1
4 2 0
6 − Four =
5 7 1 1 1 3
5 4 1 1 0
1

4 1 0

The second selection

G10 G11 G12

4 1 3

− = 1
2 1
1 3 1 1 0 2
1 1 0

The third selection

G20 G21 G22

3 1 2
−
1 1 =
0
2 1 1

···

Figure 3: An example of selecting unit-flow networks. Note: Black points denote depots. Lines denote the
distribution of freight flows. Numbers near lines denote freight flow volume unit: one semi-trailer.

2.2. The TSRP Model

In practice, there are many depots on the freight transportation network of an enterprise.
Depots have different functions and sizes. In the TSRP, we classify these depots into two
types: main depots and customer depots. The flow of freight between any two depots is
usually uneven. In our method, we abstract the freight transportation network onto a graph
denoted by G00 . Graph G00 has one main depot and a number of customer depots where
semi-trailers can park. Initially, all tractors are parked in the main depot, and semi-trailers
that carry cargos are waiting for transport.
Because the freight flows among various depots are unequal, we select a freight flow
network denoted by G01 . G01 is a subset of G00 on which the freight flows among various
depots are equal. Graph G01 is probably a combination of some unit-flow network. On a unit-
flow network, the freight flow on every arc is one semi-trailer. We denote the subset G00 − G01
by G02 . We go on to select another equal flow network denoted by G11  from G02 . After
repeating this process several times, the original freight flow network is split into several
unit-flow networks e.g., G01 , G11 , and G21 in Figure 3. The study of unit-flow networks is
meaningful and important in solving the TSRP.
6 Mathematical Problems in Engineering

C9
C8 C3 D
C6
C5
C2
C3 C3
D

C2 C4

C1 C
2
C1
DC
1

C7

D Depot
C1 , C2 , . . . , Cn Customers
Loaded semi-trailers

Figure 4: Vehicle routes in the TSRP model.

The TSRP model in this paper uses the unit-flow network. Vertex 0 represents the main
depot where some loaded semi-trailers are waiting to be delivered to customers. The vertices
in V \ {0} correspond to customers who have m 1 ≤ m ≤ n loaded semi-trailers waiting for
going to m customers. The n customers have no parked tractors. The tractor-driving modes
must satisfy some constraints, including the following: tractors terminate at the main depot,
a tractor can pull one loaded semi-trailer and can also run alone, and the working time of a
tractor is decided by its driver team. All tractors or vehicles a vehicle is one tractor pulling
one semi-trailer originate and terminate at the main depot. Whenever a tractor passes by a
customer, the tractor picks up a semi-trailer. Whenever a vehicle passes by a customer, the
vehicle drops off its semi-trailer and picks up another one. After one-day period, the number
of semi-trailers parked in every customer point is not less than a minimum Figure 4.
The TSRP model consists of determining the number of tractors to be used and the
route of each tractor so that the variable costs and service level are balanced, while each
route starts and ends at the main depot. Variable costs are reduced by decreasing the overlap
distance of tractors running alone. The service level is based on the percentage of customer
demand that is satisfied.

3. A Heuristic Algorithm for the TSRP

3.1. Construct the Initial Solution Set
Drivers are assigned to ensure flexible running of tractors. A driver’s on-duty hours per
day are determined by the legal on-duty time and driver dispatching mode. On-duty
hours consist of driving hours plus temporary rest time or residence time in depots. The
residence time at the main depot denoted by H is for pick-up, drop-off, and some essential
maintenance work on vehicles. The temporary rest time at other depots denoted by si
i  1, 2, . . . is for pick-up and/or drop-off semi-trailers. The driving hours restrict tractor
running time.
Mathematical Problems in Engineering 7

The elements of the initial solution set are tractor routes. To give the form of a route,
we suggest the following procedure. The number of drivers assigned to each tractor is k. The
on-duty time of each driver is T hours per person · day. The distance between depots i and
j is dij . The depot sequence on each route is denoted by H − s1 − · · · − sf − H, which is the
form of a route. The same customer is visited only once on a certain tractor’s route, and each
si i  1, 2, . . . f is unique. The on-duty time T is a constraint on the route. That is,

 
 dij
ρ1 · kT ≤ f · ts 2 · tH ≤ ρ2 · kT, 3.1
i j
v

where ts and tH are the temporary rest time and the residence time, respectively. ρ1 0 < ρ1 <
1 and ρ2 1 ≤ ρ2 ≤ τ, τ is a limited number are the lower and upper limits of the utilization
ratio of the on-duty time, respectively. v is the average velocity of the tractor.
We suggest the steps below to construct elements of the initial solution set.

Step 1. Transform the distance matrix into a running time matrix. Use v as the parameter in
the transformation. Factors affecting v in practice include the tractor condition, the driver’s
skill, and traffic conditions. We estimate v by enterprise experience.

Step 2. Search the running time matrix. Let f be the sum of customers on a route. If f is very
large, there are too many customers on the route to allow too much temporary rest time.
Therefore, f has a maximum, and the maximum is certainly less than kT − 2 · tH /ts . Once
f is found, we implement an entire search on the running time matrix to find all routes that
satisfy the constraint 3.1.

Step 3. Compare the routes with freight flow demand. Every route in Step 2, which contains
many segments, is constructed by the segment running time of all customer pairs. In fact, not
all pairs of customers require freight exchange. There are segments on which no freight flows,
and tractors run alone on such segments. To save variable costs, the time of tractors running
alone is limited. Therefore, we obtain the initial solution set after the elimination of routes
based on the freight flow demand and the cost-saving requirement.

3.2. A 2-Phase Approach to Improve the Initial Solution Set

3.2.1. The First Phase
The more elements i.e., tractor routes in the initial solution set, the more choices for
freight enterprises. We classify tractor routes into certain types, according to the number of
customers on a route. There is one customer passed by in the 1st type, two customers passed
by in the 2nd type, and so on. When there are many customers on a route, the tractor can
serve more freight demand. When more temporary rest time is consumed at customer points,
the effective running hours of the tractor are reduced. Routes of the same type generally have
some “overlap arcs” in which only one tractor pulls a semi-trailer, and others run alone. We
suggest reducing the total distance of “overlap arcs.”

1 The first step is for the same type. An overlap arc i, j where the tractor running
time is less than a maximum tij max can be accepted. If the tractor needs more time
8 Mathematical Problems in Engineering

than tij max on arc i, j, only one of the routes containing arc i, j is permitted to
be chosen.
2 The second step is for different types. A “tractor route—overlap arc” matrix A0 ,
with elements aik  is constructed. The rows of matrix A0 are serial numbers sni  of
routes and the columns are various overlap arcs. The elements of matrix A0 are 1
or 0. If the element on row i and column k is “1”, then the sni route has an overlap
arc. When aik  1, any elements of the matrix that satisfy aij  1 are considered.

The column which contains aij has a sum i aij . If the route with serial number sni
 
is chosen, j i aij should be at a minimum. Once the sni route is chosen, other
routes that have the same overlap arcs with the sni route are eliminated from A0 .
Consequently, a row in A0 changes, and a new matrix A1 appears. The operation
is repeated until there is no row available in the last “tractor route—overlap arc”
matrix.
In the first phase, a transitional solution set that contains such elements as the sni
routes is constructed by improving the initial solution set.

3.2.2. The Second Phase

In the second phase, we propose the “fill-and-cut” approach to attain a satisfactory solution
to the TSRP.

Step 1. Construct a zero matrix O its elements are oij  whose rows and columns are depots
i.e., the main depot and customer depots. Because of transportation demand, there are
freight flows between two particular depots. Because the segments of tractor routes in the
transitional solution set are defined by depots, we add 1 to oij when there is a route containing
arc i, j. We call such an operation a “fill”. By a “fill” operation, we mark all segments of
routes in the transitional solution set on matrix O. A new matrix B0 is thus formed.

Step 2. All route segments in the transitional solution set actually have corresponding
elements in matrix B0 . If a certain percentage e.g., 80∼100% of all corresponding elements of
the sni route are greater than 1, the sni route is eliminated. When the sni route is eliminated,
all of the corresponding elements subtract 1. We call such an operation a “cut”. Repeat the
“cut” operation, and a new matrix B1 finally forms. The routes corresponding to B1 make up
the satisfactory solution set.

In some cases, the number of nonzero elements of B1 is less than that of the freight flow
demands . Therefore, routes corresponding to B1 cannot satisfy all transportation demand. In
order to satisfy more customers’ demands , we can add some routes that contain overlap
arcs to increase the market adaptability of the satisfactory solution. However, too many
overlap arcs can exist because of uneven freight flows. Therefore, to balance the service level
and costs, meeting a certain percentage e.g., 80% of all transportation demand can be the
objective.

4. Computational Study
We abstract the transportation network on an N × N grid, where the nodes denote the main
depot and customer depots. In our computational study, the “RANDOM” function in Matlab,
Mathematical Problems in Engineering 9

Table 1: The tractor running time between two depots hours.

To
From
H 1 2 3 4 5 6 7 8 9 10 11 12 13
H 0 5.5 4.0 4.5 1.5 1.0 1.0 4.0 3.0 4.5 1.0 3.5 3.5 3.0
1 5.5 0 1.5 1.0 4.0 4.5 4.5 2.5 2.5 3.0 5.5 4.0 5.0 6.5
2 4.0 1.5 0 2.5 2.5 3.0 3.0 4.0 3.0 4.5 4.0 3.5 3.5 5.0
3 4.5 1.0 2.5 0 3.0 3.5 3.5 1.5 1.5 2.0 4.5 3.0 4.0 5.5
4 1.5 4.0 2.5 3.0 0 0.5 0.5 4.5 3.5 5.0 1.5 4.0 4.0 3.5
5 1.0 4.5 3.0 3.5 0.5 0 1.0 5.0 4.0 5.5 2.0 4.5 4.5 4.0
6 1.0 4.5 3.0 3.5 0.5 1.0 0 4.0 3.0 4.5 1.0 3.5 3.5 3.0
7 4.0 2.5 4.0 1.5 4.5 5.0 4.0 0 1.0 0.5 4.0 2.5 3.5 5.0
8 3.0 2.5 3.0 1.5 3.5 4.0 3.0 1.0 0 1.5 3.0 1.5 2.5 4.0
9 4.5 3.0 4.5 2.0 5.0 5.5 4.5 0.5 1.5 0 3.5 2.0 3.0 4.5
10 1.0 5.5 4.0 4.5 1.5 2.0 1.0 4.0 3.0 3.5 0 2.5 2.5 2.0
11 3.5 4.0 3.5 3.0 4.0 4.5 3.5 2.5 1.5 2.0 2.5 0 1.0 2.5
12 3.5 5.0 3.5 4.0 4.0 4.5 3.5 3.5 2.5 3.0 2.5 1.0 0 1.5
13 3.0 6.5 5.0 5.5 3.5 4.0 3.0 5.0 4.0 4.5 2.0 2.5 1.5 0

Table 2: The freight flow between two depots one semi-trailer.

To
From
H 1 2 3 4 5 6 7 8 9 10 11 12 13
b a
H 0 1 1 1 1 1 1 1 1 1 1 1 1 1
1 1 0 1 0 1 1 0 0 0 0 0 0 0 1
2 1 1 0 0 0 0 0 0 1 0 1 1 0 0
3 1 0 0 0 1 0 0 0 0 0 1 0 1 1
4 1 0 0 1 0 0 0 0 1 1 0 0 0 1
5 1 0 0 1 1 0 0 0 0 0 1 0 0 1
6 1 0 0 0 1 1 0 0 0 0 1 1 0 0
7 1 0 0 0 1 0 0 0 0 0 1 1 1 0
8 1 0 1 0 0 0 1 0 0 1 0 1 0 0
9 1 0 1 0 1 0 1 0 0 0 0 1 0 0
10 1 1 0 0 0 1 0 1 1 0 0 0 0 0
11 1 0 1 0 1 0 0 0 1 0 0 0 0 1
12 1 0 1 0 0 1 0 0 0 0 0 1 0 1
13 1 0 0 0 1 0 1 0 1 1 0 0 0 0
a
“1” denotes that there is one semi-trailer flow between two depots.
b
“0” denotes that there is no freight flow.

which can generate random arrays from a specified distribution, is used. By RANDOM
“norm”,1,1,10,10, a random array is generated. We select the negative positions of the array
as nodes and the minimum position as the main depot. The distance between any two nodes
is calculated by the gaps of rows and columns. The “RANDOM” function in MATLAB is also
used to determine the freight flow between two depots. The network expressed by Table 1
and the flow expressed by Table 2 make up example No. 1. By the above generation method,
we produce some transportation networks that are used to test the heuristic algorithm.
10 Mathematical Problems in Engineering

Table 3: The satisfactory solution of the TSRP achieved by the heuristic algorithm.

Working time
Types of the routes Form of route needed by
routes hours
A tractor with two drivers. Two different
customer depots are passed by. H—1—13—H 17
The route repeats once a day.

A tractor with two drivers. Three different H—3—13—4—H; H—7—12—2—H;

customer depots are passed by. H—9—2—8—H; H—11—4—3—H; 17.5
The route repeats once a day. H—11—13—9—H; H—12—5—13—H
A tractor with two drivers. Four different
customer depots are passed by. H—5—10—7—12—H;
17
The route repeats once a day. H—8—9—2—10—H

H—2—8—6—10—5—H;
A tractor with two drivers. Five different H—6—4—13—8—11—H;
customer depots are passed by. H—6—5—3—12—11—H; 17.5
The route repeats once a day. H—6—11—8—9—4—H;
H—10—8—2—1—5—H
A tractor with two drivers. Six different
customer depots are passed by. H—6—5—4—8—9—11—H 17
The route repeats once a day.

A tractor with two drivers. Two different

customer depots are passed by. H—8—6—H—13—6—H 17.5
The route repeats twice a day.

According to some enterprise experience, a driver’s on-duty time is 8.5 hours per
day. One or two drivers are assigned to a tractor. A tractor with two drivers can work
consecutively for no more than 17 hours in a 24-consecutive-hour period. The temporary
rest time in customer depots is 0.5 hour, and the residence time in H is 1 hour. By using the
approach mentioned in Section 3.1, we attain different types of tractor routes for the No. 1
example. There are 175 elements in the initial solution set. By using the 2-phase approach, we
attain the satisfactory solution of the No. 1 example Table 3. When the enterprise employs
tractor routes as the satisfactory solution, it can satisfy 80 percent of all transportation
demand. Sixteen tractors and thirty-two drivers are needed during a 24-consecutive-hour
period. The total running time of 16 tractors is 230 hours per day. In 15 percent of the total
running time, tractors run alone.
It is feasible to propose exact algorithms e.g., integer programming for the TSRP
when the initial solution set is constructed. We proposed a 0-1 integer programming for
the No. 1 example and attained the exact solution. The exact solution can satisfy 84
percent of all transportation demand. Sixteen tractors and thirty-two drivers are needed
during a 24-consecutive-hour period. In 10 percent of the total running time, tractors
run alone. We implemented the proposed heuristic algorithm using Matlab and the 0-1
integer programming with QS. Although the exact algorithm can attain a slightly better
solution, it requires more calculating time. For the No. 1 example, the solving time using
the heuristic algorithm was approximately 80 seconds while that for the exact algorithm was
approximately 2000 seconds. We suggest that the heuristic algorithm has an advantage for
solving the TSRP.
Mathematical Problems in Engineering 11

Table 4: The results of TSRP experiments achieved by the heuristic algorithm.

Transportation network On the solution

Calculation
Number of Number of Fraction of demand Number of Average time of tractors time
nodes freight flows satisfied % tractors running alone hours seconds
10 54 65 10 0.9 3
11 60 85 18 1.9 5
12 66 89 17 1.8 26
13 72 92 22 2.1 45
14 78 89 23 1.6 78
15 84 71 18 1.8 47
17 96 89 28 1.7 59
18 102 81 25 1.6 86
19 108 86 32 1.7 114
21 120 74 28 1.6 198
22 126 71 28 1.4 234
23 132 86 37 1.8 310

We have repeated the generation of random arrays over 50 times to obtain some typical
computational networks. The heuristic algorithm was employed on these networks. We ran
the experiments of this section on a computer with an AMD Athlontm X2 Dual-Core QL-
65 running at 2.10 GHz under Windows 7 ultimate 32 bits with 2 GB of RAM. Table 4
summarizes the characteristics of each solution in the 12-instance testbed.

5. Conclusions and Future Work

In this paper, we proposed a TSRP model and suggested a heuristic algorithm to solve it. The
TSRP concentrated on a unit-flow network, and all tractors originated and terminated at a
main depot. Unlike most approaches to the TTRP or VRP, the heuristic algorithm for the TSRP
did not regard the number of vehicles as a precondition. Therefore, the solution to the TSRP
was able to balance the variable costs and service level by altering the vehicle number. The
main characteristics of the heuristic algorithm are the initial solution set constructed by the
limitation of driver on-duty time and the combination of a two-phase filtration on candidate
routes. The computational study shows that our algorithm is feasible and effective for the
TSRP. Although some exact algorithms for the TSRP are feasible after the initial solution set
is constructed, the heuristic algorithm is efficient because it takes relatively less time to obtain
satisfactory solutions. Future research may try to extend the TSRP to include more practical
considerations, such as time window constraints. Other efficient heuristics for the TSRP may
also be proposed. In this regard, the benchmark instances generated in this study may serve
as a testbed for future research to test the efficiency of specific algorithms for TSRP.

Acknowledgments
This work was partially funded by the Science and Technology Plan of Transportation
of Shandong Province 2009R58 and the Fundamental Research Funds for the Central
Universities YWF-10-02-059. This support is gratefully acknowledged.
12 Mathematical Problems in Engineering

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 849634, 10 pages
doi:10.1155/2012/849634

Research Article
Combining Diffusion and Grey Models Based on
Evolutionary Optimization Algorithms to Forecast
Motherboard Shipments

Fu-Kwun Wang,1, 2 Yu-Yao Hsiao,2 and Ku-Kuang Chang3

1
Department of Industrial Management, National Taiwan University of Science and Technology,
Taipei 106, Taiwan
2
Graduate Institute of Management, National Taiwan University of Science and Technology,
Taipei 106, Taiwan
3
Department of Logistic Management, Takming University of Science and Technology, Taipei 114, Taiwan

Correspondence should be addressed to Fu-Kwun Wang, [email protected]

Received 21 February 2012; Revised 12 June 2012; Accepted 15 June 2012

Academic Editor: Yi-Chung Hu

Copyright q 2012 Fu-Kwun Wang et al. This is an open access article distributed under the
Creative Commons Attribution License, which permits unrestricted use, distribution, and
reproduction in any medium, provided the original work is properly cited.

It is important for executives to predict the future trends. Otherwise, their companies cannot
make profitable decisions and investments. The Bass diffusion model can describe the empirical
adoption curve for new products and technological innovations. The Grey model provides short-
term forecasts using four data points. This study develops a combined model based on the rolling
Grey model RGM and the Bass diffusion model to forecast motherboard shipments. In addition,
we investigate evolutionary optimization algorithms to determine the optimal parameters. Our
results indicate that the combined model using a hybrid algorithm outperforms other methods for
the fitting and forecasting processes in terms of mean absolute percentage error.

1. Introduction
Taiwanese motherboard manufacturers create 98.5% of the worldwide desktop motherboards
and dominate the global desktop motherboard market 1. However, this industry’s growth
rate has slowed because of the trend of replacing desktop PCs with notebooks or netbooks.
In addition, the aggressive pricing by notebook/netbook manufacturers has diminished
desktop motherboard sales. It is important to develop a new forecasting model for this
rapidly changing market and to compare its results with other forecasting models. These
results can assist manufactures in making decisions on future expansion and investment.
Several studies have proposed time-series models for industrial production, demon-
strating the applicability of time-series models to industrial production forecasting. These
2 Mathematical Problems in Engineering

models typically require large amounts of data. However, Hsu 2 proved that the Grey
model GM, developed by Deng 3, requires minimal data and is the best model for limited
data prediction. Furthermore, GM can forecast in a completive environment where decision
makers have limited historical data. Chang et al. 4 applied a variable p value to a rolling
Grey model RGM to forecast semiconductor production in Taiwan. Akay and Atak 5
used the Grey prediction model with a rolling mechanism to forecast electricity demand in
Turkey. Hsu and Wang 6, 7 used the Bayesian method to improve GM1,1 for forecasting
the integrated circuit industry.
The Bass diffusion model 8 has been used to develop product life cycle curves and
to forecast the sales of the initial purchases of new products. Tseng and Hu 9 combined
fuzzy regression with the Bass model to develop a quadratic interval Bass diffusion model.
Tsaur 10 used the fuzzy grey regression model to predict the liquid critical display LCD
television market. Based on empirical data analysis, fuzzy grey regression is capable of
accurate forecasting and can give decision makers various scenarios. Wu and Chu 11 used
Gompertz, Logistic, Bass, and time-series autoregressive moving average ARMA models to
forecast mobile telephone subscription in Taiwan. Hsiao and Wang 12 applied the GM1,1,
RGM1,1, and Bass diffusion models to predict trends in the global copper clad laminate
industry.
This study proposes a combined model based on the rolling Grey and Bass diffusion
models to forecast the sale of Taiwanese motherboards more accurately. This study is
organized as follows: Section 2 reviews the Bass diffusion model and the RGM1,1; Section 3
introduces a combined model featuring an evolutionary optimization algorithm; in Section 4
we use the combined model to forecast motherboard shipments, comparing its results with
those of the RGM1,1 and Bass diffusion models; finally, we provide a conclusion.

2. Bass Diffusion Model and RGM(1,1)

This section presents a discussion on two forecasting models the Bass diffusion and RGM1,1
models. The Bass diffusion model 13 is given as

nt  m × Ft − Ft − 1  ε, 2.1

where Ft  1 − e−pqt /1  q/p × e−pqt , nt  sales at time t, m is the number
of eventual adopters, Ft is the cumulative distribution of adoptions at time t, p is the
coefficient of innovation, q is the coefficient of imitation, and ε is the normally distributed
random error term with mean zero and variance σ 2 . The adopter’s probability density
function ft for adoption at time t is given by

 2  
p  q /p × e−pqt
ft     . 2.2
2
1  q/p × e−pqt

Bass 13 used the ordinary least squares OLS method to estimate the parameters.
Schmittlein and Mahajan 14 used the maximum likelihood estimation MLE method to
improve the estimation. Srinivsan and Mason 15 used a nonlinear least square estimation
NLS method to obtain the valid error estimates. Nonlinear models are more difficult to fit
Mathematical Problems in Engineering 3

than linear models. Venkatesan and Kumar 16 used genetic algorithms GAs to estimate
the parameters, and these were consistent with the NLS method.
Grey theory is used for systems that have uncertain and imperfect information 3. It
requires only four data points to construct a prediction model. Grey prediction has three basic
operations: accumulated generating operator AGO, the inverse accumulating operator
IAGO, and the GM. The steps of the RGM1,1 model are given as follows.

Step 1. Original time sequence with n samples is expressed as

 
X 0  x0 1, x0 2, x0 3, . . . , x0 n . 2.3

An AGO operator is used to convert the original series into monotonically increasing series:
 
X 1  x1 1, x1 2, x1 3, . . . , x1 n , 2.4

where x1 k  k

i1 x0 i.

Step 2. The first-order differential equation for the GM1,1 model is given by

dX 1 2.5
 a × X 1  b,
dt

where t denotes the independent variables in the system, a represents the developed
coefficient, and b is the Grey controlled variable. The parameters of a and b can be obtained
using the OLS method. Thus, we have

a  −1
u  BT B × B T × YN , 2.6
b

where the accumulated matrix

 ⎡  ⎤
1
− Px i  1 − P x1 i  1 1
⎢ ⎥
⎢   ⎥
⎢ 1 ⎥
⎢− Px i  1  1 − P x1 i  2 1⎥
B⎢ ⎥, 2.7
⎢ .. .. ⎥
⎢ . .⎥
⎣   ⎦
1
− Px k − 1  1 − P x1 k 1

T
P is equal 0.5 in the original model, and YN  x0 i  1, x0 i  2, . . . , x0 k .

Step 3. The approximate relationship can be obtained by substituting u determined in the

differential equation in Step 2 as follows:

b b
x1 t  1  x0 1 − × e−at  . 2.8
a a
4 Mathematical Problems in Engineering

Motherboard
shipments

Divide original data set into

two subsets
S1 = {the first 4-5 data points}
S2 = {the rest of data points}

Find the fitted values for

S1 by RGM(1,1) and S2
replace them by the
So-called S3

Form a new
data set
(S3 and S2)

Find the optimal parameters of Bass

diffusion model by
(1) GA algorithm
(2) PSO algorithm
(3) A hybrid algorithm (GA + PSO)

The best fitted model is used

to generate forecasts

Figure 1: Procedures of the proposed method.

Supposing that x1 1  x0 1, the sequence one-order IAGO is acquired. Thereafter, the
sequence can be obtained as x0 t  1  x1 t  1 − x1 t.
Given t  1, 2, . . . , k, the sequence of reduction is as follows:

 
X 0 i; k  x0 1, x0 2, . . . , x0 k  1 , 2.9

where x0 k  1 is the Grey elementary forecasting value for x0 k  1.

3. Combined Model
Combining forecasts minimizes errors 18, and many studies have demonstrated their value
19–21. In this section, we present a combined model based on the Bass diffusion model and
the RGM1,1 see Figure 1. The three major steps of the proposed combined model are as
follows.
Mathematical Problems in Engineering 5

Step 1. A new data set should be formed. The RGM1,1 usually provides better fitted values
for early periods than does the Bass diffusion model. Next, the original data points are
replaced by some predicted values by the RGM1,1 to form a new data set.

Step 2. The optimal parameters of the Bass diffusion model should be found for the original
data and a new data set. A hybrid algorithm based on the GA with PSO has been successfully
applied to real-world engineering design problems 22, 23. This study used a hybrid
algorithm that couples the GA with PSO to optimize the estimates of the parameters for the
Bass diffusion model. We then investigated three algorithms to obtain the parameters of the
Bass diffusion model. First, we used a nonlinear algorithm to obtain the initialized estimates
of the model. In addition, the confidence intervals for the parameters were used to determine
the range of the parameters for PSO and the GA. The descriptions of these three algorithms
are as follows.

1 GA: the estimated parameters can be obtained easily using Evolver Software 24.
The minimized function is defined as MAPE. Here, the population size is set by 50,
and the crossover rate and the mutation rate are set as 0.6 and 0.2, respectively.
2 PSO algorithm: we used PSO operators velocity and position updates to update
the individual with the worst fitness. Clerc and Kennedy 25 created constriction
factor k, improving the ability of PSO to constrain and control velocities. These
equations are given by
    
VidNew  k × Vidold  c1 × r1 × pid − xid
old
 c2 × r2 × pgd − xid
old
,
3.1
New
xid  xid
old
 VidNew ,

where k is an inertia weight, c1 and c2 are two positive constants called acceleration
coefficients, and r1 and r2 are random, uniformly√distributed numbers 0, 1. The
inertia weight can be obtained by k  2/|2 − c − c2 − 4c|, where c  c1  c2 > 4.
For example, if c  4.1, then w  0.729. As c increases above 4.0, k becomes smaller.
The input parameters are particle size  20, max iterations  100, w  0.729, and
c1  c2  2.05.
3 A hybrid algorithm: this hybrid algorithm couples the GA with PSO. First, we used
the PSO algorithm to obtain the estimated parameters. Thereafter, the estimated
parameters were improved using the GA.

Step 3. The fitted Bass diffusion model can be used to generate forecast values.

A common measure of examining the forecasting ability of a model is defined as

MAPE  nt1 |At − Ft /At |/n, where At is actual value in period t, Ft is forecast value
in period t, and n is the number of periods used in the calculation. A low MAPE value shows
an excellent forecasting ability Table 1.

4. Application in Motherboard Shipments

The motherboard shipment data from 1998 to 2010 are shown in Table 2. In this study we
assumed that the historical data from 1998 to 2009 are known. The holdout period is the
6 Mathematical Problems in Engineering

Table 1: Criteria for forecasting accuracy 17.

MAPE % Forecasting power

<10 Excellent
10–20 Good
20–50 Reasonable
>50 Incorrect

Table 2: Motherboard shipment data 1.

Year Shipment unit  thousand

1998 54371
1999 64378
2000 84372
2001 80565
2002 86554
2003 103509
2004 107987
2005 113354
2006 111117
2007 109097
2008 96743
2009 84374
2010 68687

year 2010. First, the estimated parameters of the Bass diffusion model were obtained using
the GA. Second, the rolling interval for the RGM1,1 was set to five. Thereafter, we obtained
eight parameter settings from 1998 to 2009. Finally, the estimated parameters of the combined
model were obtained using three evolutionary algorithms GA, PSO, and a hybrid. All five
methods were used to compare the fitted values for the historical periods and the 1-year-
ahead forecast.
The parameter values of all five methods are shown in Table 3, and their forecasting
results are listed in Table 4. The MAPE values of these five methods from 1998 to 2009 are
3.692% for the Bass diffusion model using the GA, 3.395% for the RGM1,1, 2.736% for the
combined model using the GA, 2.480% for the combined model using PSO, and 2.476% for the
combined model using a hybrid algorithm. For the 1-year-ahead forecast for 2010, the MAPE
values of the five methods were 10.96% for the Bass diffusion model using the GA, 15.94%
for the RGM1,1, 9.06% for the combined model using the GA, 4.71% for the combined
model using PSO, and 4.69% for the combined model using a hybrid algorithm. Our results
demonstrate that the proposed combined model using a hybrid algorithm outperformed
the other methods for the fitting and forecasting processes in terms of MAPE, as shown in
Figure 2.
Mathematical Problems in Engineering 7

Table 3: Parameter values of all methods.

Year Method Parameters
1998–2009 Bass diffusion model with GA m  1512404; p  0.0321; q  0.2255
1998–2002 a  −0.0776; b  63299.8
1999–2003 a  −0.0748; b  71247.8
2000–2004 a  −0.1042; b  67427.2
2001–2005 RGM1,1 a  −0.0806; b  80632.2
2002–2006 a  −0.0255; b  101302.4
2003–2007 a  −0.0010; b  110072.1
2004–2008 a  0.0473; b  123165.0
2005–2009 a  0.0902; b  129711.4
2003–2009 Combined model with GA m  1483972; p  0.0311; q  0.2369
2003–2009 Combined model with PSO m  1419290; p  0.0288; q  0.2594
2003–2009 Combined model with hybrid m  1420173; p  0.0289; q  0.2589

140000

120000

100000

80000
Value

60000

40000

20000

0
1996 1998 2000 2002 2004 2006 2008 2010 2012
Year

Actual value Combined model (GA)

Bass model (GA) Combined model (PSO)
RGM(1,1) Combined model (hybrid)

Figure 2: Forecasting results for all models.

5. Conclusions
This study presented a combined model that combined the Bass diffusion model with the
RGM1,1 to forecast motherboard shipments. In addition, we investigated evolutionary
optimization algorithms to determine the optimal parameters. The results indicate that the
combined model using a hybrid algorithm provides excellent MAPE improvement. We
conclude that the combined model, using a hybrid algorithm, is suitable for forecasting in
the motherboard industry.
Future research will include a modeling comparison of our model and the Support
Vector Machine SVM model using a DNA optimization method 26.
 8

Table 4: MAPE results for all models.

Bass diffusion model RGM1,1 Combined model with Combined model with Combined model with
Actual value
with GA GA PSO hybrid
1998–2009
Forecast value APE Forecast value APE Forecast value APE Forecast value APE Forecast value APE
54371 53341.4 1.89% 54371.0 0.00% 54371.0 0.00% 54371.0 0.00% 54371.0 0.00%
64378 63672.5 1.10% 70118.2 8.92% 70118.2 8.92% 70118.2 8.92% 70118.2 8.92%
84372 74572.8 11.61% 78981.5 6.39% 78981.5 6.39% 78981.5 6.39% 78981.5 6.39%
80565 85418.4 6.02% 80332.1 0.29% 80332.1 0.29% 80332.1 0.29% 80332.1 0.29%
86554 95384.7 10.20% 90733.6 4.83% 90733.6 4.83% 90733.6 4.83% 90733.6 4.83%
103509 103536.0 0.03% 104846.9 1.29% 104025.0 0.50% 103455.9 0.05% 103508.9 0.00%
107987 108981.6 0.92% 110227.0 2.07% 109968.1 1.83% 110500.6 2.33% 110509.9 2.34%
113354 111064.0 2.02% 115310.7 1.73% 112262.6 0.96% 113381.9 0.02% 113353.8 0.00%
111117 109518.5 1.44% 114251.3 2.82% 110594.3 0.47% 111646.9 0.48% 111594.8 0.43%
109097 104542.2 4.18% 104393.6 4.31% 105192.5 3.58% 105570.4 3.23% 105510.7 3.29%
96743 96742.4 0.00% 95386.5 1.40% 96766.3 0.02% 96066.0 0.70% 96013.4 0.75%
84374 86987.2 3.10% 87156.6 3.30% 86316.8 2.30% 84412.1 0.05% 84376.4 0.00%
MAPE 1998–2009 3.692% 3.395% 2.736% 2.480% 2.476%
Actual value 2010
68687 76216.5 10.96% 79636.7 15.94% 74907.0 9.06% 71922.0 4.71% 71906.9 4.69%
APE: absolute percentage error.
Mathematical Problems in Engineering
Mathematical Problems in Engineering 9

Acknowledgments
The authors gratefully acknowledge the referees of this paper who helped clarify and
improve this paper. They are also thankful for the financial support from NSC in Taiwan.

References
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10 Mathematical Problems in Engineering

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 209329, 15 pages
doi:10.1155/2012/209329

Research Article
Adaptive Method for Solving Optimal Control
Problem with State and Control Variables

Louadj Kahina1 and Aidene Mohamed2

1
Department of Mathematics, Faculty of Sciences, Mouloud Mammeri University, Tizi-Ouzou, Algeria
2
Laboratoire de Conception et Conduite de Systèmes de Production (L2CSP), Tizi-Ouzou, Algeria

Correspondence should be addressed to Louadj Kahina, louadj [email protected]

Received 29 November 2011; Revised 19 April 2012; Accepted 20 April 2012

Academic Editor: Jianming Shi

Copyright q 2012 L. Kahina and A. Mohamed. This is an open access article distributed under
the Creative Commons Attribution License, which permits unrestricted use, distribution, and
reproduction in any medium, provided the original work is properly cited.

The problem of optimal control with state and control variables is studied. The variables are: a
scalar vector x and the control ut; these variables are bonded, that is, the right-hand side of
the ordinary differential equation contains both state and control variables in a mixed form. For
solution of this problem, we used adaptive method and technology of linear programming.

1. Introduction
Problems of optimal control have been intensively investigated in the world literature for
over forty years. During this period, a series of fundamental results have been obtained,
among which should be noted the maximum principle 1 and dynamic programming 2, 3.
Results of the theory were taken up in various fields of science, engineering, and economics.
The optimal control problem with mixed variables and free terminal time is
considered. This problem is among the most difficult problems in the mathematical theory
of control processes 4–7. An algorithm based on the concept of simplex method 4, 5, 8, 9
so called support control is proposed to solve this problem.
The aim of the paper is to realize the adaptive method of linear programming 8. In
our opinion the numerical solution is impossible without using the computers of discrete
controls defined on the quantized axes as accessible controls. This made, it possible to
eliminate some analytical problems and reduce the optimal control problem to a linear
programming problem. The obtained results show that the adequate consideration of the
dynamic structure of the problem in question makes it possible to construct very fast
algorithms of their solution.
2 Mathematical Problems in Engineering

The work has the following structure. In Section 2, The terminal optimal control
problem with mixed variables is formulated. In Section 3, we give some definitions needed
in this paper. In Section 4, the definition of support is introduced. Primal and dual ways of
its dynamical identification are given. In Section 5, we calculate a value of suboptimality. In
Section 6, optimality and ε-optimality criteria are defined. In Section 7, there is a numerical
algorithm for solving the problem; the iteration consists in two procedures: change of control
and change of a support to find a solution of discrete problem; at the end, we used a final
procedure to find a solution in the class of piecewise continuous functions. In Section 8, the
results are illustrated with a numerical example.

2. Problem Statement
We consider linear optimal control problem with control and state constraints:

 tf
  
Jx, u  g x tf Cxt Dutdt −→ max, 2.1
0 x,u

subject to

ẋ  fxt, ut  Axt But, 0 ≤ t ≤ tf ,

 
x0  x0 , x tf  xf , 2.2
 
xmin ≤ xt ≤ xmax , umin ≤ ut ≤ umax , t ∈ T  0, tf ,

where A, B, C, and D are constant or time-dependent matrices of appropriate dimensions,

x ∈ Rn is a state of control system 2.1–2.2, and u·  ut, t ∈ T , T  0, tf , is a piecewise
continuous function. Among these problems in which state and control are variables, we
consider the following problem:

 tf
Jx, u  c x ctutdt −→ max, 2.3
0 x,u

subject to
 t∗
Ax htutdt, 0 ≤ t ≤ tf , 2.4
0

x0  x0 , 2.5
 
xmin ≤ xt ≤ xmax , umin ≤ ut ≤ umax , t ∈ T  0, tf , 2.6

where x ∈ Rn is a state of control system 2.3–2.6; u·  ut, t ∈ T , T  0, tf , is a

piecewise continuous function, A ∈ Rm×n ; c  cJ  cj , j ∈ J; g  gI  gi , i ∈ I is
an m-vector; ct, t ∈ T , is a continuous scalar function; ht, t ∈ T , is an m-vector function;
umin , umax are scalars; xmin  xmin J  xminj , j ∈ J, xmax  xmax J  xmaxj , j ∈ J are
n-vectors; I  {1, . . . , m}, J  {1, . . . , n} are sets of indices.
Mathematical Problems in Engineering 3

3. Essentials Definitions
Definition 3.1. A pair v  x, u· formed of an n-vector x and a piecewise continuous
function u· is called a generalized control.

Definition 3.2. The constraint 2.4 is assumed to be controllable, that is for any m-vector g,
there exists a pair v, for which the equality 2.4 is fulfilled.
A generalized control v  x, u· is said to be an admissible control if it satisfies
constraints 2.4–2.6.

Definition 3.3. An admissible control v0  x0 , u0 · is said to be an optimal open-loop control
if a control criterion reaches its maximal value
 
J v0  maxJv. 3.1
v

Definition 3.4. For a given ε ≥ 0, an ε-optimal control vε  xε , uε · is defined by the
inequality

 
J v0 − Jvε  ≤ ε. 3.2

4. Support and the Accompanying Elements

Let us introduce a discretized time set Th  {0, h, . . . , tf − h} where h  tf /N, and N is an
integer. A function ut, t ∈ T , is called a discrete control if

ut  uτ, t ∈ τ, τ h, τ ∈ Th . 4.1

First, we describe a method of computing the solution of problem 2.3–2.6 in the class of
discrete control, and then we present the final procedure which uses this solution as an initial
approximation for solving problem 2.3–2.6 in the class of piecewise continuous functions.
Definitions of admissible, optimal, ε-optimal controls for discrete functions are given
in a standard form.
Choose an arbitrary subset TB ⊂ Th of l ≤ m elements and an arbitrary subset JB ⊂ J of
m-l elements.
Form the matrix,

   
PB  aj  A I, j , j ∈ JB ; dt, t ∈ TB , 4.2

t h
where dt  t hsds, t ∈ Th .
A set SB  {TB , JB } is said to be a support of problem 2.3–2.6 if det PB /
 0.
A pair {v, SB } of an admissible control vt  x, ut, t ∈ T  and a support SB is said
to be a support control.
A support control {v, SB } is said to be primally nonsingular if d∗j < xj < dj∗ , j ∈ JB ; f∗ <
ut < f ∗ , t ∈ TB .
4 Mathematical Problems in Engineering

Let us consider another admissible control v  x, u·  v Δv, where x  x

Δx, ut  ut Δut, t ∈ T , and let us calculate the increment of the cost functional

 tf
 4.3
ΔJv  Jv − Jv  c Δx ctΔutdt.
0

Since
z
AΔx htΔutdt  0, 4.4
0

then the increment of the functional equals

 tf
   
ΔJv  c − ν A Δx ct − ν ht Δutdt, 4.5
0

where ν ∈ Rm is called potentials: ν  qB Q, qB  cr j, j ∈ JB ; qt, t ∈ TB , Q  PB−1 , qt 

t h
t
csds, t ∈ Th .
Introduce an n-vector of estimates Δ  ν A − c and a function of cocontrol Δ· 
Δt  ν dt − qt, t ∈ Th . With the use of these notions, the value of the cost functional
increment takes the form

ΔJv  Δ Δx − ΔtΔut. 4.6

t∈Th

A support control {v, SB } is dually nonsingular if Δt /

 0, t ∈ TH , Δj /
 0, j ∈ JH , where
TH  Th /TB , JH  J/JB .

5. Calculation of the Value of Suboptimality

The new control vt is admissible, if it satisfies the constraints:

xmin − x ≤ Δx ≤ xmax − x, umin − ut ≤ Δut ≤ umax − ut, t ∈ T. 5.1

The maximum of functional 4.6 under constraints 5.1 is reached for:

Δxj  xminj − xj if Δj > 0,

Δxj  xmaxj − xj if Δj < 0,
xminj − xj ≤ Δxj ≤ xmaxj − xj if Δj  0, j ∈ J,
5.2
Δut  umin − ut if Δt > 0
Δut  umax − ut if Δt < 0
umin ≤ Δut ≤ umax if Δt  0, t ∈ Th ,
Mathematical Problems in Engineering 5

and is equal to

β  βv, SB 
   
 Δj xj − xminj Δj xj − xmaxj Δtut − umin  Δtut − umax ,
j∈JH − t∈T t∈T −
j∈JH
5.3

where

T  {t ∈ TH , Δt > 0}, T −  {t ∈ TH , Δt < 0},

5.4
−
JH  j ∈ JH , Δj > 0 , JH  j ∈ JH , Δj < 0 .

The number βv, SB  is called a value of suboptimality of the support control {v, SB }.
From there, Jv − Jv ≤ βv, SB . Of this last inequality, the following result is deduced.

6. Optimality and ε-Optimality Criterion

Theorem 6.1 see 8. The following relations:

ut  umin if Δt > 0,

ut  umax if Δt < 0,

umin ≤ ut ≤ umax if Δt  0, t ∈ Th ,

6.1
xj  xminj if Δj > 0,

xj  xmaxj if Δj < 0,

xminj ≤ xj ≤ xmaxj if Δj  0, j ∈ J,

are sufficient, and in the case of non degeneracy, they are necessary for the optimality of control v.

Theorem 6.2. For any ε ≥ 0, the admissible control v is ε-optimal if and only if there exists a support
SB such that βv, SB  ≤ ε.

7. Primal Method for Constructing the Optimal Controls

A support is used not only to identify the optimal and ε-optimal controls, but also it is the
main tool of the method. The method suggested is iterative, and its aim is to construct an
ε-solution of problem 2.3–2.6 for a given ε ≥ 0. As a support will be changing during the
iterations together with an admissible control, it is natural to consider them as a pair.
Below to simplify the calculations, we assume that on the iterations, only primally and
dually nonsingular support controls are used.
6 Mathematical Problems in Engineering

The iteration of the method is a change of an “old” control {v, SB } for the “new” one
{v, SB } so that β{v, SB } ≤ β{v, SB }. The iteration consists of two procedures:
1 change of an admissible control v → v,
2 change of support SB → SB .
Construction of the initial support control concerns with the first phase of the method and
can be performed with the use of the algorithm described below.
At the beginning of each iteration the following information is stored:
1 an admissible control v,
2 a support SB  {TB , JB },
3 a value of suboptimality β  βv, SB .
Before the beginning of the iteration, we make sure that a support control {v, SB } does not
satisfy the criterion of ε-optimality.

7.1. Change of an Admissible Control

The new admissible control is constructed according to the formulas:

xj  xj θ0 lj , j ∈ J,
7.1
ut  ut θ0 lt, t ∈ Th ,

where l  lj , j ∈ J, lt, t ∈ Th  is an admissible direction of changing a control v; θ0 is the

maximum step along this direction.

7.1.1. Construct of the Admissible Direction

Let us introduce a pseudocontrol v  x, ut, t ∈ T .
First, we compute the nonsupport values of a pseudocontrol

xminj if Δj ≥ 0,
xj 
xmaxj if Δj ≤ 0, j ∈ JH ,
 7.2
umax if Δt ≤ 0,
ut 
umin if Δt ≥ 0, t ∈ TH .

Support values of a pseudocontrol {xj , j ∈ JB ; ut, t ∈ TB } are computed from the equation

   
A I, j xj dtut  g − A I, j xj dtut. 7.3
j∈JB t∈TB j∈JH t∈TH

With the use of a pseudocontrol, we compute the admissible direction l: lj  xj − xj ,

j ∈ J; lt  ut − ut, t ∈ Th .
Mathematical Problems in Engineering 7

7.1.2. Construct of Maximal Step

Since v is to be admissible, the following inequalities are to be satisfied:

xmin ≤ x ≤ xmax ; umin ≤ ut ≤ umax , t ∈ Th , 7.4

that is,

xmin ≤ xj θ0 lj ≤ xmax , j ∈ J,
7.5
umin ≤ ut θ0 lt ≤ umax , t ∈ Th .

Thus, the maximal step θ0 is chosen as θ0  min{1; θt0 ; θj0 }.

Here, θj0  min θj :

⎧
⎪ xmaxj − xj
⎪
⎪ if lj > 0,
⎪
⎪ lj
⎨
θj  xminj − xj if lj < 0, 7.6
⎪
⎪
⎪
⎪ lj
⎪
⎩ ∞ if lj  0, j ∈ JB ,

and θt0   mint∈TB θt:

⎧
⎪ umax − ut
⎪
⎪ if lt > 0,
⎪
⎨ lt
θt  umin − ut 7.7
⎪
⎪ if lt < 0,
⎪
⎪ lt
⎩
∞ if lt  0, t ∈ TB .

Let us calculate the value of suboptimality of the support control {v, SB } with v computed
according to 7.1: βv, SB   1 − θ0 βv, SB . Consequently,

1 if θ0  1, then v is an optimal control,

2 if βv, SB  ≤ ε, then v is an ε-optimal control,
3 if βv, SB  > ε, then we perform a change of support.

7.2. Change of Support

For ε > 0 given, we assume that βv, SB  > ε and θ0  minθt0 , t0 ∈ TB ; θj0 , j0 ∈ JB . We will
distinguish between two cases which can occur after the first procedure:

a θ0  θj0 , j0 ∈ JB ,
b θ0  θt0 , t0 ∈ TB .

Each case is investigated separately.

8 Mathematical Problems in Engineering

We perform change of support SB → SB that leads to decreasing the value of

suboptimality βv, SB . The change of support is based on variation of potentials, estimates,
and cocontrol:

ν  ν Δν; Δj  Δj σ 0 δj , j ∈ J, Δt  Δt σ 0 δt, t ∈ Th , 7.8

where δj , j ∈ J, δt, t ∈ Th  is an admissible direction of change Δ, Δ· and σ 0 is a maximal
step along this direction.

7.2.1. Construct of an Admissible Direction δj , j ∈ J, δt, t ∈ Th 

First, construct the support values δB  δj , j ∈ JB , δt, t ∈ TB  of admissible direction
a θ0  θj0 . Let us put

δt  0 if t ∈ TB ,
δj  0 if j 
/ j0 , j ∈ JB ,
7.9
δj 0  1 if xj0  xminj0 ,
δj0  −1 if xj0  xmaxj0 ,

b θ0  θt0 . Let us put

δj  0 if j ∈ JB ,
TB
δt  0 if t ∈ ,
t0 7.10
δt0   1 if ut0   umin ,
δt0   −1 if ut0   umax .

Using the values δB  δj , j ∈ JB , δt, t ∈ TB , we compute the variation Δν of potentials as

Δν  δ B Q. Finally, we get the variation of nonsupport components of the estimates and the
cocontrol:

 
δj  Δν A I, j , j ∈ JH ,
7.11
δt  Δν dt, t ∈ TH .
Mathematical Problems in Engineering 9

7.2.2. Construct of a Maximal Step σ 0

A maximal step equals σ 0  minσj0 , σt0  with σj0  σj1  min σj , j ∈ JH ; σt0  σt1  
min σt, t ∈ TH , where
⎧
⎨− Δj
⎪
if Δj δj < 0,
σj  δj
⎪
⎩ ∞ if Δj δj ≥ 0, j ∈ JH ,
⎧ 7.12
⎨− Δt if Δtδt < 0,
σt  δt
⎩
∞ if Δtδt ≥ 0, t ∈ TH .

7.2.3. Construct of a New Support

For constructing a new support, we consider the four following cases:

1 θ0  θt0 , σ 0  σt1 : a new support SB  {T B , J B } has two following components:

TB
TB  ∪ {t1 }, J B  JB , 7.13
{t0 }

2 θ0  θt0 , σ 0  σj1 : a new support SB  {T B , J B } has the two following

components:

TB
TB  , J B  JB ∪ j1 , 7.14
{t0 }

3 θ0  θj0 , σ 0  σj1 : a new support SB  {T B , J B } has two following components:

JB
T B  TB , JB  ∪ j1 , 7.15
j0

4 θ0  θj0 , σ 0  σt1 : a new support SB  {T B , J B } has two following components:

JB
T B  TB ∪ {t1 }, JB  , 7.16
j0

A value of suboptimality for support control βv, SB  takes the form

   
β v, SB  1 − θ0 βv, SB  − ασ 0 , 7.17
10 Mathematical Problems in Engineering

where

|ut0  − ut0 | if θ0  θt0 ,
α   7.18
xj − xj  if θ0  θj0 .
0 0

1 If βv, SB  > ε, then we perform the next iteration starting from the support control
{v, SB }.
2 If βv, SB   0, then the control v is optimal for problem 2.3–2.6 in the class of
discrete controls.
3 If βv, SB  < ε, then the control v is ε-optimal for problem 2.3–2.6 in the class of
discrete controls.

If we would like to get the solution of problem 2.3–2.6 in the class of piecewise continuous
control, we pass to the final procedure when case 2 or 3 takes place.

7.3. Final Procedure

Let us assume that for the new control v, we have βv, SB  > ε. With the use of the support
SB we construct a quasicontrol v  x,
 u t, t ∈ T ,
⎧
⎪
⎪ if Δj > 0,
⎨xminj
xj  x if Δj < 0,
⎪
⎪ 
maxj

⎩∈ xmin , xmax if Δj  0, j ∈ J.
j j

⎧ 7.19
⎪
⎪ if Δt < 0
⎨umin ,
 t  umax ,
u if Δt > 0,
⎪
⎪
⎩∈ u , u , if Δt  0, t ∈ T .
min max h

If
 tf
AI, Jx utdt  g,
ht 7.20
0

then v is optimal, and if

 tf
AI, Jx utdt 
ht / g, 7.21
0

then denote T 0  {ti ∈ T, Δti   0}, where ti are zeros of the optimal cocontrol, that is,
Δti   0, i  1, s, with s ≤ m. Suppose that

Δ̇ti  /
 0, i  1, s. 7.22
Mathematical Problems in Engineering 11

Let us construct the following function:

fΘ  AI, JB xJB 

s    ti
umax umin umax − umin 1

AI, JH xJH  − sign Δ̇ti  htdt − g,

i0
2 2 ti

7.23

where

xminj xmaxj xmaxj − xminj

xj  − sign Δj , j ∈ JH , t0  0, ts 1  tf ,
2 2
  7.24
Θ  ti , i  1, s; xj , j ∈ JB .

The final procedure consists in finding the solution

 
Θ0  t0i , i  1, s; xj0 , j ∈ JB 7.25

of the system of m nonlinear equations

fΘ  0. 7.26

We solve this system by the Newton method using as an initial approximation of the vector

 
Θ0  ti , i  1, s; xj , j ∈ JB . 7.27

The k 1th approximation Θk 1

, at a step k 1 ≥ 1, is computed as

   
∂f −1 Θk
Θk 1
Θ k
ΔΘ k
, ΔΘ k
− · f Θk . 7.28
∂Θk

Let us compute the Jacobi matrix for 7.26

       
∂f Θk k k
 AI, JB ; umin − umax  sign Δ̇ ti h ti , i  1, s 7.29
∂Θk

 0, we can easily show that

As detPB /

 
∂f Θ0
det  0.
/ 7.30
∂Θ0
12 Mathematical Problems in Engineering

For instants t ∈ TB , there exists a small μ > 0 that for any ti ∈ ti − μ, ti μ, i  1, s,
the matrix hti , i  1, s is nonsingular and the matrix ∂fΘk /∂Θk is also nonsingular if
k
elements ti , i  1, s, k  1, 2, . . . do not leave the μ-vicinity of ti , i  1, s.
∗
Vector Θk  is taken as a solution of 4.6 if

  ∗ 
 
f Θk   ≤ η, 7.31

∗
for a given η > 0. So we put θ0  θk  .
The suboptimal control for problem 2.3–2.6 is computed as


x0j , j ∈ JB ,
xj0 
xj , j ∈ JH
7.32
umax umin umax − umin    
u0 t  − sign Δ̇ t0i , t ∈ t0i , t0i 1 , i  1, s.
2 2

If the Newton method does not converge, we decrease the parameter h > 0 and perform the
iterative process again.

8. Example
We illustrate the results obtained in this paper using the following example:

 25
utdt −→ min,
0

ẋ1  x3 ,

ẋ2  x4 ,

ẋ3  −x1 x2 u, 8.1

ẋ4  0.1x1 − 1.01x2 ,

x1 0  0.1, x2 0  0.25, x3 0  2, x4 0  1,

x1 25  x2 25  x3 25  x4 25  0,

xmin ≤ x ≤ xmax , 0 ≤ ut ≤ 1, t ∈ 0, 25.

Mathematical Problems in Engineering 13

1.5

0.5

0
−0.5

−1

−1.5

−2

−2.5
0 5 10 15 20 25

“σ · dat”
“u · dat”

Figure 1: Optimal control ut and switching function.

Let the matrix be

⎛ ⎞ ⎛ ⎞ ⎛ ⎞
0 0 1 0 1 0 0 0 0
⎜0 0 0 1⎟ ⎜0 1 0 0⎟ ⎜0⎟
A⎜
⎝ −1
⎟, ht  ⎜ ⎟, g⎜ ⎟
⎝0⎠,
1 0 0⎠ ⎝0 0 1 0⎠
0.1 −1.01 0 0 0 0 0 1 0
⎛
⎞ ⎛ ⎞ 8.2
−4 4
⎜−4⎟ ⎜4⎟
xmin ⎜ ⎟
⎝−4⎠, xmax ⎜ ⎟
⎝4⎠.
−4 4

We introduce the adjoint system which is defined as

ψ1  −ψ3 0.1ψ4 ,
ψ2  ψ3 − 1.01ψ4 ,
ψ3  ψ1 , 8.3
    ψ 4  ψ2 ,    
ψ1 tf  0, ψ2 tf  0, ψ3 tf  0, ψ4 tf  0.

Problem 8.1 is reduced to canonical form 2.3–2.6 by introducing the new variable
ẋ5  u, x5 0  0. Then, the control criterion takes the form −x5 tf  → max. In the class of
discrete controls with quantization period h  25/1000  0.0025, problem 8.1 is equivalent
to LP problem of dimension 4 × 1000.
To construct the optimal open-loop control of problem 8.1, as an initial support, a set
TB  {5, 10, 15, 20} was selected. This support corresponds to the set of nonsupport zeroes of
the cocontrol Tn0  {2.956, 5.4863, 9.55148, 12.205, 17.6190, 19.0372}. The problem was solved
in 26 iterations, that is, to construct the optimal open-loop control, a support 4 × 4 matrix was
14 Mathematical Problems in Engineering

1.5

0.5

x3 −0.5

−1

−1.5

−2

−2.5
−2 −1 0 1 2 3
x1

Figure 2: Phaseportrait x1 t, x3 t.

2.5

1.5

0.5

0
−0.5

−1

−1.5

−2
0 5 10 15 20 25

“x1 · dat”
“x2 · dat”

Figure 3: Optimal state variables x1 t, x2 t.

Table 1

h Number of iterations Value of the control criterion Time

0.25 11 6.624333 2.72
0.025 18 6.602499 2.85
0.001 32 6.602050 3.33

changed 26 times. The optimal value of the control criterion was found to be equal to 6.602054
in time 2.92.
Table 1 contains some information on the solution of problem 8.1 for other
quantization periods.
Mathematical Problems in Engineering 15

1.5

0.5

−0.5

−1

−1.5

−2

−2.5
0 5 10 15 20 25

“x3 · dat”
“x4 · dat”

Figure 4: Optimal state variables x3 t, x4 t.

Of course, one can solve problem 8.1 by LP methods, transforming the problem
4.6–7.8. In doing so, one integration of the system is sufficient to form the matrix of the
LP problem. However, such “static” approach is concerned with a large volume of required
operative memory, and it is fundamentally different from the traditional “dynamical”
approaches based on dynamical models 2.3–2.6. Then, problem 2.3–2.6 was solved.
In Figure 1, there are control ut and switching function for minimum principle. In
Figure 2, there is phaseportrait x1 , x3  for a system 8.1. In Figure 3, there are state variables
x1 t, x2 t for a system 8.1. In Figure 3, state variables x3 t, x4 t for a system 8.1. In
Figure 4, state variables x1 t, x2 t for a system 8.1.

References
1 L. S. Pontryagin, V. G. Boltyanski, R. Gamkrelidze, and E. F. Mischenko, The Mathematical Theory of
Optimal Processes, Interscience Publishers, New York, NY, USA, 1962.
2 R. E. Bellman, Dynamic Programming, Princeton University Press, Princeton, NJ, USA, 1963.
3 R. E. Bellman, I. Glicksberg, and O. A. Gross, Some Aspects of the Mathematical Theory of Control Processes,
Rand Corporation, Santa Monica, Calif, USA, 1958, Report R-313.
4 N. V. Balashevich, R. Gabasov, and F. M. Kirillova, “Calculating an optimal program and an optimal
control in a linear problem with a state constraint,” Computational Mathematics and Mathematical Physics,
vol. 45, no. 12, pp. 2030–2048, 2005.
5 R. Gabasov, F. M. Kirillova, and N. V. Balashevich, “On the synthesis problem for optimal control
systems,” SIAM Journal on Control and Optimization, vol. 39, no. 4, pp. 1008–1042, 2000.
6 R. Gabasov, N. M. Dmitruk, and F. M. Kirillova, “Decentralized optimal control of a group of dynamical
objects,” Computational Mathematics and Mathematical Physics, vol. 48, no. 4, pp. 561–576, 2008.
7 N. V. Balashevich, R. Gabasov, and F. M. Kirillova, “Numerical methods of program and positional
optimization of the linear control systems,” Zh Vychisl Mat Mat Fiz, vol. 40, no. 6, pp. 838–859, 2000.
8 R. Gabasov, Adaptive Method of Linear Programming, University of Karsruhe, Institute of Statistics and
Mathematics, Karsruhe, Germany, 1993.
9 L. Kahina and A. Mohamed, “Optimization of a problem of optimal control with free initial state,”
Applied Mathematical Sciences, vol. 4, no. 5–8, pp. 201–216, 2010.
Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 971303, 14 pages
doi:10.1155/2012/971303

Research Article
A Hybrid Network Model to Extract Key Criteria
and Its Application for Brand Equity Evaluation

Chin-Yi Chen and Chung-Wei Li

Department of Business Administration, Chung Yuan Christian University, 200 Chung Pei Road,
Zhongli 32023, Taiwan

Correspondence should be addressed to Chung-Wei Li, [email protected]

Received 23 February 2012; Revised 16 May 2012; Accepted 21 May 2012

Academic Editor: Jung-Fa Tsai

Copyright q 2012 C.-Y. Chen and C.-W. Li. This is an open access article distributed under the
Creative Commons Attribution License, which permits unrestricted use, distribution, and
reproduction in any medium, provided the original work is properly cited.

Making a decision implies that there are alternative choices to be considered, and a major challenge
of decision-making is to identify the adequate criteria for program planning or problem evaluation.
The decision-makers’ criteria consists of the characteristics or requirements each alternative must
possess and the alternatives are rated on how well they possess each criterion. We often use criteria
developed and used by different researchers and institutions, and these criteria have similar means
and can be substituted for one another. Choosing from existing criteria offers a practical method to
engineers hoping to derive a set of criteria for evaluating objects or programs. We have developed a
hybrid model for extracting evaluation criteria which considers substitutions between the criteria.
The model is developed based on Social Network Analysis and Maximum Mean De-Entropy
algorithms. In this paper, the introduced methodology will also be applied to analyze the criteria
for assessing brand equity as an application example. The proposed model demonstrates that it is
useful in planning feasibility criteria and has applications in other evaluation-planning purposes.

1. Introduction
System engineering is an interdisciplinary field of engineering focusing on how complex
engineering projects should be designed and managed over their life cycles, and it overlaps
with both technical and human-centered disciplines such as control engineering, industrial
engineering, organizational studies, and project management 1. The principles of system
engineering provided system thinking and have been applied to most projects and industry
fields. In the system life-cycle process, as Figure 1 illustrates, system assessment-analysis and
evaluation have to be undertaken in distinct phases.
When we want to execute an evaluation project, determining adequate criteria is
critical to achieve the evaluation. Traditionally, criteria are derived through discussion with
engineers, experts, researchers and, especially in the field of business administration, by
2 Mathematical Problems in Engineering

Detail design Production

Definition Concept Preliminary Utilization Phase out
and and/or
of need design design and support and disposal
development construction

Figure 1: System assessment-analysis and evaluation in the system life-cycle process.

finding out about an object through consultation with customers. In this process, deciding
upon consistent evaluation criteria is time-consuming work. In many situations when the
assessing objects are similar, existing criteria could be referred to. If the criteria which
can be referred to are numerous, it is necessary to choose the most appropriate basis of
the benchmark assessment. After an in-depth literature review about evaluation criteria, a
researcher established an adequacy criteria algorithm that reasonably satisfied the request of
“face validity” or “content validity.”
As an example application, brand equity was chosen as it is one of the important
intangible assets that can bring competitive advantage for many enterprises. However, until
now, measuring the value of a brand has been relatively abstractive and subjective and there
are many different methods to explore the potential value of the brand in academia and
industry. Many criteria have similar meanings and can be partially or totally substituted for
one another. Based on the assumption that “a criterion can be substituted partially or totally
by another criterion”, in this paper, we develop a hybrid model for choosing the adequate
evaluation criteria. By using the methods of the Social Network Analysis SNA and the
Maximum Mean De-Entropy MMDE algorithm, the degree of substitutability of existing
reference criteria will be judged to derive a criteria list for evaluation. In this paper, the
issue of the assessment of brand equity will be addressed as an example to demonstrate
the application of the proposed research model in the planning of other evaluation
projects.
The rest of this paper is organized as follows: Section 2 describes the issues associated
with choosing the criteria, the theories of SNA and MMDE methods, and explains how
the model for this study was constructed. We also use an example, choosing the criteria to
evaluate the value of brand equity, to illustrate the steps of our model and the applications
of the model are discussed in Section 3. Finally, in Section 4, we will discuss the advantages
of the proposed model and the feasibility of its application. We draw conclusions and offer
some discussion related to future work in Section 5.

2. Criterion, Algorithm, and Hybrid Model

In this section, the importances of criteria for evaluation, especially for brand equity analysis,
are described. Then we will explain the methods we applied to construct our hybrid model,
and its feasibility in the work of extracting criteria.

2.1. Criteria for Brand Equity Evaluation

A criterion is the standard or test by which individual things or people may be compared
and judged. A fair and just evaluation criteria set ensures the performance of an evaluation
project. It is not easy to perform those processes in a completely objective way, especially in
Mathematical Problems in Engineering 3

the assessment of intangible assets such as technology, patents, or brand equity or concerning
the characteristics of invisibility and abstractness, and as such, those characteristics also have
a great influence on the assessment framework itself.
There are many diverse models for brand equity available in the academic world and
in practice. These two sectors have already proposed many different assessment frameworks
which constitute various dimensions and criteria, and various analytical perspectives
accompanied by various dimensions and criteria in the assessment framework. However,
aside from the complexity of the implementation of the assessment process in reality,
the naming or definitions of dimensions and criteria are sometimes so similar making
distinguishing them with certainty very difficult. Moreover, the existence of such ambiguity
in the framework may bring about the issue of double counting resulting in bias of the
assessment result. Therefore, it can be seen that developing a series of processes to arrange
and select proper dimensions and criteria within the established framework to cover the
full meaning of the evaluation structure and to prevent measurement bias will be crucial
to building an appropriate evaluation model.
Hence, we determine the full dimensions to be applied to well-known brand equity
assessment models and use the research methodology addressed in this paper to extract
appropriate dimensions, to propose a reasonable and practical assessment framework of
brand equity and hope to provide a reference for establishing relative models in the
future.

2.2. Research Methods

2.2.1. Social Network Analysis

Social network analysis presumes social relationships in terms of network theory consisting
of nodes and ties 2. Graph theory is the main field of mathematics to provide social network
as a model of a system consisting of a set of nodes with ties between them. Nodes are
considered as the individual participants within the networks, and ties are the relationships
between the nodes. The results of the analysis are graph-based structures for explaining the
whole interrelated group 3. The simplest social network is a map of specified ties, such
as friendship, between the nodes being studied. Thus, the nodes to which an individual is
connected are the social contacts of that individual. The network can also be used to measure
social capital, that is, the value that an individual gets from the social network. These concepts
are often displayed in a social network diagram, where nodes are the points and ties are the
lines.
SNA has emerged as a key technique in modern sociology. It also has gained a sig-
nificant following in anthropology, biology, communication studies, economics, geography,
information science, organizational studies, social psychology, and sociolinguistics 4–8, and
it has become a popular topic of speculation and study 2. In this study, the SNA was used
to view the referred criteria and substitutions between them links of the social relations
between nodes, which are useful in determining relevance, impact direction, and, more
importantly, the degree of substitution on the criteria. Using this method in this study, we
also can review the crucial role of the key criteria.
In the theory of social network, there are three properties that will be used in our study:
“walk,” “distance,” and “centrality” of position 3, 9, 10. For a network, the adjacencies of the
network refer to the connections from one actor to another. Shown in Figure 2a, two persons
4 Mathematical Problems in Engineering

A B A B A B

C C C

a b c

Figure 2

A and B have a relationship, between them but C is an isolated point with no relationship
between C and the other two. If the relationship is not directed, then the relation is symmetric.
In Figure 2b, there is a relationship between A and B, and a relationship between B and C,
but there is no relationship between A and C. If the relationship is not directed, the attribute
of transitive is not suitable for analysis. A directed relation, such as Figure 2c, will have the
attribute of transitive and asymmetric.
A walk is an alternating sequence of incident nodes and lines. A walk begins and ends
with nodes. The length of a walk is the number of occurrences of lines in it. Because some
nodes and some lines may be included more than once, the definition of a path as a walk
in which all nodes and all lines are distinct is necessary for our paper. If a node x can walk
to another node y, we can say that node x and node y are connected. It is likely that there
are several different connections between a given pair of nodes and that these connections
differ in length. A connection with the shortest distance between two nodes is referred to as
a geodesic, or the distance between two nodes.
“Centrality” is a concept which is used in social network analysis to identify the
“importance” of nodes in a social network. There are some indices, such as “degree,”
“closeness,” and “betweenness,” which have been commonly used as the indices of centrality
11. The definitions of these indices attempt to quantify the importance of an individual
actor/node embedded in a network. Now, many indices have been established for identifying
the important of a node. In this paper, we use the index “Bonacich Power Centrality” as the
centrality scores of network nodes.
The original degree centrality approach argues that actors who have more connections
are more likely to be powerful because they can directly affect a greater number of other
actors. Bonacich proposed a modification of the degree centrality approach to include the
concept that the same degree does not necessarily make actors equally important 12, 13.
A node is likely to be more influential if it is connected to another central node which
can quickly reach a lot of other nodes with its message. But if the nodes that you are
connected to are well connected, they are not dependent on you and that means you are
not so important although there are a lot nodes that in fact connect with you. Connected
to others makes a node central, but not powerful. One node being connected to others that
are not well connected makes one powerful, because these other actors are dependent on
you.
Bonacich proposed that both centrality and power were a function of the connections
of the nodes in one’s neighborhood. The more connections the nodes in your neighborhood
have, the more central you are. The fewer the connections the actors in your neighborhood
have, the more powerful you are. Bonacich’s power centrality measure, or BP score, is
defined as 2.1 where A is the graph adjacency matrix, 1 is column vector of 1. The β is the
Mathematical Problems in Engineering 5

“attenuation parameter,” and the α is a scaling parameter which is set as the sum of squared
scores equal to the number of nodes 14:

 −1
CBP v  α I − βA A 1. 2.1

For any criterion with influence from node x to node y through node z, the influence
from x to node z includes direct and indirect influence recursively. The BP score is the
notion that the power of a node is recursively defined by the sum of the power of its
alter. The nature of the recursion involved is then controlled by the power exponent:
positive values imply that vertices become more powerful as their alters become more
powerful as occurs in cooperative relations, while negative values imply that nodes
become more powerful only as their alters become weaker as occurs in competitive or
antagonistic relations. The magnitude of the exponent indicates the tendency of the effect
to decay across long walks; higher magnitudes imply slower decay. The BP score is suitable
for this paper because of the purpose of finding out the degree of substitution between
criteria.

2.2.2. Maximum Mean De-Entropy (MMDE) Algorithm

We used the MMDE algorithm to determine the threshold value for delineating the network
diagram that was derived from the SNA. The MMDE algorithm was developed from the basis
of entropy theory. Entropy is a physical measurement of thermal-dynamics and has become
an important concept in the social sciences. In information theory, entropy is used to measure
the expected information content of certain messages and is a criterion for measuring the
amount of “uncertainty” represented by a discrete probability distribution.

Definition 2.1. Let a random variable with n elements denoted as X  {x1 , x2 , . . . , xn }, with
a corresponding probability P  {p1 , p2 , . . . , pn }, then one defines the entropy, H, of X as
follows:

  
H p1 , p2 , . . . , pn  − pi lg pi , 2.2

subject to constraints


n
pi  1,
i1 2.3

pi lg pi  0 if pi  0.

The function “lg” means the logarithms which are taken to an arbitrary but fixed base.
The value of Hp1 , p2 , . . . , pn  is the largest when p1  p2  · · ·  pn , and we denote this
largest entropy value as H1/n, 1/n, . . . , 1/n. Now we will define another measure for the
decreased level of entropy: de-entropy.
6 Mathematical Problems in Engineering

Definition 2.2. For a given finite discrete scheme of X, the de-entropy of X is denoted as HnD
and defined as

 
1 1 1  
HnD H , ,..., − H p1 , p2 , . . . , pn . 2.4
n n n

By Definition 2.2, the value of H D is equal to or larger than 0. Unlike entropy, which
is used for the measure of uncertainty, the HnD can explain the amount of useful information
derived from a specific dataset, which reduces the “uncertainty” of the information. We define
the de-entropy for the purpose of searching the threshold value in order to assess the effect
of information content when adding a new node to an existing impact-relations map. By
Definition 2.1, Formula 2.5 can be proven the proof can be found in 15:

   
1 1 1 1 1 1
Hn  H , ,..., ≤H , ,...,  Hn 1 . 2.5
n n n n 1 n 1 n 1

Based on Definitions 2.1 and 2.2, the MMDE algorithm is developed to obtain a
threshold value for delineating a network diagram. This algorithm can be used to derive
a set of dispatch-nodes, the factors that strongly dispatch influences to others, and a set of
receive-nodes, which are easily influenced by another factor. According to these two sets and
a unique threshold value, we can obtain an influence network of criteria.
We propose the maximum mean de-entropy MMDE algorithm to find a threshold
value for delineating the impact relations between criteria. The MMDE algorithm has some
properties that differ from the traditional method of determining a network. First, the MMDE
algorithm serves mainly to decide the “node” rather than the “network,” and this is helpful
for understanding a problem in that it decreases the uncertainty of information. Second,
the MMDE algorithm considers the properties of the dispatch influence and the received
influence of a node, and this is useful to the analyst in determining the “nodes” or criteria,
which are easily influenced by other factors. The MMDE algorithm can also obtain a unique
threshold value, which is helpful in solving the problems that a researcher may confront
regarding the selection of a consistent threshold value and is decided by searching a suitable
criteria set. The theory and steps of this algorithm are described In Li and Tzeng 2009
16, 17, and we summarize the steps of the MMDE as follows.

Step 1. Transforming the relation matrix into an ordered triplets set.

Step 2. Taking the second element from the ordered triplets set to establish a dispatch-node
set.

Step 3. Calculating the mean de-entropy of dispatch-node set.

Step 4. Finding the maximum mean de-entropy.

Step 5. Similar to Steps 2 to 4, an ordered receive-node set and a maximum mean de-entropy
receive-node set can be derived.

Step 6. Finding the threshold value.

Mathematical Problems in Engineering 7

2.3. The Hybrid Model

The purpose of our proposed model is to resolve the problem when researchers are faced
with excessive available criteria with a considerable degree of substitution, by using a
mathematical algorithm to obtain key criteria following a preliminary judgment of degree
of substitution. Hence, first, the experts’ judgments about the degree of substitution between
each other should be obtained. The measure of degree of substitution should be recognized as
distinct. For example, the value 1 means a criterion can almost be totally substituted/replaced
by another and 2 means that a criterion can be partially substituted/replaced. The
value of scale, or the degree of substitution, can be considered as “distance” between
two criteria. This allows us to determine the number and lengths of geodesics between
all nodes. With edge values being interpreted as distances, where edge values reflect
proximity or tie strength, we can construct the substitution degree matrix. Based on this
substitution degree matrix, there are steps to achieve the purpose of the purposed hybrid
model.
First, we use the BP score to find the “powerful” criteria. Because the BP scores
imply both centrality and power of the nodes in one’s neighborhood, we can separate the
original criteria into the powerful criteria set, whose element’s alter will influence the weaker
criterion, and the weaker set. The elements in the weaker set are considered as replaceable
criteria. But the BP score was calculated based on the connections, whose value is binary;
however, the degree of substitution between the elements in the powerful set also should be
considered.
Secondly, we use the MMDE method to obtain a substitution network and find the
criteria which can be substituted by another. When we apply the MMDE algorithm to the
substitution degree matrix, there were some steps to obtain the maximum mean de-entropy
values. After the substitution degree matrix is normalized, a continuous decrease of the
indirect effects of substitution along the powers of matrix D, for example, D2 , D3 , . . . , D∞ ,
guarantees convergent solutions to the matrix inversion, a process similar to an absorbing
Markov chain matrix. We can also use the MMDE algorithm to determine the threshold value
and draw the network which can explain the replaceable criteria 18.
In this paper, the SNA was used to view the referred criteria and substitutions between
them links of the social relations between nodes, which are useful in determining relevance,
impact direction, and, more importantly, the degree of substitution on the criteria. Using this
method in this paper, we also can review the crucial role of the key brand equity evaluation
criteria. The usage of the Bonacich power score was to group the similar criteria by the metric
of each criterion node with the others. This metric is a nondirectional relations’ measure,
which is why we applied the MMDE tool to find the evaluation structure with consideration
of the direction of relationships between criteria.
After we obtain the results from the SNA and MMDE algorithms, we can exclude the
weaker criteria and replaceable criteria. The remainders in the powerful criteria set, which are
important and cannot be substituted, are the criteria that meet the objectives of the proposed
hybrid model. We summarize the steps of the proposed model in Figure 3.

3. The Case for Model Application

Brand equity is an important intangible asset since it can bring competitive advantage
for many enterprises. However, until now, measuring the value of a brand is relatively
abstractive and subjective and many different methods have been developed to explore
8 Mathematical Problems in Engineering

Obtain the Bonacich power Find the lengths of geodesics

Obtain experts’ judgement between all nodes as the
Collect and filter score of each node and
of the degree of substitution degree of substitution and
the existing criteria separate criteria into
between criteria derive a substitution network
powerful set and weaker set
by using the MMDE algorithm

Can the
node be replaced by The criteria meet the
Is the node a another one based
Yes No objectives of the proposed
component of the powerful on the result from hybrid model
set? MMDE algorithm?

No These criteria can be ignored Yes

Figure 3: The flow of the proposed hybrid model.

the potential value of brand, both from academic or practical viewpoints. Generally, from
an analytical point of view, those methods can be divided into financial, marketing, and a
combination of perspectives.
Briefly, the financial perspective applies the real data from the financial statements of
the company to evaluate the brand equity; the marketing perspective tends to extend the
meaningfulness of a brand to customers, that is, consumers’ feelings toward a brand and
its potential influences on a company’s profit, is usually divided into several dimensions
to explore a brand’s potential value to a company; the combination perspective integrates
the two formers’ concepts and is viewed both from financial and marketing perspectives
which are important but to a different extent. The two methods should be considered
simultaneously in the measurement process.
In practice, there are many different models to evaluate brand equity, the most famous
and most reliable models named Interbrand, BBDO, and HIORSE. The model developed
by Interbrand, a British global branding consultancy company, covers market segmentation,
financial analysis, demand, and competition analysis and takes both marketing and financial
perspectives into consideration. It can be viewed as a conscientious measurement structure
of brand equity, but the calculating process of the model has not been completely disclosed,
preventing its widespread adoption 19.
The BBDO model, developed by a worldwide advertising agency belonging to
the Omnicom group, puts market quality, dominance of relevant market, international
orientation, brand status, and monetary basis into the measurement process. The data for the
model are relatively easy to collect, but the calculation is comparatively complex, especially
the repetition of meanings between dimensions, which could result in the possibility of
double counting 20, 21, since these three models all reflect the marketing and financial
aspects that previous researchers consider important when it comes to evaluating the
brand equity. Moreover, these three models are widely applied in practice and accepted
by many stock exchanges in the U.S. and Europe. Therefore, considering the theoretical
integrity and representativeness, we chose these three models as the empirical cases to
analyze.
HIROSE is constructed by the Japanese Government to reflect the development
background and put more emphasis on industrial competiveness 22. Therefore, this model
includes the three drivers of prestige, loyalty, and expansion and is inclined to include
Mathematical Problems in Engineering 9

Table 1: Fifteen criteria used for assessing the value of brand equity.

Notation Criteria description

x1 Brand leadership
x2 Brand stability
x3 Market
x4 International reach of brand
x5 Brand trend
x6 Marketing support
x7 Legal protection of brand
x8 Market quality
x9 Dominance of relevant market
x10 International orientation
x11 Brand status
x12 Monetary basis
x13 Prestige driver
x14 Loyalty driver
x15 Expansion driver

financial statements and can be regarded as a reliable value measurement index. Even so,
focus on the financial statements also limits its application scope in practice.
To conduct our research, a list of 15 criteria was created after comparison of these three
models, shown as Table 1. After we interviewed senior technical personnel and marketing
managers to determine the degree of substitution between each other, we can obtain the
matrix as shown in Table 2. In Table 2, aij is the element located at row i and column j. If aij
is 0, it means that the criterion i has no interrelationship with criterion j. If aij is 1, it means
that the criterion i can almost totally substitute/replace criterion j. If aij is 2, it means that the
criterion i can partially substitute/replace criterion j. The values 0, 1, and 2 are ordinal scale
by the means of distance.
Our hypothesis was analyzed using the SNA method. With the directed line that
implies the degree of substitution from one node to another, we divided the support measures
into a group that dispatches influence and a second group that receives influence so that
we could understand the influence relationships better. The purposes of the SNA enquiry
in this research, with the expert’s knowledge for contributing to a deeper comprehension
of the criteria, are the analysis of the structure and interrelationships of the criteria and the
identification of the key feasible and efficient criteria for evaluating the value of brand equity.

3.1. Social Network Analysis Results

In this step, we applied the software “sna,” an R language package for social network
analysis. This tool’s functions include node and graph-level indices, structural distance
and covariance methods, structural equivalence detection, p∗ modeling, random graph
generation, and 2D/3D network visualization 23, 24. After we applied the tools to Table 2,
we obtained some key indices for each criteria Table 3.
According to the normalized BP score of each node, we can find that twelve criteria
have positive scores and three criteria have negative scores, as shown as Figure 4. There are
twelve powerful criteria with positive BP scores but three criteria in the weaker criteria set.
10 Mathematical Problems in Engineering

Table 2: 15 × 15 degree of substitution matrices between criteria.

x1 x2 x3 x4 x5 x6 x7 x8 x9 x10 x11 x12 x13 x14 x15

x1 1 2 2 2 2 0 0 2 1 0 2 2 2 2 0
x2 2 1 0 0 2 2 0 0 2 0 2 2 2 2 0
x3 2 0 1 2 2 0 0 2 2 0 0 2 2 2 0
x4 2 0 2 1 2 0 0 2 2 1 0 0 2 0 2
x5 2 2 2 0 1 0 0 2 2 0 0 2 2 2 0
x6 2 2 0 0 2 1 0 2 2 0 2 2 2 2 0
x7 0 2 0 0 0 0 1 0 0 0 2 0 0 0 2
x8 2 0 2 0 2 0 0 1 2 0 2 2 2 2 0
x9 2 0 0 0 0 0 0 2 1 0 2 2 2 2 0
x10 0 0 0 2 0 0 0 0 0 1 0 0 0 0 2
x11 1 1 0 0 0 0 0 2 2 0 1 2 2 1 2
x12 2 2 2 2 2 2 2 2 2 2 2 1 2 2 2
x13 2 2 0 0 0 0 0 2 1 0 2 2 1 2 0
x14 2 1 0 0 2 0 0 2 2 0 2 2 0 1 0
x15 0 0 0 2 0 0 0 0 0 1 0 2 0 0 1

Table 3: Key indices of the network of support measures.

x1 x2 x3 x4 x5 x6 x7 x8 x9 x10 x11 x12 x13 x14 x15

Degree 21 14 10 10 16 4 2 20 20 4 18 22 20 19 10
Betweenness 0.08 0.08 0.01 0.12 0.03 0.00 0.00 0.04 0.02 0.00 0.07 0.45 0.03 0.02 0.07
Closeness 0.78 0.70 0.70 0.64 0.70 0.74 0.54 0.70 0.64 0.45 0.70 1.00 0.67 0.67 0.56
BP score 0.02 −0.05 0.60 0.11 −0.04 −0.02 0.05 0.11 0.19 0.13 0.18 0.04 0.07 0.07 0.09
normalized

3.2. Usage of the MMDE Algorithm

Based on Table 2 and the degree of substitution between criteria judged by experts, we
applied the MMDE algorithm to these data. When applied to the matrix, there were some
steps to obtain the de-entropy values matrix, shown as Table 4.
Following the steps of MMDE algorithm, we can obtain the threshold value, 0.379.
Based on this threshold value, we derived the substitution networks, as shown in Figure 5.
According to Figure 5, we found that criteria x1 , x2 , x9 , and x14 are all influenced by criterion
x11 directly or indirectly. In other words, although x1 , x9 , and x14 are elements of the powerful
set with positive BP scores, all these three criteria can be substituted by criterion x11 .

3.3. Key Criteria

After we obtain the results from the SNA and MMDE algorithms, we analyzed the results
according to the flow chart shown in Figure 3. At first, we exclude the weaker criteria, x2 , x6 ,
and x5 , then we can exclude the replaceable criteria, x1 , x9 , and x14 . The nine remainders in
the powerful criteria set, which are important and cannot be substituted, are the criteria that
meet the objectives of the proposed hybrid model, as shown as Figure 6. The original fifteen
criteria can be replaced by nine criteria, as the result of the proposed model in this paper.
Mathematical Problems in Engineering 11

Positive Bonacich power score criteria

x11 x4 x7 x8

x3 x12 x13
x1
x14 x10
x9 x15

Negative Bonacich power score criteria

x2 x6 x5

Figure 4: Criteria separated into positive and negative BP score sets.

Table 4: The de-entropy values matrix.

x1 x2 x3 x4 x5 x6 x7 x8 x9 x10 x11 x12 x13 x14 x15

x1 0.238 0.295 0.232 0.229 0.257 0.176 0.160 0.274 0.379 0.227 0.263 0.282 0.277 0.292 0.194
x2 0.267 0.202 0.176 0.175 0.229 0.187 0.142 0.213 0.283 0.189 0.235 0.251 0.246 0.260 0.170
x3 0.268 0.243 0.147 0.208 0.232 0.156 0.143 0.245 0.286 0.204 0.205 0.252 0.248 0.259 0.172
x4 0.261 0.223 0.207 0.145 0.226 0.141 0.129 0.240 0.279 0.285 0.198 0.217 0.242 0.221 0.202
x5 0.263 0.260 0.206 0.174 0.165 0.154 0.141 0.241 0.281 0.187 0.203 0.249 0.244 0.256 0.168
x6 0.276 0.273 0.183 0.180 0.237 0.128 0.147 0.250 0.293 0.195 0.243 0.259 0.253 0.268 0.176
x7 0.205 0.223 0.140 0.147 0.164 0.131 0.086 0.173 0.205 0.172 0.199 0.181 0.176 0.198 0.175
x8 0.270 0.247 0.210 0.178 0.232 0.157 0.143 0.183 0.286 0.191 0.237 0.253 0.248 0.262 0.172
x9 0.253 0.231 0.167 0.165 0.188 0.147 0.134 0.230 0.205 0.179 0.224 0.238 0.233 0.246 0.161
x10 0.160 0.145 0.125 0.156 0.138 0.099 0.091 0.146 0.170 0.108 0.128 0.150 0.148 0.143 0.153
x11 0.391 0.390 0.233 0.232 0.265 0.207 0.177 0.299 0.355 0.250 0.228 0.312 0.303 0.381 0.243
x12 0.310 0.305 0.239 0.238 0.266 0.212 0.196 0.281 0.329 0.259 0.271 0.228 0.285 0.300 0.233
x13 0.275 0.271 0.181 0.180 0.204 0.160 0.146 0.249 0.351 0.194 0.243 0.258 0.189 0.267 0.175
x14 0.281 0.337 0.187 0.184 0.242 0.176 0.149 0.253 0.297 0.198 0.247 0.264 0.239 0.210 0.179
x15 0.194 0.189 0.150 0.184 0.167 0.131 0.121 0.177 0.206 0.260 0.168 0.212 0.179 0.186 0.117

4. Discussion
In this section, we will discuss the advantages of the proposed model and its application in
the brand equity evaluation.

4.1. Hybrid Model for Extracting Key Criteria

In this study, the proposed hybrid model combined both SNA and the MMDE algorithm
to extract the key criteria from the existing criteria, especially when researchers were faced
with excessive available criteria and with a considerable degree of possible substitution. The
main purpose of using SNA to calculate the BP scores was to separate existing criteria into
powerful and weaker criteria sets. Because the BP scores imply both centrality and power of
the nodes in one’s neighborhood, we can exclude the criteria which are not “powerful” or
“central.” If there are too many criteria without obvious substitution, it is especially useful
and reasonable for the analyst to simplify the criteria by groups.
12 Mathematical Problems in Engineering

x11

x1
x14
x9

x2

Figure 5: Steps to obtain the substitution network.

Positive Bonacich power score criteria

Positive Bonacich power score criteria
x11 x4 x7 x8 x11 x4 x7 x8

x3 x12 x13 x3 x12 x13

x1 x1
x14 x14 x10
x10 x9 x15
x9 x15

Substitution network

Negative Bonacich power score criteria Negative Bonacich power score criteria

x2 x6 x5 x2 x6 x5

Figure 6: Steps to extract nine criteria from the original fifteen criteria.

The MMDE algorithm was used to set an appropriate threshold value and obtain
adequate information to delineate the substitution network for further analysis. The results
of the MMDE algorithm can be tracked and evaluated easily because of the obvious casual
relationship. It is useful for a researcher if some specific criteria are considered as necessary
criteria for evaluation. The researcher can easily find out which criteria should also be
included in evaluating if the specific criterion has to be included.
After we obtained the results from the SNA and MMDE algorithms, we can exclude
the weaker criteria and replaceable criteria and obtain the criteria which meet the objectives
of the proposed hybrid model. In this paper, we demonstrated the effect and feasibility of
the hybrid model, the first model to reduce criteria and consider the power, centrality, and
substitution of criteria, for extracting key criteria.

4.2. The Application of Proposed Model in Brand Equity Evaluation

Compared to other assessment frameworks, the strength of three dimensions of Interbrand,
namely, brand stability, brand trend, and marketing support is relatively week. This can be
explained by the fact that they are easily substituted by other dimensions, which means that
they share similar meaning with each other. Take brand stability as an example, aside from
the fact that the contents of its measurement criteria are closely related to brand leadership,
market, and brand trend of Interbrand, they are related to the dominance of the relevant
Mathematical Problems in Engineering 13

market, psychographic and identity status of BBDO, and also overlap with the loyalty driver
of HIROSE. Brand trend measures the long-term performance of market share, expected
brand performance, the sensitivity of the brand planning, and competitive action. Those four
criteria are relative to brand leadership; market and marketing support those dimensions of
Interbrand; therefore, both brand trend and marketing support are regarded as comparative
weak and suggest to be ruled out of the assessment framework.
In the second analytical phase, we found that brand leadership, dominance of
relevance market, and loyalty drivers were the three dimensions that can be substituted
by brand status of BBDO. If we look carefully at the breakdown of BBDO in brand status,
it contains two indicators of brand strength and brand appeal; five different levels of the
dimension were constructed to measure the functional, market, psychographic, identify, and
legendary status of the brand. However, brand leadership of Interbrand mainly measures
market share, visibility, market position, and competitors outline which are very similar to
the market status of BBDO. Then the dimension dominance of relevance market from BBDO
mainly investigates the size of the brand revenue relative to the market leader which can
also be included in brand strength and brand appeal of the market status of the brand status.
Finally, the loyalty driver of HIROSE is also highly related to brand trust and brand loyalty
of the identity status of the brand status.
According to data analysis, the original 15 dimensions are extracted into the final 9
dimensions using appropriate research methods to establish an assessment framework which
can integrate the complete concept from various models of brand equity. From the analysis
above we can conclude that the brand status of BBDO has relatively strong substitution
capability since this dimension is more completely compared to other dimensions among
different models since it can both cover the brand leadership of Interbrand and dominance of
relevance market of BBDO. Therefore, it can be seen that, with the exception of dimensions
between the different models, there are possibilities for mutual substitution and that the
proposed model can efficiently extract the key criteria required.

5. Conclusions
In this paper, we used social network analysis and the maximum mean de-entropy algorithm
to extract key criteria from numerous existing criteria. We also applied the proposed model
to evaluating brand equity. The effect and feasibility of the hybrid model were demonstrated.
However, we were able to have discussions with only a few experts and applied the model
only to evaluating brand equity. In a follow-up study, we recommend that a further criteria
extraction projects be executed using the proposed hybrid model to demonstrate increased
feasibility of our model and allow the provision of more reliable conclusions.

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24 C. T. Butts, “Software manual for the R sna package,” http://erzuli.ss.uci.edu/R.stuff/, 2010.
Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 931092, 13 pages
doi:10.1155/2012/931092

Research Article
Solving Packing Problems by a Distributed Global
Optimization Algorithm

Nian-Ze Hu,1 Han-Lin Li,2 and Jung-Fa Tsai3

1
Department of Information Management, National Formosa University, Yunlin 632, Taiwan
2
Institute of Information Management, National Chiao Tung University, No. 1001, Ta Hsueh Road,
Hsinchu 300, Taiwan
3
Department of Business Management, National Taipei University of Technology,
No. 1, Sec. 3, Chung Hsiao E. Road, Taipei 10608, Taiwan

Correspondence should be addressed to Jung-Fa Tsai, [email protected]

Received 23 February 2012; Accepted 9 May 2012

Academic Editor: Yi-Chung Hu

Copyright q 2012 Nian-Ze Hu et al. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

Packing optimization problems aim to seek the best way of placing a given set of rectangular boxes
within a minimum volume rectangular box. Current packing optimization methods either find
it difficult to obtain an optimal solution or require too many extra 0-1 variables in the solution
process. This study develops a novel method to convert the nonlinear objective function in a
packing program into an increasing function with single variable and two fixed parameters. The
original packing program then becomes a linear program promising to obtain a global optimum.
Such a linear program is decomposed into several subproblems by specifying various parameter
values, which is solvable simultaneously by a distributed computation algorithm. A reference solu-
tion obtained by applying a genetic algorithm is used as an upper bound of the optimal solution,
used to reduce the entire search region.

1. Introduction
A packing optimization problem is to seek a minimal container, which can hold a given
number of smaller rectangular boxes. This problem is also referred to as a container load-
ing problem. Packing cartons into a container is concerning material handling in the manu-
facturing and distribution industries. For instance, workers in the harbor have to pack more
than one type of cartons into a container, and they often deal with this problem by the rule
of thumb but a systematic approach. Therefore, the utilization of the container is low , which
will cause additional costs.
2 Mathematical Problems in Engineering

Similar issues can be found in fields such as knapsack 1, 2, cutting stock 3, 4,
assortment problems 5, 6, rectangular packing 7, pallet loading 8, 9, and container
loading problems 10, 11. In addition, researchers have dealt with various related problems.
For instance, Dowsland 12 and Egeblad and Pisinger 1, He et al. 13, Wu et al. 14,
de Almeida and Figueiredo 15, Miyazawa and Wakabayashi 16, and Crainic et al. 17
proposed different heuristic methods for solving three-dimensional packing problems, Chen
et al. 10 formulated a mixed integer program for container loading problems, and Li
and Chang 6 developed a method for finding the approximate global optimum of the
assortment problem. However, Li and Chang’s method 6 requires using numerous 0-1
variables to linearize the polynomial objective function in their model, which would involve
heavy computation in solving packing problems. Moreover, Chen et al.’s approach 10 can
only find a local optimum of packing problems with nonlinear objective function. Recently,
many global optimization methods have been developed, where Floudas’ method 18 is one
of most promising methods for solving general optimization problems. Although Floudas’
method 18 can be applied to solve a packing problem to reach finite ε-convergence to
the global minimum, it requires successively decomposing the concave part of the original
problem into linear functions. Besides, it adopts lower boundary techniques, which is
time consuming. Li et al. 19 designed a distributed optimization method to improve the
computational efficiency for solving packing problems. Tsai and Li 20 also presented an
enhanced model with fewer binary variables and used piecewise linearization techniques
to transform the nonconvex packing problem into a mixed-integer linear problem, which is
solvable to find a global solution.
Due to the complexity and hardness of three-dimensional packing problems, most
results on this topic are based on heuristics 21. Furthermore, parallel computing 22 was
adopted to improve the efficiency of combinatorial computation. Parallel Genetic Algorithm
GA 23, parallel with heuristic 24, and parallel Tabu Search Algorithm TSA 25 were
proposed to solve container-packing problems under some conditions. These methods are
capable of obtaining solutions with good performance relative to test examples in the litera-
ture. However, the algorithms cannot guarantee to get a global optimum.
This paper proposes another method for finding the optimum of the packing problem.
The major advantage of this method is that it can reformulate the nonlinear objective function
of original packing problem as an increasing function with single variable and two given
parameters. In addition, distributed computation and genetic algorithm are adopted to
improve the efficiency and ensure the optimality. The proposed method then solves the
reformulated programs by specifying the parameters sequentially to reach the globally opti-
mal solution on a group of network-connected computers.

2. Problem Formulation
Given n rectangular boxes with fixed lengths, widths, and heights, a packing optimization
problem is to allocate these n boxes within a rectangular container having minimal volume.
Denote x, y, and z as the width, length, and height of the container; the packing optimization
problem discussed here is stated as follows:

minimize xyz

subject to 1 all of n boxes are nonoverlapping.

Mathematical Problems in Engineering 3

2 all of n boxes are within the range of x, y, and z.

3 x ≤ x ≤ x, y ≤ y ≤ y, z ≤ z ≤ z
 
x, y, z, x, y, z are constants .
2.1

According to Chen et al. 10, the current packing model adopts the terminologies as
follows.

pi , qi , ri : Dimension of box i, pi is the length, qi is the width, and ri is the height,
and pi , qi , and ri are integral constants. i ∈ J, J  {1, 2, 3, . . . , n} is the set of the given
boxes.
x, y, z: Variables indicating the length, width, and height of the container.
xi , yi , zi : Variables indicating the coordinates of the front-left-bottom corner of box
i.
lxi , lyi , lzi : Binary variables indicating whether the length of box i is parallel to the
X-axis, Y -axis, or Z-axis. The value of lxi is equal to 1 if the length of box i is parallel
to the X-axis; otherwise, it is equal to 0. It is clear that lxi lyi lzi  1.
wxi , wyi , wzi : Binary variables indicating whether the width of box i is parallel to
the X-axis, Y -axis, or Z-axis. The value of wxi is equal to 1 if the width of box i is
parallel to the X-axis; otherwise, it is equal to 0. It is clear that wxi wyi wzi  1.
hxi , hyi , hzi : Binary variables indicating whether the width of box i is parallel to
the X-, Y -, or Z-axis. The value of hxi is equal to 1 if the height of box i is parallel to
the X-axis; otherwise, it is equal to 0. It is clear that hxi hyi hzi  1.

For a pair of boxes i, k, where i < k, there is a set of 0-1 vector aik , bik , cik , dik , eik , fik  defined
as

aik  1 if box i is on the left of box k, otherwise aik  0,

bik  1 if box i is on the right of box k, otherwise bik  0,
cik  1 if box i is behind box k, otherwise cik  0,
dik  1 if box i is in front of box k, otherwise dik  0,
eik  1 if box i is below box k, otherwise eik  0,
fik  1 if boxi is above box k, otherwise fik  0.

The front-left-bottom corner of the container is fixed at the origin. The interpretation
of these variables is illustrated in Figure 1. Figure 1 contains two boxes i and k, where box i
is located with its length along the X-axis and the width parallel to the Z-axis, and box k is
located with its length along the Z-axis and the width parallel to the X-axis. We then have lxi ,
wzi , hyi , lzk , wxk , and hyk equal to 1. In addition, since box i is located on the left-hand side
of and in front of box k, it is clear that aik  dik  1 and bik  cik  eik  fik  0.
According to Chen et al. 10 and Tsai and Li 20, the packing problem can be formu-
lated as follows.
4 Mathematical Problems in Engineering

Problem 1.

Minimize Obj  xyz 2.2

subject to xi pi lxi qi wxi ri hxi ≤ xk 1 − aik M ∀i, k ∈ J, i < k, 2.3

xk pk lxk qk wxk rk hxk ≤ xi 1 − bik M ∀i, k ∈ J, i < k, 2.4

yi pi lyi qi wyi ri hyi ≤ yk 1 − cik M, ∀i, k ∈ J, i < k, 2.5

yk pk lyk qk wyk rk hyk ≤ yi 1 − dik M, ∀i, k ∈ J, i < k, 2.6

zi pi lzi qi wzi ri hzi ≤ zk 1 − eik M, ∀i, k ∈ J, i < k, 2.7

 
zk pk lzk qk wzk rk hzk ≤ zi 1 − fik M, ∀i, k ∈ J, i < k, 2.8

aik bik cik dik eik fik ≥ 1, ∀i, k ∈ J, i < k, 2.9

xi pi lxi qi wxi ri hxi ≤ x, ∀i ∈ J, 2.10

yi pi lyi qi wyi ri hyi ≤ y, ∀i ∈ J, 2.11

zi pi lzi qi wzi ri hzi ≤ z, ∀i ∈ J, 2.12

lxi lyi lzi  1, ∀i ∈ J, 2.13

wxi wyi wzi  1, ∀i ∈ J, 2.14

hxi hyi hzi  1, ∀i ∈ J, 2.15

lxi wxi hxi  1, ∀i ∈ J, 2.16

lyi wyi hyi  1, ∀i ∈ J, 2.17

lzi wzi hzi  1, ∀i ∈ J, 2.18

where

lxi , lyi , lzi , wxi , wyi , wzi , hxi , hyi , hzi , aik , bik , cik , dik , eik , fik are 0-1 variables, 2.19
 
M  max x, y, z , xi , yi , zi ≥ 1, 1 ≤ x ≤ x ≤ x, 1 ≤ y ≤ y ≤ y, 1 ≤ z ≤ z ≤ z,
2.20
x, y, z, x, y, z are constants,

x, y, z are positive variables. 2.21

The objective of this model is to minimize the volume of the container. The constraints
2.3–2.9 are nonoverlapping conditions used to ensure that none of these n boxes overlaps
with each other. Constraints 2.10–2.12 ensure that all boxes are within the enveloping
container. Constraints 2.13–2.18 describe the allocation restrictions among logic variables.
For instance, 2.13 implies that the length of box i is parallel to one of the axes. 2.16 implies
that only one of the length, the width, and the height of box i is parallel to X-axis.
Mathematical Problems in Engineering 5

pi
ri
z

Z qi Box i

yi
(xi , yi , zi ) qk

rk
y
Box k
pk

X
(0, 0, 0) (xk , yk , zk )
x

Figure 1: Graphical illustration.

Since the objective function of Problem 1 is a product term, Problem 1 is a nonlinear

mixed 0-1 program, which is difficult to be solved by current optimization methods. Chen et
al. 10 can only solve linear objective function. Tsai and Li’s method 20 can solve Problem 1
at the price of adding many extra 0-1 variables.

3. Proposed Method
Consider the objective function Obj  xyz in 2.2, where x ≥ y ≥ z, 1 ≤ x ≤ x ≤ x, 1 ≤ y ≤
y ≤ y, 1 ≤ z ≤ z ≤ z and x, y, z are positive variables. Denote r and s as two variables defined
as r  x − y z, s  x − z. Replace y by 2x − s − r and replace z by x − s. xyz then becomes
Obj as follows.


Obj  x 2x2 − r 3sx rs s2 . 3.1

We then have the following propositions.

Proposition 3.1. Suppose r and s in 3.1 are fixed values, then Obj is an increasing function.

Proof. Since ∂Obj /∂x  6x2 − 2xr 3s rs s2  xy yz 2xz > 0, it is clear that Obj is an
increasing function.

Proposition 3.2. The optimal solution of Problem 1 is integral.

Proof. Since dimensions of box i, pi , qi , ri , are integral constants for i  1, 2, . . . , n and all
of n boxes are nonoverlapping, therefore, x∗ , y∗ , and z∗ that indicate the optimal solution of
the container must be integral.
6 Mathematical Problems in Engineering

Proposition 3.3. 3 ni1 pi qi ri ≤ x y z/3, where pi is the length, qi is the width, and ri is the
height of the given box i. [19, 20]

n √ n
Proof. Since i1 pi qi ri ≤ xyz and 3 xyz ≤ x y z/3, then we can have 3
i1 pi qi ri ≤
x y z/3.

According to the above propositions and given values of r and s denoted as r and s,
consider the following program.

Problem 2.
 
Minimize Obj x  2x3 − r 3sx2 rs s2 x

 n
 x y z
subject to 
3
pi qi ri ≤ ,
i1
3 3.2

r x−y z, s  x − z, 2.3 ∼ 2.21,

r and s are fixed values.

Proposition 3.4. If xΔ , yΔ , zΔ  is the solution of Problem 2 found by a genetic algorithm and
x∗ , y∗ , z∗  is the globally optimal solution of Problem 2, then x∗ ≤ xΔ .

Proof. Since Obj is an increasing function with single variable x following Proposition 3.1
and 2x∗ 3 − r 3sx∗ 2 r s s2 x∗ ≤ 2xΔ 3 − r 3sxΔ 2 r s s2 xΔ . Hence, x∗ ≤ xΔ .

Adding the constraint x ≤ xΔ to Problem 2 for reducing the search region of the opti-
mal solution, we can have the following two programs.

Problem 3.
 
Minimize Obj x  2x3 − r 3sx2 rs s2 x

subject to x ≤ xΔ ,
3.3
r x−y z, s  x − z, 2.3 ∼ 2.21, 3.2,

r and s are fixed values.

Problem 4.

Minimize x
3.4
subject to all the constraints in Problem 3.

Proposition 3.5. Let (x∗ , y∗ , z∗ ) be the global optimum of Problem 3, then x∗ , y∗ , z∗  is also the
global optimum of Problem 4.
Mathematical Problems in Engineering 7

Proof. Since Obj x is an increasing function with single variable x following
Proposition 3.1, Problems 2 and 3 have the same global optimum x∗ , y∗ , z∗ .

According to the above propositions, a packing optimization problem, which is a

nonlinear 0-1 programming problem, can be transformed into a linear 0-1 program by intro-
ducing two parameters r and s. Then we can guarantee to obtain the global optimum of a
packing problem by solving the transformed linear 0-1 programs. The distributed compu-
tation scheme is also proposed to enhance the computational efficiency.

4. Distributed Algorithm
The solution procedure for solving Problem 1 to obtain a global optimum is presented in the
following with a flow chart shown in Figure 2.

Step 1. Find an initial solution by GA. From Proposition 3.4, the obtained solution is xΔ ,
yΔ , zΔ  and the constraint x ≤ xΔ can be utilized to reduce the searching space of the global
solution.

Step 2. Denote sm and s1 as the upper and lower bounds of s, respectively. Find the
bounds of s  x − z by solving the following linear programs:

 
sm  Max x − z | subject to 2.3 ∼ 2.21, 3.2 ,
4.1
 
s1  Min x − z | subject to 2.3 ∼ 2.21, 3.2 .

Let x − z  si, i  m, and go to Step 3.

Step 3. Denote rn and r1 as the upper and lower bounds of r, respectively. Find the
bounds of r  x − y z by solving the following linear programs:

 
rn  Max x − y z | subject to 2.3 ∼ 2.21, 3.2, x − z  si ,
4.2
 
r1  Min x − y z | subject to 2.3 ∼ 2.21, 3.2, x − z  si ,

Let r  rj, j  1, and go to Step 4.

Step 4. Decompose main problem and perform distributed packing algorithm. According
to verity of r and s, the main problem can be decomposed into several subproblems. The
transformed subproblem of each iterative process is listed as follows.
8 Mathematical Problems in Engineering

Start

Find initial solution (x∆ , y∆ , z∆ ) by GA.

Let x∗ = x∆

Find lower bound s(1) and upper bound s(m) of

s = x − z, let s = s(i), i = m

Find lower bound r(1) and upper bound r(n) of

x − y + z, let r = r(j), j = 1

Solve problem Pij with x − z = s(i) and

x − y + z = r(j). Let (xij , yij , zij ) be the solution
and xij yij zij be the objective value

i=i−1
No
∗
xij < x
j =j +1

Yes

Let (x∗ , y∗ , z∗ ) = (xij , yij , zij )

No
j=n

Yes
No
i =1

Yes

(x∗ , y∗ , z∗ ) is the optimal solution

Stop

Figure 2: Solution algorithm.

Problem Pij .

Minimize Objij  x
 
subject to 2.3 − 2.21, 3.2, 3.3, x − z  si, x − y zr j ,
Mathematical Problems in Engineering 9
      
Obj  x 2x2 − r j 3si x r j si si2 ,

1 ≤ i ≤ m, 1 ≤ j ≤ n.
4.3

Every sub-problem can be submitted to client computer and solved independently.

Server computer controls the whole process and compares the solutions xij , yij , zij  of the
problem Pij with the initial solution xΔ , yΔ , zΔ . If xij is smaller than xΔ , then xΔ is replaced
by xij .
The structure of distributed packing algorithm is developed based on star schema.
Owing to reduce the network loading and improve the computational performance of each
client computer, all results found on all clients are directly sent to host computer.

Step 5. Let j  j 1. If j > n, then go to Step 6. Otherwise, go to Step 4.

Step 6. Let i  i − 1. If i < 1, then go to Step 3. Otherwise, go to Step 7.

Step 7. The whole process is finished and the host computer obtains the optimal solution
x∗ , y∗ , z∗  with the objective value x∗ y∗ z∗ .

5. Numerical Examples
To validate the proposed method, several examples with different number of boxes are solved
by LINGO 11.0 26 with the distributed algorithm. Two of the test problems denoted as
Problems 1 and 2 are taken from Chen et al. 10. The other examples are arbitrarily generated.
Solving these problems by the proposed method, the obtained globally optimal solutions are
listed in Tables 1 and 3. Comparison results between GA and the proposed method are shown
in Table 2, and the associated graphs are presented in Figures 3 and 4.
Packing problems often arise in logistic application. The following example
Problem 5 demonstrates how to apply the proposed algorithm in transportation problem
and compare the result with traditional genetic algorithm.

Problem 5. Several kinds of goods are packed into a container so as to deliver to 6 different
stores on a trip. The dimensions of width and height of the container are 5 and 4. All goods
are packed in cubic boxes, which have three different sizes. In order to take less time during
unloading, boxes sent to the same store must be packed together. Different groups of boxes
cannot overlap each other. Moreover, the packing order to each group must be ordered of the
arriving time to each store. The boxes required to be sent to each store are listed in Table 4.
The objective is to determine the smallest dimensions of the container.

Solution 1. The arrangement of boxes can be treated as level assortment. The boxes packed
in the same level will be delivered to the same store. After performing the proposed method,
list of the optimal solutions are shown in Table 5, and illustrated graph is presented in
Figure 5.
10 Mathematical Problems in Engineering

Table 1: Computational results.

Problem number Box number pi qi ri xi yi zi x, y, z Objective value

1 25 8 6 0 0 0
2 20 10 5 8 0 0
1 28, 26, 6 4368
3 16 7 3 8 10 2
4 15 12 6 16 11 0
1 25 8 6 10 20 0
2 20 10 5 25 0 0
3 16 7 3 0 0 3
2 35, 28, 6 5880
4 15 12 6 10 8 0
5 22 8 3 5 0 0
6 20 10 4 0 8 0
1 25 8 6 0 10 0
2 20 10 5 0 0 0
3 16 7 3 9 0 9
3 4 15 12 6 25 0 0 31, 16, 12 5952
5 22 8 3 3 7 9
6 20 10 4 0 0 5
7 10 8 4 31 0 0

Table 2: Solution comparison of the proposed algorithm and genetic algorithm GA.

GA Proposed method
Problem number
x, y, z Objective value x, y, z Objective value
1 4 boxes 30, 30, 6 5400 28, 26, 6 4368
2 6 boxes 33, 26, 7 6006 35, 28, 6 5880
3 7 boxes 25, 25, 10 6250 31, 16, 12 5952

Table 3: Computational results for all boxes are cubic.

Problem Number of Side pi × qi × ri x, y, z CPU time h:min:s Objective value

number cubes
3 1×1×1
3 2×2×2 8, 5, 5 00:00:08 200 Global optimum
4
1 3×3×3
1 5×5×5
4 1×1×1
2 2×2×2 8, 6, 5 00:01:26 240 Global optimum
5
3 3×3×3
1 5×5×5
4 1×1×1
6 3 2×2×2 8, 8, 5 00:10:12 320 Global optimum
4 3×3×3
4 1×1×1
3 2×2×2
7 3 3×3×3 12, 7, 5 01:37:44 420 Global optimum
1 4×4×4
1 5×5×5
Mathematical Problems in Engineering 11

Y
Z

6
Box 4

Box 1 Box 3

(8, 10, 2)
(16, 11, 0)
26
(0, 0, 6)
(8, 0, 5)
Box 2
(0, 0, 0) (8, 0, 0) X
28

Figure 3: The graphical representation of 4 boxes.

Figure 4: The solid graphical representation of 6 boxes.

S6

S5
S4

S3

S2
S1

Figure 5: The graphical presentation of the 48 boxes for the 6 stores.

6. Conclusions
This paper proposes a new method to solve a packing optimization problem. The proposed
method reformulates the nonlinear objective function of the original packing problem into a
linear function with two given parameters. The proposed method then solves the reformu-
lated linear 0-1 programs by specifying the parameters sequentially to reach the globally opti-
mal solution. Furthermore, this study adopts a distributed genetic algorithm and distributed
12 Mathematical Problems in Engineering

Table 4: List of stores and boxes 48 boxes.

Store Goods
S1 A, A, A, B, B, B, B, C
S2 A, A, B, B, B, B, C, C
S3 A, A, A, B, B, B, B, C
S4 A, A, B, B, B, C, C, C
S5 A, A, A, A, B, B, B, C
S6 A, A, A, A, A, B, C, C
A: 1-inch cubic box; B: 2-inch cubic box; C: 3-inch cubic box.

Table 5: List of optimal arrangement of the boxes.

Store S1 S2 S3 S4 S5 S6
x1 , y1 , z1  A 1, 2, 0 A 0, 1, 3 A 4, 0, 2 A 0, 0, 3 A 4, 0, 0 A 0, 0, 0
x2 , y2 , z2  A 3, 3, 3 A 5, 0, 0 A 0, 1, 0 A 0, 2, 3 A 4, 1, 3 A 5, 2, 0
x3 , y3 , z3  A 0, 4, 0 B 3, 0, 0 A 1, 2, 0 B 3, 0, 1 A 0, 2, 0 A 0, 3, 0
x4 , y4 , z4  B 4, 0, 0 B 1, 0, 2 B 3, 0, 0 B 7, 0, 1 A 4, 4, 1 A 2, 4, 0
x5 , y5 , z5  B 0, 0, 1 B 3, 0, 2 B 0, 3, 0 B 1, 0, 2 B 2, 0, 0 A 5, 1, 0
x6 , y6 , z6  B 2, 0, 0 B 1, 0, 0 B 1, 0, 2 C 0, 2, 0 B 2, 0, 2 B 3, 0, 2
x7 , y7 , z7  C 0, 2, 1 C 0, 2, 0 B 0, 3, 2 C 6, 2, 0 B 0, 0, 2 C 0, 1, 1
x8 , y8 , z8  C 3, 2, 0 C 3, 2, 0 C 2, 2, 1 C 3, 2, 0 C 1, 2, 0 C 3, 2, 1
Dimension of si 6×5×4 6×5×4 5×5×4 9×5×4 5×5×4 6×5×4
Volume of si 120 120 100 180 100 120
The global solution is 37, 5, 4, and the minimal volume of the container is 740.

packing algorithm to enhance the computational efficiency. Numerical examples demonstrate

that the proposed method can be applied to practical problems and solve the problems to
obtain the global optimum.

Acknowledgments
The authors would like to thank the anonymous referees for contributing their valuable com-
ments regarding this paper and thus significantly improving its quality. The paper is partly
supported by Taiwan NSC Grant NSC 99-2410-H-027-008-MY3.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 151590, 20 pages
doi:10.1155/2012/151590

Research Article
Hybrid Optimization Approach for the Design of
Mechanisms Using a New Error Estimator

A. Sedano,1 R. Sancibrian,2 A. de Juan,2 F. Viadero,2 and F. Egaña3

1
Calculation Department, MTOI, C/Maria Viscarret 1, Ártica (Berrioplano), 31013 Navarra, Spain
2
Department of Structual and Mechanical Engineering, University of Cantabria, Avenida de los Castros s/n,
39005 Santander, Spain
3
Mechatronics Department, Tekniker, Avenida Otaola 20, 20600 Eibar, Spain

Correspondence should be addressed to R. Sancibrian, [email protected]

Received 24 February 2012; Revised 24 April 2012; Accepted 14 May 2012

Academic Editor: Yi-Chung Hu

Copyright q 2012 A. Sedano et al. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

A hybrid optimization approach for the design of linkages is presented. The method is applied to
the dimensional synthesis of mechanism and combines the merits of both stochastic and determin-
istic optimization. The stochastic optimization approach is based on a real-valued evolutionary
algorithm EA and is used for extensive exploration of the design variable space when searching
for the best linkage. The deterministic approach uses a local optimization technique to improve the
efficiency by reducing the high CPU time that EA techniques require in this kind of applications. To
that end, the deterministic approach is implemented in the evolutionary algorithm in two stages.
The first stage is the fitness evaluation where the deterministic approach is used to obtain an
effective new error estimator. In the second stage the deterministic approach refines the solution
provided by the evolutionary part of the algorithm. The new error estimator enables the evaluation
of the different individuals in each generation, avoiding the removal of well-adapted linkages that
other methods would not detect. The efficiency, robustness, and accuracy of the proposed method
are tested for the design of a mechanism in two examples.

1. Introduction
The mechanical design of modern machines is often very complex and needs very
sophisticated tools to meet technological requirements. The design of linkages is no
exception, and modern applications in this field have increasingly demanding requirements.
The design of linkages consists in obtaining the best mechanism to fulfil a specific motion
characteristic demanded by a specific task. In many engineering design fields there are
three common requirements known as function generation, path generation, or rigid-body
guidance 1, 2. Dimensional synthesis deals with the determination of the kinematic
parameters of the mechanism necessary to satisfy the required motion characteristics.
2 Mathematical Problems in Engineering

Different techniques have been used for the synthesis of mechanisms including graphical and
analytical techniques 1–3. Graphical and analytical methods developed in the literature are
relatively restricted because they find the exact solution for a reduced number of prescribed
poses and variables. However, during the last decades numerical methods have enabled an
increase in the complexity of the problems by using numerical optimization techniques 4–8.
Despite the work done in dimensional synthesis over recent decades, the design of
mechanisms is still a task where the intuition and experience of the engineers play an
important role. One of the main reasons for this is the large number of variables involved in
a strongly nonlinear problem. Under these circumstances the design variable space contains
too many local minima and only some of them can be identified as local solutions. These local
solutions provide an error below a limit established by the designer and can be considered
acceptable. However, only the global minimum leads to the solution that provides the
greatest accuracy and this should be the main objective in the design of mechanisms.
The application of local optimization techniques to the synthesis of mechanisms took
place mainly during the 80s and 90s. Although other techniques have become more important
in recent years, they remain important so far. Some local search methods have been described
in references 4–6. The main disadvantage of these methods is their dependence on the
initial point, or initial guess, although they also require a differentiable objective function.
Several research works have been done to achieve exact differentiation, which improve the
accuracy and efficiency of these methods. For example, in 5 exact gradient is determined to
optimize a six-bar and eight-bar mechanism. In 6 a general synthesis procedure is obtained
by using exact differentiation and it is applied to different kinds of problems. However, the
dependence on the initial point cannot be avoided and therein lies the weakest point of local
search methods.
Global search methods avoid the dependence on the initial point, but there is a sharp
increase in the computational time necessary to achieve convergence. Genetic algorithms
GAs 7, 8, evolutionary algorithms EAs 9, and Particle Swarm PS are some of the
most frequently used optimization techniques in the literature. All these techniques mimic
the behaviour of processes found in nature and are based on biological processes.
Genetic and evolutionary algorithms apply the principles of evolution found in nature
to the problem of finding an optimal solution. Holland 10 was the first to introduce the GA
and DeJong 11 verified the usage. In GA the genes are usually encoded using a binary
language whereas in EA the decision variables and objective function are used directly. As
coding is not necessary, EAs are less complex and easier to implement for solving complicated
optimization problems. Cabrera et al. 8 used GAs applied to a four-bar linkage in a path
generation problem. Some years later Cabrera et al. 9 used EAs to solve more complex
problems in the design of mechanisms. In this case a multiobjective problem is formulated
including mechanical advantage in the objective function as a design requirement. In 12 a
genetic algorithm is used for the Pareto optimum synthesis of a four-bar linkage considering
the minimization of two objective functions simultaneously.
Hybrid algorithms with application to the synthesis of linkages have been studied
in recent years. Lin 13 developed an evolutionary algorithm by combining differential
evolution and the real-valued genetic algorithm. Khorshidi 14 developed a hybrid approach
where a local search is employed to accelerate the convergence of the algorithm. However,
these methods are limited to the four-bar mechanism and their application is restricted to
path generation problems.
The objective function is based on the synthesis error estimation. The most widely
used error estimator in the literature is Mean Square Distance MSD. The MSD is used to
Mathematical Problems in Engineering 3

measure the difference between the desired parameters and the generated ones. However,
this formulation has proven to be ineffective when seeking the optimal solution 15. In
many cases the MSD misleads the direction of the design and good linkages generated by
the algorithm can be underestimated. Therefore, error estimation is of the utmost importance
for deterministic and stochastic optimization. In EA the error estimator must be evaluated
for each individual in each generation and for this reason the lack of accuracy could lead
to poor efficiency in the optimization process. To avoid these problems Ullah and Kota 15
proposed the use of Fourier Descriptors that evaluate only the shape differences between the
generated and desired paths. However, the proposed formulation is limited to closed paths
in path generation problems. An energy-based error function is used in 16 where the finite
element method is used to assess the synthesis error. This formulation reduces the drawbacks
of MSD, but problems with the relative distance between desired and generated parameters
remain.
The aim of this work is to propose a new hybrid algorithm that combines an
evolutionary technique with a local search optimization approach. Some of the fundamentals
in mechanism synthesis studied in this paper have been extensively discussed in the
literature. However, the originality of this work lies in two aspects: the first one is the
introduction of a new error estimator which accurately compares the function generated by
the candidate mechanism with desired function. The second one is a novel approach based
on the combination of deterministic and stochastic optimization techniques in the so-called
hybrid methods. The flowchart for the optimization process is presented in the paper together
with the results and conclusions.

2. Objective Function and Deterministic Optimization Approach

In optimal synthesis of linkages the optimization problem is defined as follows:

minimize Fqw, w

subject to Φqw, w  0, 2.1

gqw, w ≤ 0,

where the objective function Fqw, w formulates the technological requirements of the
mechanism to be designed. The equality constraints Φqw, w formulate the kinematic
restrictions during the motion, and the inequality constraints gqw, w establish the
limitations in the geometrical dimensions. Vector qw is the vector of dependent coordinates
and w is the n-dimensional vector of design variables.
To illustrate the formulation the scheme of a four-bar mechanism in a path generation
synthesis problem is shown in Figure 1. The proposed method can be applied effortlessly to
any type of planar mechanism; however, the example in Figure 1 enables the formulation to
be easily understood. The equality constraints are formulated as follows:

⎧ ⎫
⎪
⎪ L1 cos θ1 L2 cosθ20 θ2i  L3 cos θ3 L3 cos θ3 ⎪ ⎪
⎪
⎨ L sin θ L sinθ ⎪
1 1 2 20 θ2i  L3 sin θ3 L3 sin θ3 ⎬
Φqw, wi   0, 2.2
⎪
⎪xg − x0 − L1 cos θ1 − L2 cosθ20 θ2i  − L5 cosθ5 α⎪ ⎪
⎪
⎩ ⎪
⎭
yg − y0 − L1 sin θ1 − L2 sinθ20 θ2i  − L5 sinθ5 α
4 Mathematical Problems in Engineering

Desired path

P (xg , yg ) Generated path

x3 y3

L5 L3
α θ4

θ5
θ3 L4
x2 y2
θ1

L2 x0 y0
θ2i
L1
x1 y1 θ20

Figure 1: Scheme of the four-bar linkage.

where the vector of design variables contains the geometrical dimensions of the link. That is

wT  x0 y0 θ1 θ20 L1 L2 L3 L4 L5 α , 2.3

and dependent variables are defined as

qT  θ3 θ4 xg yg . 2.4

An important aspect in dimensional synthesis of linkages is the formulation of the goal or

objective function. The objective function is capable of expressing the difference between the
desired and generated paths see Figure 1, providing an estimation of the error between the
two curves irrespective of location, orientation, and size. The minimization of this function
obliges the design variables to be changed and leads to the optimal dimensions of the
linkage which can be expressed as w∗ . The generated and desired paths can be either open
or closed curves. Figure 2 shows the two paths for the case of two closed curves. In this
work the definition of both curves is assumed to be specified by a number of points named
precision points. The precision points are selected by the designer by using vector notation
and Cartesian coordinates as follows:

diT  xdi ydi

i  1, 2, . . . , p, 2.5
giT  xgi ygi
Mathematical Problems in Engineering 5

where subscript d stands for desired points, g stands for the generated ones and p is the
number of precision points. Most of the works in dimensional synthesis propose the Mean
Square Distance to assess the error between the two curves. That is

p  T   1
1
F g −d
i i
g −d
i i
 g − dT g − d . 2.6
2 i1 2

The deterministic approach used in this paper is based on a local search procedure which
uses first-order differentiation to obtain the search direction. In the synthesis problem the
generated precision points depend on the vector of design variables and 2.6 should be
rewritten as follows:

1
Fqw, w  g{qw, w} − dT g{qw, w} − d 2.7
2

which is the objective function that must be minimized subject to the equality and inequality
constraints to obtain the optimal dimensions of the mechanism. Differentiating 2.7 with
respect to the design variables and equating it to zero provides

∇Fqw, w  JT g{qw, w} − d  0, 2.8

where J is the Jacobian that can be expressed as,

∂gqw, w ∂gqw, w ∂qw

J  . 2.9
∂w ∂qw ∂w

With the aim of greater clarity hereafter the dependence on the variables is omitted. The term
between brackets in 2.8 can be expanded using Taylor series expansion as

∇F ≈ JT g − JT d JT JΔw  0. 2.10

From 2.10 a recursive formula can be obtained as follows:

wj 1  wj − α JT J JT g − JT d . 2.11

In this formula the stepsize α has been included in order to control the distance along the
search direction. In 6 the determination of the stepsize and the exact Jacobian is described.
Differentiation of equality constraints given in 2.1 using the chain rule yields

∂Φ ∂q ∂Φ
 0. 2.12
∂q ∂w ∂w
6 Mathematical Problems in Engineering

g4

g3

g2
dp−1

dp d4 g1

d1 d3 gp
d2
gp−1

Figure 2: Desired d and generated g closed paths.

Thus, 2.9 can be rewritten as

 
∂g ∂Φ −1 ∂Φ
J− . 2.13
∂q ∂q ∂w

All terms in 2.13 can be easily obtained from the objective function and constraints, and they
enable the exact Jacobian to be determined for use in the deterministic optimization method.
If there are inequality constraints in the optimization problem, they can be converted
to equality constraints through the addition of so-called slack variables. That is

gi w vi2  0. 2.14

In this way, each inequality constraint adds a new variable that must be included in the
formulation.

3. New Error Estimator for EA Algorithms

In EA, lack of accuracy in the error estimation could lead to overestimation of the error
and removal of good individuals from the optimization process. On the other hand,
underestimation of the error could lead to selecting individuals who are not better adapted
than others in fulfilling the goal.
Equation 2.7 is used in many works as the objective function 4–9. It has been widely
used in deterministic approaches, but it is also used in probabilistic optimization. However,
the function itself is an estimator of the error, not a representation of the actual error. This
function depends on the relative position of the two curves and under certain circumstances
the approximation may not be good enough. For instance, in the case shown in Figure 2 the
error given by 2.7 can be increased or decreased if the generated curve is translated closer
to the desired one or away from it, respectively. Moreover, rotation and scaling can be added
to the transformation in order to reduce the error. For practical applications in engineering
the translation of the curve only entails the translation of the linkage even as the rotation
only needs to change the mechanism orientation. The lack of accuracy of 2.7 can be reduced
by selecting the appropriate initial guess linkage in local optimization. However, in EA this
option is not available and it should be solved using other strategies.
Mathematical Problems in Engineering 7

y
g4

g3

βg g2
x
βd
dp−1
g1
dp gp
d4

d1 d3
d2
gp−1

Figure 3: Translation of the desired d and generated g paths.

Thus, one can say that the error between two curves is minimum if they are compared
by the translation, rotation, and scaling. Therefore, 2.7 could underestimate the error unless
some transformations are introduced. The first transformation consists of the translation of
the generated curve towards the desired one. To do that, the geometric centroids of both
curves are determined by using the precision points as follows:

p
1
dc  di ,
p i1
3.1
p
1
gc  gi ,
p i1

where dc and gc are the coordinates of the geometric centroids for desired and generated
curves, respectively. The new coordinates of the precision points for the two paths are
obtained by translating the geometric centroids to the origin of the reference frame. That
is

di0  di − dc ,
3.2
gi0  gi − gc .

Figure 3 shows the translation of both curves. Thus, the error estimation can be reformulated
in the following way:

p  T  
1
E0  gi0 − di0 gi0 − di0 . 3.3
2 i1

Obviously, 3.3 reduces the error and is more accurate than 2.7. However, it should be
pointed out that it still depends on the order chosen for numbering the precision points. In
8 Mathematical Problems in Engineering

other words, 3.3 provides a comparison of the precision points with the same superscript,
which depends on the arbitrary choice previously made by the designer. Therefore, it could
be possible to reduce the error when the order of numbering is changed. Therefore, removing
the effect of the numbering requires the formulation of p error estimators. For the case of two
closed curves, as shown in Figure 3, the following matrix can be written:

⎡ p ⎤
g10 − d10 g2 − d10 ··· gp−1 − d10 g0 − d10
⎢ g20 − d20 g30 − d20 ··· ⎥ p
g0 − d20 g10 − d20
⎢ ⎥
⎢ .. .. .. ⎥ .. ..
⎢ ⎥ . 3.4
⎢ . . . ⎥ . .
⎢ p−1 p−1 p p−1 p−3 p−1 p−2 p−1 ⎥
⎣g0 − d0 g0 − d0 · · · g0 − d0 g0 − d0 ⎦
p p p p−2 p p−1 p
g0 − d0 g10 − d0 · · · g0 − d0 g0 − d0 p×p

Each column of 3.4 gives the terms of the error estimator for each possible combination.
Thus, each error estimator can be formulated as the summatory function defined by

p−j 1 2 p  2
i j−1 i j−p−1
Fj  g0 − di0 g0 − di0 ; j  1, 2, . . . , p, 3.5
i1 ip−j 2

where subscript j stands for the estimator index. Therefore, Fj is a single-valued function
providing the estimation of the error. A vector can be formulated with all the values given by
3.5

FT  F1 F2 · · · Fp . 3.6

Only one of the terms in this vector provides the minimum error and will be selected to form
the objective function. That is

Fm  minF. 3.7

The matrix given by 3.4 and the summatory given by 3.5 are only valid for the comparison
of closed-closed curves. However, it is possible to have two other situations: open-open or
open-closed paths. The former case is shown in Figure 4, while the latter is shown in Figure 5.
In both cases the number of precision points may be different for the desired and generated
curves. Thus, the precision points are redefined as follows:

diT  xdi ydi ; i  1, 2, . . . , p

c ≥ p, 3.8
grT  xgr ygr ; r  1, 2, . . . , c

where c is the number of precision points for the generated curve. Similarly to the closed-
closed case, the centroid of the precision points is determined and the curves are translated
Mathematical Problems in Engineering 9

g1
g 2

g3
d1
d2
g4
d3
p
d4 dp−1 d
gc−1
gc

Figure 4: Desired d and generated g open paths.

g4

g3

d1 g2
d2
d3
g1
dp
d4 dp−1
gc
c−1
g

Figure 5: Desired open path d and generated closed path g.

to the origin of the reference frame. The possible combinations that allow the estimation of
the error are given by the following matrix:

⎡ c−pc−p 1 ⎤
g10 − d10 g20 − d10 · · · g0 − d10 g0 − d10
⎢ c−p 1 c−p 2 ⎥
⎢ g20 − d20 g30 − d20 · · · g0 − d20 g0 − d20 ⎥
⎢ ⎥
⎢ .. .. .. .. .. ⎥
E⎢ . . . . . ⎥ . 3.9
⎢ ⎥
⎢ p−1 p−1 p p−1 p−1 p−1 ⎥
⎣g0 − d0 g0 − d0 · · · g0 − d0 g0 − d0 ⎦
c−2 c−1
p p p 1 p p p
g0 − d0 g0 − d0 · · · gc−1
0 − d0 gc0 − d0 p×c−p 1

The sum of the squared elements of each column in 3.9 leads to

p  i j−1
2
Fj  g0 − di0 ; j  1, 2, . . . , c − p 1. 3.10
i1

Equation 3.10 provides the different error estimators and the minimum value given by this
formula is selected as the objective function.
10 Mathematical Problems in Engineering

When the desired path is an open curve and the generated path is a closed curve see
Figure 5, the aforementioned process can be used. However, the error estimator should be
adapted to this situation. That is

⎡ ⎤
g10 − d10 g20 − d10 ··· gc−1
0 − d0
1
gc0 − d10
⎢ g20 − d20 g30 − d20 ⎥ ··· gc0 − d20 g10 − d20
⎢ ⎥
⎢ ⎥
⎢ .. .. ⎥ .. .. ..
E⎢ . . ⎥ . . . . 3.11
⎢ p−1 ⎥
⎢g − dp−1 gp − dp−1 · · · gp−3 − dp−1 gp−2 − dp−1 ⎥
⎣ 0 0 0 0 0 0 0 0 ⎦
p p p 1 p p−2 p p−1 p
g0 − d0 g0 − d0 · · · g0 − d0 g0 − d0 p×c

Thus, the error estimators can be formulated as follows:

p  i j−1
2
Fj  g0 − di0 , 1≤j ≤c−p 1,
i1
3.12
c−j 1 2 p  2
i j−1 i j−c−1
Fj  g0 − di0 g0 − di0 , c−p 1 ≤ j ≤ c.
i1 ic−j 2

Equations 3.5, 3.10, and 3.12 provide a better comparison because they remove the effect
of the translation and avoid the influence of the numbering. However, the error estimation
can be enhanced by rotation and scaling. Indeed, if the generated curve is rotated and scaled
with respect to the desired one, the difference between the two curves could be reduced. To
do this, two new parameters must be introduced. The first one is a reference angle which
provides the orientation of each curve. In Figure 2 the orientation angles are given by βd and
βg . In practical design of mechanisms the modification of βg implies the rotation of the whole
linkage in the plane, which is allowed for most of the cases. The second parameter is the
scaling factor s. This parameter allows the generated curve to be expanded or contracted to
reduce the difference with respect to the desired path. For the case of closed-closed curves
the introduction of the rotation and scaling factor in the formulation modifies equations as
follows:

  p−j 1
i j−1 2
p  i j−p−1
2
Fm βg , s  sAg0 − di0 sAg0 − di0 ; j  1, 2, . . . , p, 3.13
i1 ip−j 2

where
 
  cos βg − sin βg
A βg  A  , 3.14
sin βg cos βg

is the rotation matrix and provides the rotation of the generated precision points.
The error estimator given by 3.13 is now the objective function in a local optimization
subproblem with two variables, βg and s. This optimization subproblem attempts to find the
best orientation and size of the generated curve and also the linkage in order to reduce the
Mathematical Problems in Engineering 11

error with respect to the desired path. The objective functions for the open-open curves may
be readily derived as

  p  i j−1
2
Fm βg , s  sAg0 − di0 ; j  1, 2, . . . , c − p 1, 3.15
i1

and 3.12 for the open-closed curves becomes

  p  i j−1
2
Fm βg , s  sAg0 − di0 , 1≤j ≤c−p 1,
i1
3.16
  c−j 1 i j−1
2 p  i j−c−1
2
Fm βg , s  sAg0 − di0 sAg0 − di0 , c−p 1 ≤ j ≤ c.
i1 ic−j 2

These expressions might suggest that the problem must be solved as an optimization with
two variables. However, the authors’ experience shows that better results are obtained
when the problem is solved independently for each variable. In other words, the results
obtained are very accurate when the rotation optimization problem is solved before the
scaling problem.
In summary, the aforementioned transformations are the core of the comparison
between the desired curve and the candidate, avoiding the influence of location, orientation,
and size all at once. This provides an important contribution that improves the efficiency in
the exploration of the search space when using evolutionary algorithms.

4. Hybrid Approach for the Synthesis of Mechanisms

The design space of linkages contains a large number of local minima. Deterministic
approaches based on local optimization start from a random point converging to the nearest
local minimum. Thus, the solution may be an unsatisfactory solution because the design
space is not sufficiently explored. The strength of stochastic optimization approaches lies in
searching the entire design space of the design variables in order to locate a region with the
lowest values of the objective function. This region probably contains the global minimum.
However, the cost of the computational time required to achieve the convergence by using
EA could be very expensive when an accurate solution is demanded. Local search approaches
need less time to achieve solutions, but the accuracy depends on the quality of the initial
guess. To ensure convergence and enhance its ratio hybrid methods combine the benefits of
both techniques. The main advantages expected from this approach are the generality and
total independence of the initial guess. The evolutionary process for searching among the
optima is briefly outlined below.

4.1. Evolutionary Strategy

It should be highlighted that the efficiency of an evolutionary algorithm is given by both the
quality of the objective function and the structure of the chromosomes and their genes. In
this work the objective function is formulated as was described in the previous section. The
12 Mathematical Problems in Engineering

chromosomes are encoded using real-valued genes instead of a binary code because several
works 9, 13 have demonstrated the advantages of this procedure in the design of linkages.
Thus, each gene gives the real value of a design variable in the mechanism to be synthesized
and all genes are grouped in a chromosome which in classical optimization is known as the
vector of design variables. That is

wTr,g  w1,g w2,g · · · wm,g ; r  1, 2, . . . , rmax , 4.1

where m represents the dimensionality of wr,g , g is the generation subscript, and rmax is
the number of individuals in each generation. The dimension of w is given by the type of
mechanism to be synthesized and the kind of coordinates used in their definition. In this work
natural coordinates are used for this purpose, as well as in the definition of the generated and
desired paths. The starting and successive populations are randomly generated:

Pg  wr,g ; r  1, 2, . . . , rmax ; g  1, 2, . . . , gmax , 4.2

where gmax is the number of generations. In this work rmax does not change during the
optimization process so the population neither increases nor decreases. After a generation has
been created, the fitness of each individual is evaluated in order to sort them for the selection.
The evaluation of the fitness depends on the type of curves involved in the problem, selecting
3.13, 3.15 or 3.16 according to the case. The algorithm uses an elitism strategy in order to
preserve the best individuals for the next generation. To obtain the number of best individuals
an elitism factor, ef, is used as follows:

nE  Round ef rmax , 4.3

where nE is the number of individuals whose genetic information is preserved for the
following generation. After that, the tournament selection starts and the parents are chosen
for reproduction. The first step in reproduction is to establish the number of offspring
generated by the crossover, whose valued is given by the following formula:

nC  Round rfrmax − nE, 4.4

where nC is the number of offspring generated by the crossover operator and rf is the
reproduction factor. Mutation is another operator used to change the genes randomly during
the reproduction. The number of offspring affected by mutation is given by

nM  rmax − nE − nC. 4.5

Thus, the number of parents is twice the number of offspring selected for crossover plus the
number of individuals selected for mutation. To decide whether or not it should become a
member for reproduction, the roulette wheel method 8 is used for the selection of parents
from the complete population. The number of slots in the roulette is equal to the number of
individuals and the size of the slots is equal to their expectation. Once the parents are selected,
crossover is used to increase the diversity of the individuals in the complete population.
Mathematical Problems in Engineering 13

Crossover generates the offspring by taking genetic information from the two parents. The
chromosomes of the descendents are obtained using the arithmetic mean of the same genes
taken from each parent using a random coefficient with normal distribution. The mutation
operator is controlled by two coefficients. The first one is the scale, sM, which controls the
range of the variation allowed in the genes. The second one is the shrink coefficient, hM.
This coefficient allows mutations with a wider interval of variation in the first generations
but gradually reduces this interval in the following generations. In this way the algorithm
provides exploration and exploitation of the global optimum and maintains a suitable balance
during the optimization process. The authors have verified that the control of the shrink
coefficient is fundamental to obtain the optimal solution when the range of the design
variables is very different.
After the reproduction has finished for one generation, the new generation is evaluated
by using the fitness value for every individual and the same process is repeated until the
convergence of the evolutionary algorithm is achieved. Different convergence criteria may
be used to stop the algorithm. The first one is based on the accuracy obtained for the best
individual in the last generation, but a limit in the number of generations is also established
to stop the process. Once the convergence is achieved, the fitness of the last generation is
evaluated and a family of best individuals is obtained. The family of best individuals is
selected from those linkages whose fitness value is below a threshold. This family of linkages
is used as the initial guess for the deterministic approach to form the hybridization process
which is described in the following subsection.

4.2. Hybrid Algorithm

Figure 6 shows the flowchart of the hybrid algorithm including the stochastic and
deterministic optimization. On the left-hand side of Figure 6, the scheme of the evolutionary
technique is shown. The right side in the same figure shows the deterministic part of the
hybrid algorithm. The algorithm starts with the definition by the designer of the desired
function based on the required motion for the linkage. The designer also establishes the EA
parameters that will be used in the algorithm e.g. the operators for selection, crossover,
etc.. After that the optimization process starts with the generation of the first population.
The fitness evaluation of this first generation requires the estimation of the error by using
deterministic optimization to obtain the orientation angle, βg , and scaling factor, s. If the
fitness value is below a threshold, a family of linkages is selected to be optimized by the
deterministic approach. This rarely occurs in the first generation and several generations
are necessary to cross from the probabilistic approach to the deterministic optimization as
is shown in Figure 6. The deterministic approach uses the best individuals selected from
the evolutionary algorithm which are called Family 1. These individuals are optimized
irrespective of their fitness values because local optimization could lead to obtaining
better individuals among those with worse initial expectation. The deterministic approach
optimizes each individual independently to obtain a second family called Family 2. The
solution is selected as the best linkage of this second family.

5. Numerical Examples
In this section two examples are presented in order to demonstrate the capacity of the
hybrid algorithm. In the first example a four-bar mechanism is selected to be synthesized to
14 Mathematical Problems in Engineering

Definition of the desired

function, d

Setting EA parameters

Initial population, P0

Local search (deterministic)

Error estimation
Fitness evaluation
Global search (stochastic)

Family 1 of solutions
Yes - Solution 1
Convergence?
- Solution 2
No - Etc.

EA operators: selection,
Gradient search
crossover, mutation, etc.

Family 2 of solutions
New generation - Solution 1
- Solution 2
- Etc.

Best solution

Figure 6: Flowchart of the hybrid algorithm.

generate a right angle path. The example does not correspond to any actual implementation
in engineering design, but this type of path is a challenging objective and demonstrates
the accuracy, robustness, and efficiency of the proposed approach. The second example is
a practical application in the design of an actual machine. The results in these examples are
divided into two stages. The first one is the result obtained by the evolutionary algorithm
and the second one is the result obtained by the complete hybrid algorithm which includes
the local optimization approach in the dimensional synthesis.

5.1. Four-Bar Linkage Generating a Right Angle Path

In this example the methodology is applied to the synthesis of a four-bar mechanism. The
scheme of the mechanism is the same as that used in Section 2 see Figure 1. Likewise the
constraints and design variables are given by 2.2 and 2.3, respectively. The aim of the
problem is that the coupler point, P, of the synthesized linkage describes a right angle path
during the motion. The path is defined by 11 prescribed points whose coordinates are shown
in the first two rows in Table 1. Table 2 shows the values of the operator factors used in the
evolutionary algorithm. It is important to highlight the small size of the population and the
maximum number of generations.
The best resulting mechanism and the path followed by the coupler point in the
evolutionary part of the algorithm is shown in Figure 7a, in addition to the desired precision
points. The evolutionary algorithm takes 189.59 seconds to achieve the convergence with an
error of 2.439 mm2 using an Intel Core I5 PC. As can be observed in this figure, the generated
path approximates well to the desired one; however, there is clearly a lack of accuracy. In
Mathematical Problems in Engineering 15

Table 1: Desired path and the path generated at the convergence with the proposed algorithm.

Paths 1 2 3 4 5 6 7 8 9 10 11
x 0 0 0 0 0 0 3.00 6.00 9.00 12.00 15.00
Desired mm d
yd 15.00 12.00 9.00 6.00 3.00 0 0 0 0 0 0
xg 0.21 0.06 0.08 −0.24 −0.29 0.82 2.96 5.70 8.77 11.92 14.97
EA mm
yg 15.33 12.20 8.75 5.27 2.76 1.14 0.03 −0.59 −0.68 −0.17 0.94
xs 0.22 −0.16 −0.18 0.04 0.11 0.00 3.00 5.99 9.00 12.01 14.93
Hybrid mm
ys 14.95 12.01 8.99 6.00 2.98 0.24 0.05 −0.17 −0.26 −0.11 0.32

Table 2: Values of the different factors used in the evolutionary algorithm.

EA factors rmax gmax ef rf sM hM

Values 150 10 0.02 0.8 0.8 0.4

order to compare the result with the desired path, the third and fourth rows of Table 1 show
the coordinates of the generated points. The solution for the hybrid algorithm is shown in
Figure 7b where the path followed by the coupler point fits very well with the desired one.
In the last two rows of Table 1 the coordinates of the generated path are shown and the last
row of Table 3 shows the values for the design variables.
The error at convergence is 0.2025 mm2 and the time necessary to achieve the
convergence was 212 seconds, which is a very reasonable computational cost in this kind
of problem.
Since it is stochastic, the results differ each time the algorithm runs. In order to evaluate
the robustness, the algorithm was run 30 times and the sample mean error obtained at
convergence was 0.309 mm2 with a sample standard deviation of 0.211 mm2 . The sample
mean CPU time to achieve the convergence was 215.05 seconds with a standard deviation
of 19.031 seconds.

5.2. Application to a Mechanism for Injection Machine

In this example the methodology has been applied to the design of a mechanism for die-cast
injection machine. Figure 8a shows the scheme of such a machine, where the system for
the injection of zamak alloys is shown at the top. The mould is located below the injection
system not shown in the figure. The system for the displacement of the mould is shown on
the left-hand side of the figure. Figure 8b shows the detail of the injection system where it is
possible to see the linkage used for this purpose. The mechanism selected for this application
is a combination of a four-bar linkage together with a slider-crank mechanism connected by
the coupler link. The motion of the slider follows a straight line pushing the zamak alloy
through the entrance to fill the mould. This motion must be controlled in order to fill the
mould adequately. To obtain good quality in the manufacturing process a rapid, motion of
the slider is necessary initially, then a slower motion, and finally a fast backward motion
when the mould has been filled. This motion of the slider is coordinated with the input link
which is driven by an electric motor with constant velocity see Figure 8b. The precision
points are set every 18 deg of the motor rotation, or in other words, 20 precision points are
selected for a full rotation of the motor. The coordinates of the precision points are shown in
Table 4 and the desired motion is dotted in Figure 9.
16 Mathematical Problems in Engineering

25 25

20 20

15 15

10 10

5 5

0 0

−5 −5

−10 −10

−15 −15

−20 −20

−25 −25
−10 0 10 20 30 −10 0 10 20 30

a b

Figure 7: a Solution with the evolutionary algorithm and b with the hybrid algorithm.

Table 3: Design variables.

x0 x0 θ1 θ20 L1 L2 L3 L4 L5 α
Design variables
mm mm rad rad mm mm mm mm mm rad
EA solution −10.47 8.34 0.31 1.68 24.30 14.81 24.48 31.70 4.02 −0.68
Hybrid solution −8.01 4.91 0.28 5.50 28.16 16.94 23.05 32.68 7.13 −1.63

The scheme of the mechanism to be synthesized is shown in Figure 10 together with

the twelve design variables. Figure 9 compares the results for the evolutionary algorithm and
the hybrid optimization approach and Table 4 gives the values of the coordinates generated
in all cases. Finally, Table 5 shows the values of the design variables at convergence for the
evolutionary algorithm and the hybrid algorithm.
Despite of the difficulty of the problem, the graphical results in Figure 9 show that the
evolutionary algorithm provides good accuracy in general; however, in the central part of the
curve the accuracy is lower. The hybrid algorithm enhances the accuracy in this zone and
provides a very good solution.
The sample mean error obtained by the hybrid algorithm is 357.70 mm2 with a
standard deviation of 14.07 mm2 . The mean CPU time to achieve the convergence is 623.17
seconds with a standard deviation of 46.40 seconds.

6. Concluding Remarks
In this paper a hybrid optimization approach has been presented with application to the
optimal dimensional synthesis of planar mechanisms. The objective function is selected
using a new error estimator defined by means of the precision points. This error estimator
enables the evaluation of the fitness of the function without influence of translation, rotation,
and scaling effects. The error estimation is done using a local optimization procedure
Mathematical Problems in Engineering 17

Injection mechanism

Electric motor

Injection system

a b

Figure 8: a Injection moulding machine and b detail of the injection system.

Table 4: Desired path and the path generated at convergence with the proposed algorithm.

Desired yd mm EA solution yg mm Hybrid solution ys mm

1 900 892.33 908.6
2 800 757.53 776.8
3 600 588.30 587.4
4 400 417.67 402.7
5 200 274.19 255.0
6 190 178.37 165.4
7 180 137.35 143.2
8 170 140.40 161.5
9 160 161.43 161.6
10 150 173.98 146.8
11 140 166.79 133.0
12 130 143.37 123.9
13 120 113.29 117.4
14 110 88.23 110.3
15 100 83.79 104.2
16 150 125.08 118.4
17 200 250.88 219.1
18 500 491.63 496.4
19 800 777.75 785.5
20 900 937.63 908.4

providing a very efficient hybrid algorithm. The hybrid algorithm combines the advantages
of both stochastic and deterministic approaches to improve the robustness and accuracy.
Two examples have been presented in the paper to demonstrate the capacity of the method.
The examples show that the proposed method not only achieves the convergence but also
demonstrates how the accuracy is improved by the combination of the two procedures.
18 Mathematical Problems in Engineering

1000
900

Slider positon (mm)

800
700
600
500
400
300
200
100
0
0 2 4 6 8 10 12 14 16 18 20
Input link position

Desired
EA solution
Hybrid solution

Figure 9: Desired motion, EA, and hybrid solution.

θ3

θ4
L3

L2
L4

θ2 α

L5

L1
L6
θ1
θ6
θ10
x0 y0

x5 y5

Figure 10: Scheme of the mechanism for injection.

Mathematical Problems in Engineering 19

Table 5: Design variables.

Design x0 y0 θ10 θ4 L1 L2 L3 L4 L5 L6 α x5
variables mm mm rad rad mm mm mm mm mm mm rad mm
EA solution 810.92 311.51 2.745 −1.23 517.03 992.82 991.66 1227.4 1161.7 722.41 −0.286 100
Hybrid
537.39 393.31 2.785 −1.4 416.52 603.75 554.85 724.41 611.08 372.27 0.2437 100
solution

To do this, the examples depict the solution for the case of the evolutionary algorithm
working alone, and then the solution improved by the hybrid algorithm. This shows
how the evolutionary algorithm provides an approximation to the solution and then the
local optimization improves the accuracy. In both examples the solution provides good
designs and the generated curves fit very well with the desired ones. In summary, the
hybrid algorithm is a valuable tool for the design of mechanisms when highly demanding
requirements are imposed. Thus, the conclusion we draw is that the appropriate combination
of stochastic and deterministic algorithms has an enormous potential in the more effective
solution of optimization problems in the design of mechanisms. This work will be further
developed for the solution of other mechanism design problems by adapting the algorithm.
Furthermore, another future task in this field aims to improve the efficiency of the hybrid
optimizer by using the most recent developments in metaheuristic approaches such as
Particle Swarm Optimization and Differential Evolution.

Acknowledgment
This paper has been developed in the framework of the Project DPI2010-18316 funded by the
Spanish Ministry of Economy and Competitiveness.

References
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thesis], Columbia University, New York, NY, USA, 1959.
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8 J. A. Cabrera, A. Simon, and M. Prado, “Optimal synthesis of mechanisms with genetic algorithms,”
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9 J. A. Cabrera, F. Nadal, J. P. Muñoz, and A. Simon, “Multiobjective constrained optimal synthesis of
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Arbor, Mich, USA, 1975, An introductory analysis with applications to biology, control, and artificial
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intelligence.
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Michigan, Ann Arbor, Mich, USA, 1975.
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mechanisms for path generation,” Mechanism and Machine Theory, vol. 44, no. 1, pp. 180–191, 2009.
13 W. Y. Lin, “A GA-DE hybrid evolutionary algorithm for path synthesis of four-bar linkage,”
Mechanism and Machine Theory, vol. 45, no. 8, pp. 1096–1107, 2010.
14 M. Khorshidi, M. Soheilypour, M. Peyro, A. Atai, and M. S. Panahi, “Optimal design of four-bar
mechanisms using a hybrid multi-objective GA with adaptive local search,” Mechanism and Machine
Theory, vol. 46, no. 10, pp. 1453–1465, 2011.
15 I. Ullah and S. Kota, “Optimal synthesis of mechanisms for path generation using fourier descriptors
and global search methods,” Journal of Mechanical Design, vol. 119, no. 4, pp. 504–510, 1997.
16 I. Fernández-Bustos, J. Aguirrebeitia, R. Avilés, and C. Angulo, “Kinematical synthesis of 1-dof
mechanisms using finite elements and genetic algorithms,” Finite Elements in Analysis and Design,
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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 780637, 14 pages
doi:10.1155/2012/780637

Research Article
Goal-Programming-Driven Genetic
Algorithm Model for Wireless Access Point
Deployment Optimization

Chen-Shu Wang1 and Ching-Ter Chang2

1
Graduate Institute of Information and Logistics Management, National Taipei University of Technology,
Taipei 10608, Taiwan
2
Department of Information Management, Chang Gung University, Tao Yuan 333, Taiwan

Correspondence should be addressed to Chen-Shu Wang, [email protected]

Received 24 February 2012; Accepted 8 May 2012

Academic Editor: Jung-Fa Tsai

Copyright q 2012 C.-S. Wang and C.-T. Chang. This is an open access article distributed under
the Creative Commons Attribution License, which permits unrestricted use, distribution, and
reproduction in any medium, provided the original work is properly cited.

Appropriate wireless access point deployment APD is essential for ensuring seamless user
communication. Optimal APD enables good telecommunication quality, balanced capacity
loading, and optimal deployment costs. APD is a typical NP-complex problem because improving
wireless networking infrastructure has multiple objectives MOs. This paper proposes a method
that integrates a goal-programming-driven model PM and a genetic algorithm GA to resolve
the MO-APD problem. The PM identifies the target deployment subject of four constraints: budget,
coverage, capacity, and interference. The PM also calculates dynamic capacity requirements to
replicate real wireless communication. Three experiments validate the feasibility of the PM. The
results demonstrate the utility and stability of the proposed method. Decision makers can easily
refer to the PM-identified target deployment before allocating APs.

1. Introduction
Appropriate wireless access point deployment APD is essential for ensuring seamless user
communication. Optimal APD enables good telecommunication quality, balanced capacity
loading, and optimal deployment costs. APD is a typical NP-complex problem 1 because
it involves multiple decision objectives, such as budget 2–4, coverage 2, 5–8, interference
3, 4, 7, and dynamic capacity 1, 4, 6–9. Furthermore, these objectives usually contradict
each other 7. For example, the number of APs is usually positively related to the wireless
signal coverage rate and telecommunication reliability 1. However, more APs increase
deployment costs. These conflicting criteria should be considered simultaneously when
solving APD problems 9, 10.
2 Mathematical Problems in Engineering

Table 1: A comparison of the three wireless AP types.

AP Type Cost NT$ Range m Speed Mbit/s Manufacturers

Type 1 1365 30 to 89 54 ASUS, D-Link, Lantech, SMC
802.11 b/g
Type 2 1710 33 to101 108 Corega, D-Link, PCI, SMC
802.11 b/g
Type 3 3138 51 to 163 300 Apple, ASUS, Buffalo, Corega, D-Link
802.11 b/g/n

In the last decade, many studies have attempted to solve APD optimally by
considering multiple objectives MOs. There are four main objectives: budget, coverage
rate, capacity, and interference. Studies have attempted to identify maximal coverage. For
example, Huang et al. developed a growth-planning algorithm to establish the maximal
coverage range 11. Zhao et al. used a point-to-point signal strength strategy to implement
indoor AP location optimization for maximal coverage 12. For the capacity objective, the
capacity requirements of wireless networks compared to wired networks are particularly
difficult to evaluate because users are dynamic and can move from place to place. This
makes APD a dynamic and complex problem. The dynamic capacity requirement must
be addressed to resolve APD 13 because users can access particular APs to balance
loads 9, 14. Finally, for the interference objective, too many APs of the same type and
placed too close together may cause AP malfunction because of frequency interference. To
avoid communication interference, some studies 6, 15 have suggested that APs should
be arranged on different communication channels, but this leads to other communication
channel assignment problems.
This paper applies a goal-programming-driven model PM to the MO-APD problem.
It uses goal programming GP to infer and model the PM and a genetic algorithm GA to
search for near optimal solutions. These methods are easily applied to MO-APD problems to
reflect real situations. The remainder of this paper is organized as follows: Section 2 defines
the problem; Section 3 details the PM; Section 4 presents a discussion on the PM solution
process using a GA; Section 5 provides the results of numerical experiments which are given
in this section; lastly, Section 6 offers a conclusion and suggestions for future research.

2. Description of the APD Problem

This research resolves the MO-APD problem according to four decision constraints: budget,
coverage, capacity requirements, and interference. The PM identifies a feasible target
deployment T , which consists of three types of wireless APs, as shown in Table 1. This study
conducted experiments and surveys that indicate that the coverage range and communication
speed of a Type 3 AP are wider and faster, respectively, than AP Types 1 and 2. However, Type
1 AP equipment is cheaper than AP Types 2 and 3. Two APs may interfere with each other if
they are the same type and are too near. Therefore, the PM must balance the four decision con-
straints and allocate three AP types in the target deployment of the APD problem. Table 2 lists
the variables used in the proposed models.
Mathematical Problems in Engineering 3

Table 2: Variables used in this paper.

Variable Definition
Bij The base station for the potential AP deployment area, where i is a row and j is a column.i 
1, 2, . . . , n; j  1, 2, . . . , m.
xq Represents the type q AP allocated to Bij , where q ∈ 1, 2, 3 in Table 1. If xq  0, no AP has
been allocated to Bij .
cxq Represents the AP cost for each AP type, xq ∈ 1, 2, 3.
reqij The networking capacity requirement between Bi and Bj .

2.1. The Budget Constraint θT 

Budget is the most important APD-MO constraint that directly affects the feasibility of T .
The cost function in 2.1 evaluates the total cost of T . Equation 2.2 evaluates the budget
constraint. In 2.2, bgt represents the given budget constraint for the AP allocation for T :


CSTT   Cxq Bi,j , ∀Xq /
 0, i  1, 2, . . . , n, j  1, 2, . . . , m, 2.1
i j

if CSTT  < bgt, θT   1 ,

bgt 2.2
else θT   .
CSTT 

2.2. The Coverage Constraint ΦT 

Figure 1 shows that to enable seamless user communication, two APs are allocated, but
two capacity requirements req2,1 and req2,3  have no signal coverage. The coverage function
CVGT  evaluates the signal coverage area of T . Equation 2.3 evaluates the coverage
fulfillment rate:

CVGT 
ΦT   . 2.3
target area

2.3. The Capacity Constraint ΨT 

Figure 2 shows a dynamic capacity scenario. The target area allocates two Type 1 APs AP1
and AP2 , and two APs simultaneously cover the capacity requirements req22 . For time
slot 1 T1 , the capacity requirements of req12 , req13 , and req22 access AP1 , and the capacity
requirements of req31 and req32 access AP2 . Therefore, for time slot T1 , AP1 and AP2 must
provide 55 and 25 mbit/s capacity, respectively. In time slot T2 , req22 shifts connection from
AP1 to AP2 for balance loading. Therefore, for time slot T2 , AP1 and AP2 must provide 35
and 45 mbit/s, respectively. Actual capacity requirements are difficult to evaluate accurately.
4 Mathematical Problems in Engineering

Target Area

req 1, m
req req
1, 1 1, 2

req 2, 1 req 2, 2 req 2, m

req 3, 3
req n, 1

req n, 2

Figure 1: The signal coverage illustration.

Target Area

T1 req 1,2 = 25 mbps T1 req 1,3 = 10 mbps

T1 req 1,2 = 25 mbps
T2 req 1,3 = 10 mbps

T1
req 2,2 = 20 mbps
req 2,2 = 20 mbps

T2

req 3,1 = 5 mbps T1

T1 req 3,2 = 20 mbps
req 3,1 = 5 mbps T2 T1 req 3,2 = 20 mbps

Figure 2: The dynamic capacity requirements of two APs. The blue area represents time slot 1 T1  and the
pink area represents time slot 2 T2 .

A Monte Carlo simulation algorithm—that simulates the capacity of T —implements the

DCPij T  function. Equation 2.4 evaluates the capacity fulfillment rate:

if DCPij T  > reqij , ΨT   1, i  1, 2, . . . , n; j  1, 2, . . . , m,

DCPij T  2.4
else ΨT   .
reqij
Mathematical Problems in Engineering 5

Target Area

B1,1 B1,m
B1,2
Type 1 AP

B2,1 B2,2 B2,m

Type 2 AP

Bn,1 B3,3
Type 1 AP Bn,2

Figure 3: The frequency interference illustration.

2.4. The Interference Constraint ωT 

Figure 3 shows that many Type 1 APs are used to maximize coverage and capacity of T
because of budget constraints. However, too many APs of the same type and allocated too
near to each other may lead to AP malfunction because of AP frequency interference. For
example, Figure 3 shows a perfect coverage design. However, it also shows an increased
interference rate. The interference function IFTT  evaluates the interference area of T .
Equation 2.5 evaluates the interference fulfillment rate:

IFTT 
ωT   1 − . 2.5
target area

3. Proposed Model to Solve MO-APD

Two main approaches can be used to formulate MO-APD. One approach is the cost-oriented
approach, which aims to minimize total cost subject to MO performance constraints. This
study formulated MO-APD using the cost-oriented approach as shown in Proposal 1 P1.
GAL-CVG, GAL-CP, and GAL-IFT are the given constraints for coverage rate, capacity
fulfillment rate, and interference fulfillment rate, respectively.
P1

Min CSTT  ≤ bgt, 3.1

subject to

ΦT  ≥ GAL − CVG, 3.2

ΨT  ≥ GAL − CP, 3.3

ωT  ≥ GAL − IFT. 3.4

6 Mathematical Problems in Engineering

Equations 3.2–3.4 are the coverage, capacity, and interference constraints. Equation
3.1 is the objective function, which minimizes the total cost subject to multiple decision
constraints 3.2–3.4.
The second approach is performance oriented, and it maximizes the performance of
target deployment subjects to real constraints e.g., budget. This study reformulated the MO-
APD using the performance-oriented method, shown in Proposal 2 P2.
P2

Max ΦT ΨT ωT, 3.5

subject to 3.1–3.4.
Equation 3.5 is the objective function in P2, which maximizes the coverage, capacity
fulfillment, and interference fulfillment rates of T subject to budgetary 3.1 and other
decision constraints 3.2–3.4. GP aids MO decision-making problem modeling. It was
first introduced by Charnes and Cooper 16 and further developed by Tamiz et al. 17,
Romero 18, and Chang 19. Various types of GP approaches exist, such as lexicographic
GP, weighted GP, MINMAX Chebyshev GP, and multichoice GP 19. To enable decision
makers to easily set the constraint weighting according to their preferences, this study
used a weighted GP approach to translate P2 into the PM. wcvg , wcp , and wIFT are the
important weights between 0 and 1 for the GAL-CVG, GAL-CP, and GAL-IFT constraints,
respectively.
PM

       
Min Wbgt bgt Wcvg cvg− Wcp cp− WIFT IFT− , 3.6

subject to

CSTT  − bgt bgt−  bgt, 3.7

ΦT  − cvg cvg−  GAL − CVG, 3.8

ΨT  − cp cp−  GAL − CP, 3.9

ωT  − IFT IFT−  GAL − IFT, 3.10

bgt , bgt− , cvg , cvg− , cp , cp− , IFT , IFT− ≥ 0. 3.11

4. Process for Solving the PM Using a GA

The GA is a stochastic searching method that uses the mechanics of natural selection to
solve optimization problems. The GA was developed from the theory of natural selection
20. Because the GA is a good stochastic technique for solving combinatorial optimization
problems, this study uses the GA as the PM search tool, as shown in Figure 4.
An initial solution population is randomly created. The fitness of each individual in the
population then determines whether it survives. Termination criteria such as the generation
size or the fitness value exceeding the threshold determine the target deployment T  to be
achieved. Finally, genetic operators such as selection, crossover, and mutation identify the
Mathematical Problems in Engineering 7

Fitness Initial
evaluation generation

GA manipulation
Next
Select generation
Target Yes No
Terminated? Crossover
deployment
Mutation

Figure 4: GA-based PM solution process.

next generation. After meeting a number of iterations or predefined criteria, a near optimal
solution is found.

4.1. Representation Structure: Encode/Decode

A graph represents a target deployment T  that can also be expressed as a two-dimensional
matrix. In the graph, each potential base station Bi,j  has two states: AP Bi,j  1 allocated
and no AP Bi,j  0 allocated. A base station with an allocated AP must have an AP type
xq  1, 2, 3. n × m bit strings were used as chromosomes to represent T :

⎡ ⎤
B1,1 B1,2 · · · B1,m
⎢ B2,1 B2,2 · · · B2,m ⎥
⎢ ⎥
T ⎢ . .. .. .. ⎥. 4.1
⎣ .. . . . ⎦
Bn,1 Bn,2 · · · Bn,m

4.2. Evaluation Function

The PM objective function Fi was used as a GA evaluation function in 4.2. All variables
in 4.2 are defined as in the PM:

       
Fi  Wbgt bgt Wcvg cvg− Wcp cp− WIFT IFT− . 4.2

4.3. GA Manipulations
1 Selection: roulette wheel selection ensures that highly fit chromosomes produce
more offspring. This method selects a candidate network according to its survival
probability, which is equal to its fitness relative to the whole population, as shown
in 4.3:

Fi
. 4.3
Fi

2 Crossover: the crossover method randomly selects two chromosomes from the
mating pool for mating. Crossover site C is randomly selected in the interval
8 Mathematical Problems in Engineering

4 8 3 10 5 7 10 6 8 10
7 9 5 1 3 1 6 2 2 9
0 2 5 6 5 6 4 5 3 8
6 1 8 7 5 4 9 6 2 6
0 4 7 7 8 8 10 8 3 3
10 6 8 1 4 4 6 8 9 5
4 1 9 2 8 0 8 2 7 4
3 9 2 5 8 7 1 4 8 9
8 2 7 4 4 5 8 8 10 7
6 1 9 0 6 1 5 4 6 6

Figure 5: Capacity requirements for Experiment 1.

1, n × m. Two new chromosomes, called offspring, are then obtained by swapping
all characters between position C and n × m.
3 Mutation: the combined reproduction and crossover methods occasionally lose
potentially useful chromosome information. Mutation is introduced to overcome
this. It is implemented by randomly complementing a bit 0 to 1 and vice versa.
This ensures that good chromosomes are not permanently lost.

5. Experiment Validation and Analysis

To validate the efficiency and feasibility of the PM at resolving APD problems, three
experiments were designed and implemented. Experiment 1 included four subtests to
validate parameter combination types consisting of different decision variables. Experiment
2 included two subtests to confirm the ability of the PM to solve dynamic capacity problems.
Experiment 3 ensured that the PM is suitable for large-scale problems and tested the GA
parameter effects.

5.1. Experiment 1: Decision Variable Combination Validation

Four subtests consisting of different decision variables and important weights validated the
ability of the PM to solve APD problems. The target area in Figure 5 is a 90 km2 irregularly
shaped area. The capacity requirements in Figure 5 were identical for all subtests. All reqij
could move around the target area, where signal coverage was present. For comparative
purposes, the GA parameters of the four subtests—population size 600, terminated gen-
eration 500, crossover rate 0.4, and mutation rate 0.1—were fixed. Table 3 lists the other
decision variables.
Table 4 shows the four subtests formulated as Model I and Model II according to the
PM. To avoid the randomizing effect of the GA, all subtests were run three times with the
same parameters on the same machine. The result averages are reported. Table 5 shows the
analysis of the experiment results. The E1.a and E1.b results show that the important budget
weight is less in E1.b than in E1.a. Therefore, only 15 APs on average are deployed for E1.b,
Mathematical Problems in Engineering 9

Table 3: Decision variables and import weights for four subtests in Experiment 1.

Decision variable E1.a E1.b E1.c E1.d

Budget 30000 Wbgt  .25 30000 Wbgt  .40 35000 Wbgt  .25
Coverage rate 85% Wcvg  .25 85% Wcvg  .20 85% Wcvg  .25
Capacity fulfillment rate 80% Wcp  .25 80% Wcp  .20 80% Wcp  .25
Interference fulfillment rate 80% WIFT  25 80% WIFT  .20 80% WIFT  25 90% WIFT  25
Note that important weights are marked in parentheses.

Table 4: Model I and Model II for resolving the four subtests.

Model I for subtests E1.a and E1.b Model II for subtests E1.c and E1.d
Min 0.25a 0.4b bgt 0.25a 0.2b cvg−
Min 0.25bgt 0.250cvg− 0.25cp− 0.25IFT−
b
0.25 0.2 cp
a −
0.25 0.2b IFT−
a

Subject to Subject to
CSTT  − bgt bgt−  30000 CSTT  − bgt bgt−  30000
ΦT  − cvg cvg−  0.85 ΦT  − cvg cvg−  0.85
ΨT  − cp cp−  0.8 ΨT  − cp cp−  0.8
ωT  − IFT IFT−  0.8 ωT  − IFT IFT−  0.8c 0.9d
bgt , bgt , cvg , cvg− , cp , cp− , IFT , IFT− ≥ 0
−
bgt , bgt− , cvg , cvg− , cp , cp− , IFT , IFT− ≥ 0
Note that ais for E1a, bfor E1b, cfor E1c, and dfor E1d.

Table 5: Analysis of the results of Experiment 1.

Indicator E1.a E1.b E1.c E1.d

Fitness .9534 .9420 .9568 .9567
Time s 160.0993 160.106 159.0593 170.4233
Cost 36954 29360 34647 34694
Coverage rate .85 .6967 .8167 .8233
Capacity fulfillment rate .8490 .6981 .8189 .8269
Interference fulfillment rate .94 .9867 .94 .99
Number of APs 22 15 21 23

as shown in Figure 6. The results also show that the decision maker must either increase the
budget or adjust the other decision objectives. For example, E1.b shows that the coverage and
capacity fulfillment rates can only reach 0.7 at the current budget. As the budget increases
from 30000 in E1.b to 35000 in E1.c and E1.d, the number of APs deployed increases to
22 on average. The coverage and capacity rates increase from 0.7 in E1.b to 0.82 in E1.c and
E1.d. E1.d deployed more APs 23 at a lower cost than E1.a 22 APs. Figure 6 shows that
the APs in E1.c and E1.d are spread evenly in the target area to avoid interference. Figure 7
shows the convergence trends for all subtests. T emerges after 100–150 iterations.

5.2. Experiment 2: Dynamic Capacity Requirement Validation

Experiment 2 consisted of two subtests to validate the ability of the PM to resolve dynamic
capacity requirements. Figure 6a shows that in subtest E2.a, most capacity requirements are
in the central area of the target 32 km2 . Figure 6b shows that in subtest E2.b, the capacity
10 Mathematical Problems in Engineering

T3 T1
T2 T3
T1
T1
T1 T1 T2
T1 T1
T3
T1 T1 T1 T1 T1
T2 T2 T1
T3 T3
T1 T2 T2
T2
T1
T1
T1 T1 T1 T1 T1 T1 T2

T1 T1

E1.a E1.b

T2 T1 T1 T2
T3 T1 T1 T2 T1 T1 T1
T1 T1 T2 T1
T2 T2
T1
T2
T1 T1
T1 T1
T1 T1 T1 T2 T1
T1
T2 T1 T1
T1 T3
T1 T1 T1 T2
T1 T1
T1 T3 T1 T1

E1.c E1.d

Figure 6: AP deployment results for the four subtests in Experiment 1.

Table 6: Decision variable and important weights for Experiment 2.

Decision variable Variable value

Budget 15000 Wbgt  .3
Coverage rate 85% Wcvg  .15
Interference fulfill rate 85% WIFT  .15
Capacity fulfill rate 95% Wcp  .4
Note that the important weights are marked in parentheses.

requirements are scattered in the corners of the target area. Table 6 shows that the capacity
requirements and all default decision variables are identical for both tests. The GA param-
eters—population size 600, terminated generation 500, crossover rate 0.4, and mutation
rate 0.1—were fixed to enable result comparison. To avoid random GA effects, all subtests
were run three times with the same parameters on the same machine. The result averages are
reported.
Table 7 shows the experiment results analysis. As expected, APD follows the capacity
requirements, as shown in Figures 8a and 8b. Figures 8a and 8b also show that APs are
more central in E2.a than in E2.b to fulfill the capacity requirements. Although the capacity
requirements are the same in both experiments, E2.a requires nine APs, which is more than
Mathematical Problems in Engineering 11

0.96

0.94

0.92

Fitness value
0.9

0.88

0.86

0.84
0 100 200 300 400 500
Generations

E1.a E1.c
E1.b E1.d

Figure 7: The convergence trends for the four subtests in Experiment 1.

20
T1 T3
T2
25 25 8
T2
T1 T2
20 8
T2 T3
17
T1
T1
10 35 17 10
T1 T2
T1 T2
35
T2 T1

a b

Figure 8: The capacity requirement and results of Experiment 2 for a subtest E2.a and b subtest E2.b.
The numbers represent the capacity requirements.

E2.b seven APs. Therefore, capacity requirements are dynamic, and T requires more APs to
manage the capacity requirement increase in E2.a.

5.3. Experiment 3: The Effect of Large-Scale Problems and

GA Parameters on Validation
Two subtests of Experiment 3 were designed as large-scale problems. Table 8 lists the decision
variables and the important weights. Experiment 3 also tested GA parameter combinations,
including crossover and mutation rates.
The results analysis in Table 9 shows that the PM is more sensitive to crossover
rate. Generation—as an evaluation indicator for subtests E3.a and E3.b—shows that feasible
deployment can be reached in the following order of crossover rates: 0.6 converged by 22
iterations, 0.4 converged by 70 iterations, and 0.2 converged by 95 iterations. However,
no such pattern exists for mutation rate in either test. Therefore, a crossover rate of 0.4 and
12 Mathematical Problems in Engineering

Table 7: Analysis of the results of Experiment 2.

Indicator E2.a E2.b

Fitness 1 1
Time s 5.1883 4.7797
Cost 14387 14068
Coverage rate .8518 .8518
Capacity fulfillment rate 1 1
Interference fulfillment rate .9815 .9259
Number of APs 9 APs 7 APs

Table 8: Decision variables and important weights for Experiment 3.

Objective E3.a E3.b

Target area 2250 km2 90000 km2
Budget Wbgt  .55 1350 000 5650000
Coverage rate Wcvg  .15 85% 85%
Capacity and interference fulfillment rates Wcp  WIFT  0.15 80% 80%
Note that the capacity requirements are shown in the Appendix and the important weights are marked in parentheses.

Table 9: Analysis of the results of Experiment 3.

Fixed mutation rate m  0.1 Fixed crossover rate c  0.4

Indicator
C  0.2 C  0.4 C  0.6 m  0.01 M  0.2
Fitness 1 .9869 1 1 1 1 1 1 1 1
Generation 96 93 53 86 18 26 9 94 22 62
Time 489.2550 526.2310 552.5640 496.0540 541.5390
3795.2 5080.5 3880.6 3334.8 4866.5
Cost 1,349,670 1,326,549 1,347,933 1,348,896 1,324,479
5,736,480 5,593,797 5,576,205 5,580,897 5,566,053
Capacity fulfillment rate .8485 .8384 .8495 .8450 .8531
.8641 .8536 .8486 .8502 .8560
Coverage fulfillment rate .8500 .8496 .8484 .8496 .8496
.8536 .8634 .8506 .8510 .8559
Interference .8996 .9100 .8996 .9048 .9012
.8929 .8914 .8891 .8987 .8952
The experiment results for E3b are in parentheses.

a mutation rate of 0.1 are recommended for experiment implementation to avoid GA

parameter effects. The results in Table 9 show that large-scale problems E3.b can be resolved
within an acceptable time 4191.52 s, approximately 1 h.

6. Conclusion
Optimal wireless LAN WLAN design is important to ensure seamless user communication.
Appropriately locating wireless APs for WLANs is important. Optimal APD enables high
telecommunication quality, balanced capacity loading, and optimal deployment costs. This
study proposes a GP-driven model integrated with a GA to solve MO-APD subject to four
constraints: budget, capacity, interference, and coverage. The experiment results show that
Mathematical Problems in Engineering 13

Figure 9: Capacity requirements for Experiment 3.a.

the PM resolves many APD problems and achieves dynamic capacity replication. Results
confirm the ability of the PM to solve large-scale APD problems. Future research should focus
on other applications and further verification of PM.

Appendix
Figure 9 shows the capacity requirement for the E3.a subtest.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 874761, 20 pages
doi:10.1155/2012/874761

Research Article
Multithreshold Segmentation Based on Artificial
Immune Systems

Erik Cuevas,1 Valentin Osuna-Enciso,2 Daniel Zaldivar,1

Marco Pérez-Cisneros,1 and Humberto Sossa2
1
Departamento de Ciencias Computacionales, CUCEI, Universidad de Guadalajara,
Avenida Revolución 1500, 44430 Guadalajara, JAL, Mexico
2
Centro de Investigación en Computación-IPN, Avenida Juan de Dios Bátiz s/n,
Colonia Nueva Industrial Vallejo, 07738 Mexico, DF, Mexico

Correspondence should be addressed to Erik Cuevas, [email protected]

Received 19 February 2012; Accepted 18 April 2012

Academic Editor: Yi-Chung Hu

Copyright q 2012 Erik Cuevas et al. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

Bio-inspired computing has lately demonstrated its usefulness with remarkable contributions to
shape detection, optimization, and classification in pattern recognition. Similarly, multithreshold
selection has become a critical step for image analysis and computer vision sparking considerable
efforts to design an optimal multi-threshold estimator. This paper presents an algorithm for
multi-threshold segmentation which is based on the artificial immune systemsAIS technique,
also known as theclonal selection algorithm CSA. It follows the clonal selection principle
CSP from the human immune system which basically generates a response according to the
relationship between antigens Ag, that is, patterns to be recognized and antibodies Ab, that
is, possible solutions. In our approach, the 1D histogram of one image is approximated through a
Gaussian mixture model whose parameters are calculated through CSA. Each Gaussian function
represents a pixel class and therefore a thresholding point. Unlike the expectation-maximization
EM algorithm, the CSA-based method shows a fast convergence and a low sensitivity to
initial conditions. Remarkably, it also improves complex time-consuming computations commonly
required by gradient-based methods. Experimental evidence demonstrates a successful automatic
multi-threshold selection based on CSA, comparing its performance to the aforementioned well-
known algorithms.

1. Introduction
Several image-processing applications aim to detect and classify relevant features which may
be later analyzed to perform several high-level tasks. In particular, image segmentation seeks
to group pixels within meaningful regions. Commonly, gray levels belonging to the object are
2 Mathematical Problems in Engineering

substantially different from those featuring the background. Thresholding is thus a simple
but effective tool to isolate objects of interest; its applications include several classics such as
document image analysis, whose goal is to extract printed characters 1, 2, logos, graphical
content, or musical scores; also it is used for map processing which aims to locate lines,
legends, and characters 3. Moreover, it is employed for scene processing, seeking for object
detection, marking 4, and for quality inspection of materials 5, 6.
Thresholding selection techniques can be classified into two categories: bilevel and
multilevel. In the former, one limit value is chosen to segment an image into two classes: one
representing the object and the other one segmenting the background. When distinct objects
are depicted within a given scene, multiple threshold values have to be selected for proper
segmentation, which is commonly called multilevel thresholding.
A variety of thresholding approaches have been proposed for image segmentation,
including conventional methods 7–10 and intelligent techniques 11, 12. Extending the
segmentation algorithms to a multilevel approach may cause some inconveniences: i they
may have no systematic or analytic solution when the number of classes to be detected
increases, and ii they may also show a slow convergence and/or high computational cost
11.
In this work, the segmentation algorithm is based on a parametric model holding
a probability density function of gray levels which groups a mixture of several Gaussian
density functions Gaussian mixture. Mixtures represent a flexible method of statistical
modelling as they are employed in a wide variety of contexts 13. Gaussian mixture has
received considerable attention in the development of segmentation algorithms despite its
performance is influenced by the shape of the image histogram and the accuracy of the
estimated model parameters 14. The associated parameters can be calculated considering
the expectation-maximization EM algorithm 15, 16 or gradient-based methods such as
Levenberg-Marquardt, LM 17. However, EM algorithms are very sensitive to the choice of
the initial values 18; meanwhile, gradient-based methods are computationally expensive
and may easily get stuck within local minima 14. Therefore, some researchers have
attempted to develop methods based on modern global optimization algorithms such as
the learning automata LA 19 and differential evolution algorithm 20. In this paper,
an alternative approach using a bio-inspired optimization algorithm for determining the
parameters of a Gaussian mixture is presented.
On the other hand, biological inspired methods can successfully be transferred into
novel computational paradigms as shown by the successful development of artificial neural
networks, evolutionary algorithms, swarming algorithms, and so on. The human immune
system HIS is a highly evolved, parallel, and distributed adaptive system 21 that
exhibits remarkable abilities that can be imported into important aspects in the field of
computation. This emerging field is known as artificial immune system AIS 22 which is a
computational system fully inspired by the immunology theory and its functions, including
principles and models. AISs have recently reached considerable research interest from
different communities 23, focusing on several aspects of optimization, pattern recognition,
abnormality detection, data analysis, and machine learning. Artificial immune optimization
has been successfully applied to tackle numerous challenging optimization problems with
remarkable performance in comparison to other classical techniques 24.
Clonal selection algorithm CSA 25 is one of the most widely employed AIS
approaches. The CSA is a relatively novel evolutionary optimization algorithm which
has been built on the basis of the clonal selection principle CSP 26 of HIS. The CSP
explains the immune response when an antigenic pattern is recognized by a given antibody.
Mathematical Problems in Engineering 3

In the clonal selection algorithm, the antigen Ag represents the problem to be optimized
and its constraints, while the antibodies Abs are the candidate solutions of the problem.
The antibody-antigen affinity indicates as well the matching between the solution and
the problem. The algorithm performs the selection of antibodies based on affinity either
by matching against an antigen pattern or by evaluating the pattern via an objective
function. In mathematical grounds, CSA has the ability of getting out of local minima while
simultaneously operating over a pool of points within the search space. It does not use the
derivatives or any of its related information as it employs probabilistic transition rules instead
of deterministic ones. Despite its simple and straightforward implementation, it has been
extensively employed in the literature for solving several kinds of challenging engineering
problems 27–29.
In this paper, the segmentation process is considered as an optimization problem
approximating the 1D histogram of a given image by means of a Gaussian mixture model.
The operation parameters are calculated through the CSA. Each Gaussian contained within
the histogram represents a pixel class and therefore belongs to the thresholding points. In
order to compare the segmentation results with other optimization methods, the number
of elements in the Gaussian mixture classes is considered already known or given by
the user. The experimental results, presented in this work, demonstrate that CSA exhibits
fast convergence, relative low computational cost, and no sensitivity to initial conditions by
keeping an acceptable segmentation of the image, that is, a better mixture approximation in
comparison to the EM- or gradient-based algorithms.
This paper organizes as follows. Section 2 presents the method following the Gaussian
approximation of the histogram. Section 3 provides information about the CSA while
Section 4 demonstrates the automatic threshold determination. Section 5 discusses some
implementation details. Experimental results for the proposed approach are presented in
Section 6, followed by the discussion summarized in Section 7.

2. Gaussian Approximation
Let consider an image holding L gray levels 0, . . . , L − 1 whose distribution is displayed
within a histogram hg. In order to simplify the description, the histogram is normalized
just as a probability distribution function, yielding
  ng  
h g  , h g > 0,
N
  2.1
L−1 L−1
 
N ng , h g  1,
g0 g0

where ng denotes the number of pixels with gray level g and N being the total number of
pixels in the image.
The histogram function can thus be contained into a mix of Gaussian probability
functions of the form
  2 
K K
Pi − x − μi
px  Pi · pi x   exp , 2.2
i1 i1 2πσi 2σi2

with Pi being the probability of class i, pi x being the probability distribution function of
gray-level random variable x in class i, μi and σi being the mean and standard deviation of
4 Mathematical Problems in Engineering

the ith probability distribution function, and K being the number of classes within the image.

In addition, the constraint K i1 Pi  1 must be satisfied.
The mean square error is used to estimate the 3K parameters Pi , μi , and σi ; i  1, . . . , K.
For instance, the mean square error between the Gaussian mixture pxi  and the experimental
histogram function hxi  is now defined as follows:

1 n     2 
K
J p xj − h xj ω· Pi −1 . 2.3
n j1 i1

Assuming an n-point histogram as in 13 and ω being the penalty associated with the

constrain K i1 Pi  1. In general, the parameter estimation that minimizes the square error
produced by the Gaussian mixture is not a simple problem. A straightforward method is to
consider the partial derivatives of the error function to zero by obtaining a set of simultaneous
transcendental equations 13. However, an analytical solution is not always available
considering the nonlinear nature of the equation which in turn yields the use of iterative
approaches such as gradient-based or maximum likelihood estimation. Unfortunately, such
methods may also get easily stuck within local minima.
In the case of other algorithms such as the EM algorithm and the gradient-based
methods, the new parameter point lies within a neighbourhood distance of the previous
parameter point. However, this is not the case for the CSA which is based on stochastic
principles. New operating points are thus determined by a parameter probability function
that may yield points lying far away from previous operating points, providing the algorithm
with a higher ability to locate and pursue a global minimum.
This paper aims to compare its segmentation results to other optimization methods
that have been applied to similar segmentation tasks. Therefore, the number of elements in
the Gaussian mixture classes is considered as already known or provided by the user. The
number of classes, in most cases, represents the number of objects which are contained in the
image. However, if the selected number is lower than the object number, it can be assumed
that results actually favour the classification of bigger objects yet bearing the expense of
ignoring small subjects.

3. Clonal Selection Algorithm

In natural immune systems, only the antibodies Abs which are able to recognize the
intrusive antigens nonself cells are to be selected to proliferate by cloning 21. Therefore,
the fundament of the clonal optimization method is that only capable Abs will proliferate.
Particularly, the underlying principles of the CSA are borrowed from the CSP as follows:

i maintenance of memory cells which are functionally disconnected from repertoire,
ii selection and cloning of most stimulated Abs,
iii suppression of nonstimulated cells,
iv affinity maturation and reselection of clones showing the highest affinities,
v mutation rate proportional to Abs affinities.

From immunology concepts, an antigen is any substance that forces the immune
system to produce antibodies against it. Regarding the CSA systems, the antigen concept
Mathematical Problems in Engineering 5

refers to the pending optimization problem which focuses on circle detection. In CSA, B cells,
T cells, and antigen-specific lymphocytes are generally called antibodies. An antibody is a
representation of a candidate solution for an antigen, for example, the prototype circle in
this work. A selective mechanism guarantees that those antibodies solutions that better
recognize the antigen and therefore may elicit the response are to be selected holding long
life spans. Therefore, such cells are to be named memory cells M.

3.1. Definitions
In order to describe the CSA, the notation includes boldfaced capital letters indicating
matrices and boldfaced small letters indicating vectors. Some relevant concepts are also
revisited below:

i antigen: the problem to be optimized and its constraints circle detection,

ii antibody: the candidate solutions of the problem circle candidates,

iii affinity: the objective function measurement for an antibody circle matching,

The limited-length character string d is the coding of variable vector x as d  encodex;

and x is called the decoding of antibody d following x  decoded.
Set I is called the antibody space; namely, d ∈ I. The antibody population space is thus
defined as

Im  {D : D  d1 , d2 , . . . , dm , dk ∈ I, 1 ≤ k ≤ m}, 3.1

where the positive integer m is the size of antibody population D  {d1 , d2 , . . . , dm }which is
an m-dimensional group of antibody d, being a spot within the antibody space I.

3.2. CSA Operators

Based on 30, the CSA implements three different operators: the clonal proliferation operator
TPC , the affinity maturation operator TM A
, and the clonal selection operator TSC . Ak is
the antibody population at time k that represents the set of antibodies a, such as Ak 
{a1 k, a2 k, . . . , an k}. The evolution process of CSA can be described as follows:

TCP A
TM TSC
Ak −→ Yk −→ Zk ∪ Ak −→ Ak 1. 3.2

3.2.1. Clonal Proliferation Operator (TPC )

Define

 
Yk  TPC Ak  TPC a1 k, TPC a1 k, . . . , TPC an k , 3.3

where k  TPC Ak  ei · ai ki  1, 2, . . . , n, and ei is a qi -dimensional identity column

6 Mathematical Problems in Engineering

vector. Function roundx gets x to the least integer bigger than x. There are various methods
for calculating qi . In this work, it is calculated as follows:

 
Fai k
qi k  round Nc · n   i  1, 2, . . . , n, 3.4
j1 F aj k

where Nc is called the clonal size. The value of qi k is proportional to the value of Fai k.
After clonal proliferation, the population becomes

Yk  {Y1 k, Y2 k, . . . , Yn k}, 3.5

where
   
Yi k  yij k  yi1 k, yi2 k, . . . , yiqi k ,
3.6
yij k  a1 k, j  1, 2, . . . , qi , i  1, 2, . . . , n.

A
3.2.2. Affinity Maturation Operator (TM )
The affinity maturation operation is performed by hypermutation. Random changes are
introduced into the antibodies just like it happens in the immune system. Such changes may
A
lead to increase in the affinity. The hypermutation is performed by the operator TM which is
applied to the population Yk as it is obtained by clonal proliferation Zk  TM Yk.
C

The mutation rate is calculated using the following equation 25:

α  e−ρ·Fab , 3.7

α beingthe mutation rate, F being the objective function value of the antibody ab as it is
normalized between 0,1, and ρ being a fixed step. In 31, it is demonstrated the importance
of including the factor ρ into 3.7 to improve the algorithm performance. The way ρ modifies
the shape of the mutation rate is shown by Figure 1.
The number of mutations held by a clone with objective function value F is equal to
L·α, considering L as the length of the antibody—22 bits are used in this paper. For the binary
encoding, mutation operation can be done as follows: each gene within an antibody may be
replaced by its opposite number i.e., 0-1 or 1-0.
Following the affinity maturation operation, the population becomes

Zk  {Z1 k, Z2 k, . . . , Zn k},

   
Zi k  zij k  zi1 k, zi2 k, . . . , ziq1 k , 3.8
 
zij k  TMA
yij k , j  1, 2, . . . , q1 , i  1, 2, . . . , n,

A
where TM is the operator as it is defined by 3.7 and applied onto the antibody yij .
Mathematical Problems in Engineering 7

1
0.9
0.8
0.7
0.6
0.5

α 0.4 ρ=3

0.3 ρ=5

0.2 ρ = 10
ρ = 20
0.1
0
0 0.2 0.4 0.6 0.8 1
F

Figure 1: Hypermutation rate versus fitness, considering some size steps.

3.2.3. Clonal Selection Operator (TSC )

Define, for all i  1, 2, . . . , n, bi k ∈ Zi k as the antibody with the highest affinity in Zi k,
then ai k 1  TSC Zi k ∪ ai k, where TSC is defined as


bi k if Fai k < Fbi k
TSC Zi k ∪ ai k  3.9
ai k if Fai k ≥ Fbi k,

where i  1, 2, . . . , n.
Each step of the CSA may be defined as follows.
1 Initialize randomly a population Pinit, a set h  Pr n of candidate solutions of
subsets of memory cells M which is added to the remaining population Pr , with
the total population being PT  Pr M, with M holding n memory cells.
2 Select the n best individuals of the population PT to build Ak, according to the
affinity measure objective function.
3 Reproduce TPC  population Ak proportionally to their affinity with the antigen
and generate a temporary population of clones Yk. The clone number is an
increasing function of the affinity with the antigen 3.1.
4 Mutate TM A
 the population Yk of clones according to the affinity of the antibody
to the antigen 3.4. A maturated antibody population Zk is thus generated.
5 Reselect TSC  the best individuals from Zk and Ak to compose a new memory
set M  Ak 1.
6 Add random Pr novel antibodies diversity introduction to the new memory cells
M to build PT .
7 Stop if any criteria are reached; otherwise return to 2.2.
Figure 2 shows the full draw of the CSA. The clone number in Step 3 is defined
according to 3.1. Although a unique mutation operator is used in Step 5, the mutated values
8 Mathematical Problems in Engineering

6 1
Pr Pinit
M

A(k + 1) 5 Select n

TSC
A(k)
3

TPC

Y (k)
4

A
TM

Z(k)

Figure 2: Basic flow diagram of clonal selection algorithm CSA.

of individuals are inversely proportional to their fitness by means of 3.7; that is, the more
Ab shows a better fitness, the less it may change.
The similarity property 32 within the Abs can also affect the convergence speed
of the CSA. The idea of the antibody addition based on the immune network theory is
introduced for providing diversity to the newly generated Abs in M, which may be similar
to those already in the old memory M. Holding such a diverse Ab pool, the CSA can avoid
being trapped into local minima 30, contrasting to well-known genetic algorithms GAs
which usually tend to bias the whole population of chromosomes towards only the best
candidate solution. Therefore, it can effectively handle challenging multimodal optimization
tasks 33–36.
The management of population includes a simple and direct searching algorithm for
globally optimal multimodal functions. This is also another clear difference in comparison to
other evolutionary algorithms, like GA, because it does not require crossover but only cloning
and hypermutation of individuals in order to use affinity as selection mechanism. The CSA
is adopted in this work to find the parameters P , σ, and μ of Gaussian functions and their
corresponding threshold values for the image.

4. Determination of Thresholding Values

The next step is to determine the optimal threshold values. Considering that the data classes
are organized such that μ1 < μ2 < · · · < μK , the threshold values are obtained by computing
the overall probability error of two adjacent Gaussian functions, yielding

ETh   Ph 1 · E1 Th  Pi · E2 Th , h  1, 2, . . . , K − 1, 4.1

Mathematical Problems in Engineering 9

considering
 Th
E1 Th   ph 1 xdx,
−∞
∞ 4.2
E2 Th   ph xdx.
Th

E1 Th  is the probability of mistakenly classifying the pixels in the h 1th class belonging
to the hth class, while E2 Th  is the probability of erroneously classifying the pixels in the hth
class belonging to the h 1th class. Pj  s are the a priori probabilities within the combined
probability density function, and Th is the threshold value between the hth and the h 1th
classes. One Th value is chosen such as the error ETh  is minimized. By differentiating ETh 
with respect to Th and equating the result to zero, it is possible to use the following equation
to define the optimum threshold value Th :

ATh2 BTh C  0, 4.3

considering

A  σh2 − σh2 1 ,
 
B  2 · μh σh2 1 − μh 1 σh2 ,
4.4
 2  2 σh 1 Ph
C  σh μh 1 − σh 1 μh 2 · σh σh 1 2 · ln .
σh Ph 1

Although the above quadratic equation has two possible solutions, only one of them
is feasible; that is, a positive value falling within the interval.

5. Implementation Details
In this work, either an antibody or an antigen will be represented in binary form by a bit
chain of the form

c  c 1 , c 2 , . . . , cL , 5.1

with c representing a point in an L-dimensional space:

c ∈ SL . 5.2

The clonal selection algorithm can be stated as follows.

1 An original population of N individuals antibodies is generated, considering the
size of 22 bits.
2 The n best individuals based on the affinity measure are selected. They will
represent the memory set.
10 Mathematical Problems in Engineering

3 Such n best individuals are cloned m times.

4 Performing a hypermutation of the cloned individuals which follows the pro-
portion inside the affinity between antibodies and antigens and generating one
improved antibody population.
5 From the hypermutated population, the individuals with the higher affinity are to
be reselected.
6 As for the original population, the individuals with the highest affinity are replaced,
improving the overall cells set.

Once the above steps are completed, the process is started again, until one individual
showing the highest affinity is found, that is, finding the minimum stated in 2.3. At this
work, the algorithm considers 3 Gaussians to represent the same number of classes. However,
it can be easily expanded to more classes. Each single Gaussian has the variables Pi , μi , σi
with i  1, 2, 3 representing the Hamming shape-space by means of an 22 bits word over
the following ranges:

Pi : 1, maxh
   
μi : min g , max g 5.3
 ∗
σi : 1, max g 0.5 ,

with g representing the grey level and h is the histogram of the grey level image. Hence, the
first step is to generate the initial individual population of the antibody population by means
of

 
AB  2 · r, N, Sp − 1; 5.4

with Sp representing the bit string assigned to each of the initial individuals N. Later, in order
to perform the mapping from binary string to real value, we use

 
21
 c L , . . . , c2 , c 1  2  ci · 2
i
 r. 5.5
i0 10

As to find the corresponding real value for r,

rmax
r  r · , 5.6
222 − 1

with rmax representing maxh, maxg, maxg/2.

The population is set to 100 individuals N, including the best 20 individuals n. The
20 selected individuals are cloned 10 times m. The corresponding mutation probability is
proportional to the resulting error by 2.3. The algorithm is thus executed until the minimum
possible value of 2.3 is reached.
Mathematical Problems in Engineering 11

1800
1400
1600
1200

Frequency
1000
800
600
400
200
0
0 50 100 150 200 250
Gray level
a b

Figure 3: a Original “The Cameraman” image and b its correspondent histogram.

6. Experimental Results
6.1. Presentation of Results
In this section, two experiments are tested to evaluate the performance of the proposed
algorithm. The first one considers the well-known image of the “The Cameraman” shown
in Figure 3a as its corresponding histogram is presented by Figure 3b. The goal is to
segment the image with 3 different pixel classes. During learning, the CSA algorithm adjusts 9
parameters in this test. In this experiment, a population of 100 N individuals is considered.
Each candidate holds 9 dimensions, yielding

 
IN  σ1N , σ2N , σ3N , P1N , P2N , P3N , μN N N
1 , μ2 , μ3 , 6.1

with N representing the individual’s number, in this case, 100. The parameters P, σ, μ are
randomly initialized.
The experiments suggest that, after 130 iterations, the CSA algorithm has converged
to the global minimum. Figure 4a shows the obtained Gaussian functions pixel classes,
while Figure 4b shows the combined graph. The layout in Figure 4b suggests an easy
combination of the Gaussian functions to approximate the shape of the graph shown in
Figure 3b, representing the histogram of the original image. Figure 5 shows the segmented
image whose threshold values are calculated according to 3.4 and 3.5.
In order to test the performance, the algorithm gets to analyze the image shown in
Figure 6 whose histogram exhibits a remarkable problem a set of peaks regarding class
approximation. Such image, due to its complexity, is considered as a benchmark image for
other algorithms, including classical approaches as in 7, 10 or intelligent algorithms as in
11, 12. For this particular image, after 190 generations, the algorithm was capable to achieve
the minimum approximation value J see 2.3, considering three different classes. Figure 7
shows the approximation quality; meanwhile, Figure 8 presents the obtained segmented
image.
The third experiment considers a new image known as “The scene” shown by
Figure 9a. The histogram is presented in Figure 9b. Now, the algorithm considers 4 pixel
classes. The optimization is performed by the CSA algorithm resulting in the Gaussian
12 Mathematical Problems in Engineering

1800 1800
1600 1600
1400 1400
1200

Frequency
1200
Frequency

1000 1000
800
800
600
600
400
400 200
200 0
0 0 50 100 150 200 250
0 50 100 150 200 250 Gray level
Gray level

Pixel class 3
Pixel class 2
Pixel class 1
a b

Figure 4: Applying the CSA algorithm for 3 classes and its results: a Gaussian functions for each class,
b mixed Gaussian functions approaching the original histogram.

Figure 5: The image after the segmentation is applied, considering three classes.

4000
3500
3000
Frequency

2500
2000
1500
1000
500
0
0 50 100 150 200 250
Gray level
a b

Figure 6: Benchmark image and its histogram.

Mathematical Problems in Engineering 13

3000 3000

2500 2500

2000 2000

Frequency
Frequency

1500 1500

1000 1000

500 500

0 0
0 50 100 150 200 250 0 50 100 150 200 250
Gray level Gray level

Pixel class 3
Pixel class 2
Pixel class 1
a b

Figure 7: CSA segmentation for 3 classes over the benchmark image: a Gaussian functions for each class.
b Mixed Gaussian functions approaching the look of the original histogram.

Figure 8: The benchmark image after segmentation considering all three classes.

functions shown by Figure 10a. Figure 10b presents the combined graph from the
addition of such Gaussian functions.
After the optimization by the CSA algorithm, the added layout including all 4
Gaussian functions is obtained as shown by Figure 11a. It is also evident that the resulting
function approaches the original histogram as Figure 11b shows the resulting image after
applying the segmentation algorithm.

6.2. Comparing the CSA versus the EM and LM Methods

In order to enhance the algorithm’s analysis, the proposed approach is compared to the EM
algorithm and the Levenberg-Marquardt LM method which are commonly employed for
14 Mathematical Problems in Engineering

4000
3500
3000
2500

Frequency
2000
1500
1000
500
0
0 50 100 150 200 250
Gray level
a b

Figure 9: Third experiment data: a the original image “The scene” and b its corresponding histogram.

3000 3500

2500 3000
2500
2000
Frequency
Frequency

2000
1500
1500
1000 1000
500 500

0 0
0 50 100 150 200 250 0 50 100 150 200 250
Gray level Gray level

Pixel class 3 Pixel class 1

Pixel class 2 Pixel class 4
a b

Figure 10: Applying the CSA algorithm for 4 classes: a Gaussian functions at each class: b adding all
four Gaussian functions, it approaches the original histogram.

computing Gaussian mixture parameters. The comparison focuses on the following issues:
sensitivity to initial conditions, singularities, convergence, and computational costs.

6.2.1. Sensitivity to the Initial Conditions

In this experiment, initial values of the mixture model for all methods are randomly set
while the same histogram is taken in account for the approximation task. Final parameters
representing the Gaussian mixture considering four different classes after convergence are
reported. All algorithms EM, LM, and CSA are executed until no change in parameter
values is detected. Figure 12a shows the image used in this comparison while Figure 12b
pictures its histogram. All experiments are conducted several times in order to assure
consistency. Table 1 exhibits the parameter values μq , σq , Pq , q ∈ 1, . . . , 4 of the obtained
Gaussian mixtures, considering the two initial conditions in which the highest contrasts were
found. Figure 13 shows the segmented images obtained under such initial conditions. Further
Mathematical Problems in Engineering 15

4000
3500
3000
Frequency

2500
2000
1500
1000
500
0
0 50 100 150 200 250
Gray level

Gaussian approximation
Original histogram
a b

Figure 11: Segmentation of “The Scene” considering four classes for the CSA algorithm. a Comparison
between the original histogram and the Gaussian approach. b The image after the segmentation process.

×10−3
12
10
Frequency

8
6
4
2

0 20 40 60 80 100 120 140 160 180 200

Gray Level
a b

Figure 12: a Original image used for the comparison on initial conditions and b its corresponding
histogram.

analysis on Table 1 shows the acute sensitivity of the EM algorithm to initial conditions.
By such sensitivity, it is observed in Figure 13 where a clear pixel misclassification appears
in some sections of the image. In case of the LM method, although it does not present
a considerable difference in comparison to optimal values, its deviation shows that it is
prone to get trapped into a local minimum. On the other hand, the CSA algorithm exhibits
the best performance as its parameter values fall the nearest to the optimal approximation
performance.

6.2.2. Convergence and Computational Cost

The experiment aims to measure the number of iterations and the computing time spent
by the EM, the LM, and the CSA required to calculate the parameters of the Gaussian
mixture after considering three different benchmark images. Figure 14 shows the images
used in the experiment. Such images are selected, since they are employed in the standard
16 Mathematical Problems in Engineering

Initial condition set number 1

Initial condition set number 2

EM LM CSA

Figure 13: Segmented images after applying the EM, the LM, and the CSA algorithm with different initial
conditions.

Table 1: Comparison between the EM, the LM, and the CSA algorithm, considering two different initial
conditions.

Parameters Initial condition 1 EM LM CSA Initial condition 2 EM LM CSA

μ1 40.6 33.13 32.12 32.23 10 20.90 31.80 32.25
μ2 81.2 81.02 82.05 81.55 100 82.78 80.85 82.00
μ3 121.8 127.52 127 126.89 138 146.67 128 127.11
μ4 162.4 167.58 166.80 167.00 200 180.72 165.90 166.50
σ1 15 25.90 25.50 25.30 10 18.52 20.10 25.01
σ2 15 9.78 9.70 9.86 5 12.52 9.81 9.45
σ3 15 17.72 17.05 17.12 8 20.5 15.15 17.23
σ4 15 17.03 17.52 17.45 22 10.09 18.00 17.22
P1 0.25 0.0313 0.0310 0.317 0.20 0.0225 0.0312 0.317
P2 0.25 0.2078 0.2081 0.198 0.30 0.2446 0.2079 0.214
P3 0.25 0.2508 0.2500 0.249 0.20 0.5232 0.2502 0.245
P4 0.25 0.5102 0.5110 0.501 0.30 0.2098 0.5108 0.498

segmentation literature. All the experiments consider four classes. Table 2 shows the
averaged measurements as they are obtained from 20 experiments. It is evident that the
EM is the slowest to converge iterations, and the LM shows the highest computational
cost time elapsed because it requires complex Hessian approximations. On the other hand,
the CSA shows an acceptable tradeoff between its convergence time and its computational
Mathematical Problems in Engineering 17

Original images

EM-segmented images

LM-segmented images

CSA-segmented images

a b c

Figure 14: Original benchmark images a–c and segmented images obtained by the EM, the LM, and
the CSA algorithms.
18 Mathematical Problems in Engineering

Table 2: Iterations and time requirements of the EM, the LM, and the CSA algorithm as they are applied to
segment benchmark images see Figure 14.

Iterations
a b c
Time elapsed
1855 1833 1870
EM
2.72 s 2.70 s 2.73 s
985 988 958
LM
4.03 s 4.04 s 4.98 s
201 188 282
CSA
0.21 s 0.18 s 0.25 s

cost. Finally, Figure 14 below shows the segmented images as they are generated by each
algorithm. By analyzing the images a–c in Figure 14, it is clear that the CSA approach
presents better results when the segmented images are compared with the original ones. In
case of the EM and LM algorithms, several stains are identified in regions where the intensity
level must be considered homogenous.

7. Conclusions
In this paper, an automatic image multi-threshold approach based on the clonal selection
algorithm CSA is proposed. The segmentation process is considered to be similar to an
optimization problem. The algorithm approximates the 1-D histogram of a given image using
a Gaussian mixture model whose parameters are calculated through the CSA. Each Gaussian
function approximating the histogram represents a pixel class and therefore one threshold
point.
Experimental evidence shows that the CSA has a compromise between its convergence
time and its computational cost when it is compared to the expectation-maximization EM
method and the Levenberg-Marquardt LM algorithm. Additionally, the CSA also exhibits
a better performance under certain circumstances initial conditions on which it is well
reported in the literature 14, 18 that the EM has underperformed. Finally, the results
have shown that the stochastic search accomplished by the CSA method shows a consistent
performance with no regard of the initial value and still showing a greater chance to reach
the global minimum.
Although Table 2 indicates that the CSA method can yield better results in comparison
to the EM and gradient-based methods, notice that the aim of our paper is not intended
to beat all segmentation algorithms which have been proposed earlier but to show that the
artificial immune systems can effectively serve as an attractive alternative to evolutionary
algorithms which have been employed before to successfully segment images.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 193246, 14 pages
doi:10.1155/2012/193246

Research Article
Quality Improvement and Robust Design Methods
to a Pharmaceutical Research and Development

Byung Rae Cho1 and Sangmun Shin2

1
Department of Industrial Engineering, Clemson University, Clemson, SC 29634, USA
2
Department of Systems Management & Engineering, Inje University,
Gyeongnam Gimhae 621-749, Republic of Korea

Correspondence should be addressed to Sangmun Shin, [email protected]

Received 19 November 2011; Accepted 18 April 2012

Academic Editor: Dongdong Ge

Copyright q 2012 B. R. Cho and S. Shin. This is an open access article distributed under the
Creative Commons Attribution License, which permits unrestricted use, distribution, and
reproduction in any medium, provided the original work is properly cited.

Researchers often identify robust design, based on the concept of building quality into products
or processes, as one of the most important systems engineering design concepts for quality
improvement and process optimization. Traditional robust design principles have often been
applied to situations in which the quality characteristics of interest are typically time-insensitive.
In pharmaceutical manufacturing processes, time-oriented quality characteristics, such as the
degradation of a drug, are often of interest. As a result, current robust design models for
quality improvement which have been studied in the literature may not be effective in finding
robust design solutions. In this paper, we show how the robust design concepts can be applied
to the pharmaceutical production research and development by proposing experimental and
optimization models which should be able to handle the time-oriented characteristics. This is
perhaps the first attempt in the robust design field. An example is given, and comparative studies
are discussed for model verification.

1. Introduction
Continuous quality improvement has become widely recognized by many industries as a crit-
ical concept in maintaining a competitive advantage in the marketplace. It is also recognized
that quality improvement activities are efficient and cost-effective when implemented during
the design stage. Based on this awareness, Taguchi 1 introduced a systematic method for
applying experimental design, which has become known as robust design which is often
referred to as robust parameter design. The primary goal of this method is to determine the
best design factor settings by minimizing performance variability and product bias, that is,
the deviation from the target value of a product. Because of the practicability in reducing
2 Mathematical Problems in Engineering

the inherent uncertainty associated with system performance, the widespread application
of robust design techniques has resulted in significant improvements in product quality,
manufacturability, and reliability at low cost. Although the main robust design principles
have been implemented in a number of different industrial settings, our literature study
indicates that robust design has been rarely addressed in the pharmaceutical design process.
In the pharmaceutical industry, the development of a new drug is a lengthy process
involving laboratory experiments. When a new drug is discovered, it is important to design
an appropriate pharmaceutical dosage or formulation for the drug so that it can be delivered
efficiently to the site of action in the body for the optimal therapeutic effect on the intended
patient population. The Food and Drug Administration FDA requires that an appropriate
assay methodology for the active ingredients of the designed formulation be developed and
validated before it can be applied to animal or human subjects. Given this fact, one of the
main challenges faced by many researchers during the past decades is the optimal design
of pharmaceutical formulations to identify better approaches to various unmet clinical
needs. Consequently, the pharmaceutical industry’s large investment in the research and
development R&D of new drugs provides a great opportunity for research in the areas of
experimentation and design of pharmaceutical formulations. By definition, pharmaceutical
formulation studies are mixture problems. These types of problems take into account the
proportions within the mixture, not the amount of the ingredient; thus, the ingredients in such
formulations are inherently dependent upon one another, and consequently experimental
design methodologies commonly used in many manufacturing settings may not be effective.
Instead, for mixture problems, a special kind of experimental design, referred to as a mixture
experiment, is needed. In mixture experiments, typical factors in question are the ingredients
of a mixture, and the quality characteristic of interest is often based on the proportionality of
each of those ingredients. Hence, the quality of the pharmaceutical product is influenced by
such designs when they are applied in the early stages of drug development.
In this paper, we propose a new robust design model in the context of pharmaceutical
production R&D. The main contribution of this paper is twofold. First, traditional experi-
mental design methods have often applied to situations in which the quality characteristics
of interest are typically time-insensitive. In pharmaceutical manufacturing processes, time-
oriented quality characteristics, such as the degradation of a drug, are often of interest,
and these time-oriented data often follow a Weibull distribution. Since it may take a long
time to observe the degradation of a drug product, the concept of censored samples can be
integrated in designing optimal pharmaceutical formulations. In this paper, we develop a
censored sample-based experimental design model for optimal pharmaceutical formulations
by integrating the main robust design principles. Second, we then show how the response
surface methodology, which is a well-established statistical tool, can be integrated with the
proposed censored sample-based robust deign model. Finally, we show how the maximum
likelihood method is implemented in estimating mean and variance of censored Weibull data.
A numerical example is given, and comparison studies for the two estimation methods are
discussed for model verification. This paper is organized as follows. In the next section, we
present a literature review on mixture design and robust design. In Section 3, we describe
our proposed censored robust design model for the optimal design of pharmaceutical
formulations in detail. The maximum likelihood method is then studied, and optimization
models are proposed. In Section 4, we demonstrate our proposed methods using a numerical
example and compare the results under the two different optimization models. In the last
section, we conclude the paper with a discussion of our findings.
Mathematical Problems in Engineering 3

2. Literature Study
In this section, the literature of robust design and mixture designs is discussed.

2.1. Robust Design

Because product performance is directly related to product quality, Taguchi’s techniques
1, 2 of robust design RD have become increasingly popular in industry since the mid
1980s. RD is a powerful and cost-effective quality improvement methodology for products
and processes, which results in higher customer satisfaction and operational performance.
There is little disagreement among researchers and practitioners about Taguchi’s basic
philosophy. Steinberg and Bursztyn 3 provided a comprehensive discussion on Taguchi’s
off-line quality control and showed that the use of noise factors can significantly increase
the capability for detecting factors with dispersion effects, when noise factors are explicitly
modeled in the analysis. However, the ad hoc robust design methods suggested by Taguchi
remain controversial due to various mathematical flaws. The controversy surrounding
Taguchi’s assumptions, experimental design, and statistical analysis has been well addressed
by Leon et al. 4, Box 5, Box et al. 6, Nair 7, and Tsui 8. Consequently, researchers have
closely examined alternative approaches using well-established statistical and optimization
tools. Vining and Myers 9 introduced the dual response approach based on response surface
methodology RSM as an alternative for modeling process relationships by separately
estimating the response functions of process mean and variance, thereby achieving the
primary goal of robust design by minimizing the process variance while adjusting the process
mean at the target. Del Castillo and Montgomery 10 and Copeland and Nelson 11 showed
that the optimization technique used by Vining and Myers 9 does not always guarantee
optimal robust design solutions and proposed standard nonlinear programming techniques,
such as the generalized reduced gradient method and the Nelder-Mead simplex method,
which can provide better robust design solutions. The modified dual response approaches
using fuzzy theory were further developed by Khattree 12 and Kim and Lin 13. However,
Lin and Tu 14, pointing out that the robust design solutions obtained from the dual
response model may not necessarily be optimal since this model forces the process mean
to be located at the target value, proposed the mean-squared error model, relaxing the zero-
bias assumption. While allowing some process bias, the resulting process variance is less
than or at most equal to the variance obtained from the Vining and Myers model 9; hence,
the mean-squared error model may provide better or at least equal robust design solutions
unless the zero-bias assumption must be met. Further modifications to the mean-squared
error model have been discussed by Jayaram and Ibrahim 15, Cho et al. 16, Kim and Cho
17, 18, Yue 19, Park and Cho 20, Miro-Quesada and Del Castillo 21, Cho and Park 22,
Govindaluri and Cho 23, Shin and Cho 24, 25, and Lee et al. 26. Along this line, Myers
et al. 27, Park and Cho 22, and Robinson et al. 28 developed modified dual-response
models using generalized linear model, a robust design model using the weighted-least-
square method for unbalanced data, and a robust design model using a generalized linear
mixed model for nonnormal quality characteristics, respectively. As for an experimental
strategy, Kovach and Cho 29–31 and Kovach et al. 32 studied D-optimal robust design
problems by minimizing the variance of the regression coefficients. Ginsburg and Ben-Gal
33 then developed a new optimality criterion, called the Vs optimality, which minimizes the
variance of the optimal solution by prioritizing the estimation of various model coefficients,
thereby, estimating coefficients more accurately at each experimental stage. It is well known
4 Mathematical Problems in Engineering

that estimated empirical models are often subject to random error. In order to obtain a more
precise robust design solution in the presence of the error, Xu and Albin 34 developed a
model which can be resistant to the error by considering all points in the confidence intervals
associated with the estimated model. When multiple quality characteristics are considered,
those characteristics are often correlated. Govindaluri and Cho 23, investigated the effect of
correlations of quality characteristics on robust design solutions, while Egorov et al. 35 and
Kovach et al. 32 studied optimal robust design solutions using the indirect optimization
algorithm and physical programming, respectively. Finally, Shin and Cho 25 studied trade-
off studies on minimizing variance and achieving the predetermined target value.

2.2. Mixture Designs

Scheffe 36 first introduced his theory on the prediction of the responses of mixture
experiments based on their proportions. The theory defines xi as the proportion of ingredient
i in the mixture. Furthermore, the proportionality idea of this theory provides the experiment
with a property in which the proportions of the k ingredients within the mixture must equal

100 percent, as illustrated by the equation ki1 xi  x1 x2 · · · xk  1, where xi ≥ 0 for all
i  1, 2, . . . , k. Scheffe 36 employed a simplex lattice design to represent the design points of
the feasible experimental region of the ingredients. The simplex lattice design is defined by
the notation {k, m}, where m 1 defines the number of equally spaced proportion values
from 0 to 1 for each experiment and those proportions are determined by the equation
xi  0, 1/m, 2/m, . . . , 1. All possible combinations of the proportions are used to determine
the design points within the simplex lattice design. In general, the number of design points
in a {k, m} simplex lattice design is defined n  k m − 1!/m!k − 1! Scheffe 37 also
modified this simplex lattice design to introduce the simplex centroid design for experiments
that include the overall centroid of the region at the coordinate1/k, 1/k, . . . , 1/k.
Augmented designs of both the simplex lattice and simplex centroid designs exist.
Cornell 38 analyzed both an augmented simplex lattice design and an augmented simplex
centroid design with ten design points each. Applications of mixture experiments revealed
other design possibilities. The most natural obstacle is the limitation on the proportion of a
certain ingredient within a mixture. The limitation could be found in the form of lower, upper,
and both lower and upper bounds or constraints. This led researchers to develop other ways
to obtain design points that are within the feasible region given the constraints. An example
of such models is the extreme vertices design for mixture experiments. First introduced
by Mclean and Anderson 39, extreme vertices designs for mixture problems consider the
extreme points of the irregular polyhedron, formed by constraints in experimental runs, in
addition to the centroids of each facet. The major disadvantage with this design is the possible
large number of design points that can be obtained with the given constraints, specifically as
the number of ingredients increases and the feasible region becomes more complex. Snee and
Marquart 40 presented an algorithm to determine the appropriate subset of design points
when the vertices of the feasible region are too many to handle. They compare the efficiency
of their approach to G- and D-optimal designs, both of which are common techniques used
for determining the appropriate points at which to take observations. Bayesian D-optimal
designs shown by DuMouchel and Jones 41 are a modification of D-optimal designs,
which reduces the dependency of the design on the assumed model. Using such models
as a leverage point, Andere-Rendon et al. 42 investigated the Bayesian D-optimal design
specifically for mixture experiments which include both potential and primary model terms
Mathematical Problems in Engineering 5

in order to form the Bayesian slack variable model. The results favored the Bayesian D-
optimal design with smaller bias errors and better-fitted models. Along the same lines, Goos
and Donev 43 extended the work of Donev 44 with the implementation of D-optimal
designs for blocked mixture experiments. Unlike other research that used orthogonally
blocked experiments see 45, 46, they employed mixture designs that are not orthogonally
blocked and used an algorithm that provided a simpler methodology to construct blocked
mixture designs.
The simplified polynomials, also referred to as canonical polynomials, are widely used
throughout the literature and are embedded in software packages for mixture experiments.
However, these designs have been scrutinized, especially because of their lack of squared
terms. Piepel et al. 47 proposed a partial quadratic mixture model that includes the linear
Scheffé terms but augments them with the appropriate squared or quadratic cross product
terms. Extending from alternative models proposed by Snee and Rayner 48, Cornell
and Gorman 49 explained how highly constrained regions, such as those in mixture
experiments having components with considerably smaller ranges than others, result in
skewed responses, thus creating fitted models that have inherent collinearity. Both models
attempt to modify the scale on the feasible region that results in the experiment’s constraints
in an effort to eliminate the collinearity between components. For other collinearity research
and discussions, refer to the publications of Sengupta et al. 50 and Prescott et al. 51. Other
research publications have employed robust design methodologies for mixture experiments.
Steiner and Hamada 52 modeled a mixture experiment to include the coefficient and
terms that account for the interactions of mixture and controllable process variables and the
interactions of the mixture and noise variables. This model utilizes the Taguchi loss function
1, 2 to reduce the noise variables. The practicality of the design may be questionable as it
does not account for constraints within the system, which opens the opportunity for further
research. A different approach to dealing with noise factors can be studied in Goldfarb et al.
53. Continuing in similar research, Goldfarb et al. 54 introduced a three-dimensional
variance dispersion graph with the purpose of comparing competing mixture experimental
designs based on their prediction variance properties. Goldfarb et al. 55 proposed an
interesting addition to this research by implementing genetic algorithms within an objective
function to minimize the maximum scaled prediction variance in the mixture design region.
This investigation showed that with a few runs of the genetic algorithm, the scaled prediction
variance can be significantly reduced, allowing the experimenter to control noise variables
inherent in the experiment.

3. Proposed Censored Robust Design Model

In this section, we describe the proposed model in three phases—experimental phase, esti-
mation phase, and optimization phase.

3.1. Notations
Notations associated with parameters and variables used in paper are defined as follows:
x  x1 , x2 , . . . , xk  vector of k control factors,
y vector of output observations,
yi i output observations,
T censored observations,
6 Mathematical Problems in Engineering

Table 1: General layout of the proposed methodology.

Control factors Estimate

Design points Experimental observations
x1 , x2 , ..., xf Mean Variance
1 y1 , . . . yn1 , T1 , . . . , Tm1 1
μ σ1
2 y1 , . . . yn2 , T1 , . . . , Tm2 2
μ σ2
.. .. .. ..
. Experimental design . . .
i y1 , . . . yni , T1 , . . . , Tmi i
μ σi
.. .. .. ..
. . . .
d y1 , . . . ynd , T1 , . . . , Tmd d
μ σd

Ti i censored observations,

θ vector of parameter θ,

θk the component of vector parameter θ,

Fy; θ cumulative distribution function associated with parameters y and θ,

fy; θ probability density function associated with parameters y and θ,

Ly, T; θ maximum likelihood function associated with parameters y, T , and θ,

ly, T; θ loglikelihood function of Ly, T; θ,

Γx gamma function,

 x estimated function of process mean,

μ

σ x estimated function of process variance.

3.2. Experimental Phase

Table 1 displays the general framework of the RD methodology, where the yi ’s are the
observed pharmaceutical quality characteristic values and the Ti ’s are the censored times.
The mean and variance for each design point are estimated using the observations.

3.3. Estimation Phase

Observations are of two kinds—actual and censored observations. Assume that the
observations follow a distribution with underlying cumulative distribution function Fy; θ
and probability density function fy; θ, where θ is a vector of parameters and y is a vector of
observations. Suppose that for each design point, we have n actual observations y1 , y2 , . . . , yn
and m censored observations T1 , T2 , . . . , Tm . Then the maximum likelihood function is


n
 
m
  
Ly, T; θ  f yi ; θ 1 − F Tj ; θ , 3.1
i1 j1
Mathematical Problems in Engineering 7

and the loglikelihood function is

n
  m
  
ly, T; θ  ln f yi ; θ ln 1 − F Tj ; θ . 3.2
i1 j1

If the censoring time is fixed at T , say, then m

j1 1 − FTj ; θ  1 − FT ; θm . In that case,
the loglikelihood function is

n
 
ly, T; θ  ln f yi ; θ m ln1 − FT ; θ. 3.3
i1

The values of the components of θ that maximize the loglikelihood function will constitute
the maximum likelihood estimates. These are computed as the solutions to the system of
equations:

∂
ly, T; θ  0, 3.4
∂θk

where the θk ’s are the components of the vector of parameters θ. If the underlying
distribution follows a Weibull distribution with parameters α and β, then θ  α, β, and
for the n actual observations y1 , y2 , . . . , yn , and m censored observations T1 , T2 , . . . , Tm , the
loglikelihood function is

    n
  n
β
m
β
l y, T; μ; σ  n ln α ln β β − 1 ln yi − α yi − α Tj . 3.5
i1 i1 j1

For a fixed censoring time T ,

    n
  n
β
l y, T; μ; σ  n ln α ln β β − 1 ln yi − α yi − αmT. 3.6
i1 i1

The maximum likelihood estimates of α and β are the solutions to the system of equations:

n
n β
− yi − mT β  0,
α i1
3.7
n n
n β
ln yi − α yi ln yi − αmT β ln T  0.
β i1 i1

Equation 3.7 is obtained by taking the derivatives of the loglikelihood function with respect
to α and β. Similarly, a system of equations can be derived using 3.6 for varying censoring
8 Mathematical Problems in Engineering

times. The solutions to 3.7, namely, α  are the maximum likelihood estimates of α and
 and β,
β, and we use them in estimating the mean and standard deviation as follows:

 1
α
μ  1/β Γ 1 ,
β
 3.8
  2
α  α 2/β Γ 1 −μ
2 .
β

3.4. Optimization Phase

The main objective of the proposed robust design is to obtain the optimal pharmaceutical
formulation settings by maximizing mean response while minimizing variability. Thus, in
order to meet this goal, we seek to maximize the mean response while minimizing the
variability. To achieve this objective, we propose the following optimization model Model 1:
 
min −μ2 x σ 2 x
x∈Ω

k 3.9
s.t. xk  1.
i1

It is noted that the sum of pharmaceutical component proportion is one. By considering the
usual approximation of the Taguchi’s loss function 1, we can also find the solution to the
following optimization model Model 2:
 
1 σ 2 x
min 1 3 2
x∈Ω μ x
2 μ x
3.10
k
s.t. xk  1.
i1

By inspection, we notice that this function decreases as μx increases and as σx decreases.
Also, a part of the feasibility requirements for these proposed objective functions is that the
mean response is nonzero, that is, μx /  0, which is the case for censored samples where
the objective is to get μx as large as possible. We will demonstrate that both proposed
optimization models yield optimal solutions in the next section.

4. Numerical Example and Comparison Study

Consider an experiment on the degradation of a drug where the factors of concern are
corn starch x1 , saccharin sodium x2 , and dextrose x3 . Thus, the vector of the control
factors is x  x1 , x2 , x3 . The objective of the experiment is to determine the settings of the
control factors, x∗  x1∗ , x2∗ , x3∗ , that give the longest possible degradation and the smallest
possible variability. The chosen design is a mixture design for three control factors. Suppose
Mathematical Problems in Engineering 9

Table 2: Mixture experiments and data.

x1 x2 x3 Observations
1 0 0 30, 30, 27.3130, 30 , 25.3841, 18.4713, 26.3209, 25.1345, 32.6499, 30
0 1 0 30, 20.5247, 9.9338, 22.1908, 24.0196, 16.9328, 18.3113, 21.5325, 21.4749, 17.7806
0 0 1 11.6089, 24.6178, 18.2190, 21.9588, 27.6887, 21.6017, 26.7790, 13.8795, 24.6055, 30
1/2 1/2 0 24.8139, 27.3573, 30 , 23.8765, 30 , 15.8716, 30, 30, 25.4216, 30
1/2 0 1/2 29.3682, 30, 34.0853, 28.2447, 21.2239, 19.7356, 30, 23.1654, 20.4046
0 1/2 1/2 23.8148, 14.5317, 25.6167, 23.4480, 30, 18.7073, 30, 41.6825, 24.0814, 14.2608
1/6 1/6 2/3 30, 27.6718, 30, 27.1105, 18.4573, 28.0881, 30, 28.7328, 21.7883, 23.6375
1/6 2/3 1/6 14.8984, 19.5179, 27.8163, 24.6057, 30, 26.3950, 28.0956, 18.4866, 18.7682, 27.7717
2/3 1/6 1/6 23.0132, 25.5782, 30, 30, 28.1479, 30, 30, 30, 19.7557, 30
2/3 1/3 1/3 30, 28.9475, 19.3873, 30, 27.4342, 28.5594, 30, 30, 17.7312, 21.8007

Table 3: Parameter estimates.

Estimate
Design point x1 x2 x3

μ σ
1 1 0 0 25.6885 4.5176
2 0 1 0 18.2861 5.0843
3 0 0 1 20.8556 5.5625
4 1/2 1/2 0 22.3393 5.4712
5 1/2 0 1/2 25.1136 5.4931
6 0 1/2 1/2 23.3288 8.4396
7 1/6 1/6 2/3 24.5420 4.1651
8 1/6 2/3 1/6 22.6876 4.9773
9 2/3 1/6 1/6 22.8861 5.1334
10 2/3 1/3 1/3 23.3731 5.3724

10 samples are subject to each design point, and the experiment is run for 30 hours. The
manufacturer believes that the degradation times follow a Weibull distribution. Notice that
this is a censoring problem because the experiment is terminated after 30 hours, and for the
rest of the samples denoted by 30 , we only know that their degradation times exceed 30
hours but we do not know their actual times. Using the functions in the methods of Sections
3.2 and 3.3, estimates of the means and standard deviations are obtained for each design
point. Table 2 shows the experimental design together with the observed responses that have
failed. Note that the number of observations per design point is not the same throughout the
experiment.
In Table 3, we show the estimates of the mean and standard deviation obtained by
our proposed algorithm and by the method of ML estimation. Using the MLE algorithm, the
response surfaces for the mean and standard deviation are, respectively, found as

 x  27.222x1
μ 18.601x2 2.190x3 − 0.318x1 x2 5.680x1x 3 14.908x2 x3 ,
4.1
σ x  4.884x1 5.088x2 5.300x3 − 0.568x1 x2 − 1.917x1x 3 7.957x2 x3 .
10 Mathematical Problems in Engineering

Response surface plots of the process

Response surface plots of the process mean standard deviation

30
25
20

Standard deviation
8
Mean

15
7
10
6
5
5 1
0
1 4 0.8
1 0.6
0.5 0.8 0.4
x1 0 0.6
0.4 0.2 x1
0.4 0.2
0
1 0.8 0.6 x2 0.2 0 0
x2

30 30
25 25
20 20
Mean

Mean

15 15
10 10
5 1 5 1
0 0.5 0 0.5
0 0.2 x3 0 0.2 x3
0.4 0.6 0 0.4 0.6 0
0.8 1 0.8 1
x1 x1

7.5
Standard deviation

7
6.5
30
6
25
5.5
20
Mean

5
15
0 4.5
10 0
5
0.5
0 x3 x2 0.5
1 0.8 0.8 1
0.6 0.4 1 1 0.4 0.6
0.2 0 0 0.2 x3
x2

Figure 1: Response surface plots of the mean and standard deviation.

Using 4.1, Figure 1 illustrates surface plots of the process mean and standard deviation
associated with input control factors x1 , x2 , x3 . In order to represent tradeoffs between the
mean and standard deviation, a criterion space is demonstrated in Figure 2.
Table 4 shows the results obtained using the two different optimization models we
studied earlier. For this particular example, Model 1 is more effective in increasing the mean
value, while Model 2 turns out be to more effective in decreasing standard deviation. The
basic goal of both optimization models is to obtain the optimal factor level settings which
maximize the mean and minimize the standard deviation. We recommend practitioners use
Mathematical Problems in Engineering 11

Criterion space of mean and standard deviation

7.5

Standard deviation
6.5

5.5

4.5
0 5 10 15 20 25 30
Mean

Figure 2: Criterion space for the mean and standard deviation.

Table 4: Optimal settings under two models.

Opt settings Opt mean Opt Std Dev

Design
x∗  x1∗ , x2∗ , x3∗   x∗ 
μ σ x∗ 
Model 1 based on 11 0.0000, 0.6587, 0.3413 27.1974 6.9492
Model 2 based on 12 0.3332, 0.3336, 0.3333 26.1309 5.6933

both optimization models and pick one of them, depending on their priority of mean and
standard deviation.

5. Conclusions
Robust design has been demonstrated to be a successful process improvement methodology
for diverse system engineering problems. However, its ability to provide sound solutions
for time-oriented data is currently limited since the traditional robust design method is
mainly applicable to time-insensitive data, and an appropriate robust design method for
time-oriented data has not been reported. This paper has proposed new robust design
experimental and optimization models for time-oriented data by developing a set of methods
in three separate phases, namely, modeling, estimation, and optimization phases. More
specifically, this paper has proposed a censored sample-based robust design model by
developing a censored experimental design framework, a censored maximum likelihood
estimation method in the context of robust design, and optimization models for the censored
robust design. For verification, a proposed optimization model has been compared with
the traditional Taguchi optimization model. The proposed experimental methodology is
particularly useful for experiments with time-oriented pharmaceutical characteristics, such
as the degradation of a drug, with an unequal number of observations at each design point.
With suitable modifications, our proposed methodology could be extended to the case in
which multiple quality characteristics are often correlated under study. Another area for
12 Mathematical Problems in Engineering

future study includes the development of optimal designs, known as computerized designs,
for the case in which physical experimental constraints are imposed.

Acknowledgment
This work was supported by the 2011 Inje University research grant.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 569429, 13 pages
doi:10.1155/2012/569429

Research Article
A Label Correcting Algorithm for Partial
Disassembly Sequences in the Production Planning
for End-of-Life Products

Pei-Fang (Jennifer) Tsai

Department of Industrial Engineering and Management, National Taipei University of Technology,
10608 Taipei, Taiwan

Correspondence should be addressed to Pei-Fang Jennifer Tsai, [email protected]

Received 8 February 2012; Accepted 8 April 2012

Academic Editor: Jung-Fa Tsai

Copyright q 2012 Pei-Fang Jennifer Tsai. This is an open access article distributed under the
Creative Commons Attribution License, which permits unrestricted use, distribution, and
reproduction in any medium, provided the original work is properly cited.

Remanufacturing of used products has become a strategic issue for cost-sensitive businesses.
Due to the nature of uncertain supply of end-of-life EoL products, the reverse logistic
can only be sustainable with a dynamic production planning for disassembly process. This
research investigates the sequencing of disassembly operations as a single-period partial
disassembly optimization SPPDO problem to minimize total disassembly cost. AND/OR graph
representation is used to include all disassembly sequences of a returned product. A label
correcting algorithm is proposed to find an optimal partial disassembly plan if a specific reusable
subpart is retrieved from the original return. Then, a heuristic procedure that utilizes this
polynomial-time algorithm is presented to solve the SPPDO problem. Numerical examples are
used to demonstrate the effectiveness of this solution procedure.

1. Introduction
Product recovery, or remanufacturing, has been considered as one of the most profitable
options in dealing with the end-of-life EoL products. The benefit of product recovery is
especially more attractive when a facility is capable of performing both manufacturing and
remanufacturing processes, and the coordination of these two processes can be included in
the production planning and scheduling. Griese et al. 1 discussed the economic challenges
for reuse and the main technical obstacles in three product categories: medical equipment,
automotive electronics, and computers. They argued that, for personal computers, reuse and
repair appeared to have more potential than pure recycling materials. Similar benefit was
confirmed by Grenchus et al. 2 from the practice at the IBM Endicott asset recovery center.
They found that, with little disassembly effort, functional parts that were recoverable had
more resale value than plain material recovery.
2 Mathematical Problems in Engineering

Commercial
Design
use

Raw Customer
material Build Distribute
use

Reuse Resell
Service
Reuse

Recycling Remanufacturing

Collectors
Disassembling
Incineration

Disposal
Landfill

Figure 1: Integrated supply chain for original equipment manufacturers. Adopted from 4.

For any original equipment manufacturer OEM with the capacity in performing
assembly and disassembly operations, the retrieved components from returned products can
be integrated with their forward production. As shown in Figure 1, a complete product life
cycle is defined by forward logistics solid line and reverse logistics dotted line. Informa-
tion bold line from disassembly operation can further assist in design and manufacturing
new products. Retrieving spare parts from returned products has been one of the most
prominent strategies. Fleischmann 3 observed that, when the returned used equipments
were integrated into the spare part planning, a push policy in which returned equipments
were tested and dismantled as soon as available can achieve higher service level in IBM’s
spare part management.
It remains as one of the biggest challenges to develop the techniques in production
planning system for product recovery to be sustainable 5. For regular assembly, demand
can be determined in advance and hence the required resources can be planed and scheduled
along the time horizon. However, for disassembly process planning, variation in quantity
and quality of returned products is so huge that it fails to fit into any available planning
scheme. Even when the demand for remanufactured products is known with a set of available
returned products, it is still challenging to decide how these products should be dismantled
to minimize the disassembly effort for those refurbished products. Kasmara et al. 6 used an
integer programming model that included sales and returns in each period with the objective
function as maximization of profits. Clegg et al. 7 presented a linear programming model
of production planning for both new and remanufactured products. Some studies focused on
the effect of average flowtime for both assembly and disassembly operations under different
scenarios in planning mixes 8–13.
The ability to salvage the value of these returned products relies both on the disassem-
bly capacity and the ability to find the most cost-effective disassembly sequences to retrieve
valuable parts. This research is motivated to find disassembly sequences with minimum
operation costs in the production planning for EoL products. A single period planning is
considered due to the inherent fluctuation in the demand and supply of EoL products in
different periods. Moreover, a partial disassembly policy is considered for better profit in
product recovery.
Mathematical Problems in Engineering 3

2. Literature on Disassembly Planning

Disassembly is the process of dismantling a product through successive steps at the end of its
life so as to recover useful components or subassemblies, for resale, reuse, or proper disposal.
A product, as a whole, may not be repairable at the end of its conventional useful life, yet
there might be components and subassemblies that are in good enough condition for use
in a new product or in the remanufacture of an old one 14. The efficient retrieval of these
parts/subassemblies will not only cut down the production cost but will also reduce the
associated disposal costs and, consequently, the environmental hazards.
Taleb and Gupta 15 addressed the scheduling problem of disassembly operations
with commonality in the parts or materials. Then, a scheduling mechanism was provided to
determine the total disassembly requirement as well as the time to release along the planning
horizon. Langella 16 developed heuristics for the disassembly planning when a returned
product was used in multiple purposes. Gungor and Gupta 17 used a heuristic algorithm
to evaluate total costs among different disassembly strategies for returned products using the
precedence relationship among subassemblies. Deterministic formulations originated from
variations of travelling salesman problem TSP were used to find optimal disassembly
sequences 18, 19. Johnson and Wang 20 considered the disassembly precedence
relationship according to a bill of material BOM of the product and formulated the problem
as a two-commodity network formulation. Lambert 21 solved a similar formulation as in
20 with sequence-dependent setup time by using an iterative heuristic approach.
Graph-based representation is often used to find all feasible disassembly sequences.
De Fazio and Whitney 22 proposed a network of liaison sequences, or precedence se-
quences, that are generated from the bill of material BOM of a product. Sarin et al. 19
incorporated the precedence constraints into a tree-structured network with additional nodes
representing the connection and joints between subparts. Zhang and Kuo 23 and Kuo 24
proposed a component-fastener graph to represent the assembly relationship to find the
most profitable dismantle sequence for returned products. Homem de Mello and Sanderson
25, 26 introduced an AND/OR graph representation of assembly plan which includes all
possible sequences of operations. Lambert 27 utilized the AND/OR graph to generate
sequences in retrieving subassemblies with the consideration of disassembly line balancing.
The objective of this research is to find an optimal partial disassembly sequence to
retrieve reusable subassemblies or subparts from EoL products in single planning period
or referred to as single period partial disassembly optimization SPPDO problem herein.
A label correcting algorithm is proposed to solve the AND/OR graph as a shortest path
problem. Furthermore, a heuristic procedure is developed to utilize this label correcting
algorithm in solving the SPPDO problem. The remainder of the paper is organized as follows.
In the next section, the representations of disassembly sequences and AND/OR graph are
briefly discussed. The subsequent sections further introduce the mathematical formulation
of the problem, the label correcting algorithm, and a heuristic procedure for solving SPPDO.
This is followed by a section that illustrates how the heuristic algorithm works with
numerical examples. Then, some concluding remarks are summarized in the last section.

3. Formulation of Partial Disassembly Optimization Problem

3.1. Disassembly Sequence and AND/OR Graph
For a given return, the feasible disassembly sequence is restricted to the design of that
product. After specifying the structure of a product, it is prerequisite to develop the relations
4 Mathematical Problems in Engineering

V5 : extension card
V10 : power supply 0
V4 : extension card E2, 3 : insert E0, 10
V3 : extension card d e f h E2, 4 : insert
10 E0, 5
E2, 5 : insert
5 E0, 11 E0, 3
10 E0, 3 : screw 5
4
c E0, 4 : screw 11
V2 : system board 3 m E0, 4 E2, 5
b V1 : drive case E0, 5 : screw E0, 1
E0, 2
11 E0, 2 : screws E2, 3
a 6 E1, 6 3
g
z E0, 11 : screws E1, 7 1
V11 : drive bay 2 1
y E1, 7 : screws
E1, 9 : screws 7 2 4
n
k 6 7 i E1, 6 : screws E1, 8 E E2, 4
1, 9
0 E1, 8 : screws 8
V0 : main case l 8 9 j x 9
E0, 10 : screws
E0, 1 : screws
V7 : floppy drive
V6 : hard drive V8 : sucket V8 : sucket

(a) (b)

Figure 2: a The structure and b component-fastener graph for a partially disassembled PC 24.

ABCDEF E
F D
1
1 2

ABCDE ABCDF
2 B A
3 4 3 C
A = 10
ABCD (a)
B = 11 12 4 11
C = 12
D = 13 1 2 3 4 5 6 7 8 9 10 11 12 13
5 1 −1 −1 . . . . . . . . . . .
E = 14 13
F = 15 2 1 . −1 . . . . . . . . −1 .
3 . 1 . −1 . . . . . . −1 . .
4 . . 1 1 −1 . . . . . . . −1
ABF BCD
5 . . . . . −1 . . . . 1 . .
5 6
6 . . . . 1 . −1 . . . . 1 .
7 . . . . . 1 . −1 . . . . 1
6 7
8 . . . . . . . . −1 . . 1. .
9 . . . . . . 1 . . −1 1 . 1
10 . . . . 1 . . 1 1 . . . .
AB AE CD 11 . . . . . . 1 1 . . . . .
12 . . . . . . . . . 1 . . .
7 8 9
13 . . . . . . . . . 1 . . .
8 9 10
14 . 1 1 . . . . . 1 . . . .
15 1 . . 1 . 1 . . . . . . .

(b) (c)
Figure 3: a The structure, b AND/OR disassembly tree, and c transition matrix for a ballpoint 21.

between subassemblies and parts where separation operations are possible. A component-
fastener graph can be used to represent the assembly relationship 23, 24. As shown in
Figure 2, if two components are attached or joined by fasteners, then these two components
are connected by an undirected edge in the component-fastener graph.
A disassembly AND/OR graph is another useful representation for all possible
disassembly sequences. An AND/OR graph is a directed hypergraph where subassemblies
are represented as nodes. If more than one subassembly/part can be separated from a
parent assembly in one disassembly operation, a hyperarc AND arc is used to indicate
this operation and connects the parent node to all child nodes. Otherwise, a directed arcs
OR arcs are used. Figure 3a illustrates the drawing of a ballpoint product with associated
AND/OR graph in Figure 3b. The assembly {ABCDE} yields two subassemblies {BCD}
and {AE} through the disassembly operation {12}, and this operation is represented as an
AND arc “∪” arc. Moreover, this hypergraph is compact which requires a reduced number
of nodes/arcs to enumerate all partial sequences of disassembly operations 25.
This AND/OR graph can also be represented completely via a transition matrix T .
Suppose I be the set of subassemblies/subparts and J be the set of operations, the element Tij
has a value of 1 if a subassembly i ∈ I is released by some operation j ∈ J or −1 if subassembly
Mathematical Problems in Engineering 5

i ∈ I is to be dismantled via operation j ∈ J. Figure 3c defines the associated transition

matrix for the ballpoint product in Figure 3a, where I  {1 · · · 15} and J  {1 · · · 13}. For
example, the operation j  12 will dismantle one subassembly i  2 or assembly {ABCDE},
for two corresponding subassemblies i  6 and i  8 or assemblies {BCD}, and {AE},
respectively.

3.2. Mathematical Model

The partial disassembly optimization problem considered in this research is defined as a
single-period partial disassembly optimization SPPDO problem. The problem assumed
that the disassembly decision is to consider myopic optimal sequences given the quantity of
returned products and the demands for reusable subparts in the period. For the product with
I as the set of feasible subassemblies/subparts and J as the set of disassembly operations,
two more sets are defined as follows: I0 as the set of original products, I0 ⊆ I; If as set of
reusable subparts or target subparts, If ⊆ I.
Consider the AND/OR graph G for this returned product with I nodes and J arcs
and the transition matrix T for the product. A feasible disassembly sequence to retrieve
reusable parts from a returned product can be defined as a path from a source node in I0
to the corresponding target nodes in If . Let cj be the cost of operation j, and cj ≥ 0, for all
j ∈ J. In this model, the available quantity is defined as a negative number bi ≤ 0, for original
returns i, for all i ∈ I0 . For each reusable subpart i, the demand is defined as bi ≥ 0, for all
i ∈ If . Intermediate subassembly has zero demand; that is, bi  0, for all i ∈ I \ {I0 ∪ If }.
Without loss of generality, we assume that this model has enough supply of original returns;

that is, i∈I bi ≤ 0. Suppose yj be the number of operation j, j ∈ J, needed in this planning
period, then an optimal partial disassembly sequence with minimum total disassembly cost
can be obtained by solving the formulation proposed as follows:

SPPDO


Minimize cj · yj , 3.1
j∈J

Subject to Tij · yj ≥ bi , ∀i ∈ I0 ∪ If , 3.2
j∈J
  
Tij · yj ≥ 0, ∀i ∈ I \ I0 ∪ If , 3.3
j∈J

yj ≥ 0 and integer ∀j ∈ J. 3.4

This SPPDO model is a generalized minimum cost flow problem where the arc in a graph
include both hyperarcs AND arcs and regular directed arcs OR arcs. The constraint set
3.2 is to ensure that the demands of reusable subparts are fulfilled or the required quantities
for original returns are still sufficient. The constraint sets 3.3 and 3.4 are nonnegative
constraints on the resulting quantity of intermediate subassemblies/parts and the number
of operations needed. It is worth noting that this AND/OR graph is acyclic, and the sum of
degrees from all nodes might not be zero. Further note that, since the transition matrix T does
6 Mathematical Problems in Engineering

not have the property of total unimodularity, this SPPDO formulation can only be solved as
a pure integer programming IP problem.
In the literature, a searching algorithm for an AND/OR graph with different inter-
pretation is available, but it is not applicable to solve the SPPDO problem directly. AND/OR
graph is often used to represent a problem-solving process which transforms the original
problem into several subproblems 28, 29. Each node represents a distinct problem. The node
represents the original problem is referred to as the starting node or root node. A terminal
node, or leaf node, in this graph represents a problem whose solution is either known to exist
or not to exist. A directed arc is linked from a node problem to its associated successive
nodes subproblems. For an OR arc, the problem is solved when the immediately successive
subproblem is solved. If the problem is linked by an AND arc, the problem is only solved
when all the successive subproblems are solved. Hence, the solution for the original problem
is to search for a tree that connects the root node with terminal nodes only 28.
Zhang and Kuo 23 had extended this searching algorithm in finding a solution
tree from an AND/OR graph to obtain the optimal assembly sequence toward the final
product. Even with the assumption of reversible operation, the sequence obtained from
the solution tree might not be directly used for generating disassembly sequence if partial
disassembly is allowed. The main reason is that the disassembly level needs to be identified
if full disassembly is not desirable. The selection in a proper set of terminal nodes can
be combinatorial 25. Considering the example as in Figures 4a and 4b, the searching
algorithm can be used to find the best trees for the assembly operations from leaf nodes to
the root node as in Figure 5. But to retrieve a stick from the returned problem, the optimal
sequences for partial disassembly operations {1}, {8} or {4}, {7} can only be obtained if
and only if the set of terminal nodes selected are {7, 9, 10} or {6, 10, 12}, respectively.

3.3. Label Correcting Algorithm

Here we propose a label correcting algorithm to find an optimal disassembly sequence from
an AND/OR graph. This algorithm maintains a label Li  di , pi  for each node i, i ∈ I,
where di is the minimum disassembly cost to retrieve node i from some starting node in Is ,
and pi is the set of immediately predecessor nodes in the shortest path. Let fj and tj
denote the from-node and to-node of some arc j, j ∈ J. Further, Fi  {j ∈ J : fj  i} and
Ri  {j ∈ J : tj  i} define the forward star and reverse star for each node i, i ∈ I. The
detailed steps of this algorithm are as follows.

Initialization
For each source node k in k ∈ Is , set the minimum cost dk  0, the predecessor set pk  φ, and
update the set of labelled node L  L ∪ {k}. For node k in I \ Is , set the minimum cost dk  ∞,
the predecessor set pk  φ. Select the first labelled node k in L.

Step 1. Determine the set Sk for unlabelled nodes that are immediately connected from node
k; that is, Sk  {n | n ∈ tj, j ∈ Fk } \ L. If Sk is not empty, then go to Step 2. Otherwise, go to
Step 3.

Step 2. For each node i in Sk , do the following

1 For each arc j where j ∈ Fk ∩ Ri , if dk cj < di , update the minimum cost di  dk cj
and set pi  {k}. Otherwise, if dk cj  di , then update pi  pi ∪ {k}.
Mathematical Problems in Engineering 7

Cap Stick Receptacle Handle

a
1

Cap Stick Receptacle Handle

[0, φ]
1 2 3 4

2 3

[5,{1}] [0, φ]
5 6 8 9
7 10
8
5 4

6 [6,{3}] 7

[7,{1}] 11
[7,{1,2}] [2,{3}]
13 14
15
[7,{1,3}]

9 10
12
Handle
Cap Stick Receptacle
[5,{1}]
[5,{1}] [2,{3}] [6,{7}]

b

Figure 4: a The structure and b the AND/OR disassembly tree for a simple product 25.

1 1

Cap Stick Receptacle Handle Cap Stick Receptacle Handle

4
1

3
2

8
7

7
6

14
13

9 10 12 9
11 10 11 12

Stick Receptacle Handle Receptacle

Cap Cap Stick Handle

a b

Figure 5: Alternated trees of disassembly sequence to remove the stick for the simple product in a 25.

2 Determine the set Ui for unlabelled nodes that are immediately connected toward
node i; that is, Ui  {n|n ∈ fj, j ∈ Ri } \ L. If Ui is empty, make node i as labelled
and update the set of labelled nodes L  L ∪ {i}.

Step 3. Mark the current node k as solved. Move to the next unsolved node in L as new node
k, go to Step 1. If all nodes are solved, stop.
8 Mathematical Problems in Engineering

If only original returns can be dismantle for reusable subparts, we have Is  I0 . For
any solved node i, the di from the label Li  di , pi  represents the minimum disassembly cost
to retrieve one subpart i directly from a starting assembly. Moreover, the complexity of this
procedure is polynomial bound by the number of nodes; that is, O|I|2  30.
Lemma 3.1. If only one target subpart has positive demand, the label correcting algorithm solves the
SPPDO problem.
Proof. In the SPPDO formulation, it is assumed that target subparts are retrieved from
returned products directly. If only one target subpart i has positive demand, it is equivalent
to find an optimal sequence of disassembly operations with the minimum total cost to reach
the destination node i from the source node. This minimum cost is also defined as di in the
label Li  di , pi  for node i, i ∈ If .
Lemma 3.2. If more than one target subpart has positive demands, then the corresponding di from
the label correcting algorithm for associated nodes forms an upper bound for the optimal solution in
the SPPDO problem. That is, suppose yj∗ , j ∈ J, be the optimal solution for the SPPDO problem, then
 
one has j∈J cj · yj∗ ≤ i∈If bi · di .

Proof. Suppose two target subparts, say l and m, l /  m, have positive demands. Let Pl 
{jl1 , jl2 , . . . , jlp } and Pm  {jm1 , jm2 , . . . , jmp } be the optimal disassembly sequences for node
l and node m, respectively. Without loss of generality, we assume that bl ≥ bm > 0. Suppose
there exists some node k ∈ tj , j ∈ Pl and also k ∈ fj , j ∈ Pm . Then the shortest disassembly
path from the source node to node k is overlapped in the optimal disassembly sequences from
the source node to node l and node m. Hence, an upper bound for the optimal disassembly

cost is j∈J cj · yj∗ ≤ bl · dl bm · dm  − bm · dk .
 
Moreover, it can be concluded that j∈J cj · yj∗  i∈If bi · di if and only if each original
return can be retrieved for no more than one target subpart only.

3.4. A Heuristic Procedure for Solving Partial Disassembly

Optimization Problem
Next, we presented heuristic procedure that utilizes the label correcting algorithm in the
previous section. This procedure is to find a good solution for larger instances of SPPDO
problem in a real-world setting within a reasonable computation effort. The detail of this
iterative procedure is described as follows.

Initialization
Apply the label correcting algorithm with Is  Io to obtain the initial labels Li  di , pi  for all
subparts i, i ∈ I. Set the variable yj  0, j ∈ J. Let xi be the quantity of subassembly i available
 
for further dismantle, set xi  0, i ∈ I, and xi  |bi |, i ∈ I0 . Note that i∈I0 |bi | ≥ i∈If bi .

Phase 1 Path construction. Select a target node i which has the maximum total potential cost
in unfulfilled demand; that is, i  argk∈If max{bk − xk  · dk | bk > xk }. Break ties arbitrarily.

Obtain the minimum cost disassembly sequences, Pi  {ji1 , ji2 , . . . , jip }, which forms a
directed path from source node s, s  fji1  toward the demand node i; i ∈ tjip . Break ties
arbitrarily. Find the maximum flow for this path, Δ  min{xs , bi − xi }.
Mathematical Problems in Engineering 9

For each arc j, j ∈ Pi , start from the first arc, perform the following updates sequen-
tially.

yj  yj Δ,
 
xk  xk − Δ, if k ∈ f j , 3.5
 
xk  xk Δ, if k ∈ t j .

Phase 2 Termination test. Update the total disassembly cost z  z Δ · di and check for any
unfulfilled demand; that is, xk < bk , k ∈ If . If all demands are fulfilled, then stop. The current
solution of yj , j ∈ J, is feasible for the SPPDO problem.
Otherwise, update the set of source nodes to include intermediate nodes with positive
quantity; that is, Is  I0 ∪ {k}, if xk > 0 for k ∈ I \ {I0 ∪ If }. Update labels Li  di , pi  for all
subparts i, i ∈ I using the label correcting algorithm in Section 3.3 with the new set of source
nodes Is . Go to Phase 1.
Lemma 3.3. The objective value of solution obtained from this heuristic procedure, referred to as zH ,
is at least as good as that obtained from the label correcting algorithm, referred to as zLC .

Proof. In Phase 2, the labels for subparts are altered only when there exists some intermediate
subassembly with positive quantity to be further dismantled for those target subparts
with lower costs. Otherwise, the initial labels remain unchanged. So, the contribution of
disassembly cost for a target subpart in zH is no higher than that in zLC .

Furthermore, let z∗  j∈J cj · yj be the optimal solution for the SPPDO problem and

zLC  i∈If bi · di . We have z∗ ≤ zH ≤ zLC from Lemmas 3.2 and 3.3.

4. Numerical Examples
In this section, the simple product in Figure 4a is used to demonstrate how the heuristic
procedure in Section 3.4 works to generate partial disassembly sequences for the SPPDO
problem. There are totally twelve different subassemblies, I  {1, . . . , 12}. The original
return is represented by node {1}, and reusable subparts are nodes {9}, {10}, {11}, {12} for
cap, stick, receptacle, and handle, respectively, that is, I0  {1} and If  {9, 10, 11, 12}. A total
of fifteen disassembly operations can be used to dismantle this product, J  {1, . . . , 15} with
the associated costs C  {5, 7, 7, 5, 6, 7, 2, 2, 7, 6, 2, 1, 4, 4, 1}.
The construction of labels using the label correcting algorithm is shown in Figure 6.
The minimum disassembly cost to retrieve node {10} stick is 7 with two alternative optimal
disassembly sequences: P10  {4, 7} or P10  {1, 8}. This optimal solution is consistent with
observation in Section 3.2.
Next, we demonstrate the use of heuristic algorithm with the consideration of the
following demands for target subparts: three caps node{9} and one stick node{11}; that
is, b9  3. b11  1. It implies that the supply of original returns should be at least four; that
is, b1  −4. In the initialization step, all variables x, y are set to zero except x1  4 and the
initial labels are obtained from Figure 6. In Phase 1, since node {9} cap has a higher total
unfulfilled cost than node {11} stick, node {9} is selected along with the associated directed
10 Mathematical Problems in Engineering

Initialization Iteration 1:
1 1
Cap Stick Receptacle Handle Cap Stick Receptacle Handle

[0, φ], labeled [0, φ], labeled, solved C4 = 5

C1 = 5 1 2 3 4

C2 = 7 C3 = 7

2 3 2 3
[∞, φ] [∞, φ] [5,{1}], labeled [5,{1}], labeled

8 8
5 4 5 4
6 [∞, φ] 7 6 [∞, φ] 7
[∞, φ] [7,{1}]
[∞, φ] [∞, φ] [7,{1}] [7,{1}]
[∞, φ] [7,{1}]

9 12 9 12
10 11 Handle
Cap
10 11 Handle
Cap
Stick Receptacle
[∞, φ] Stick Receptacle
[5,{1}]
[∞, φ] [5,{1}] [∞, φ] [∞, φ]
[∞, φ] [∞, φ]
Iteration 2: Iteration 3:
1 1
Cap Stick Receptacle Handle Cap Stick Receptacle Handle

[0, φ], labeled, solved C4 = 5 [0, φ], labeled, solved C4 = 5

C1 = 5 1 2 3 4 C1 = 5 1 2 3 4

C2 = 7 C3 = 7 C2 = 7 C3 = 7

2 3 2 3
[5,{1}], labeled, solved [5,{1}], labeled, solved [5,{1}], labeled, solved
[5,{1}], labeled C8 = 2
C5 = 6 5
6 7 C7 = 2 C5 = 6 5 6 7 8 9 C =6
10 10
8 C9 = 7 8
5 C6 = 7 4 5 C6 = 7 4
[11,{2}] 7 [11,{2,3}], labeled
6 6 7
[7,{1}], [7,{1}],
labeled [7,{1,2}], labeled [7,{1}] labeled [7,{1,2}], labeled [7,{1,3}], labeled
[7,{1}] [7,{1}],
labeled

9 12 9 12
Cap
10 11 Handle 10 11 Handle
Cap

[5,{1}]
Stick Receptacle Stick Receptacle

[5,{1}] [7,{ 2}] [12,{2}] [5,{1}] [7,{2,3}] [12,{2,3}] [5,{1}]

Final solution (at iteration 8):
1

Cap Stick Receptacle Handle

[0, φ], labeled, solved
C1 = 5 C4 = 5
1 2 3 4

C3 = 7
C2 = 7

2 3

[5,{1}], labeled, solved [5,{1}], labeled, solved

C7 = 2 C8 = 2 9 C =6
5 6
C5 = 6
7 8 10 10
C9 = 7 8
5 C6 = 7 4

[11,{2,3}], labeled, solved

[7,{1}], labeled, 6 7
solved C11 = 2
[7,{1,2}], labeled, solved [7,{1,3}], labeled, solved [7,{1}],
11 labeled,
12 13 14 C14 = 4 solved
C12 = 1
C13 = 4 15
C15 = 1

9 12
Cap 10 11 Handle

[5,{1}], labeled, solved Stick Receptacle [5,{1}], labeled, solved

[7,{2,3}], [11,{6,7}],
labeled, solved labeled, solved

Figure 6: Brief illustration of stepwise label correcting algorithm for the product structure as in Figure 5a.

path P9  {1}. Calculate the flow Δ  min{x1 , b9 − x9 }  min{4, 3 − 0}  3 on this path.
Since P9 has only one arc j  1, update the solution y1  3, x1  4 − 3  1, x3  3, and x9  3.
Continue to Phase 2 to check for the termination criteria. Update the current total
disassembly cost z  z Δ · d9  0 3 ∗ 5  15. There still exists unfulfilled demand since
x11  0 < b11 . So, first update the set of source nodes Is  {1, 3} to include the intermediate
node {3} as x3  3 > 0. Then labels for subparts are updated using the label correcting
Mathematical Problems in Engineering 11

Cap Stick Receptacle Handle

[0, φ]

C1 = 5 4 C4 = 5
1 2 3

C2 = 7 C3 = 7

2 3

[5,{1}] [0, φ]

C7 = 2 C10 = 6
5 6 C8 = 2 8 9
7 10
C5 = 6 C6 = 7 C9 = 7 8
5
4

[6,{3}]
[7,{1}] 6 7

[7,{1,2}] C11 = 2 [2,{3}] [7,{1,3}]

11

12 14
C14 = 4
13
C12 = 1
C13 = 4 15
C15 = 1

9 12
10
11 Handle
Cap
[5,{1}]
[5,{1}] Stick Receptacle
[2,{3}] [6,{7}]

Figure 7: Updated labels with an additional source node {3} as in the shaded area.

algorithm. It is worth noting that, as shown in Figure 7, not every label is changed, and the
effected nodes with associated arcs are shown in bold in the shaded area.
In the second iteration, select node {11} to fulfil the remaining demand b11  1 with
the disassembly path P11  {8, 14}. Calculate the maximum flow Δ  min{x3 , b11 − x11 } 
min{3, 1−0}  1 and update the solution starting from the first arc j  8: y8  1, x3  3−1  2,
x7  1, and x10  1. Then update for the second arc j  14: y14  1, x7  1 − 1  0, x11  1,
and x12  1. This procedure terminates since all demands are fulfilled with the total cost
z  15 1 ∗ 6  21. The resulting quantities of subparts are x1  1, x3  2, x9  3, x11  1, and
x12  1, and the required disassembly operations are y1  3, y8  1 and y14  1 for three caps
and one stick.

5. Conclusions
In this paper, we investigate a single period partial disassembly optimization SPPDO
problem to generate an optimal disassembly sequence in product recovery of the end-of-life
EoL products. An AND/OR graph representation and associated transition matrix are used
in the mathematical formulation of the SPPDO problem to minimize the total disassembly
cost. Since the transition matrix does not have the property of total unimodularity, this
SPPDO model can only be solved as a pure integer programming IP problem, which is
NPcomplete.
A label correcting algorithm is proposed to find an optimal disassembly sequence
when the reusable subpart is retrieved directly from original return. To solve the SPPDO
12 Mathematical Problems in Engineering

problem in general case, this paper presents a heuristic procedure that utilizes this poly-
nomial-time algorithm to find a solution. This heuristic procedure can quickly provide a good
disassembly plan for problems with more complicated disassembly structures in a real-world
setting within a reasonable computation effort. It can be further integrated in the production
planning for end-of-life EoL products to improve the profitability of product recovery.

Acknowledgment
This research was supported by the National Science Council of Taiwan, China, under Grant
no. NSC 98-2218-E-027-019.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 923023, 18 pages
doi:10.1155/2012/923023

Research Article
Improved Degree Search Algorithms in
Unstructured P2P Networks

Guole Liu,1, 2, 3 Haipeng Peng,1, 2, 3 Lixiang Li,1, 2, 3

Yixian Yang,1, 2, 3 and Qun Luo1, 2, 3
1
Information Security Center, Beijing University of Posts and Telecommunications,
P.O. Box 145, Beijing 100876, China
2
Research Center on Fictitious Economy and Data Science, Chinese Academy of Sciences,
Beijing 100190, China
3
National Engineering Laboratory for Disaster Backup and Recovery,
Beijing University of Posts and Telecommunications, Beijing 100876, China

Correspondence should be addressed to Haipeng Peng, [email protected]

Received 1 November 2011; Revised 21 February 2012; Accepted 14 April 2012

Academic Editor: Yi-Chung Hu

Copyright q 2012 Guole Liu et al. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

Searching and retrieving the demanded correct information is one important problem in networks;
especially, designing an efficient search algorithm is a key challenge in unstructured peer-to-peer
P2P networks. Breadth-first search BFS and depth-first search DFS are the current two typical
search methods. BFS-based algorithms show the perfect performance in the aspect of search
success rate of network resources, while bringing the huge search messages. On the contrary, DFS-
based algorithms reduce the search message quantity and also cause the dropping of search success
ratio. To address the problem that only one of performances is excellent, we propose two memory
function degree search algorithms: memory function maximum degree algorithm MD and mem-
ory function preference degree algorithm PD. We study their performance including the search
success rate and the search message quantity in different networks, which are scale-free networks,
random graph networks, and small-world networks. Simulations show that the two performances
are both excellent at the same time, and the performances are improved at least 10 times.

1. Introduction
Searching and retrieving the demanded correct information is becoming more and more
important with the emergence of the huge amounts of information and the growth in the
size of computer networks 1. Especially, in unstructured P2P networks, the node’s joining
and failure are both random and dynamic 2, and in this case, it is unfeasible and unpractical
that each node of the network has known and stored the global information about the whole
2 Mathematical Problems in Engineering

network topology and the location of queried resources. Thus, designing efficient search algo-
rithms according to the local network information is critical to the performance of unstruc-
tured P2P networks.
Considerable amount of work has been done in this field, so far, a number of search
algorithms have been proposed, including BFS algorithm 1, modified BFS algorithm 1,
3, 4, local search algorithm 5, 6, rumor broadcasting algorithm 7–10, the betweenness
11, 12, shortest path algorithm 13, iterative deepening algorithm 1, 14, 15, update propa-
gation algorithm 16, and random walks search 17–30. These search algorithms can be
classified into two categories: BFS-based method and DFS-based method. Although these
algorithms achieve relatively satisfying effects, these two types of search algorithms tend to
be inefficient, either generating too much load on the networks 1, 2 or not meeting the search
success rate of network resources. On the one hand, BFS-based algorithm shows the perfect
performance in the aspect of search success rate of network resources, but at the same time,
it brings the huge search messages. The number of search messages will grow exponentially
with the hop counts in the search process 17, 18. On the other hand, DFS-based algorithm
generates the search message quantity far smaller compared with BFS-based algorithm, and
the search message quantity will grow linearly with the hop counts 20. The main drawback
is to drop the search success ratio of network resources.
The references 3, 4, 7–10, 17–30 adopt the BFS-based method or DFS-based method
to achieve their goal, respectively, but do not overcome the problem that only one of perfor-
mances of the network loads, and the search success rate is excellent. To address this problem,
in this paper, according to the degree of nodes 2, we propose memory function maximum
degree algorithm MD and memory function preference degree algorithm PD. These two
algorithms can combine the advantages of the BFS-based algorithm and DFS-based algo-
rithm, which can be efficiently used to search random graph 31, 32 networks and power-law
networks such as scale-free networks and small-world networks 33, 34. We have studied
their performances in the search success rate of network resources and the search message
quantity. Simulations illustrate their validity and feasibility. The results show that MD
algorithm is better than PD algorithm in the search success rate. The search success rate of MD
algorithm is average 14 times better than the standard random walks algorithm; the search
message quantity is the same order of magnitude with it. Compared with modified BFS
algorithm, the search success rate of MD algorithm is higher than it, and the search message
quantity averagely reduces by over 18 times. Although PD algorithm can reduce the huge
search message quantity, the search success rate of it is inferior to the modified BFS algorithm.

2. The Improved Degree Algorithms Methods

The degree of a node in a network sometimes referred to as the connectivity of a graph is
the number of connections or edges the node has to other nodes. The degree of a node is an
important index for some problems, which is used to measure the importance of the node.
For the aspect of information transmission speed, the more edges connected to the node,
the faster information dissemination by the node. Namely, the node is more important. For
the aspect of the shortest path viewpoint, the greater betweenness centrality, the more impor-
tance of the node. Meanwhile, the degree of the node may be very small. Considering these,
adopting the idea of assigning unique ID to each node in unstructured P2P networks,
we, respectively, propose the memory function maximum degree algorithm MD and the
memory function preference degree algorithm PD. In the context, “Memory function” has
two aspects contents. The first is that one node needs to store its neighbors’ ID and degree
Mathematical Problems in Engineering 3

information. The second is that one node has to remember the return node’s ID according
to its memory information. This requires the nodes of networks to save their neighbors’ ID
and, at the same time, save their related degree information. It is the advantage of these
two algorithms from the point of view reducing the unnecessary search messages, and it is
the shortcoming from the point of view occupying the storage space. Compared with the MB
algorithm and the random walks algorithms, they double the storage space. In the context, the
degree of a node is the number of connections or edges the node has to other nodes, including
the traversed nodes.

2.1. The Memory Function Maximum Degree Algorithm

In this strategy, when a node starts the resource search procedure, it firstly traverses all its
adjacent nodes according to the BFS method to determine whether they contain the resources
or not. If all the neighbors do not contain the resources, it changes the flag of its neighbors
to denote that these nodes have been traversed, then broadcasts the search messages along
directions of nodes with the highest degree according to DFS method, and updates the flags to
denote that message has passed these nodes. When the procedure is over, all the flags recover
zero. If it does not find the resource along directions of nodes with the highest degree, the
search message will return the precursor node and broadcast along its neighbor node with the
second highest degree. This procedure will stop until the age counter is increased to threshold
or all the nodes in the network have been traversed. In extreme cases, when the neighbor’s
degrees are all the same, the algorithm degenerates into the standard BFS algorithm. When all
the nodes’ degrees are different, the algorithm degenerates into the standard DFS algorithm.
In the context, assuming that the red node is the source node and the blue node is the
resource node, the green nodes are the intermediate nodes passed by search messages in the
process. The orange nodes are the labeled nodes that can be found, which do not need to send
the search messages. The digits on the top of arrows are the age values. The solid line arrows
represent the spread direction of messages, and the dotted line arrows denote the direction
of response messages.
Figure 1 shows the search process that MD algorithm search the resource node located
in the path composed by the highest-degree nodes. Figure 1a is the first step; unlike the
maximum degree algorithm 11, node 1 firstly traverses all its neighbors and ascertains
whether the neighbors have the resource or not. All its neighbors do not contain the resource,
and node 1 changes the flags of its neighbors according to BFS method; then according to DFS
method it broadcasts the search message to node 3 whose degree is the highest among the
neighbors. Figures 1b and 1c repeat the search process. In Figure 1d, the search message
finds the resource node and responds to the required message.
This algorithm has two aspects of difference compared with the maximum degree
algorithm. On the one hand, in maximum degree algorithm the search message broadcasts
along the nodes with highest degree. Although, a node can send several messages to its
neighbor’s nodes at the same time it has the neighbors with the same highest degree, the
algorithm does not search resources according to BFS method in essence. Thus, the maximum
degree algorithm can only find the resource nodes located in the path composed by the high-
est degree nodes. By querying neighbors first before sending out search messages, MD algo-
rithm provides higher success rate. So the search success ratio of maximum degree algorithm
is inferior to that of MD algorithm. Figure 2 shows the search process of the maximum degree
algorithm and the difference compared with the MD algorithm. Figures 2a–2d are the
search process of the maximum degree algorithm. Figure 2a is the first step; the degree
4 Mathematical Problems in Engineering

2 5 8 2 5 8

1 1 2
1 3 6 9 11 1 3 6 9 11

4 7 10 4 7 10

(a) (b)

2 5 8 2 5 8

1 2 3 4 1 2 3
1 3 6 9 11 1 3 6 9 11

3 3
4 7 10 4 7 10
4
(d) (c)

Figure 1: Search process of the MD algorithm.

of node 3 is the largest, so the search message is sent to node 3. Figure 2b is the second
step; node 3 sends the search message to node 6. Figure 2c is the third step; the neighbor’s
nodes of node 6 have the same degree, and it sends two search messages to the neighbors.
Figure 2d is the forth step; the algorithm returns failed. If the resource is located in the
path composed by the highest-degree nodes, such as node 3, 6, 7, 9, 10, and 11, the maximum
degree algorithm can easily find these nodes. Figures 2e and 2f are the difference with MD
algorithm. Obviously, the MD algorithm easily finds the resource node. The maximum degree
algorithm searches the resource in failure, while MD algorithm searches the same resource in
success.
On the other hand, MD algorithm can search more resources according to the memory
of the ID and degree information. Figure 3 shows how to search the resource node with mem-
ory function using MD algorithm, assuming that the age value is large enough. In Figure 3a,
the source node 1 traverses all its neighbors and labels the neighbors according to BFS
method; then according to DFS method it broadcasts the search message to node 3 whose
degree is the highest among the neighbors. Figures 3b–3d repeat the search process. In
Figure 3e, node 7 and node 11 are the terminal nodes; the search messages return node 9 and
node 10 according to the memory information which are the ID information of their precur-
sors. Node 9 and node 10 remember the returned node’s ID, which the search messages do not
broadcast along the direction of these nodes. In Figure 3f, the neighbors of node 9 and node
10 are all traversed, so the search messages continue to return. In Figure 3g, the search mes-
sage returns to node 3. In Figure 3h, the search message will broadcast along the node with
the second highest degree, because it does not find the resource along the direction of nodes
with the highest degree. In Figure 3i, the search message finds the resource node, then node
8 responds to the required messages.
In summary, MD algorithm can search both categories resource nodes: highest degree
nodes and nonhighest degree nodes. It labels the nodes with different flags and uses the
nodes’ ID to reduce messages and, at the same time, to improve the search success ratio.
Mathematical Problems in Engineering 5

2 5 8 2 5 8

1 1 2
1 3 6 9 11 1 3 6 9 11

4 7 10 4 7 10

(a) (b)

2 5 8 2 5 8

1 2 3 4 1 2 3
1 3 6 9 11 1 3 6 9 11

3 3
4 7 10 4 7 10
4

(d) (c)

2 5 8 2 5 8

2
1 1
1 3 6 9 11 1 3 6 9 11

4 7 10 4 7 10

(e) (f)

Figure 2: Search process of the maximum degree algorithm and the difference with the MD algorithm.

2.2. The Memory Function Preference Degree Algorithm

Compared to MD algorithm, the difference of PD algorithm is the search process. In the
strategy of PD algorithm, when a node finds all the neighbors do not contain the resources, it
randomly chooses the corresponding node with the preference probability Π. Assuming
that the neighbors of the node A are A1 , A2 , . . . , An , and the degree of these neighbors are
d1 , d2 , . . . , dn , these degrees meet d1 ≤ d2 ≤ · · · ≤ dn . How to choose the preference node Ai is
to compute as follows:


n
d di , i 1, 2, . . . , n,
i 1
2.1
di
Πi , i −→ Ai .
d

In the worst conditions, the PD algorithm degenerates into the standard DFS algorithm
for either same degree case or different-degree case. The search process of this algorithm is
6 Mathematical Problems in Engineering

2 5 8 2 5 8 2 5 8

1 1 2 1 2 3
1 3 6 9 11 1 3 6 9 11 1 3 6 9 11

3
4 7 10 4 7 10 4 7 10

(a) (b) (c)

2 5 8 2 5 8 2 5 8

1 2 1 2 3 1 2 3 4
1 3 6 9 11 1 3 6 9 11 1 3 6 9 11
6 5 5

3
9
6

4 10 7 10 4 7 10 7 11 4 7 10
5 5 4

(f) (e) (d)

9
2 5 8 2 5 8 2 5 8
8 8
1 1 1
1 3 6 9 11 1 3 6 9 11 1 3 6 9 11
7 6 5 7 6 5 7 6 5
6

6
6
6
4 7 10 4 7 10 4 7 10
5 5 5

(g) (h) (i)

Figure 3: Process of the MD algorithm searching the resource node with memory function.

2 5 8 2 5 8
p2
p1 p1
1 3 6 9 11 1 3 6 9 11
p′

4 7 10 4 7 10

(a) (b)

p3 p3
2 5 8 2 5 8
p2 p2
p1 p1
1 3 6 9 11 1 3 6 9 11

4 7 10 4 7 10

(d) (c)

Figure 4: Search process of the PD algorithm.

random, so the success rates are stochastic. The search process of this algorithm is shown
in Figure 4. Unlike the MD algorithm, it randomly generates a preference probability p
according to the neighbor nodes’ degree. Figures 4a–4d are the specific process in the ideal
conditions. In Figure 4b, if the node 3 chooses the neighbor node 6 according to the stochas-
tic preference, this algorithm will search resources in failure. It is shown as the dotted line box
in Figure 4b.
Mathematical Problems in Engineering 7

ID Degree Neighbor ID Neighbor degree Traverse flag Returned ID Resource key

Figure 5: List of message type.

3. Simulations and Discussions

Search message quantity, network resource search success rate, and search response time are
the key parameters in unstructured P2P networks. Random graphs 31, 32 are widely used
models, which help the study of the network. Because the degree distribution of the Internet
nodes presents a power-law distribution, scale-free network and small-world network
33, 34 are the typical network structure to study the Internet. In this section, scale-free BA
network, Watts-Strogatz WS small-world network, and ER random graph network are
taken as the examples of network models, and numerical simulations are given to study these
parameters. All the parameters are contrasted under the condition of search success. The
maximum age is chosen 100 in the simulations. The complete list of message type is shown in
Figure 5. The “traverse flag” of the list denotes the status of this node. When its value is 0, the
node is not traversed. When its value is 1, the node is traversed and the search message does
not pass the node. When its value is 2, the node is traversed and the search message passes
the node.

3.1. Search Messages Quantity

In modified BFS algorithm MB, each node instead of forwarding a search message to all its
neighbors, it randomly selects a subset of its neighbors to propagate the search request mes-
sages. The fraction of neighbors that are selected is a parameter to the mechanism. Given a
P2P network, a node can search the others of the network more efficiently with a smaller num-
ber of messages compared with the standard BFS algorithm. So the total number of search
messages is average to


T
 age
φ d·q , 3.1
age 1

where T is the threshold, d is the average degree of a node, q in the chosen ratio and is general
not more than 0.5. Here it is 0.25 in our simulations.
When considering the random walks case, the requesting node sends out one search
message to a randomly chosen neighbor, that is, standard random walks algorithm. This
search message is seen as a walker. Then the walker directly keeps in touch with the source
node in the process of walking and asks whether to proceed to the next step. If the requestor is
agreed to continue walking the termination conditions have not been satisfied, it randomly
chooses a neighbor to forward the walker. Otherwise, the algorithm terminates the walking
process. The search message quantity of this algorithm is related to the age value; thus, it
reduces the network loads and achieves a message reduction by over an order of magnitude
compared to the standard BFS algorithm it is also called flooding search algorithm in some
literatures 1, 2. In order to improve the search success rate, the requesting node sends
out k search messages to its k neighbors, that is, k random walks algorithm, assuming that
8 Mathematical Problems in Engineering

the number of search messages for each hop keeps fixed as k, that is, the number of walkers.
Therefore, the total number of search messages for random walks algorithm is


T
φ k · age, k 1, 2, . . . , N, 3.2
age 1

where T is the threshold of age. When the walker k meets k 1, it is standard random walks
algorithmR1, and when k meets k > 1, it is k random walks algorithm RK. k is general
not more than 16 22, and here it is 4 in our simulations.
In degree search algorithms, the query messages spread to these neighbor’s nodes with
the characteristics the preference degree or the maximum degree every step in the search
process. In the context, degree search algorithms include the MD and PD. The characteristics
include the maximum degree and preference degree. So the total number of search messages
for degree search algorithms is


T
φ m · age, 3.3
age 1

where m is the number of nodes with the characteristics. For instance, in Figures 1a and
1b, m value is 1 because the number of nodes with the maximum degree is 1. In Figure 1c,
m value is 2 because node 9 and node 10 have the same maximum degree.
Figure 6 shows the search message quantity φ generated by the various algorithms
in different topology networks, where the average degree D of the networks is chosen from
2 to 10. Figure 6a is the scale-free BA network, Figure 6b is the ER random graph network,
and Figure 6c is the WS small-world network. The number of nodes of the networks is 5,000.
Simulations show that in the three cases, the search message quantity is increasing
with the growth of the average degree of the networks. The search message quantity of MB
algorithm confirms the exponential growth, and random walk algorithms reduce the message
quantity into linear growth. The search message quantity of MD algorithm and PD algorithm
is slightly less than the standard random walks algorithm, but, in general, they are the same
order of magnitude according to the simulations. Due to memory function of MD algorithm
and PD algorithm proposed in this paper, they reduce unnecessary search messages in the
search process. Compared with k random walks algorithm, the search message quantity of
MD algorithm and PD algorithm is less. These two algorithms can decrease the message
quantity about 18 times than MB algorithm.

3.2. Search Success Rate

Search success is at least one request message sent from the requesting node seeks out the
requested resources. Assume that the queried resources are uniformly distributed in the
network with a replication ratio r. We calculate the search success rate Ψ according to the
following formula:

C·r
Ψ 3.4
N
Mathematical Problems in Engineering 9

×106 ×106
4.5 4.5
4 4

3 3
φ

φ
2 2

1 1

0 0
2 4 6 8 10 2 4 6 8 10
D D
a b
6
×10
4.5
4

3
φ

0
2 4 6 8 10
D

MD RK
PD MB
R1
c

Figure 6: Message quantity φ generated by the various algorithms in different topology networks.

where r is the replication ratio, C is the number of nodes covered by the algorithm, and N is
the total number of nodes of the network. This formula shows that the search success rate
highly depends on the coverage of the search algorithms. The age value determines the cover-
age of the search algorithms. MB algorithm, random walks algorithm, and PD algorithm have
random factors. Thus, their search success rates vary greatly depending on network topology
and the random choices which have been made.
According to the results of our simulations, the age value of the search algorithms is
not too large except the standard random walks algorithm. The maximum age value is chosen
100 in our simulations. In random walks algorithms, the walker k is chosen 4.
Figure 7 shows the search success ratio Ψ of the various algorithms in different
topology networks, where the average degree D of the networks is chosen from 2 to 10.
Figure 7a is the scale-free BA network, Figure 7b is the ER random graph network, and
Figure 7c is the WS small-world network. Simulations show that in the three cases, the
search success rates of the various search algorithms are increasing with the growth of the
average degree of the networks. The search success rate of MD algorithm is the highest; the
search success rate of RK algorithm is slightly higher than that of MB algorithm. The search
success rate of R1 algorithm is the least. The search success rate of PD algorithm is better than
the R1 algorithm and is inferior to the MB algorithm. The messages of MD algorithm can
10 Mathematical Problems in Engineering

0.8 0.8

0.6 0.6

0.4 0.4
Ψ

Ψ
0.2 0.2

0 0
2 4 6 8 10 2 4 6 8 10
D D
a b
0.8

0.6

0.4
Ψ

0.2

0
2 4 6 8 10
D

MD RK
PD MB
R1
c

Figure 7: Search success ratio Ψ of the various algorithms in different topology networks.

return the precursor, so it has more search scope. In RK algorithm, there are k random
walkers to search the resources at the same time; the success rate is higher than that of the R1
algorithm. The MB algorithm, a random algorithm, can find the resources quickly if these
resources locate in the chosen search paths. And it will generate the massive redundancy
messages if the chosen search paths do not exit the resources. In our simulation, we calculate
the mean value; the chosen proportion of MB algorithm is 0.25 and small, so the success rate
is slightly inferior to that of MD and RK algorithm.
Figure 8 shows the search success ratio Ψ of the various algorithms in scale-free BA
networks, where the age value is changed from 1 to 100. Figure 8a is the MD algorithm,
Figure 8b is the PD algorithm, Figure 8c is the R1 algorithm, Figure 8d is the RK algo-
rithm, and Figure 8e is the MB algorithm. We can see that all the search success rates are
increasing with the growth of the average degree. With the constraint of search ages, only the
search success rate of MB algorithm is not affected. In particular, in the same scale of network
and the same average degree of network, the search success rate of MD algorithm is the
highest among the five algorithms, that of R1 algorithm is the least, and the search success rate
of PD algorithm is between the R1 algorithm and the MB algorithm. To the search ages, the
age value of MB algorithm is the least when the search success rate reaches the maximum, and
the age value of R1 algorithm is the largest. The age values of MD algorithm and PD algorithm
are between the R1 algorithm and the MB algorithm.
Mathematical Problems in Engineering 11

1 0.5

0.8 0.4

0.6 0.3
Ψ

Ψ
0.4 0.2

0.2 0.1

0 0
1 10 20 30 40 50 60 70 80 90 100 1 10 20 30 40 50 60 70 80 90 100
Hops (age) Hops (age)
a b
0.3 0.8

0.6
0.2

0.4
Ψ

Ψ
0.1
0.2

0 0
1 10 20 30 40 50 60 70 80 90 100 1 10 20 30 40 50 60 70 80 90 100
Hops (age) Hops (age)
c d
1

0.8

0.6
Ψ

0.4

0.2

0
1 10 20 30 40 50 60 70 80 90 100
Hops (age)

D=2 D=8
D=4 D = 10
D=6
e

Figure 8: Search success ratio Ψ of the various algorithms in scale-free BA networks.

Figure 9 shows the search success ratio Ψ of the various algorithms in ER random
graph networks, where the age value is changed from 1 to 100. Figure 9a is the MD algo-
rithm, Figure 9b is the PD algorithm, Figure 9c is the R1 algorithm, Figure 9d is the RK
algorithm, and Figure 9e is the MB algorithm. The simulations show that the search success
rate is increasing with the growth of the average degree. In particular, in the same scale of
network and the same average degree of network, the search success rate of MD algorithm is
still the highest among the five algorithms, and that of R1 algorithm is the least. The search
success rate of PD algorithm is between the R1 algorithm and the MB algorithm. To the search
12 Mathematical Problems in Engineering

1 0.7

0.8
0.5
0.6

Ψ
Ψ

0.4 0.3

0.2
0.1
0 0
1 10 20 30 40 50 60 70 80 90 100 1 10 20 30 40 50 60 70 80 90 100
Hops (age) Hops (age)
a b
0.5 1

0.4 0.8

0.3 0.6

Ψ
Ψ

0.2 0.4

0.1 0.2

0 0
1 10 20 30 40 50 60 70 80 90 100 1 10 20 30 40 50 60 70 80 90 100
Hops (age) Hops (age)
c d
0.8

0.6

0.4
Ψ

0.2

0
1 10 20 30 40 50 60 70 80 90 100
Hops (age)

D=2 D=8
D=4 D = 10
D=6
e

Figure 9: Search success ratio Ψ of the various algorithms in ER random graph networks.

hops, the age value of MB algorithm is the least when the search success rate reaches the
maximum, and that of R1 algorithm is the largest. The age values of MD algorithm and PD
algorithm are between the R1 algorithm and the MB algorithm.
Figure 10 shows the search success ratio Ψ of the various algorithms in WS small-
world networks, where the age value is changed from 1 to 100. Figure 10a is the MD algo-
rithm, Figure 10b is the PD algorithm, Figure 10c is the R1 algorithm, Figure 10d is the
RK algorithm, and Figure 10e is the MB algorithm. We can see that the search success rate is
increasing with the growth of the average degree. In particular, in the same scale of network
Mathematical Problems in Engineering 13

0.8 0.5

0.4
0.6
0.3
0.4
Ψ

Ψ
0.2
0.2
0.1

0 0
1 10 20 30 40 50 60 70 80 90 100 1 10 20 30 40 50 60 70 80 90 100
Hops (age) Hops (age)
a b
0.2 0.8

0.15 0.6

0.1 0.4

Ψ
Ψ

0.05 0.2

0 0
1 10 20 30 40 50 60 70 80 90 100 1 10 20 30 40 50 60 70 80 90 100
Hops (age) Hops (age)
c d
0.8

0.6

0.4
Ψ

0.2

0
1 10 20 30 40 50 60 70 80 90 100
Hops (age)

D=2 D=8
D=4 D = 10
D=6
e

Figure 10: Search success ratio Ψ of the various algorithms in WS small-world networks.

and the same average degree of network, the search success rate of MD algorithm is the
highest among the five algorithms, that of R1 algorithm is the least, and the search success
rate of PD algorithm is between the R1 algorithm and the RK algorithm. To the search hops,
the age value of MB algorithm is the least when the search success rate reaches the maximum,
and that of R1 algorithm is the largest. The age values of MD algorithm and PD algorithm are
between the R1 algorithm and the MB algorithm.
In general, the search success rate of MD algorithm excels the MB algorithm and the
random walks algorithm in the same conditions. But considering the smaller value of age,
14 Mathematical Problems in Engineering

Table 1: The message quantity of the MD and MB algorithms in different topology networks.

D Algorithm Network topology Message quantity

BA 6.1986 × 104
MD ER 5.3581 × 104
WS 5.9506 × 104
D 4
BA 2.8833 × 105
MB ER 2.4758 × 105
WS 2.6752 × 105
BA 6.8913 × 104
MD ER 6.1551 × 104
WS 6.5726 × 104
D 6
BA 1.1347 × 106
MB ER 7.4835 × 105
WS 9.3142 × 105

0.3 0.15

0.25

0.2 0.1

0.15
Ψ
Ψ

0.1 0.05

0.05

0 0
1 2 4 6 8 10 1 2 4 6 8 10
Hops (age) Hops (age)
a b

Figure 11: Search success ratio Ψ of the MD and MB algorithms in different topology networks BA, ER,
and WS.

the success rate of MB is slightly higher than or equal to that of MD e.g., the success rate of
MB when the age value is 10 shown in Figures 8, 9, and 10. This is because the MD algorithm
does not have enough hops to return the nodes with second highest degree when it cannot
find the resource along the direction of nodes with highest degree. Thus, it returns search
failure. With the age increasing, the success rate of MD algorithm gradually transcends that
of MB algorithm. To PD algorithm, the search success rate is better than R1 algorithm but is
inferior to RK algorithm and MB algorithm.
It is obvious that the search success rate highly depends on the coverage of the search
algorithms defined by the age value. However, a large value of age will incur an essential
large response time for a requester to obtain search results. A smaller value of age is more
appropriate. Thus, we have given the MD and MB algorithm success rate and message quan-
tity in the case of small age value. The response time of these two algorithms is very short
and almost the same. The results are shown in Figure 11 and Table 1. From Figure 11, we
can see that the success rate of MD algorithm is slightly better than that of MB algorithm
when the average degree is small. Instead, the success rate of MB is higher when the average
degree is large. And at the same time, MB algorithm generates a mass of messages as shown
Mathematical Problems in Engineering 15

1500 1500

1000 1000
(ms)

(ms)
500 500

0 0
2 4 6 8 10 2 4 6 8 10
D D
a b
1500

1000
(ms)

500

0
2 4 6 8 10
D

MD RK
PD MB
R1
c

Figure 12: Average response time generated by the various algorithms in different topology networks.

in Table 1; it is about 15 times higher than that of MD algorithm. Therefore, the comprehensive
performances of MD algorithm are slightly higher than MB algorithm.

3.3. Search Response Time

An unstructured P2P network is a highly dynamic network, and the nodes of the network
can join and leave freely. Thus, the search response time is a critical metric for measuring the
performance. The search time should be short enough to make sure that the search result is
update to date. We define the search response time of a query as the time period when the
query is issued until when the source peer receives a response result from the first responder.
We calculate the average response time in the condition of search success.
Figure 12 shows the average response time of the various algorithms in different
topology networks, where the average degree D of the networks is chosen from 2 to 10.
Figure 12a is the scale-free BA network, Figure 12b is the ER random graph network, and
Figure 12c is the WS small-world network. Simulations show that in the three cases, the
average response time is increasing with the growth of the average degree of the networks.
The search response time of MB algorithm is the least, and the R1 algorithm is the most time
16 Mathematical Problems in Engineering

consuming. The average response time of MD and PD algorithm is about twice as much as
that of MB algorithm.
Although the average response time of MD algorithm is about twice higher than that
of MB as shown in Figure 12, the message quantity of MB algorithm is about 18 times higher
than that of MD as shown in Figure 6. When the age value is small as shown in Figure 11,
the response time of MD and MB algorithm is almost the same, and the search success rate of
these two algorithms is also close under the same values of D. However, the message quantity
of MB is about 15 times higher than that of MD. The algorithm does not exit whose all perfor-
mance indexes are perfect. Thus, in view of the comprehensive indexes, MD algorithm out-
performs MB algorithm.

4. Conclusion
This paper presents the design and evaluation of two memory function search algorithms
over the unstructured P2P networks, which, respectively, built on the top of scale-free BA net-
works, ER random graph networks, and WS small-world networks. The performance of these
two algorithms has been compared with the current algorithms used in existing unstructured
P2P networks. The search success rate of MD algorithm is averagely 14 times better than the
standard random walks algorithm, while the search message quantity is the same order of
magnitude with it. Compared with modified BFS algorithm, the search success rate of MD
algorithm is higher than that, while the search message quantity averagely reduces by over
18 times. Although PD algorithm can reduce the huge search message quantity, the search
success rate of it is inferior to the modified BFS algorithm.

Acknowledgments
This paper is supported by the National Natural Science Foundation of China Grant nos.
61170269, 61121061, the Foundation for the Author of National Excellent Doctoral Disser-
tation of PR China Grant no. 200951, the Asia Foresight Program under NSFC Grant no.
61161140320, the National Science Foundation of China Innovative Grant no. 70921061, the
CAS/SAFEA International Partnership Program for Creative Research Teams and the Pro-
gram for New Century Excellent Talents in University of the Ministry of Education of China
Grant no. NCET-10-0239.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 276519, 12 pages
doi:10.1155/2012/276519

Research Article
The Number of Students Needed for
Undecided Programs at a College from
the Supply-Chain Viewpoint

Jin-Ling Lin,1 Jy-Hsin Lin,2 and Kao-Shing Hwang3

1
Department of Information Management, Shih Hsin University, Taipei 11678, Taiwan
2
Department of Industrial Engineering and Management Information, Huafan University,
Taipei 223, Taiwan
3
Department of Electrical Engineering, National Sun Yat-Sen University, Kaohsiung 80424, Taiwan

Correspondence should be addressed to Jin-Ling Lin, [email protected]

Received 30 October 2011; Revised 11 March 2012; Accepted 25 April 2012

Academic Editor: Yi-Chung Hu

Copyright q 2012 Jin-Ling Lin et al. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

The objective of this study is to determine how to do forward-looking analysis to determine the
future need for various professionals, so that educational institutes can produce an appropriate
labor force for national development. The concept of component part commonality, which derives
from research on effective inventory management using material resource planning MRP, can
also be applied to human resource planning and educational resource management in higher
education systems. Therefore, this paper proposed a systematic method to analyze student
recruitment numbers for future needs, based on the concept of MRP. The research studied the
relationship between a curricular structure tree and the associated commonalities. It explored
the relationship between the commonality of students and the aggregated level of student
replenishment. Based on that, systematic guidelines for curriculum design can be established for
undeclared programs at collages. Two simple examples were used to illustrate the implementation
of MRP in analysis of the replenishment levels necessary safety stock levels in an education
system such as an engineering college.

1. Introduction
Technology can improve on conventional methods of allocating a nation’s resources, includ-
ing human resources. Meanwhile, international economic competition is increasing with the
widening trade. Government protected industries, especially in newly industrialized coun-
tries, such as Taiwan and its neighbors, are encountering stronger competition than ever
before. Therefore, these countries must join with foreign countries, even if involuntarily, to
2 Mathematical Problems in Engineering

open their domestic markets. To deal with this situation, these newly industrialized countries
need to coordinate and integrate their limited resources to obtain optimal utilization. In
other words, they should take steps to speed up technological research and development
to increase their ability to compete. Success in these steps depends strongly on whether there
are sufficient human resources in each professional area 1. Therefore, a proper human
resource policy is one of the determining factors for a national survival in light of this
keen economic competition. Since educating a professional usually takes several years, a
responsible government studies the future needs and develops policies, in advance, so that
the education system can develop enough of the needed professionals 2.
In Taiwan, colleges or universities are the major institutes for training high quality
workers. Qualified entrants have to fulfill strict curricular requirements before graduating.
The study procedure in schools is analogous to the production process in industrial
manufacturing. Thus, the concept of material requirements planning MRP can be applied to
an education system. The very nature of an MRP system revolves around commonality, which
means different final products still consist of some common components. An MRP system,
based on the degree of commonality, determines the minimum aggregate safety stock levels
needed to prevent out-of-stock situations and satisfy customer demands. If an undeclared
programs were developed in universities, the designing of an appropriate curriculum for
undeclared students needs to be prepared in advance. Curriculum decisions would be
dependent on the undeclared program’s student recruitment totals.
Nevertheless, a college student’s major is determined by his score on the National
Union College Entry Examination in Taiwan. A semigovernmental organization assigns
prospective students to a department at a college or university according to their score
on the examination and their choice list. Most students are assigned to a college by their
examination scores, in spite of their interests. Meanwhile, in the second year of high school
students are categorized into four groups according to their future majors. A type of
professional streaming is premature for pupils, who are just fifteen or sixteen year-old. Early
streaming reduces the breadth of a student’s knowledge so that student may lack the
capability to integrate related professional areas. Confucian concepts emphasize respect for
the individual’s will and educational interests. Therefore, students should be encouraged
not to make any premature career decisions before gathering enough information and
understanding their abilities and interests. Therefore, the Taiwanese Ministry of Education
MOE has issued a proposal suggesting that the college education system should postpone
professional streaming until the junior year of university. The government expects that the
higher education system should be able to educate a professional with strongly integrated
technological abilities by postponing professional curricular streaming 3. Recently some
Taiwanese universities, such as National Tsing Hua University and National Sun Yat-
sen University, have provided undeclared programs for incoming freshmen. The primary
objective of the program is to let each student develop an interest-oriented academic career
and to broaden the recruitment pool for prospective student.
The objective of this study is to determine how to do forward-looking analysis to deter-
mine the future need for various professionals, so that educational institutes can produce an
appropriate labor force for national development. According to the Ministry of Education
proposal, universities should recruit students without major streaming at the college entry
level. Recruited students can choose not to declare their major until they have finished a two-
year common curriculum. Students are then assigned to a department based on their interests
and capabilities as determined by their academic performance. This method is completely
different from the current one, where a student’s major is determined when they obtain
Mathematical Problems in Engineering 3

admission to a university. However, two problems arise from this proposal. First, a school’s
reputation would be the main consideration for a student instead of their major after the
two-year common curriculum. This situation will worsen the current problem encountered
by the Taiwanese education system, where most national universities are too crowded, while
many private universities cannot recruit enough students, causing poor allocation of limited
educational resources 4.
Second, since students in the same institute would have a common curriculum,
their professional training would have a high degree of commonality. Although student
choices among various professional majors would be more flexible, it can be predicted that
most students would gravitate to popular departments, even if they were not interested or
capable. This will lead to a problem where some departments will not be able to recruit as
many students as under the present curricular streaming system. Moreover, each university
will invest most of its budget in popular departments to attract more students without
considering the social costs. From a long-term point of view, the planning and training of the
professional labor force may be distorted, and some resources for certain professions could
be diluted 5; this will surely have educational and social costs.
The dropout rate, especially in the upper years, is high in private universities. The
phenomenon leaves the fewer college students, especially in the upper years, and it has been
a problem in Taiwan for a long time. The higher education system deals with this problem by
recruiting transfer students from the technical education system High schools in Taiwan are
categorized into two groups: the so-called ordinary schools, where students are educated to
enter colleges, or technical schools, which provide practical vocational training, so students
can be employed by industry upon graduation or go to technical colleges. However, due
to convention, most students from technical schools would rather compete with students
from ordinary high schools to enter ordinary universities, instead of technical colleges.
This phenomenon totally distorts the authority’s original plan for the higher education
system. This approach lacks an integrated view and forward-looking consideration of future
industrial needs and resource allocation. Since educational resources are being drained and
curricular streaming is going to be postponed, how to allocate the limited resources efficiently
is an important matter for Taiwanese educational authorities. Moreover, Taiwan’s MOE
subsidizes universities by the number of students recruited, but penalizes universities with
dropout or vacancy rates that are too high. Under such circumstance, accurate estimation
student number is crucial for curriculum design. This paper proposes a systematic method
for analyzing student recruitment numbers to meet future needs based on commonality of
academic content if streaming were postponed until the junior year.

2. Research Approach
Material requirement planning MRP 6 has been applied to inventory control management
manufacturing in recent years and can likewise be applied to determining educational needs.
This approach calculates the total supplies of product components at various manufacturing
stages based on the commonality of each component part among the manufactured products,
the product structures, and lead-time factors, such as ordering, manufacturing, and delivery.
In other words, it uses the relationship between commonality and material costs, production,
ordering, and delivery lead-time offsets, to consolidate and transfer the final products
demanded during different time periods into the needed subassemblies of components. The
objective of this approach is to combine independent orders for final products and maintain
the quantity of orders at the highest possible level, so a factory can maintain raw materials
4 Mathematical Problems in Engineering

and component stocks at lower levels since it is economical. This approach reduces total
costs by minimizing the cost per unit and setup costs. The commonality of component
parts among different products has a significant impact on inventory levels for components
and subassemblies. As commonality increases, the same component can be placed in many
different products. When demand for a final product changes, the inventory of the lowest
common component used must be properly adjusted to accommodate the change and avoid
waste. Hence, the determination of the inventory level must be based on a global view so that
limited resources can be utilized efficiently and flexibly to satisfy variations in the quantity
of final products ordered.
The concept of component part commonality derives from research on effective inven-
tory management using MRP. However, the concept can also be applied to human resource
planning and educational resource management in higher education systems. In MRP, the
master production schedule MPS must be established first according to predictions about
end-product needs. This ensures that varying demand over different time periods can be met
by production capacity. Similarly, MPS concepts can also be applied to long-term human
resource planning, where the future demand for various professionals dictates the skills
needed by the talent pool. The education and production processes are very similar as value-
added processes. The fulfillment of curriculum requirements by a student is analogous to
the production process of any industrial product. College freshmen, like raw material, are
prepared for various professions through different core courses taken during the learning
process. Alumni with different majors can be viewed as different end products. Hence, a
learning process which trains the freshmen for different professions is analogous to the
assembly process in a production line. Like MRP where the end product can be represented
by the bill of materials BOM, the training of a student can be represented by a similar
hierarchical structure.
During the learning process, college students have a high degree of commonality after
they have completed the basic courses. Once students begin to take the core courses in their
major; however, even though some core courses are common to different majors curricula,
the streaming process begins. During the streaming process, students’ core courses follow a
predetermined order. Those who fail a prerequisite course must retake the course before they
can proceed to advanced courses. Some students may be forced to change their major or drop
out if they continuously fail in core courses. This process is just like the production process,
where defective products must be reworked or repaired before they can be processed onto
the next stage of manufacturing. Those with serious defects which cannot be repaired have
to be scrapped. Hence, from the operational viewpoint, the learning process is very similar to
the production process.
In MRP, to satisfy the demand for the end product, it is necessary to have some safety
stock to compensate for unavoidable waste during production. The safety stock is a cushion
for production variations; it ensures that raw materials and components can be supplied in
time without shortage. Due to limited resources, the amount of safety stock must be planned
from the aggregate viewpoint to reduce unnecessary costs and to increase production
efficiency. Similarly, the safety stock concept can be applied to the education process; some
students drop out of the system during the process and cause a shortage that can usually
be replenished by enrolling more transfer students or freshmen. However, graduate quotas
are based on the individual program requirements; that is, each program decides how many
supplementary transfer students or freshmen it needs without considering the replenishment
of students from an aggregate viewpoint. This is deemed a waste of precious resources. The
problem of not satisfying the preset target for professionals can be resolved by means of
Mathematical Problems in Engineering 5

the commonality concept in MRP, which uses an aggregate student replenishment scheme to
solve the unavoidable problem of a shortage of students.
Since similarities exist between the education process and the production process, it is
possible to implement an MRP and commonality models in the education system. This paper
studied the relationship between a curricular structure tree and the associated commonalities.
Two simple examples were used to illustrate the implementation of MRP in analysis of
the replenishment levels necessary safety stock levels in an education system such as an
engineering college.

3. Model Analysis
This paper describes how to apply the MRP method to analysis of student replenishment
and demonstrates that the MRP concept can be suitably implemented in an education system
7. The compatibility of implementation between manufacturing systems and education
systems can be observed from the MRP structure trees for a product and curriculum. In a
manufacturing system, the MRP structure tree of a product represents the relationship among
final products, semiproducts, and components. This hierarchical structure is composed
of components at the lowest level, semiproducts and final products at the highest level.
Similarly, the common and advanced courses in a curriculum can be used to construct an
MRP tree based on a predetermined sequence, as shown in Figure 1.
In Figure 1, each node element denotes a course, which a student should take to
gain essential knowledge. From another viewpoint, each node also represents the learning
training status of a student. Therefore, for the purpose of illustration, in this paper, it was
assumed that a node, that is, a course offered, also represented a student whose learning
status has reached this course’s level. Therefore, the inventory control method in MRP can
also be applied to analyze student recruiting in an education system. The following example
shows how the concept of commonality between products can significantly affect the safety
levels of inventory required. MRP can be used to analyze how the commonality among
qualified students in different disciplinary curricula affects the number of supplementary
students.

3.1. Degree of Commonality

The degree of commonality index, DCI, denoted a measurement of commonality, the degree

of difference among some products 8–10. It was expressed as C  dj1 φj /d, where φj
was the number of parents of course j in the curricular structure tree; d was the number of

prerequisite courses, which had any ancestor; the index range was 1 ≤ C ≤ dj1 φj  β. For
example, in Figure 2, the DCIs were evaluated.
In other words, the DCI is a ratio between the number of prerequisite courses at the
lower levels and the total number of their parents related upper year courses. It can be
used to represent the degree of commonality between students through different curricular
disciplines 11, 12. If two curricula in a college were independent, then C  1, as shown in
Figure 3.

3.2. Curricular Commonality and the Number of Supplementary Students

Example 3.1. A simplified two-level curricular structure tree were used to represent the
case where a college recruits students without postponing streaming, Figure 4a. In this
6 Mathematical Problems in Engineering

Graduate of A
engineering

Computer Electrical
engineering B C
engineering

Electronic Microprocess Assembly

Logic design D E B F
circut or language

Logic design Electronic D E

circut

Figure 1: The curricular structure tree of an engineering college.

Case I Case II Case III

1 2 1 2 1 2

3 4 3 4 3 3 4 3

6 5 6 6 5 6 6 5 5 6 7 5 7 5 6 7
1+1+2+1 2+1+2+2+1 2+1+3+2+3
C= 4 = 1.25 C= 4 =2 C= 4 = 2.2

Figure 2: Examples for evaluating the degree of commonality indexes.

example, there are ten different curricula majors in a college. Students should take the
course represented by the upper node after they fulfill the lower node course’s requirements.

If the college postponed streaming, the freshman and sophomore students took the
common core courses regardless of their future majors. Thus, most of the prerequisite courses
at the lower level were aggregated, as shown in Figure 4b, for example. The prerequisites
11· · · 20 for these ten majors were merged into a common prerequisite 21. Using this
example, the main effect resulting from increased commonality can be studied.
The DCI can be applied to any node or level in the curricular tree. Therefore, the
students that reached a certain node, that is, who took the prerequisite courses antecedents
for that node, were tagged by the DCI. For the course or subject j, the level of student
replenishment Sj was equal to the value of the safety parameter k multiplied by the predicted
standard deviation σj . If the actual demand y exceeded the expected demand u and
was greater than the probability of student replenishment level, it can be expressed by
Tchebysheff’s inequality:
   1
Prob y − u ≥ kσ j ≤ , 3.1
k2 1
Mathematical Problems in Engineering 7

1 2

1+1+1+1
3 4 C= 4 =1

5 6

Figure 3: An example where there was no commonality between two curricula.

1 2 3 4 5 10 1 2 3 4 5 ··· 10

···

11 12 13 14 15 20 21

a b

Figure 4: Two-level curricular structure trees.

where parameter k represents the upper bounds of the safety parameter. In the worst case, the
probability of a student replenishment shortage at any level can be derived by substituting
Sj /σj for k:

   σj2
Ψ  Prob y − u ≥ Sj  . 3.2
s2j σj2

If there were a demand for students called differentiation-type students who already
took the various prerequisite courses, 11· · · 20 in Figure 4, then these students could be
replaced by students called common-type students who have taken the common course,
for example, 21 in Figure 4. The variance of the independent variable C is

σc2  σ12 σ22 ··· σd2 , 3.3

and the demand variance of prerequisite j is

1
σj2  · σ2. 3.4
d c

Substituting 3.4 into 3.2, the supplementary level of the j-type student is
 
1−Ψ 1 3.5
Sj  · σc .
Ψ d

If there are d common-type students, then


d
1−Ψ
Sj  · σc d. 3.6
j1
Ψ
8 Mathematical Problems in Engineering

The optimal number of supplementary students was assumed to be Sc  1 − Ψ/Ψ ·

σc if the differentiation-type students were replaced by√ the affine common-type students.
The total number of supplementary students √  was 1/ d of the accumulated number of
differentiation-type students; that is, Sc  1/ d dj1 Sj .

Since Cd  dj1 φj  β and we let β  1, as in the case of Figure 4, d differentiation-type
students were replaced by affine common-type students. Therefore, d  1, C  d/1. And

1  d
Sc  √ Sj . 3.7
C j1

Equation 3.7 expresses the relationship between the number of incoming common-
type students and the number of replaced differentiation-type students. Due to the degree
of commonality, the number of needed supplementary common-type students was less than
that of differentiation-type students. From this example, it can be noted that
a a simplified two-level structure tree was used. However, if the number of structure
levels were more than two, the demand would not have been fully independent
due to the correlation between the elements in the tree,
b if N common-type students were needed and each of them was equivalent to d
differentiation-type students, then the CDI was


N
d Nd
C   d, 3.8
i
N N

and the total number of supplementary students was

N d

N i1 j1 Sj
Sc  √ . 3.9
i1 C

Example 3.2. From the above example, it was noted that the demand for supplementary
students can be reduced if the degree of commonality increases. The other example, where
there are two simplified two-level curricula, can be used to show how the common-type
student demand and differentiation-type student demand interacted with each other.
Example 3.1 depicts a simple case where the differentiation-type students were
replaced by common-type students. However, further study is needed on the situation
where there are some partially common components. The following example assumed two
professions were needed, and that the distribution of demand probability for both professions
was uniform: 0, b1  for Profession1 and 0, b2  for Profession2. If b1 ≥ b2 and Z1 , Z2  was
a vector representing the demand for these professions, then the example describes the
resolution of an optimization problem where the total cost of student replenishment should
be minimized, subject to the service level. The aggregate service level, ASL, is the probability
that all the demands will be satisfied 13. ASL was assumed to be γ in this example.

Case 1. There was no commonality between the two curricula as shown in Figure 5.

It is a unique phenomenon in Taiwan that a college’s desirability among senior high

school students is strongly affected by the college’s rankings in the previous year’s entry
Mathematical Problems in Engineering 9

1 2

3 4 5 6

Figure 5: Two independent curricula.

examinations. Therefore, a college’s department may become a low-priority choice based

on the low scores of students recruited in the previous year. Meanwhile, too many colleges
have been established in recent years and the population of potential students is decreasing
dramatically due to the rapidly declining birthrates. Many private universities have suffered
from lower student recruitment. Therefore many universities are working on strategies to
raise their rankings on student priority lists by reducing the new student quota to ensure less
vacancy during registration. Therefore, the problem can be formulated as follows:

Minimize T  S3 S4 S5 S6 ,
3.10
S.T. ASL  γ,

where Si represents the number of i-type students; T is the total number of students.
Since the number of supplementary students was equal to the difference between the
total number of students and the expected demand, that is, the safe supplementary level  T −
b1 b2 , minimizing the number of supplementary students is equivalent to minimizing
the total number of students. Therefore, to satisfy all the constraints, the conditions Z1 
minS3 , S4  and Z2  S5 , S6  must exist. Let S3  S4 and S5  S6 , then ASL  Prob{Z1 
Z3 } ∗ Prob{Z2  Z6 }  S3 S6 /b1 b2  γ.
Meanwhile,

Minimize T  S3 S4 S5 S6  2S3 S6 

S.T. S3 S6  γb1 b2 3.11

 
S∗3  γb1 , S∗6  b2 , T ∗  2 γb1 b2 .

Table 1 lists the solutions for S3 and S6 in different ranges of ASL and T 8.

Case 2. There was some commonality between the two curricula as shown in Figure 6.

In this example, the common-type node 7 replaced the differentiation-type node 4 and
node 5 from the previous example. The inequality of S7  S3 , S7  S6 , and S7  S3 S6 
must hold. Meanwhile, ASL  Prob{Z1  S3 and Z2  S6 and Z1 Z2   S7 }. The shadow
region in Figure 7 represents the probability of the ASL.
From Figure 7, the ASL was evaluated as S7 − S3 S7 − S6  S3 S6 − S7 S7 − S3 
S3 S6 − S7 S7 − S6  S3 S6 − S7 /2/b1 b2 . That is S7 − S3 S7 − S6  S3 S6 − S7 3S7 −
S3 − S6 /2/b1 b2 . The problem was reformulated as follows:

Minimize T  S3 S6 S7
3.12
S.T. 2S7 − S3 S7 − S6  S3 S6 − S7 3S7 − S3 − S6   2rb1 b2 .
10 Mathematical Problems in Engineering

Table 1: Solutions for S3 and S6 in different ranges of ASL and T .

ASL T∗ S∗3 S∗6

b2
γ≤ 16γb1 b2  γb1 b2  γb1 b2 
b1
b2
γ≥ 2γb1 b2  γb1 b2
b1

1 2

3 7 6

Figure 6: The two curricula overlapped.

Furthermore, S3  minb1 , S7 , S6  minb2 , S7 , and S7  S3 S6 . Using

Lagrangian methods, the solutions in Table 2 were obtained.
Some conclusions can be drawn from the tables.

i The total number of students T ∗ decreases when there is commonality among the
curricula.
ii If the students who have taken course 7 replace the ones who should have taken
courses 4 and 5, the number of common-type students is less than the number of
differentiation-type students, that is, S7 < S4 S5 .
iii When commonality among the professional curricula increases, the number of
differentiation-type students who have taken courses 3 and 6 also increases.

Since the number of supplementary students is equal to the difference between the
total number of students and the expected demand, the number of supplementary students
is proportional to the total number. The above comments actually describe the relationship
between the number of supplementary students and the total number. When streaming is
postponed, common courses must replace some professional courses. It means that some
commonality exits in the curriculum. In order to satisfy industrial demand, the student
recruiting policy must be flexible. To maintain the necessary overstock level, for safety,
transfer students are the primary resource to replenish programs, especially in schools with
high quality controls, where some students may leave for failure to fulfill the curricular
requirements. If a school wants to go with the streaming postponement policy and replen-
ishment is needed, the number of transfer students who have been streamed should be
increased. In other words, if a college needs to recruit transfer students to maintain the safety
stock level, it should take transfer students in their junior year. In addition, it can establish
systematic guidelines to curriculum design for undeclared programs at colleges.

4. Conclusion
The direction of higher education is to allow more people have opportunities to attend
college. However, as the government budget for education is shrinking, the need to expand
private contributions has grown. Despite pressure from a limited budget, high quality
education still needs to be maintained while costs are minimized. From the economic point of
view, the optimal balance among cost per student, governmental support, and self-generated
Mathematical Problems in Engineering 11
Z2

S7
b2
S6

Z1
S3 b1 S7
Figure 7: The probability of the aggregate service level.

Table 2: Solutions obtained by Lagrangian methods.

ASL T∗ S∗3 S∗6
7b2 2 2
γ≤ 14γb1 b2  14γb1 b2  14γb1 b2 
8b1 7 7
7b2 b2 b2 b2
≤γ ≤1− 2γb1 7 rb1 b2
8b1 8b1 4 8
b2
γ ≥1− 2b1 b2  − 21 − γb1 b2  b2 b2
8b1

income would lead to effective management of resources. This is also a good index for
planning and controlling the number of students enrolling in a school with undeclared status.
In accordance with the current interest of undergraduates maintaining undeclared majors
until their upper years and the need to maintain a certain level of professionals in training,
many universities have proposed a variety of curricular programs to broaden the recruitment
pool of prospective students. The proposed approach is based on the commonality among
college level curricula. By decreasing the total number of students recruited from different
departments, this program can reduce costs. For schools with student recruiting problems,
their enrollment depends on transfer and extension students. The proposed program is
more cost-effective because recruitment takes place at the college level rather than at the
department level. At the same time, advanced students who have declared their majors can be
recruited. In other words, students can transfer during all four years of their undergraduate
program.
This paper also proposes a quantified model of commonality and recruitment planning
for appropriate curriculum design. Two simple cases are used to illustrate the method,
which can be divided into two phases—before undeclared students declare majors and after.
However, with the challenges higher education is facing with majors, general education,
and professional programs, our model still needs more research into quantity and quality.
The future direction of the proposed quantification model is two-fold. First, optimization
of resource allocation needs to be studied when the commonality changes depending on
different types of professional training. Secondly, in order to satisfy the needs of the system,
methods for controlling student distribution need to provide for transfer student quality, and
appropriate and a sufficient curriculum needs to be offered accordingly.

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12 Mathematical Problems in Engineering

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 756023, 15 pages
doi:10.1155/2012/756023

Review Article
A Review of Deterministic Optimization Methods
in Engineering and Management

Ming-Hua Lin,1 Jung-Fa Tsai,2 and Chian-Son Yu1

1
Department of Information Technology and Management, Shih Chien University, No. 70, Ta-Chih Street,
Taipei City 10462, Taiwan
2
Department of Business Management, National Taipei University of Technology, No. 1, Section 3,
Chung-Hsiao E. Road, Taipei City 10608, Taiwan

Correspondence should be addressed to Jung-Fa Tsai, [email protected]

Received 24 February 2012; Accepted 18 April 2012

Academic Editor: Yi-Chung Hu

Copyright q 2012 Ming-Hua Lin et al. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

With the increasing reliance on modeling optimization problems in practical applications, a

number of theoretical and algorithmic contributions of optimization have been proposed. The
approaches developed for treating optimization problems can be classified into deterministic
and heuristic. This paper aims to introduce recent advances in deterministic methods for
solving signomial programming problems and mixed-integer nonlinear programming problems.
A number of important applications in engineering and management are also reviewed to reveal
the usefulness of the optimization methods.

1. Introduction
The field of optimization has grown rapidly during the past few decades. Many new
theoretical, algorithmic, and computational contributions of optimization have been pro-
posed to solve various problems in engineering and management. Recent developments of
optimization methods can be mainly divided into deterministic and heuristic approaches.
Deterministic approaches take advantage of the analytical properties of the problem to
generate a sequence of points that converge to a global optimal solution. Heuristic approaches
have been found to be more flexible and efficient than deterministic approaches; however,
the quality of the obtained solution cannot be guaranteed. Moreover, the probability
of finding the global solution decreases when the problem size increases. Deterministic
approaches e.g., linear programming, nonlinear programming, and mixed-integer nonlinear
programming, etc. can provide general tools for solving optimization problems to
obtain a global or an approximately global optimum. With the increasing reliance on
2 Mathematical Problems in Engineering

modeling optimization problems in real applications, a number of deterministic methods for

optimization problems have been presented. This paper focuses on discussing and reviewing
the recent advances in deterministic optimization approaches.
Optimization methods have been applied in different fields, such as finance 1–3,
allocation and location problems 4–6, engineering design 7–12, system and database
design 13–17, chemical engineering design and control 18–22, and molecular biology
23. For additional literature on real-world applications or developments of optimization
methods, readers may refer to the following works. Mockus et al. 24 treated network
problems, knapsack, travelling salesman, flow-shop problems, and batch process scheduling
problems by Bayesian heuristic approaches. Grossmann 25 discussed the global opti-
mization algorithms and their applications in chemical engineering design. Bomze et al.
26 investigated decision support systems and techniques for solving molecular structures,
queuing systems, image reconstruction, location analysis, and process network synthesis
problems. Migdalas et al. 27 presented multilevel optimization algorithms and their
applications. Mistakidis and Stavroulakis 28 studied engineering applications of the finite
element method. De Leone et al. 29 proposed various interesting applications of high-
performance software for nonlinear optimization. Hendrix 30 utilized global optimization
techniques on environmental management, geometric design, robust product design, and
parameter estimation. Corliss and Kearfott 31 presented a rigorous global search method
on industrial applications. Floudas and Pardalos 32 studied optimization approaches in
the fields of computational chemistry and molecular biology. Laguna and González-Velarde
33 discussed advanced computing tools for tackling various challenging optimization
problems. Papalambros and Wilde 34 investigated the principles and practice of optimal
engineering design. Atkinson et al. 35 gave a detailed discussion on optimum experimental
design. Edgar et al. 36 explored the optimization methods of chemical processes. Pardalos
and Romeijn 37 provided a more complete and broad spectrum of approaches including
deterministic and heuristic techniques for dealing with global optimization problems.
Tawarmalani and Sahinidis 38 provided an insightful and comprehensive treatment
of convexification and global optimization of continuous and mixed-integer nonlinear
programs. Hadjisavvas et al. 39 investigated generalized convexity and generalized
monotonicity and offered an advanced and broad overview of the state of the field.
Moreover, Floudas et al. 40 presented an overview of the research progress in optimization
during 1998–2003, including the deterministic global optimization advances in mixed-integer
nonlinear programming and related applications. Pintér 41 illustrated the applicability of
global optimization modeling techniques and solution strategies to real-world problems such
as agroecosystem management, assembly line design, bioinformatics, biophysics, cellular
mobile network design, chemical product design, composite structure design, controller
design for induction motors, electrical engineering design, feeding strategies in animal
husbandry, the inverse position problem in kinematics, laser design, radiotherapy planning,
robot design, and satellite data analysis. Mishra and Giorgi 42 presented results on invex
function, and their properties in smooth and nonsmooth cases, pseudolinearity, and eta-
pseudolinearity. Mishra et al. 43 discussed the Kuhn-Tucker optimality, Karush-Kuhn-
Tucker necessary and sufficient optimality conditions in presence of various types of
generalized convexity assumptions. Floudas and Gounaris 44 also presented an overview
of the research progress in deterministic global optimization during the last decade 1998–
2008.
Figure 1 gives an overview of the problem types related to optimization problems.
Each type of problems has received substantial attention from the practitioners and the
Mathematical Problems in Engineering 3

Optimization
problems

Convex Nonconvex

Linear Nonlinear Discrete Continuous

LP Convex Linear Nonlinear Nonconvex

NLP NLP

IP Nonconvex Convex
MILP relaxation relaxation

Nonconvex Convex
MINLP MINLP

Figure 1: Overview of problem types related to optimization problems.

researchers in the last few decades. In this paper, we investigate the advances in deterministic
global optimization of nonconvex nonlinear programming NLP problems and nonconvex
mixed-integer nonlinear programming MINLP problems. For NLP problems, we focus on
signomial programming problems that are an important class of NLP problems and have
played a crucial role in applications.
The rest of this paper is organized as follows. Section 2 discusses the deterministic
methods for signomial programming problems. Section 3 reviews the theoretical and
algorithmic developments of mixed-integer nonlinear programming problems. Conclusions
are made in Section 4.

2. Signomial Programming
Signomial programming SP is an optimization technique for solving a class of nonconvex
nonlinear programming problems. Although SP problems occur frequently in engineering
and management science, SP problems with nonconvex functions are still difficult to be
solved to obtain a global optimum. The term geometric program GP was introduced by
Duffin et al. 7 since the analysis of geometric programs relied heavily upon geometric-
arithmetic mean inequality. The early work by Duffin and Peterson 45 solved the
posynomial geometric program analytically via the dual problem. Then, Duffin 46
developed a numerical method for GPs based on solving a sequence of linear programs
47. For solving SP problems, Duffin and Peterson 48 reformulated an SP problem as
a geometric program with reversed constraints. The reversed constraints give rise to a
nonconvex feasible region that the local minima for SP problems are not guaranteed to be
global minima 49. The developed methods for SP can be divided into two approaches.
The first class of SP approaches includes various heuristic techniques such as genetic
algorithms, simulated annealing, tabu search, ant colony optimization, and particle swarm
optimization. Although the heuristic methods have the advantage of easy implementation
and offer a better potential for complex problems, the obtained solution is not guaranteed
to be a globally optimal solution. The second class of SP approaches is the deterministic
method. For example, Maranas and Floudas 50, Floudas and Pardalos 51, Maranas and
4 Mathematical Problems in Engineering

Floudas 22, and Floudas 19–21 developed global optimization algorithms for solving
SP problems based on the exponential variable transformation, the convex relaxation, and
the branch and bound type algorithm. These methods transform the original nonconvex
problem into a convex problem and then solve it to obtain the global optimum. The use of the
logarithmic/exponential transformation in global optimization algorithms on SP problems
restricts these exponential-based methods to handle the problems with strictly positive
variables. Although positive variables are employed frequently to represent engineering
and scientific systems, it is also common to introduce nonpositive variables in modeling
the management problems or the system behavior, such as investment decisions, stresses,
temperatures, electrical currents, velocities, and accelerations. For treating free variable
x, Pörn et al. 52 suggested a simple translation, x  τ eX . However, inserting the
transformed result into the original signomial term will bring additional signomial terms and
therefore increase the computation burden. Tsai et al. 11 proposed an approach to treat zero
boundary signomial discrete programming problems and suggested some convexification
rules. Li and Tsai 53, Tsai and Lin 54–56, Tsai et al. 57, Tsai 58, and Li and Lu
59 applied convexification strategies and piecewise linearization techniques to solve SP
problems with free discrete/continuous variables. However, the optimal solution obtained is
an approximate solution by the piecewise linearization approach. Lin and Tsai 60 presented
a generalized method to solve signomial discrete programming problems with free variables
for finding exactly alternative optima. Tsai and Lin 61 also integrated the convexification
techniques and the bounding schemes to solve a posynomial geometric program with
separable functions for finding a global optimal solution efficiently.
Convexification strategies for signomial terms are important techniques in global
optimization for SP problems. With different convexification approaches, an SP problem can
be reformulated into another convex program solvable to obtain an approximately global
optimum. For solving SP problems, Pörn et al. 52 integrated the exponential transformation
and piecewise linear approximations for reformulating nonconvex signomial problems. The
results were extended by Björk 62, Björk et al. 63, and Pörn et al. 64, by including certain
power transformations for convexification of nonconvex signomial terms. They discussed
that the right choice of transformation for convexifying nonconvex signomial terms has
a clear influence on the efficiency of the optimization approach. The concept of power
convex functions is introduced to improve the solution efficiency for certain SP problems.
T. Westerlund and J. Westerlund 65 proposed the generalized geometric programming
extended cutting plane GGPECP algorithm for nonconvex optimization problems by using
the cutting plane and transformation techniques. The GGPECP algorithm was described in
more detail in Westerlund 66. Lundell and Westerlund 67 and Lundell et al. 68 combined
the GGPECP algorithm with an optimization framework for the transformations used to
convexify the signomial terms into a signomial global optimization algorithm. The signomial
global optimization algorithm was further extended by Lundell and Westerlund 69, 70. Lin
and Tsai 71 and Tsai and Lin 56 also presented similar reformulation and range reduction
techniques to enhance the computational efficiency for solving SP problems.
For solving an SP problem, the above-mentioned convexification techniques are
used to reformulate the original SP problem into a convex and underestimating problem
solvable by a standard mixed-integer nonlinear programming MINLP solver 72–81.
Different transformations for positive and negative signomial terms have been proposed
and discussed by Björk et al. 63, Westerlund 66, Lundell and Westerlund 67, Pörn et al.
64, Lundell et al. 68, and Lundell and Westerlund 69, 70. For a positive signomial term
αm αm1
cxα1 1 x2α2 · · · xm xm1 · · · xnαn c > 0, α1 , . . . , αm > 0 and αm1 , . . . , αn < 0, they suggested either the
Mathematical Problems in Engineering 5

exponential transformation ET or the power convex transformation PCT is applied based
on the characteristics of the problems. The ET strategy and the PCT strategy are described as
follows 63.
The ET strategy:
⎧
⎪
⎨xi e ,
Xi
i 1, . . . , m,
αm αm1 α1 X1 ···αm Xm
cx1α1 x2α2 · · · xm xm1 · · · xnαn ⇐⇒ e 2.1
⎪
⎩c |αm1 | |α |
.
xm1 · · · xn n

The PCT strategy: this technique aims at constructing 1-convex signomial terms. First,
transform all variables with positive exponents by an inverse transformation IT, x X −1 ,
n
except the one with the greatest exponent denoted as αmax . Let S be defined as S i 1 |αi | −
αmax . If αmax < S  1, then transform the variable with the exponent αmax to that with the
exponent S  1. If αmax > S  1, then change one of the ITs, with the exponent αj to xj Xj−τ ,
where τ > 1 so that αmax S  1  τ − 1αj .
Since some negative signomial terms may exist in SP problems, they suggested the
αm αm1
potential transformation PT for a negative signomial term cxα1 1 x2α2 · · · xm xm1 · · · xnαn c <
0, α1 , . . . , αm > 0 and αm1 , . . . , αn < 0 expressed as follows.
The PT strategy:
⎧
⎪
⎪
1/R
⎪xi Xi ,
⎪
i 1, . . . , m,
⎨
αm αm1 xi X −1/R , i m  1, . . . , n,
cx1α1 x2α2 · · · xm xm1 · · · xnαn ⇐⇒ i 2.2
⎪
⎪  n
⎪
⎪
α1 /R
· · · Xmαm /R |αm1 |/R |α |/R
· · · Xn n , |αi |.
⎩cX1 Xm1 R
i 1

In addition to convexification strategies, convex envelopes and convex underestima-

tors of nonconvex functions are frequently applied in global optimization algorithms such
as the αBB algorithm 19, 82, 83 to underestimate the nonconvex functions. A good convex
underestimator should be as tight as possible and contain minimal number of new variables
and constraints thus to improve the computational effect of processing a node in a branch-
bound tree 40.
Tawarmalani and Sahinidis 84 developed the convex envelope and concave envelope
for x/y over a unit hypercube, proposed a semidefinite relaxation of x/y, and suggested convex
envelopes for functions of the form fxy2 and fx/y. Ryoo and Sahinidis 85 studied the
use of arithmetic intervals, recursive arithmetic intervals, logarithmic transformation, and
exponential transformation for multilinear functions. Tawarmalani et al. 86 studied the
role of disaggregation in leading to tighter linear programming relaxations. Tawarmalani
and Sahinidis 38 introduced the convex extensions for lower semicontinuous functions,
proposed a technique for constructing convex envelopes for nonlinear functions, and studied
the maximum separation distance for functions such as x/y. Tawarmalani et al. 87 studied
0-1 hyperbolic programs and developed eight mixed-integer convex reformulations. Liberti
and Pantelides 88 proposed a nonlinear continuous and differentiable convex envelope for
monomials of odd degree, derived its linear relaxation, and compared to other relaxations.
Björk et al. 63 studied convexifications for signomial terms, introduced properties of power
convex functions, compared the effect of the convexification schemes for heat exchanger
network problems, and studied quasiconvex convexifications. Meyer and Floudas 89
6 Mathematical Problems in Engineering

studied trilinear monomials with positive or negative domains, derived explicit expressions
for the facets of the convex and concave envelopes, and showed that these outperform
the previously proposed relaxations based on arithmetic intervals or recursive arithmetic
intervals. Meyer and Floudas 90 presented explicit expressions for the facets of convex
and concave envelopes of trilinear monomials with mixed-sign domains. Tardella 91
studied the class of functions whose convex envelope on a polyhedron coincides with the
convex envelope based on the polyhedron vertices and proved important conditions for
a vertex polyhedral convex envelope. Meyer and Floudas 92 described the structure of
the polyhedral convex envelopes of edge-concave functions over polyhedral domains using
geometric arguments and proposed an algorithm for computing the facets of the convex
envelopes.
Caratzoulas and Floudas 93 proposed novel convex underestimators for trigonomet-
ric functions, which are trigonometric functions themselves. Akrotirianakis and Floudas 94,
95 introduced a new class of convex underestimators for twice continuously differentiable
nonlinear programs, studied their theoretical properties, and proved that the resulting convex
relaxation is improved compared to the αBB one. Meyer and Floudas 90 proposed two new
classes of convex underestimators for general C2 nonlinear programs, which combine the
αBB underestimators within a piecewise quadratic perturbation, derived properties for the
smoothness of the convex underestimators, and showed the improvements over the classical
αBB convex underestimators for box-constrained optimization problems.
Three popular convex underestimation methods, arithmetic intervals AIs 96, recur-
sive arithmetic intervals rAIs 50, 85, 96, and explicit facets EFs for convex envelopes of
trilinear monomials 89, 90, are effective to underestimate a trilinear term x1 x2 x3 for xi to
be bounded variables. However, these existing methods have difficulty to treat a posynomial
function. According to Ryoo and Sahinidis 85, for underestimating a multilinear function
 nk  n/2 n
x1 x2 · · · xn with n variables, the AI scheme needs to use n−1 k 2 Θk i 1 2i  linear constraints
maximally. Θk denotes the number of linear functions that the AI scheme generates to lower
bound k-cross-product terms, k 2, 3, . . . , n − 1. Since the number of linear constraints of
convex envelopes for a multilinear function with n variables grows doubly exponentially
in n, AI bounding scheme may only treat n ≤ 3 cases. It is more difficult for AI to treat
a posynomial function for n > 3 cases. Moreover, applying rAI scheme to underestimate
a multilinear function x1 x2 · · · xn needs to use the maximum of exponentially many 2n−1
linear inequalities. Therefore, the rAI bounding scheme has difficulty to treat posynomial
functions as well as the AI scheme. EF 89, 90 provided the explicit facets of the convex
and concave envelopes of trilinear monomials and demonstrated that these result in tighter
bounds than the AI and rAI techniques. An important difference between EF and other
bounding schemes is that these explicit facets are linear cuts, which were proven to
define the convex envelope. Explicit facets EFs of the convex envelope are effective in
treating general trilinear monomials, but the derivation of explicit facets for the convex
envelope of general multilinear monomials and signomials is an open problem. Li et al.
97 and Lu et al. 98 proposed a novel method for the convex relaxation of posynomial
functions. The approach is different from the work of Maranas and Floudas 50, which
provided an alternative way of generating convex underestimators for generalized geometric
programming problems via the exponential transformation and linear underestimation of the
concave terms. Applications of this approach include the area of process synthesis and design
of separations, phase equilibrium, nonisothermal complex reactor networks, and molecular
conformation problems e.g., 99–101.
Mathematical Problems in Engineering 7

3. Mixed-Integer Nonlinear Programming

Mixed-integer nonlinear programming MINLP problems involving both continuous and
discrete variables arise in many applications of engineering design, chemical engineering,
operations research, and management. Biegler and Grossmann 102 provided a retrospective
on optimization techniques that have been applied in process systems engineering. They
indicated that design and synthesis problems have been dominated by NLP and MINLP
models. With the increasing reliance on modeling optimization problems in practical prob-
lems, a number of theoretical and algorithmic contributions of MINLP have been proposed.
Many deterministic methods for convex MINLP problems have been reviewed by Biegler and
Grossmann 102, Grossmann 103, and Grossmann and Biegler 104. The methods include
branch-and-bound BB 53, 72, 77, generalized benders decomposition GBD 76, outer-
approximation OA 73, 74, 79, extended cutting plane method ECP 81, and generalized
disjunctive programming GDP 78. The BB method can find the global solution only when
each subproblem can be solved to global optimality. The GBD method, the OA method,
and the ECP method cannot solve optimization problems with nonconvex constraints or
nonconvex objective functions because the subproblems may not have a unique optimum in
the solution process. The GDP models address discrete/continuous optimization problems
that involve disjunctions with nonlinear inequalities and logic propositions. The objective
functions and the constraints in the GDP problem are assumed to be convex and bounded
56.
For deterministic optimization methods, these optimization problems are character-
ized by the convexity of the feasible domain or the objective function and may involve
continuous and/or discrete variables. Although continuous and discrete optimization
problems constitute two classes of global optimization problems, they primarily differ in
the presence or absence of convexity rather than other features. Since the convexity of the
objective function or the feasible domain is very important, understanding how to convexify
the nonconvex parts is an essential area of research. As long as the formulated problem is a
convex problem, efficient numerical methods are available to treat the optimization problem.
However, optimization problems often include nonconvex functions that cannot be dealt with
by the standard local optimization techniques to guarantee global optimality efficiently. For
solving nonconvex or large-scale optimization problems, deterministic methods may not be
easy to derive an optimal solution within reasonable time due to the high complexity of the
problem.
Sherali et al. 105 presented an extension of the reformulation linearization technique
RLT that is designed to exploit special structures and explored the strengthening of the RLT
constraints through conditional logical expressions. Sinha et al. 106 studied a solvent design
problem that is constructed as a nonconvex MINLP problem. They identified the sources of
nonconvexities in the properties and solubility parameter design constraints and proposed
linear underestimators based on a multilevel representation approach for the functions.
A reduced space branch-and-bound global optimization algorithm was then presented for
solving a single component blanket wash design problem. Pörn et al. 52 introduced
different convexification strategies for nonconvex MINLP problems with both posynomial
and negative binomial terms in the constraints. Harjunkoski et al. 107 studied the trim
loss minimization problem for the paper converting industry and formulated the model as
a nonconvex MINLP. They also proposed transformations for the bilinear terms based on
linear representations and convex expressions. Pörn and Westerlund 108 proposed a cutting
plane method for addressing global MINLP problems with pseudoconvex objective function
8 Mathematical Problems in Engineering

and constraints and tested the proposed method on several benchmark problems arising in
process synthesis and scheduling applications. Parthasarathy and El-Halwagi 109 studied
a systematic framework for the optimal design of condensation, which is an important
technology for volatile organic compounds, and formulated the problem as a nonconvex
MINLP model. They also proposed an iterative global optimization approach based on
physical insights and active constraint principles that allow for decomposition and efficient
solution and applied it to a case study for the manufacture of adhesive tapes. Adjiman et
al. 82, 83, 110, 111 proposed two global optimization approaches, SMIN-αBB and GMIN-
αBB, for nonconvex MINLP problems based on the concept of branch-and-bound. These
two approaches rely on optimization or interval-based variable-bound updates to enhance
efficiency. Although one possible approach to circumvent nonconvexities in nonlinear
optimization models is reformulation, for instance, using the exponential transformation
to treat the generalized geometric programming problems in which a signomial term
β
x1α x2 is transferred into an exponential term eα ln x1 β ln x2 , the exponential transformation
technique can only be applied to strictly positive variables and is thus unable to deal with
nonconvex problems with free variables. Tsai et al. 11 proposed an approach to treat zero
boundary optimization problems and suggested some convexification rules for the signomial
terms with only three nonnegative discrete/integer variables. Björk and Westerlund 112
studied the global optimization of heat exchanger network synthesis through the simplified
superstructure representation that allows only series and parallel schemes and applied
convexification approaches for signomials by piecewise linear approximations. They also
formulated convex MINLP lower bounding models using the Patterson formula for the
log mean temperature difference considering both isothermal and nonisothermal mixing.
Ostrovsky et al. 113 studied nonconvex MINLP models in which most variables are in
the nonconvex terms and the number of linear constraints is much larger than the number
of nonlinear constraints for solvent design and recovery problems. The work presents a
tailored branch-and-bound approach using linear underestimators for tree functions based
on a multilevel function representation and shows that there is a significant reduction in
the branching variable space. Tawarmalani and Sahinidis 114 developed a branch and
bound framework for the global optimization of MINLP problems. The framework involves
novel linear relaxation schemes, a Lagrangian/linear duality-based theory for domain
and range reduction, and branching strategies that guarantee finiteness of the solution
sequence for certain classes of problems. They also discuss implementation issues and present
computational results with a variety of benchmark problems. Kesavan et al. 115 presented
outer-approximation algorithms for finding an optimal solution of a separable nonconvex
MINLP program. Emet and Westerlund 116 conducted a computational comparison of
solving a cyclic chromatographic separation problem using MINLP methods and reported
that the extended cutting plane method compares favourably against traditional outer-
approximation and branch-and-bound methods. A review of the recent advances in MINLP
optimization of planning and design problems in the process industry was presented by
Kallrath 117. Tawarmalani and Sahinidis 118 introduced a polyhedral branch-and-cut
approach in global optimization. Their algorithm exploits convexity in order to generate the
polyhedral cuts and relaxations for multivariate nonconvex problems. Meyer and Floudas
119 studied superstructures of pooling networks, which are important to the petrochemical,
chemical, and wastewater treatment industries, and formulated this generalized pooling
problem as a nonconvex MINLP problem that involves many bilinear terms in the constraint
functions. They proposed a global optimization algorithm based on a novel piecewise linear
reformulation-linearization technique RLT formulation. Karuppiah and Grossmann 120
Mathematical Problems in Engineering 9

addressed the problem of optimal synthesis of an integrated water system, where water
using processes and water treatment operations are jointly considered. The designed MINLP
model was solved with a new deterministic spatial branch and contract algorithm, in
which piecewise under- and overestimators are used for constructing the relaxations at
each node. Bergamini et al. 121 formulated an MINLP model for the global optimization
of heat exchanger networks and presented a new solution methodology that is based on
outer-approximation and utilizes piecewise underestimation. Rigorous constraints obtained
from physical insights are also included in the formulation, and the authors reported
computationally efficient global solutions for problems with up to nine process streams.
Tsai and Lin 54, 56 proposed a method for solving a signomial MINLP problem with free
variables by the convexification strategies and piecewise linearization techniques. However,
the optimal solution obtained is an approximate solution by the piecewise linearization
approach. Karuppiah et al. 122 presented an outer-approximation algorithm to globally
solve a nonconvex MINLP formulation that corresponds to the continuous time scheduling of
refinery crude oil operations. The solution procedure relies on effective mixed-integer linear
relaxations that benefit from additional cuts derived after spatially decomposing the network.
Foteinou et al. 123 presented a mixed-integer optimization framework for the synthesis
and analysis of regulatory networks. Their approach integrates prior biological knowledge
regarding interactions between genes and corresponding transcription factors, in an effort to
minimize the complexity of the problem. Misener et al. 124 proposed an extended pooling
problem to maximize the profit of blending reformulated gasoline on a predetermined
network structure of feed stocks, intermediate storage tanks, and gasoline products subject to
applicable environmental standards. They formulated the problem as a nonconvex MINLP
model due to the presence of bilinear, polynomial, and fractional power terms. A mixed-
integer linear programming relaxation of the extended pooling problem is proposed for
several small- to large-scale test cases. Misener et al. 125 introduced a formulation for
the piecewise linear relaxation of bilinear functions with a logarithmic number of binary
variables and computationally compared their performance of this new formulation to the
best performing piecewise relaxations with a linear number of binary variables. They also
unified the new formulation into the computational tool APOGEE that globally optimizes
standard, generalized, and extended pooling problems. Westerlund et al. 126 considered
some special but fundamental issues related to convex relaxation techniques in nonconvex
MINLP optimization, especially for optimization problems including nonconvex inequality
constraints and their relaxations.
The alternative global optima of an MINLP problem can be found if more than one
solution satisfies the same optimal value of the objective function. In practice, alternative
optima are useful because they allow the decision maker to choose from many solutions
without experiencing any deterioration in the objective function. For the case involving only
0-1 variables, Balas and Jeroslow 127 introduced the well-known binary cut with only
one constraint and no additional variables. Duran and Grossmann 73 used this binary
cut in their OA algorithm to exclude binary combinations. Tawarmalani and Sahinidis 38
mentioned that BARON can identify the K best solutions for a mixed-integer nonlinear
program, where K is an option specified by the user. Tsai et al. 57 proposed a general integer
cut to identify all alternative optimal solutions of a general integer linear programming
problem. Lin and Tsai 60 proposed a generalized method to find multiple optimal
solutions of an MINLP problem with free variables by means of variable substitution
and convexification strategies. The problem is first converted into another convex MINLP
problem solvable to obtain an exactly global optimum. Then, a general cut is utilized to
10 Mathematical Problems in Engineering

exclude the previous solution and an algorithm is developed to locate all alternative optimal
solutions.

4. Conclusions
Given the rapid advances in computing technology over the past decades, large optimization
theories and algorithms have been proposed to solve various real-world engineering and
management problems. Therefore, to give a systematic overview of the extant literature
is a challenge and motivates this study, particularly for that the field of optimization
has grown and evolved rapidly. This work first reviewed methods for continuous
variable optimization and survey advances in signomial programming. Then, mixed-integer
nonlinear programming methods for optimization problems with discrete components were
introduced. Contributions related to theoretical and algorithmic developments, formulations,
and applications for these two classes of optimization problems were also discussed.
Although deterministic approaches take advantage of analytical properties of the
problem to generate a sequence of points that converge to a global solution, heuristic
approaches have been found to be more flexible and efficient than deterministic approaches.
For solving nonconvex or large-scale optimization problems, deterministic methods may
not be easy to derive a globally optimal solution within reasonable time due to the high
complexity of the problem. Heuristic approaches therefore are presented to reduce the
computational time of solving an optimization problem, but the obtained solution is not
guaranteed to be a feasible or globally optimal solution. These two types of optimization
methods have different pros and cons. Therefore, integrating deterministic and heuristic
approaches may be a good way of solving large-scale optimization problems for finding a
global optimum. It is hoped that this paper will stimulate further research on developing
more advanced deterministic and heuristic methods to enhance the computational efficiency
of finding a globally optimal solution for various real application problems.

Acknowledgment
The research is supported by Taiwan NSC Grants NSC 99-2410-H-158-010-MY2 and NSC 99-
2410-H-027-008-MY3.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 316908, 18 pages
doi:10.1155/2012/316908

Research Article
A Hybrid Genetic Algorithm for the Multiple
Crossdocks Problem

Zhaowei Miao,1 Ke Fu,2 and Feng Yang1

1
School of Management, Xiamen University, Xiamen 361005, China
2
Lingnan (University) College, Sun Yat-Sen University, Guangzhou 510275, China

Correspondence should be addressed to Ke Fu, [email protected]

Received 8 December 2011; Revised 1 April 2012; Accepted 15 April 2012

Academic Editor: John Gunnar Carlsson

Copyright q 2012 Zhaowei Miao et al. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

We study a multiple crossdocks problem with supplier and customer time windows, where any
violation of time windows will incur a penalty cost and the flows through the crossdock are
constrained by fixed transportation schedules and crossdock capacities. We prove this problem
to be NP-hard in the strong sense and therefore focus on developing efficient heuristics. Based
on the problem structure, we propose a hybrid genetic algorithm HGA integrating greedy
technique and variable neighborhood search method to solve the problem. Extensive experiments
under different scenarios were conducted, and results show that HGA outperforms CPLEX solver,
providing solutions in realistic timescales.

1. Introduction
As companies seek more profitable supply chains, there has been a desire to optimize
distribution networks to reduce logistics costs. This includes finding the best locations for
facilities, minimizing inventories, and minimizing transportation costs. A distinct recent
industry example is the successful implementation of crossdocking strategy at Wal-Mart,
whose crossdocks require coordinating 2000 dedicated trucks over a large network of
warehouses, crossdocks, and retail points 1. While there is a rich literature on conventional
facility location problems, crossdocking strategies—which minimize inventory by processing
goods quickly for reshipment—have recently attracted the attention of researchers see,
e.g., 2–4. In conventional transshipment-inventory models, a common assumption is that
demand usually stochastic that cannot be met from one supply point can be fulfilled
through some other point. The objective is then to evaluate a control policy for replenishment.
Work on this subject has been extensive and can be found in, for example, Krishnan and
Rao 5, Karmarkar and Patel 6, Karmarkar 7, Tagaras 8, Robinson 9, Rudi et al. 10,
2 Mathematical Problems in Engineering

Grahovac and Chakravarty 11, Herer and Tzur 12, Herer et al. 13, Axsäter 14, and
Axsäter 15. For the general n location transshipment model, heuristics were proposed by
Robinson 9 who developed a large-scale LP by discretizing demand. Although these studies
considered inventory and transshipment costs, they did not address time constraints that
occur during the transshipment process, for example, constraints imposed by transportation
schedules. There has been relatively limited research on distribution and system design,
which includes crossdocks. Some recent attempts can be found in Donaldson et al. 16,
Ratcliff et al. 17, Gumus and Bookbinder 4, Li et al. 3, Miao et al. 18, and Boysen et
al. 19. In particular, Gumus and Bookbinder 4 modeled location-distribution networks
that include crossdock facilities to determine the impact on the supply chain. Li et al. 3
developed a heuristic algorithm to find JIT schedules within a single crossdock. Miao et al.
18 and Boysen et al. 19 studied how to schedule the inbound and outbound trucks to
achieve high operational efficiency within a single crossdock.
Our work differs from the above research in that we study a kind of multiple
crossdocks problem where transportation is available at fixed schedules, and where both
shipping and delivery at supply and demand locations can be executed within specified
time windows with normal transportation cost, and any shipment that cannot be met will be
fulfilled through external channels, which causes penalty costs. Supplier time windows allow,
for example, flexibility in planning for the best shipping times to fit production and operating
schedules. Time windows at demand points satisfy customer requirements, for example,
when service deadlines must be met. Moreover, in the real-world applications, sometimes
the time windows are allowed to be violated. There are two primary reasons for this: one is
exogenous, for example, it might not be practical to satisfy all the time windows constraints
when the demands are too high during a certain period; the other is endogenous, for example,
some shipments are emergent and have to be executed outside the normal time windows.
Clearly, such abnormal arrangements usually incur additional costs we call penalty in this
paper. Furthermore, we consider inventory cost at the crossdocks, which includes storing
cost and handling cost and are one of the cost sources in any transshipment strategy.
To the best of our knowledge, there are some papers closet to our work, including Lim
et al. 20, Chen et al. 21, and Ma et al. 22. Lim et al. 20 studied the complexity of different
types of multiple crossdocks problems where transportation schedules such as flexible
schedules and fixed schedules, and time constraints at manufacturers and customers are
included. Our model extends one of the cases studied by them, which is called single shipping
and single delivery by fixed schedules. However, their problem requires all the demands
should be satisfied by the suppliers, which is very difficult to achieve even to find a feasible
solution. We relax this constraint and allow demands of some customers to be unfulfilled,
but penalty cost will be incurred. In addition, most importantly, in the earlier works, they did
not set up any mathematical formulation and provide any implementable algorithms that
were able to solve this practical problem. We model this problem as an integer programming
problem, prove it to be NP-hard in the strong sense, and then focus on developing efficient
heuristic algorithms. Chen et al. 21 extended another case studied by Lim et al. 20, which
is called single shipping and single delivery by flexible schedules, simplified the problem by
discretizing the time horizon, and designed metaheuristic algorithms to solve it. Despite the
constraint of single shipping and single delivery, Ma et al. 22 took into consideration setup
cost of each vehicle in their multiple crossdocks problem, which is also strong NP-hard and
solved by a two-stage heuristic algorithm developed by them.
While one of the main objectives in this paper is to develop an efficient heuristic
algorithm to solve the above multiple crossdocks problem, we find that numerous researches
Mathematical Problems in Engineering 3

have been dedicated to design meta-heuristic algorithms to solve transportation problems.

For example, Hai and lim 23 used a Tabu-embedded simulated annealing algorithm that
restarted from the current best solution after several nonimproving iterations to solve the
pickup and delivery problem with time windows. Chen et al. 21 developed three kinds
of meta-heuristics, namely, simulated annealing, tabu search, and integrated simulated
annealing and tabu search with local search technique to solve multiple crossdocks problems
with inventory and time windows. In a dynamic vehicle dispatching problem with pickups
and deliveries, Michel et al. 24 proposed a tabu search with neighborhood search based
on ejection chains to explore the proposed problem. All these meta-heuristic algorithms
are focused on two aspects, one is how to generate initial feasible solutions efficiently
according to the specific structure of the problems, and the other is how to improve the
current best solution. Based on this, neighborhood search and integrated meta-heuristic
algorithm are then developed. In this paper, we adopt the basic idea of the genetic algorithm
and meanwhile take advantage of the problem structure to develop a hybrid genetic
algorithm HGA integrating greedy technique and variable neighborhood search to solve
the proposed problem. The unique feature of HGA is that it makes assignment of crossdocks
and routes to suppliers and customers in two stages and is further refined by the greedy
technique and variable neighborhood search. Since the problem we consider is a fairly general
transshipment problem with complicated constraints, we believe that our method could be
useful to solve other transshipment problems of this sort. We conduct various computational
experiments with different problem scales, and the results show that the proposed HGA
can yield better solutions for various problem instances of different scales, especially for the
large-sized problems compared with the CPLEX solver, which gives solutions before getting
terminated within the stipulated time limit of execution.
The rest of this paper is organized as follows. In Section 2, we formulate the problem as
an integer programming problem and provide complexity analysis. In Section 3, we explore
the problem structure and develop HGA. Section 4 demonstrates HGA with computational
results for various problem instances of different scales. The paper is concluded in Section 5.

2. The Multiple Crossdocks Problem

In this section, we describe the multiple crossdocks problem and introduce basic notation in
Section 2.1. We then formally formulate the problem as an integer programming problem and
provide complexity analysis in Section 2.2.

2.1. Problem Description

The problem studied here extends the well-known transshipment problem to include
constraints imposed by time and inventory considerations, which arise in applications. The
following assumptions are made. First, a supplier customer is allowed to ship goods to
crossdocks receive goods from crossdocks within a specified time window with a normal
cost level; however, if the shipment cannot be met, a much higher cost called penalty here
is incurred. When the shipments take place outside the time windows, then it means that
the current transportation network is unable or too busy to fulfill this shipment requirement
and external channels have to be used to ship the cargos at a much higher cost, which may
include the higher transportation costs and the order earliness or lateness costs through the
external channels. Second, shipped goods can be delayed at crossdocks, which is helpful to
4 Mathematical Problems in Engineering

satisfy time windows constraints and also helpful to potential consolidation. Third, shipping
schedules offered by transportation providers are fixed, that is, departure and arrival times
of any schedule are fixed. For example, the schedules in the railway network or in airline
operations are usually fixed. We assume that each schedule has a set of associated shipping
costs and route capacities. Fourth, the setup cost of each shipment sometimes is very high
in real world, so in order to reduce setup cost as much as possible, it requires each supplier
make only one batch shipment to some crossdock within its specified time window, and each
customer can receive goods only one time from some crossdock within its time window,
which is called single shipping and single delivery case 20, and for this case, consolidation
is quite important. Finally, the objective of our problem is to satisfy the demands of the
customers with minimum total costs including shipping cost, inventory cost and penalty
cost without violating the capacity constraints of crossdocks and routes through given fixed
schedules.
The underlying problem can be represented by a network. Let Σ : {1, . . . , n} be the set
of supply nodes suppliers where, for each i ∈ Σ, si units of goods are available, which can
be shipped released in the time window bir , eir , Δ : {1, . . . , m} the set of demand nodes
customers where each k ∈ Δ requires dk units of goods, which must be delivered accepted
within the time window bka , eka , and X : {1, . . . , l} the set of crossdocks, where each j ∈ X
has inventory capacity cj and inventory cost hj per unit per time. Take S1 to denote all fixed
scheduled routes between points in Σ and points in X, that is, routes serviced by transport
providers, each with a scheduled departure begin and arrival end time, capacity and unit
transportation cost. Similarly, let S2 denote the set of fixed schedules between the crossdocks
X and customers Δ.

2.2. Mathematical Formulation

We now introduce more notation that is used in our formulation as follows

Si,j : set of fixed transportation schedules between supplier i and crossdock j, and
|Si,j | γi,j , where | · | represents the cardinality of a set.
Sj,k : set of fixed transportation schedules between crossdock j and customer k, and
|Sj,k | γj,k

.
bi,j,q
r r
, ei,j,q : qth fixed transportation schedule in Si,j , where bi,j,q
r r
and ei,j,q are the
beginning time point and ending time point of this fixed schedule, respectively.
bj,k,q
a a
, ej,k,q : qth fixed transportation schedule in Sj,k , where bj,k,q
a a
and ej,k,q are the
beginning time point and ending time point of this fixed schedule, respectively.
ci,j,q : unit shipping cost from supplier i to crossdock j through qth fixed
transportation schedule in Si,j .

cj,k,q : unit shipping cost from crossdock j to customer k through qth fixed
transportation schedule in Sj,k .
Pi : unit penalty cost for supplier i if its cargo cannot be shipped out.
Pk : unit penalty cost for customer k if its demand cannot be met.
Tj : set of ending time points of all fixed transportation schedules in ∪ni 1 Si,j , that is,
Tj {ei,j,q
r
: 1 ≤ i ≤ n, 1 ≤ q ≤ γi,j }.
Mathematical Problems in Engineering 5

Tj : set of beginning time points of all fixed transportation schedules in ∪m S , that
k 1 j,k
is, Tj {bj,k,q
a 
: 1 ≤ k ≤ m, 1 ≤ q ≤ γj,k }.

Tj : set of time points when the inventory level of crossdock j is likely to be changed,
that is, Tj Tj ∪ Tj . Let |Tj | τj and all the elements in Tj are sorted in an increasing
order, and let tj,g g 1, 2, . . . , τj  correspond to these τj time points such that
tj,1 ≤ tj,2 ≤ · · · ≤ tj,τj . Using this notation, we can easily formulate the set of flow
conservation constraints later.

CAPi,j,q : shipping capacity of qth fixed transportation schedule in Si,j .

CAPj,k,q : shipping capacity of qth fixed transportation schedule in Sj,k .

θi,j,q : a binary parameter, which is 0 if the beginning time point of qth fixed
transportation schedule in Si,j is within the time window of supplier i, that is,
r
bi,j,q ∈ bir , eir , and 1 otherwise.

θj,k,q : a binary parameter, which is 0 if the ending time point of qth fixed
transportation schedule in Sj,k is within the time window of customer k, that is,
a
ej,k,q ∈ bka , eka , and 1 otherwise.

The following are decision variables.

xi,j,q : binary, which is 1 if to deliver cargos from supplier i is bound for crossdock j
through qth fixed transportation schedule in Si,j , and 0 otherwise.

xj,k,q : binary, which is 1 if to receive cargos from crossdock j to customer k is through
qth fixed transportation schedule in Sj,k , and 0 otherwise.

yj,tj,g : integer, which is inventory level in crossdock j at time tj,g , where tj,g ∈ Tj .

We are now ready to formulate the transshipment problem, which hereafter is called
problem P:

min COSTTransportation COSTPenalty COSTInventory , P

where

γ

n 
l 
γi,j

m 
l 
j,k
 
COSTTransportation ci,j,q si xi,j,q cj,k,q dk xj,k,q ,
i 1 j 1q 1 k 1j 1q 1
⎛ ⎞ ⎛ γ
⎞

n 
l γi,j

m 
l 
j,k

COSTPenalty Pi si ⎝1 − xi,j,q ⎠ Pk dk ⎝1 − 

xj,k,q ⎠, 2.1
i 1 j 1q 1 k 1 j 1q 1


l 
τj

COSTInventory hj tj,g − tj,g−1 yj,tj,g−1 ,
j 1g 1
6 Mathematical Problems in Engineering

s.t.


xi,j,q ≤ 1 − θi,j,q 1 ≤ i ≤ n, 1 ≤ j ≤ l, 1 ≤ q ≤ γi,j , 2.2

  
xj,k,q ≤ 1 − θj,k,q 1 ≤ j ≤ l, 1 ≤ k ≤ m, 1 ≤ q ≤ γj,k , 2.3


l 
γi,j
xi,j,q ≤ 1 1 ≤ i ≤ n, 2.4
j 1 q 1

γ

l 
j,k

xj,k,q ≤1 1 ≤ k ≤ m 2.5
j 1q 1

si xi,j,q ≤ CAPi,j,q 1 ≤ i ≤ n, 1 ≤ j ≤ l, 1 ≤ q ≤ γi,j ,
2.6

dk xj,k,q ≤ CAPj,k,q 
1 ≤ k ≤ m, 1 ≤ j ≤ l, 1 ≤ q ≤ γj,k ,

yj,tj,g ≤ cj 1 ≤ j ≤ l, 1 ≤ g ≤ τj ,
 2.7
yj,tj,0 0 1 ≤ j ≤ l, tj,0 0 ,

n  
m  

yj,tj,g yj,tj,g−1 si xi,j,q − dk xj,k,q 1 ≤ j ≤ l, 1 ≤ g ≤ τj , 2.8
i 1 {q:ei,j,q
r
tj,g } k 1 q:ba t
j,k,q j,g


xi,j,q ∈ {0, 1} 1 ≤ i ≤ n, 1 ≤ j ≤ l, 1 ≤ q ≤ γi,j ,
 
xj,k,q ∈ {0, 1} 1 ≤ j ≤ l, 1 ≤ k ≤ m, 1 ≤ q ≤ γj,k , 2.9

yj,tj,g ∈N 1 ≤ j ≤ l, 1 ≤ g ≤ τj .

In the above formulation, the objective is to minimize total cost, including transporta-
tion cost, penalty cost, and inventory cost. Note that we impose the penalty cost on both
supplier and customer sides here because unfulfilled demands have different impact on each
side in general. Constraint 2.2 ensures that each available fixed transportation schedule is
within the time window of suppliers. Similarly, the available fixed transportation schedule of
customers is given by 2.3. Constraint 2.4 ensures that each delivery is fulfilled within each
supplier specified time window at most once and 2.5 forces each customer to receive cargos
within its time window for no more than one time, which is required by single shipping
and single delivery constraint. The capacity constraints of fixed schedules are given by 2.6.
The capacity constraint of every crossdock is restricted by 2.7 and we also set a zero initial
inventory for each crossdock. The changes of inventory level of each crossdock are recorded
in 2.8, which ensures cargo flow conservation.
We have the following proposition whose proof is given in the appendix.

Proposition 2.1. The multiple crossdocks problem P is NP-hard in the strong sense, even if supply
and demand time windows and crossdock and route capacities are relaxed.

From the above proposition, we know that to find minimum cost of this problem is
NP-hard in the strong sense. Hence, it is unlikely to find a polynomial or pseudopolynomial
time algorithm to solve the problem unless P NP. As a result, we focus on efficient heuristics
Mathematical Problems in Engineering 7

to solve problem P. In the next section, we describe a heuristic that exploits the problem
structure and solves the problem efficiently.

3. Hybrid Genetic Algorithm

Genetic algorithm GA has become a well-known and powerful metaheuristic approach
for hard combinatorial optimization problems. Genetic algorithm is based on the ideas of
natural selection and has been applied to numerous combinatorial optimization problems
successfully. However, basic genetic algorithms have limitations to attain the optimal
solution. We propose a hybrid genetic algorithm HGA integrating greedy technique and
variable neighborhood search to solve problem P as described in the previous section.
The proposed HGA simulates the natural selection process; in addition, it incorporates the
special structure of problem P. In particular, in problem P, we expect to assign crossdocks
and routes to both the suppliers and customers in the most cost-effective manner. Clearly, the
assignments of crossdocks and routes for suppliers will affect the assignments for customers
due to capacity and time windows constraints and vice versa. As a result, simultaneously
assigning crossdocks and routes for suppliers and customers is not effective. Observing this
fact, we propose a two-stage assigning approach as follows. In the first stage, we assign
crossdocks and routes for suppliers; in the second stage, by taking advantage of the former
assignments for suppliers, we then assign crossdocks and routes for customers. This principle
is used throughout the process of HGA including the initial solution generation and the
solution updates. We describe the overall procedure of HGA briefly as follows, the formal
procedure will be presented in Section 3.2 after all the components of HGA are discussed in
Section 3.1.

Step 1. Generate initial solutions chromosomes by greedy technique. As described above,

there are two stages to generate initial solutions. In the first stage, we apply cost saving priority
to the assignments of crossdocks and routes to suppliers. In the second stage, for customers,
the procedure is also based on cost saving priority, and then adjust the solution by time match
criterion.

Step 2. Evaluate the fitness of each individual with respect to the objective function.

Step 3. Select a group of best individuals as the population pool, which guarantees that the
best genes can be preserved in offsprings.

Step 4. Apply two-opt strategy as the crossover operator to generate offsprings.

Step 5. Apply mutation to diversify the pool by changing some genes in specified
chromosomes.

Step 6. Apply variable neighborhood search to each new generated offspring, and go to Step 2
until one of the termination conditions is satisfied.

Note that both crossover and mutation operators are only applied when assigning for
suppliers and any change in assignments for suppliers will trigger changes in assignments
for customers. Furthermore, in HGA, variable neighborhood search is applied to improve
the solution. This evaluation-selection-reproduction-local search cycle is repeated until one
8 Mathematical Problems in Engineering

ν1 χ1 χ2 χ3 χ4 χ5 χ6 χ7 χ8
ν2 ψ1 ψ2 ψ3 ψ4 ψ5 ψ6 ψ7 ψ8

Figure 1: Two-vector chromosome for n m 4.

of the termination conditions is satisfied, namely, either the maximum number of iterations
is reached or the best solution cannot be improved within a certain number of iterations.

3.1. Components of HGA

3.1.1. Solution Representation
The chromosome is an important component in GA, which has a great influence on the
algorithm output. In the basic GA, a chromosome is usually encoded as one sequence to
represent a solution. However, since our problem involves assigning both the crossdocks
and routes, we construct the chromosome by two vectors. The first vector represents the
assignments of crossdocks to suppliers and customers, and the second vector represents the
assignments of routes to suppliers and customers. Formally, the two vectors are as follows.

1 crossdocks assignment vector hereafter called ν1 ,

2 routes assignment vector hereafter called ν2 .

For 1, crossdocks assignment vector is represented as ν1 χ1 , χ2 , . . . , χn m , where n and m

are the number of suppliers and that of customers, respectively; each χi ∈ {1, 2, . . . , l} recall
that there are l crossdocks represents an assignment of crossdock χi to suppler i i 1, . . . , n
or customer i − n i n 1, . . . , n m. That is, supplier i ships cargos to crossdock χi i
1, . . . , n, or customer i − n receives cargos from crossdock χi i n 1, . . . , n m. For 2, routes
representation vector ν2 is designed in the way similar to ν1 , ν2 ψ1 , ψ2 , . . . , ψn m , where ψi
means supplier i i 1, 2, . . . , n or customer i − n i n 1, n 2, . . . , n m chooses route
ψi to release or receive cargos. Note that ψi represents an available fixed schedule between
any two points. In particular, when 1 ≤ i ≤ n, ψi means supplier i chooses ψith route among
all the available routes {1, 2, . . . , γi,χi } to ship cargos to crossdock χi which has been assigned
in vector ν1 already; similarly, when n 1 ≤ i ≤ n m, ψi means customer i − n chooses
ψith route among all the available routes {1, 2, . . . , γχ i ,i } to ship cargos to crossdock χi which
again has been assigned in vector ν1 . The whole chromosome for a problem instance with
four suppliers and four customers is illustrated in Figure 1.
The initial sequences are generated randomly. However, given such a chromosome
sequence, we cannot guarantee the feasibility of the solution because the time windows of
suppliers and customers may conflict with each other when proper transportation schedules
do not exit or the capacity constraints of crossdocks or routes are violated in the cargo
transferring process. In order to overcome these difficulties and find a feasible solution
efficiently, a greedy technique is applied to identify a relatively better solution. More details
about generation of initial solution will be given next.
Mathematical Problems in Engineering 9

3.1.2. Generation of Initial Solution

Common integer programming methods usually fail for large-scale problems. In view of the
complexity of the crossdock problems, in order to obtain a much better solution, our approach
is to attain initial solutions using greedy method. At first, we can combine the transportation
cost and the penalty cost together in the objective function by some algebra as follows

γ

n 
l 
γi,j
 
m 
l 
j,k

ci,j,q − Pi si xi,j,q cj,k,q − Pk dk xj,k,q

C, 3.1
i 1 j 1q 1 k 1j 1q 1

n m 
where constant C i 1 Pi si k 1 Pk dk and each coefficient is negative because we assume
that the unit penalty cost is higher than unit transportation cost. Let Ci,j,q represent the cost

supplier i can save if he ships cargos to crossdock j by bi,j,q r r
, ei,j,q  and Cj,k,q represent the
cost customer k can save if he receives cargos from crossdock j by bj,k,q , ej,k,q , where Ci,j,q
a a


Pi − ci,j,q and Cj,k,q Pk − cj,k,q

, respectively.
From 3.1, we can see that, for a supplier, the most important point is saving cost Ci,j,q ,
which is the primary factor that determines which crossdock to ship to and which route to
be chosen between these two locations. This decision subsequently affects the holding cost in
the corresponding crossdock it ships to. To reflect this fact, we set probabilities for supplier-
crossdock assignments so that a higher cost saving of an assignment would result in a higher
probability for that assignment to be chosen. Formally, the probability that supplier i ships
cargos to crossdock j by schedule bi,j,q r r
, ei,j,q  is calculated as follows:

Ci,j,q 
Probi,j,q   1 ≤ i ≤ n, 1 ≤ j ≤ l, 1 ≤ q ≤ γi,j . 3.2
max Ci,j  ,q
j  ,q

For customers, we know which crossdocks have cargo after the first stage, and then we
assign one of these crossdocks to each customer and choose a route to deliver. The assignment
strategy of crossdocks and schedules for customer is similar to that of the suppliers, and we
also can calculate the probability similar to 3.2. Only one difference is that the customers
just can be assigned to those crossdocks that have been already assigned to suppliers, instead
of all the crossdocks. After that, we need adjust the solution according to time match criterion
to guarantee feasibility. During adjustment, we needs to eliminate those infeasible issues such
as time conflicts, overflow of capacity, and nonconservation of cargo flows. By adjustment,
infeasible solutions will scarcely be generated. However, for some infeasible solutions that
are too difficult to repair, we just need to unfulfill those customers who incur infeasibility to
get a feasible solution.

3.1.3. Crossover
In order to preserve efficient genes in a chromosome, the two-point crossover operator is
applied to generate offspring, which is widely adopted in GA see, e.g., 3, 18. The crossover
operator is illustrated by Figure 2. First, two individuals, we call parent 1 and parent 2, are
selected randomly from the population pool, and then two points are randomly selected
between genes representing assignment for suppliers, and because crossover operators
10 Mathematical Problems in Engineering

ν1 χ1 χ2 χ3 χ4 χ5 χ6 χ7 χ8
Supplier segment of parent 1
ν2 ψ1 ψ2 ψ3 ψ4 ψ5 ψ6 ψ7 ψ8

ν1∗ χ′1 χ′2 χ′3 χ4 χ5 χ6 χ′7 χ′8

Supplier segment of offspring 1
ν2∗ ψ1′ ψ2′ ψ3′ ψ4 ψ5 ψ6 ψ7′ ψ8′

ν1′ χ′1 χ′2 χ′3 χ′4 χ′5 χ′6 χ′7 χ′8

Supplier segment of parent 2
ν2′ ψ1′ ψ2′ ψ3′ ψ4′ ψ5′ ψ6′ ψ7′ ψ8′

Figure 2: Crossover operator.

applied among customers will generate lots of infeasible solutions, assignments for customers
are determined by assignments for suppliers. The symbols outside the two crossover points
are directly inherited from parent 1 to offspring 1, and the other genes of offsprings 1
are transferred from the symbols of parent 2 in corresponding positions. After crossover,
crossdocks and schedules are reassigned for customers using the aforementioned greedy
technique. After changing the roles of parents, the same procedure is applied to generate
offspring 2.

3.1.4. Mutation
It is obvious that the initial population generated by two-stage greedy method has poor
ability to carry the genetic diversity because the cost saving priority and time match priority
in the greedy technique reduce the chance for crossdocks and schedules with relatively
low cost saving to be chosen. As a result, the greedy technique causes population pool
homogeneity. In order to overcome this limitation, we use the mutation operator with a
given individual mutation probability Pim to mutate every individual and apply the greedy
technique to mutation of some gene representing the assignment of crossdock to some
supplier with gene mutation probability Pgm calculated by 3.2 in the selected individual.
After that, we also need to adjust the new solution to be feasible by the strategy which
is similar to that of initial solutions. Different from prior crossover operator slightly, the
mutation operator may deteriorate the current solution in terms of fitness. However, its goal
is not only to preserve the best genes but also to attain inferior genes with some probability
to diversify the pool.

3.1.5. Variable Neighborhood Search

GA is a global search technique but is poor in local search. Therefore, we use variable
neighborhood search technique to improve local search ability. A basic component of any
local search is neighborhood search. A solution is said to be a neighbor of another solution
s if it can be obtained from s through a neighborhood move. We develop several such
moves suitable for this problem to find neighborhood solutions. These moves are key to
the successful implementation of these heuristics. Next are the key moves and strategies for
neighborhood search.
Mathematical Problems in Engineering 11

Vary Crossdock for Supplier

In our algorithm, the crossdock assignment and route choosing problem has a special feature
that a sequence may not cover all the crossdocks, which is different from other order-based
problems. So single-point change strategy is applied here rather than two-opt strategy. First,
we randomly select a gene in supplier segment in one chromosome and change its assigned
crossdock to another that is different from the current one with probability calculated by
3.2 and repeat this procedure until a better solution is obtained. It should be emphasized
that, in each search process, we use the greedy technique mentioned in Section 3.1.2 to assign
crossdocks and schedules to customers after the reassignment for each supplier. This is an
efficient strategy to guarantee the feasibility of the new solution.

Change Route for Supplier

Routes selection is the most difficult decision in our problem, especially for suppliers. There is
no good method available that can efficiently select routes, which can guarantee the feasibility
besides the saving cost, not only in generating initial solution but also in generation of new
population. However, routes selection has a great influence on total cost. In addition, it
affects the inventory level of each possible time point in crossdocks, which determines the
customers crossdock assignment and route selection in our algorithm. In order to obtain a
better route, our strategy is to not only change the routes for suppliers, but also keep the
crossdock assignment unchanged. In this move, we change the assigned route of a randomly
selected supplier to a new one, and repeat this procedure until a better solution is obtained.
It must be of concern that, for any change in suppliers route, we must conduct reassignment
of crossdocks and schedules for customers to ensure the feasibility.

Swap Crossdocks for Customers

In the assignment process, we assign crossdocks and routes for customers one by one, which
would reduce the probability for latter customers to choose a particular crossdock. For
example, suppose that the inventory at certain time of a crossdock j could meet the demand
of customer 1 or customer 2 individually if there exist available routes for both of them and the
probabilities for them to choose the crossdock are close to each other. If customer 1 chooses
crossdock j first, then customer 2 would have small possibility to also choose crossdock j because
the remaining inventory of crossdock j may not meet its demand. This move is designed to
overcome this difficulty. That is, we give priority to customer 2 if that helps reduce the total
cost. Our strategy for this move is to select two customers randomly whose crossdocks are
different from each other, swap their crossdocks, and then repeat this procedure until a better
solution is obtained.

Change Route for Customer

The goal for this move is the same as the third strategy, that is, eliminating the ordering effect
for assigning crossdocks and routes for customers by the greedy method. The difference is
that this move focuses on two customers whose crossdocks are the same. It is obvious that,
if two customers choose the same crossdock but are assigned to receive cargos in order, for
example, supposed customer 1 and customer 2 select the same crossdock, customer 1 has an
advantage to ship out cargos in time; however, the total cost may be much lower if customer
12 Mathematical Problems in Engineering

Generate initial solutions by two-stage greedy method.

for iter ← 1 to #maximum iter do
for off ← 1 to #crossover do
Randomly select Parent 1 and Parent 2.
Crossover Parent 1 and Parent 2 to produce a new Offspring.
end for
for each offspring do
Mutate offspring with individual mutation probability Pim and gene mutation probability
Pgm
Apply neighborhood search to each newly-produced Offspring.
end for
Select the best #pop individuals from all the Individuals including all current parents and
newly produced offsprings.
Update current best solution.
if the best solution could not improve within #terminate iterthen
Consider the solution as the goal optimal solution.
break
end if
end for
output the best solution and escaped time

Algorithm 1: HGA to solve problem P.

2 can ship out cargos earlier than customer 1 when the penalty cost of customer 2 is relatively
high. So the strategy aims to give a priority to customer 2.

3.2. Framework of HGA

With these components, we now outline HGA framework in Algorithm 1. In this algorithm,
#pop denotes the number of populations, #crossover denotes the number of crossovers we
will do, #terminate iter denotes the maximum number of iterations the current best solution
cannot be improved, #maximum iter denotes the maximum number of iterations, and Pim
and Pgm are defined in Section 3.1.4.

4. Computational Experiments
We generate a great variety of problem instances and apply HGA to solve them. For
comparison purposes, we also use ILOG CPLEX 11.0 solver to solve the instances, which
is widely adopted by many papers see, e.g., 3, 21, 22. Both HGA and the CPLEX solver
were run on a personal computer with an Intel 2.4 GHz Pentium 4 CPU and 1G memory.
The test data generation, parameter settings of HGA, and detailed computational results are
reported in the following content.

4.1. Test Data Generation and Experimental Parameter Setting

Because crossdocking problems are relatively new, there are no benchmarks test sets
available. As a result, we generated our own data. The data sets are generated randomly
Mathematical Problems in Engineering 13

in such a way that they can represent realistic situations and can cover different scenarios,
which is suggested by Chen et al. 21, Li et al. 3, and Ma et al. 22, and the parameters
in HGA are based on numerous computational experiments, and they are effective to attain
desirable results.
The test data generation procedure requires three basic parameters: the number of
suppliers n, the number of customers m, and the number of crossdocks l. The time horizon is
fixed at 48 hours 2 days in the test sets; note that this is usually the longest-time shipments
by railways between two cities. The n start points of supplier i time window bir 1 ≤ i ≤
n were then randomly generated from a uniform distribution U0, 12. The end points
of supplier i time window eir were also randomly generated from a uniform distribution
U12, 36. For customers, their time windows are generated as bka , eka , where bka ∼ U12, 24
and eka ∼ U24, 48. The number of fixed transportation schedules between two points is
randomly generated in the interval 6, 8. Meanwhile, the beginning time of the first fixed
transportation schedule from supplier to crossdock is generated according to penalty cost and
transportation cost, so the fixed schedule is as begin, end, where begin ∼ Ubri × Pi /Pi −
ci,j,1 , 12 and end ∼ U13, 24, which means that a higher penalty cost provides a supplier
with a higher motivation to ship out cargos. Other schedules are generated as begin, end,
where begin ∼ Uthefirst schedule begin time, 12 and end ∼ U13, 24. Similarly, the
arrival time of the last delivery schedule for customers is generated according to penalty cost
and delivery cost, so the time window of the last delivery schedule is as begin, end, where

begin ∼ U12, 35 and end ∼ U36, eka × cj,k,γ  Pk /Pk . For others, the time window is as
j,k
begin, end, where begin ∼ U12, 35 and end: U36, the last schedule arrival time. Next,
because pickups usually follow deliveries within short times, we take the inventory cost at
crossdocks to be small relative to transportation costs. This reflects the fact that handling
costs are usually smaller than transportation costs. Based on this, the transportation cost
per unit cargo of each fixed scheduled route is uniformly generated in the interval 10, 30
and inventory handling cost per unit per hour is uniformly generated in the interval 1, 3,
which on average is 1/10 of transportation cost. The penalty cost is set to be relatively higher
compared to the transportation cost, which can enforce suppliers and customers to deliver
cargoes on time, so the penalty cost per unit cargo is uniformly generated in the interval
30, 90. Lastly, the amount of supplied cargo si demanded cargo dk  is uniformly generated
in the interval 100, 500. The capacity of each crossdock is set to αΣ1≤i≤n si , where α is
randomly generated from a uniform distribution U0.5, 0.8. Also the capacity of each route is
set to βΣ1≤i≤n si /n, where β is randomly generated from a uniform distribution U2, 5. The
following values of parameters are used: # max iter 104 , #terminate iter 100, #pop 200,
and #crossover 80. The mutation probability Pim is taken to be 0.02, which is proved to be
effective in experiments.

4.2. The Results and Analysis

Based on the number of suppliers, crossdocks, and customers, we designed three categories
of problem instances to test HGA: small, medium, and large scale. The results are presented
in Tables 1, 2 and 3. Each category has 40 test instances, sorted into 8 groups where each
group has 5 instances. The first row of each table specifies the instance size. n × l × m denotes
that there are n suppliers, l crossdocks, and m customers for this instance group. The rest
of each table provides the computational result of CPLEX and HGA. For each instance, the
following key values were reported: the average objective value, the average computational
14 Mathematical Problems in Engineering

Table 1: Result of CPLEX and HGA on random instances with small scale.
Problem size 10×4×10 12×4×12 14×4×14 16×4×16 18×4×18 10×6×10 12×6×12 14×6×14
LBs 104818 105058 139556 167451 144959 114548 104734 145931
CPLEX Objective 111094 107805 142217 174498 152658 123788 108595 155670
Times >3600 >3600 3301.1 >3600 >3600 >3600 >3600 >3600
Gap 5.52% 2.21% 1.85% 4.14% 4.02% 6.24% 3.36% 5.71%
Objective 110834 107808 142124 173815 150214 122921 108113 154486
HGA Times 472.93 781.9 530.79 922.69 562.30 726.26 608.8 1084.69
Gap 5.30% 2.21% 1.80% 3.79% 2.81% 5.59% 2.97% 5.14%

Table 2: Result of CPLEX and HGA on random instances with medium scale.

Problem size 16 × 10 ×
20×4×20 22×4×22 16×6×16 18×6×18 20×6×20 16×8×16 18×8×18
16
LBs 153165 197595 143037 161171 185072 131554 149797 132087
CPLEX Objective 158295 202441 154712 169924 195823 142704 161564 150179
Times >5000 >5000 >5000 >5000 >5000 >5000 >5000 >5000
Gap 2.64% 2.37% 7.48% 4.95% 5.17% 7.74% 6.90% 12.06%
Objective 157928 202398 153922 167337 194017 138126 159152 147352
HGA Times 1080.17 1741.77 1139.11 677.49 1326.22 675.84 1224.98 609.23
Gap 2.48% 2.34% 6.97% 3.69% 4.40% 4.40% 5.71% 10.22%

time, the gaps between value attained by both CPLEX and HGA, and the low bound attained
by CPLEX when terminated.
1 Small-size instances: the results are shown in Table 1. In this category, eight small
scale instance groups are generated with the size n and m ranging from 10 to 14,
and l ranging from 4 to 6. We use these instances to compare the performance of
the CPLEX solver and HGA. We find that, only in one group, CPLEX solver reaches
the LB within time limit set as 3600 s; for other cases, CPLEX fails to get the better
solutions within 3600 s comparing HGA, which gets better solutions more quickly,
and of which the average gaps are apparently smaller than CPLEX solver.
2 Medium-size instances: the results are reported in Table 2. In this category, eight
instance groups with the size n and m ranging from 16 to 22 and l ranging from 4 to
10 are tested. Time limit is set to more than 5000 s. Also CPLEX fails to get the better
solutions within the time limit for all the instance groups, while HGA performs
well in no more than 1200 s.
3 Large-size instances: the results can be found in Table 3. In this category, large-scale
instance groups are generated and categorized into 8 groups with the size n and m
ranging from 20 to 24 and l ranging from 8 to 12. The CPLEX solver is unable to
obtain the better solutions within the time limit, which is set to 7200 s; only in one
group CPLEX gets a better solution than HGA. However, HGA can attain much
better solutions in no more than 1800 s in the other seven cases.
All the three categories of 24 instance groups show that HGA performs fairly well and
is preferable over the commercial CPLEX solver.
The main feature of our proposed HGA is to integrate variable neighborhood search
VNS into a general GA framework so that it has the ability to get better solutions, especially
Mathematical Problems in Engineering 15

Table 3: Result of CPLEX and HGA on random instances with large scale.

Problem size 18 × 10 × 20 × 10 × 22 × 10 × 22 × 12 × 24 × 12 ×
20×8×20 22×8×22 24×8×24
18 20 22 22 24
LBs 179309 189188 196688 1495661 162114 170686 208110 192499
CPLEX Objective 195510 207942 217234 160386 186614 194127 232170 227976
Times >7200 >7200 >7200 >7200 >7200 >7200 >7200 >7200
Gap 7.68% 8.64% 9.20% 6.38% 13.12% 11.80% 10.36% 14.95%
Objective 194431 204953 216949 160445 183441 189251 227295 221557
HGA Times 1159.11 1718.59 1696.08 1314.28 1298.37 1316.45 1419.08 1545.45
Gap 7.30% 7.34% 9.07% 6.43% 11.71% 9.77% 8.44% 12.96%

Table 4: Gap between HGA and GA.

Problem size 30×10×30 34×10×34 36×10×36 40×10×40 36×15×36 40×15×40

Objective 261081 299320 296109 347677 306791 334069
HGA
Times 1365.87 1626.23 1801.35 1661.80 1738.46 1823.73
Objective 280881 309925 314313 355154 334459 357053
GA
Times 1338.44 1303.33 1405.94 1691.24 1332.00 1386.86
Gap 7.58% 3.54% 6.15% 2.15% 9.02% 6.88%

for large-scale problem instances. Hence, by comparing the results of HGA and GA without
VNS, we can identify how much the solutions can be improved for large-size problem
instances. The numerical results are reported in Table 4, where each problem size has 5
instances, and Gap is defined by

Objective GA − Objective HGA

∗ 100%. 4.1
Objective HGA

The results show that our proposed HGA provides better solutions without sacrificing
much computational efforts compared with the GA. Specifically, the results show that HGA
outperforms GA for all the cases in terms of solution quality. Although the speed of HGA
is slower than GA, it is reasonable because HGA requires more time to search for a better
solution by applying VNS. This gives us a clearer idea of the performance of the proposed
HGA for the large-sized problems. That is, in general, HGA can provide high-quality
solutions in realistic timescales for large-size problems.
Note that our problem has many characteristics e.g., fixed transportation schedules,
inventory capacity, etc. different from the vehicle routing problem VRP, although the VRP
also considers how to find an optimal transportation scheme to satisfy customer demands.
The heuristic algorithms that can be very effective for the VRP cannot be applied to our
problem because these two types of problems have different structures and constraints.

5. Conclusions
In this paper, we consider multiple crossdocks problem through fixed transportation
schedules with time windows, capacity, and penalty. The objective is to minimize the total
costs including shipment costs, penalty cost, and inventory cost. Since we prove that the
16 Mathematical Problems in Engineering

problem is NP-hard in the strong sense, we focus on developing an efficient heuristic

algorithm. Based on the problem structure, we propose an HGA to solve the problem
efficiently. In HGA, we employ two vectors two sequences to represent a solution including
crossdock assignment and route assignment, and we use a greedy method to generate initial
solutions that can help the solutions achieve feasibility. We apply variable neighborhood
search to eliminate the limitations caused by greedy method and accelerate convergence rate
of HGA. Experiments are conducted by using a wide range of test data sets that reflect various
realistic scenarios with different problem sizes. Computational results demonstrate that HGA
is preferable over the commercial CPLEX Solver.
Our main contribution is threefold. First, the problem we consider represents a class of
transshipment problems that arise from real-world applications, which may help industrial
practitioners to improve the transshipment decisions within multiple crossdock networks.
Second, we set up an integer programming model for this special problem and show that
its complexity is strongly NP-hard, which implies that it is unlikely to find a polynomial or
pseudopolynomial time algorithm to solve the problem unless P NP. Third, we propose
a hybrid genetic algorithm integrating greedy technique and variable neighborhood search
method that exploits the problem structure and is able to solve the problem effectively
and efficiently. The proposed heuristic sheds light on solving many other related complex
multiple crossdocks problems.
There are a few directions for further research. Firstly, it may be worthwhile to consider
different cost structures, for example, discounted transportation costs based on the shipping
amount. Secondly, lateral transportation between crossdocks may be considered. Finally,
the current problem can be extended to the multicommodity consolidation problem with
repacking consideration, in which various types of goods or freight are considered in a given
supply chain transshipment network, as well as the packing problem.

Appendix
Proof of Proposition 2.1
We provide a reduction of the strongly NP-complete 3-partition problem: given positive
integers, w, D, and Γ {1, 2, . . . , 3w} with positive integer values γi where, for each

i ∈ Γ, i∈Γ γi wD and D/4 < γi < D/2 for i ∈ Γ, can Γ be partitioned into w disjoint sets

Γ1 , Γ2 , . . . ,Γw such that |Γk | 3 and i∈Γk γi D for k 1, . . . ,w? From an arbitrary instance
of 3-partition, we consider a polynomial reduction to an instance of our multiple crossdocks
problem and ask if there exists a feasible solution whose objective value is no greater than
2wD. For w suppliers given in Σ let Σ {1, 2, . . . , w} and 3w customers in Δ let Δ Γ,
let si be the supply and si D for i ∈ Σ with unit penalty cost 3, while for each k ∈ Δ, let
dk γk be the demand also with unit penalty cost 3. Exactly one crossdock, χ, say, with
inventory holding cost 1 per unit product per time, exists linking suppliers with customers.
For each supplier i i ∈ Σ, there is only one fixed transportation schedule i, i 1 with
unit transportation cost 1. On the other hand, for each customer k k ∈ Δ, there is w fixed
transportation schedule {q 1, q 2 : q 1, . . . , w} connected with crossdock χ also with
unit shipping cost 1.
We now show that a feasible schedule exists whose objective value is no greater than
2wD if and only if the 3-partition has a feasible solution. On the one hand, if 3-partition has a
feasible solution Γ1 ,. . . , Γw , note that we needs pay attention to the single shipping and single
delivery condition, and hence we should ship all goods provided by supplier i i ∈ Σ to χ
Mathematical Problems in Engineering 17

through fixed schedule i, i 1, respectively, and transship all of them to customer j j ∈ Γi 
through i 1, i 2, which satisfies the demand γj for customer j j ∈ Γi  exactly. It is
easy to verify that such a schedule is feasible and total cost is 2wD. On the other hand, if
a feasible schedule exists with objective no greater than 2wD, then it is optimal since it is
easy to prove that 2wD is the lower bound of our instance, whose reason is because the total
transportation cost is 2wD at least, and if any cargo is delayed in crossdock or any demand
is unfulfilled, then the total cost is definitely greater than 2wD. Hence, this optimal solution
must satisfy the following two conditions: 1 there is no inventory in crossdock at any time;
2 no penalty cost is incurred. We can then construct a partition by setting Δi to be the subset
of k ∈ Δ whose demand is satisfied by supplier i for 1 ≤ i ≤ w. Because of conditions 1
and 2, the demand of customer k k ∈ Δ is γk which should be satisfied immediately
by fixed schedule i 1, i 2. Moreover, because of the single shipping and single delivery

condition, we have k∈Δi dk D. Since D/4 < dk < D/2 for k ∈ Δ, we have |Δi | 3. Hence,
Δ1 , . . . , Δw is a feasible partition for the instance of 3-partition and this completes the proof.

Acknowledgments
The authors wish to acknowledge one anonymous referee whose comments have helped
to greatly improve this paper. This research was supported in part by NSFC 70802052,
70701039, 71072090, MOE NCET-10-0712, NCET-10-0847, the Fundamental Research
Funds for the Central Universities 2010221025, 10wkpy20, the Academic Outstanding
Youthful Research Talent Plan of Fujian Province JA10001S, and Soft Science Projects of
Fujian Province 2011R0081.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 463976, 40 pages
doi:10.1155/2012/463976

Research Article
A Nonlinear Multiobjective Bilevel Model for
Minimum Cost Network Flow Problem in a
Large-Scale Construction Project

Jiuping Xu,1, 2 Yan Tu,2 and Ziqiang Zeng2

1
State Key Laboratory of Hydraulics and Mountain River Engineering, Sichuan University,
Chengdu 610064, China
2
Uncertainty Decision-Making Laboratory, Sichuan University, Chengdu 610064, China

Correspondence should be addressed to Jiuping Xu, [email protected]

Received 3 January 2012; Revised 9 March 2012; Accepted 19 March 2012

Academic Editor: Jung-Fa Tsai

Copyright q 2012 Jiuping Xu et al. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

The aim of this study is to deal with a minimum cost network flow problem MCNFP in a large-
scale construction project using a nonlinear multiobjective bilevel model with birandom variables.
The main target of the upper level is to minimize both direct and transportation time costs. The
target of the lower level is to minimize transportation costs. After an analysis of the birandom
variables, an expectation multiobjective bilevel programming model with chance constraints is
formulated to incorporate decision makers’ preferences. To solve the identified special conditions,
an equivalent crisp model is proposed with an additional multiobjective bilevel particle swarm
optimization MOBLPSO developed to solve the model. The Shuibuya Hydropower Project is
used as a real-world example to verify the proposed approach. Results and analysis are presented
to highlight the performances of the MOBLPSO, which is very effective and efficient compared to
a genetic algorithm and a simulated annealing algorithm.

1. Introduction
Network flow optimization is a large part of combinatorial optimization. The minimum cost
network flow problem MCNFP is made up of a wide category of problems 1, 2. MCNFP
plays a very important role in many real-world applications such as communications 3, 4,
informatics 5, and transportation 6. Other well-known problems like the shortest path
problem and the assignment problem are considered to be special MCNFP cases 7.
In recent decades, the MCNFP has been well researched with many models and algo-
rithms being developed, for example, 8–13. These studies, however, have not often taken
carrier type selection and transportation time into account when looking at the transportation
network. Yet, both cost and time control are important in construction projects, especially in
2 Mathematical Problems in Engineering

large-scale construction projects where transportation costs are largely based on the rates
charged by carriers, which have a significant influence on transportation time. In real condi-
tions, there is increasing pressure to shorter transportation time to reduce or eliminate extra
project expenses, with the early arrival of materials shortening the completion time of the
construction project and improving construction efficiency. In these cases, it is necessary to
include both the carrier type selection or transportation time in the transportation network
analysis. In this paper, a multiobjective bilevel MCNFP is studied. On the upper level, the con-
struction contractor determines the material flow of each transportation network path with
the criteria being the minimization of both direct costs and total transportation time costs. On
the lower level, the transportation manager controls each carrier’s flow so that total transpor-
tation costs are minimized.
The research presented previously has a common foundation in that they were all
based on a deterministic transportation network. However, transportation systems are often
complex, so decision makers inevitably encounter uncertain parameters when making a
decision. Within the last two decades the use of multimodels with uncertain parameters in the
study of network flow problems has been increasingly exploited. For example, Watling 14
studied a user equilibrium traffic network assignment problem with stochastic travel times
and a late arrival penalty. Chen and Zhou 15 developed an α-reliable mean-excess traffic
equilibrium model with stochastic travel times. Lin 16 constructed a revised stochastic flow
network to model a realistic computer network in which each arc has a lead time and a
stochastic capacity. Sumalee et al. 17 dealt with a reliable network design problem which
was looked at uncertain demand and total travel time reliability. In actual analyses, ran-
domness is considered one important source of uncertainty. Yet with MCNFP randomness is
seen to be increasingly complex because of the often incomplete or uncertain information.
To date, there has been little research which considers multilevel twofold uncertainty coeffi-
cients for MCNFP. Therefore this research concentrates on the problem under a birandom
environment with the logic behind this choice of birandom variables illustrated in Section 2.
The MCNFP proposed in this paper is a multiobjective bilevel programming problem,
first introduced by Geoffrion and Hogan 18, and consequently developed by researchers
such as Tarvainen and Haimes 19, Osman et al. 20, Zhang et al. 21, and Calvete and
Galéb 22. Multiobjective bilevel programming has been greatly improved in both the
theoretical and practical areas. While these studies have significantly contributed to a variety
of applications, to the best of our knowledge, there is still no known research considering the
modeling for the MCNFP. With bilevel programming problems being intrinsically difficult,
it is not surprising that most exact algorithms to date have focused on the simplest cases of
bilevel programs, that is, problems with relatively easy to determine properties such as linear,
quadratic, or convex objective and/or constraint functions 23. Since the proposed bilevel
MCNFP model is nonlinear, nonconvex, and nondifferentiable, it follows that the search for
exact algorithms which are formally efficient is all but futile and it is necessary instead to
search for effective heuristic algorithms to solve the MCNFP. Determining the global optimal
solution is of great importance in MCNFP. Specifically, this paper deals with the multiple
objectives by employing the concept of nondominated solutions instead of applying
weighted sum scalarization. In this study, an effort is made to develop a multiobjective bilevel
particle swarm optimization MOBLPSO to solve a real world MCNFP in the Shuibuya
Hydropower Project.
The remainder of this paper is structured as follows. In Section 2, an introduction to
the bilevel MCNFP is presented along with the motivation for employing birandom variables
in the problem. An expectation multiobjective bilevel programming model with chance
Mathematical Problems in Engineering 3

constraints under a birandom environment is established in Section 3, for which the equi-
valent crisp model is derived in Section 4. In addition, an MOBLPSO is illustrated in Section 5.
In Section 6, an application to earth-rock work transportation in a large construction project
is given in order to show the validity and efficiency of the proposed models and algorithms.
Concluding remarks and further discussion are in Section 7.

2. Problem Statement

In construction projects, and especially in large-scale construction projects, the MCNFP is

becoming increasingly important. Here we discuss a multiobjective bilevel MCNFP in a large-
scale construction project. In order to establish the model, a description is given.

2.1. Bilevel Problem Description

The MCNFP discussed considers both the construction contractor and the transportation
manager as the two participants. In a large-scale construction project, material often has
supply origin and receipt destination nodes, with the construction contractor generally
assigning a specialized Transportation Company. The bilevel model considers the construc-
tion contractor and the transportation manager in the specialized Transportation Company
concurrently, gives priority to contractor benefit, and considers the influence of the contrac-
tor’s decision making on the flow distribution of the transportation manager’s carriers. As
both cost and time control are important in construction projects, their effectiveness needs to
be considered. The construction contractor assigns the flow of material to each transportation
path to minimize direct costs and transportation time costs, while the transportation manager
aims to minimize transportation costs by making decisions about flow of material by each
carrier through the transportation path based on the construction contractor’s decision
making, which in turn influences contractor’s decision-making through adjustments to the
flow of material by each carrier along the transportation path.
Therefore, the MCNFP in this paper can be abstracted as a bilevel programming prob-
lem. To model the problem conveniently, the involved transportation network is considered
a bipartite network represented by a graph with sets of nodes and arcs. In the network,
a node represents the facilities in the network, for instance, a station or a yard, and an arc re-
presents a line between two adjacent facilities. The model structure of the MCNFP is in
Figure 1.

2.2. The Motivation for Considering Birandom Environment in the MCNFP

The birandom environment has been successfully studied and applied in many areas, such as
flow shop scheduling problem 24, portfolio selection 25, and vendor selection 26. These
studies show the necessity of considering birandom environment in practical problems. There
is a strong motivation for considering birandom environment for the MCNFP.
In real conditions, the transportation plan is usually made before the occurrence
of any transportation activity; thus the determined values of some parameters cannot be
obtained in advance; so there is a strong need to consider uncertainty in transportation
4 Mathematical Problems in Engineering

The upper level

O-D Construction Minimize the total direct cost

Transportation demand contractor Minimize the total transportation time cost

Lower level feedback

The lower level Path flow xj

Transportation
manager

Carrier 1 ··· Carrier k ··· Carrier K

Flow transported by each carrier on each path yjk

1 1 1 1 1 1

2 Transportation 2 2 Transportation 2 2 Transportation 2

··· ··· network
network · · network · · ·
· · · · ·
· · · · ·
D D O D
O O

Transportation network
Birandom variable: transportation time, transportation cost

Minimize the
transportation cost

Figure 1: Model structure for MCNFP.

problems. An MCNFP in a large-scale construction project is considered in this paper, which

may be subjected to twofold randomness with incomplete or uncertain information. For
example, the transportation time in an arc of the project is not fixed because of the effect of
the transportation environment which includes many uncertainties such as traffic accidents,
traffic congestion, vehicle breakdowns, bad weather, natural disasters, and special events
27. Therefore, it is often subject to a stochastic distribution. Generally, transportation time
approximately follows a normal distribution expressed as N μ, σ 2  28–30, whereas the nor-
mal distribution has to be truncated to avoid negative values. However, the expected value of
transportation time μ  is also uncertain because it is determined by the carrier’s speed, which
in turn is influenced by such uncertainties as vehicle condition. It is possible to specify a real-
istic distribution e.g., normal distribution for the parameter μ  through statistical methods
or related expertise and other knowledge. When the value of μ  is provided as a random
variable which approximately follows a normal distribution, the pattern of overlapping
randomness is said to be birandom as illustrated in Section 3.1. The flowchart of transporta-
tion time as a birandom variable is in Figure 2.
The situation is similar with transportation costs. However, the mean values of trans-
portation costs are considered as approximately following normal distributions due to the
fluctuation of gasoline prices over time, which results in the birandomness of the transporta-
tion costs. From the previous description, the birandom variable is employed to take account
of the hybrid uncertainty and obtain a more feasible network flow scheme.
Mathematical Problems in Engineering 5

Transportation environment

Traffic accidents Historical data

Transportation Random variable

Bad weather Traffic congestion k
time ti ∼ N μ, σ 2
Natural disasters

Other influencing factors

The speed of the carrier is influenced by the Mean transportation time μ is determined
vehicle condition by the speed of the carrier

k
Specify a realistic distribution for μ ti ∼ N μ, σ 2 , μ ∼ N μ, σ0 2

Figure 2: Flowchart of transportation time as a birandom variable.

3. Modelling
In this section, the relevant assumptions and notations are first outlined, some basic know-
ledge about the birandom variable is introduced, and then the nonlinear multiobjective bi-
level MCNFP model under a birandom environment is formulated.

3.1. Problem Assumptions

The mathematical model described has the following assumptions.

1 The proposed transportation network is a single material transportation network

composed of nodes and road sections.
2 The capacities of the different arcs are satisfactorily independent, and the total flow
of carriers on each arc cannot exceed its capacity.
3 Flows on all transportation paths between OD pairs satisfy the feasible flow
conservation 31.
4 All transportation paths in the network are known.
5 The transportation cost of every road section and transportation time are consider-
ed birandom variables, with the attributes determined from available statistics and
historical data as well as forecast transportation environments. They are considered
to be independent.
6 The demand at every reception node must be met on schedule. The material has
a given transportation duration. If the transportation time exceeds the given dura-
tion, then a delay cost is added.
6 Mathematical Problems in Engineering

3.2. Notations
The following mathematical notations are used to describe the MCNFP.

Subscripts and Sets

o: index of origin node;
d: index of destination node;
Ψ: set of carriers, k ∈ Ψ is an index;
Φ: set of arcs in the transportation network, i ∈ Φ is an index;
Ω: set of paths in the transportation network, j ∈ Ω is an index;
E: set of origin-destination OD pairs, o, d ∈ E;
Aj : set of arcs in transportation path j;
Pod : set of paths from origin node o to destination node d.

Certain Parameters
ri : maximal passing capacity of arc i;
wk : weight for carrier k in the transportation network;
vk : volume capacity of carrier k;
Tj : transportation time constraint represents the time of transportation path j in Tj
units in which the material demand between all OD pairs has to be transported;
j
γi : a binary variable equal to 1 if and only if arc i is a segment of transportation path j
for carrier k;
Qod : transportation demand of the material from origin node o to destination node d;
cj : direct cost of unit volume material using transportation j;
  : ceiling operator rounding upward to integer.

Uncertain Parameters
k
ei : unit transportation cost of material flow on arc ai for carrier k;
tk : free transportation time of material flow on arc i for carrier k;
i0

tk : transportation time of material flow on arc a for carrier k.

i i

Decision Variables
xj : volume of material flow on transportation path j, which is the decision variable of
the upper level;
ykj : volume of material flow transported by carrier k through path j, which is the
decision variable of the lower level.
Mathematical Problems in Engineering 7

3.3. Birandom Variable

The birandom variable, proposed by Peng and Liu 32, can be used to explain the proposed
problem. Some basic knowledge about birandom variable is as follows.

Definition 3.1 see 32. A birandom variable ξ is a mapping from a probability space
Ω, A, Pr to a collection S of random variables such that for any Borel subset B of the real
line  the induced function Pr{ξω ∈ B} is a measurable function with respect to ξ.
For each given Borel subset B of the real line , the function Pr{ξω ∈ B} is a random
variable defined on the probability space Ω, A, Pr.

From Definition 3.1, a birandom variable is a mapping from a probability space to

a collection of random variables. Roughly speaking, a birandom can be seen as a random
variable with random parameters. Here we give three examples of birandom variable.

Example 3.2. Let Ω {ω1 , ω2 , . . . , ωm }, and Pr{ω1 } Pr{ω2 } ··· Pr{ωm−1 } Pr{ωm } 1.
Assume that ξ is a function on Ω, A, Pr as follows:
⎧
⎪
⎪
⎪ ξ1 , if ω ω1 ,
⎪
⎪
⎪
⎪
⎪
⎪ ξ2 , if ω ω2 ,
⎪
⎨
..
ξω . 3.1
⎪
⎪
⎪
⎪
⎪
⎪ξm−1 , if ω ωm−1 ,
⎪
⎪
⎪
⎪
⎩ξ , if ω ωm ,
m

where ξ1 is a uniformly distributed random variable on 0, 1, ξ2 , . . . , ξm−1 are normally
distributed random variables with a mean 1 and a standard variance 0.5, and ξm is a standard
normally distributed random variable with a mean 0 and a standard variance 1, that is,
ξ1 ∼ U0, 1, ξ2 ∼ N1, 0.5, . . . , ξm−1 ∼ N1, 0.5, and ξm ∼ N0, 1. From Definition 3.1, ξ
is clearly a birandom variable as shown in Figure 3.

Example 3.3. Assume that a and b are two random variables defined on Ω , A , Pr , and for
any ω∗ ∈ Ω , bω∗  ≥ aω∗  holds; then random variable ξ ∼ Naω∗ , bω∗  is a birandom
variable.

Example 3.4. Let ξ be a random variable defined on the probability space Ω, A, Pr satisfying
 is also a normally distributed random variable on Ω , A , Pr  with the
μ, σ 2 , where μ
ξ ∈ N
mean μ and variance σ ∗2 . Then ξ is a birandom variable.

Definition 3.5. A birandom variable ξ is said to be normal, if for each ω, ξω is a random
variable with the following probability density function:
  2
1 x − μω
φx √ exp − , 3.2
σω 2π 2σω2

where the number of random variable of μω and σω is not less than one. The normal
birandom variable is denoted by Nμω and σω.
8 Mathematical Problems in Engineering

Ω
∈
ω
p x p x
ξ m−1 ωm−1 ξ m ωm

p ω x
ξ
ωm
1 p x
ξ 1 ω1
ωm−1
p x
ξ 2 ω2

··
··
··
ω3

−4 ω2
−3
−2 ω1
−1
0
x∈
R 1
2
3
4

Figure 3: Representation of a Birandom variable in Example 3.2.

3.4. Bilevel Model Formulation

In this section, the expectation multiobjective bilevel programming model with chance con-
straints under a birandom environment based on the philosophy is proposed: decisions are
selected by optimizing the expected values of the objective functions subject to chance
constraints with some predetermined confidence levels given by the actual decision makers.

3.4.1. Lower Level Model for the Bilevel MCNFP

The problem posed on the lower level is how to make decisions on material flow by each type
of carrier on transportation path ykj while satisfying all capacity constraints, with the main
objective being to minimize expected total transportation cost.

(1) Objective Functions of the Lower Level

The total transportation cost of the material is calculated by taking the sum of the carriers
of each arc’s transportation cost and the number of carriers needed to transport the material
across the network. In real conditions, it is desirable that each service carrier be fully loaded,
k
so the numbers of carrier k through path j can be denoted by ykj /vk . Since e is considered i
a birandom variable, the total transportation cost of material is considered under a
birandom environment. Generally, it is difficult to completely minimize total transportation
costs because of the birandom variables. Because decision-makers expect minimal cost,
Mathematical Problems in Engineering 9

the expected value of the total transportation cost is the objective of the lower level. Denote
the expected total transportation cost of material as Cykj ; then the objective function of the
lower level model can be formulated as
⎡ ⎤
 
 j k ykj
min C ykj E⎣ γi ei ⎦. 3.3
k∈Ψ j∈Ω i∈Φ
vk

Generally, a path can be represented by a sequence of adjacent arcs. A binary variable

j
γi is introduced to determine whether an arc i is a segment of path j for carrier k:

⎧
⎨1, if i ∈ Aj , j ∈ Ω,
j
γi 3.4
⎩0, otherwise.

(2) Constraints of the Lower Level

For transportation time, each carrier requires the transport of material from the source to the
 k
γ t represents the total travel
j
destination on schedule T . If not, a delay cost is applied.
j i∈Φ i i
k
time of carrier k on transportation path j, in which ti is usually represented by a non-
decreasing function i.e., Bureau of Public Roads BPR function 33 as follows:
⎡ ⎛ ⎞ ⎤
 j  β
t ⎢1 k∈Ψ γi ykj /vk
⎠ ⎥
k k
t α⎝
j∈Ω
i ∈ Φ, k ∈ Ψ, 3.5
i i0 ⎣ ⎦,
ri

where α and β are user-defined parameters and, in this problem, are set to 0.15 and 2.0,
respectively.
 k
Technically, it is not possible to strictly ensure that the random event i∈Φ γi ti does
j

k
not exceed T because of the birandom variable t . In practical problem, the decision makers
j i0
often provide an appropriate budget Tj in advance, to ensure that the restriction is, to a certain
 k
extent, satisfied, that is to maximize the probability of the random event Pr{ i∈Φ γi ti0 ω1
j

  j β
α j∈Ω k∈Ψ γi ykj /vk /ri   ≤ Tj } under a given confidence level, which can be written as
follows:
⎧ ⎧ ⎡ ⎛  ⎤ ⎫ ⎫
⎪ ⎪ j ⎞β ⎪ ⎪
⎨ ⎨ γ y /v ⎬ ⎬
k
⎢ ⎠ ⎥
γi ti0 ω⎣1
kj k
α⎝
j j∈Ω k∈Ψ i
Pr ω | Pr ⎦ ≤ T j ≥ θ ≥ δ, j ∈ Ω, k ∈ Ψ.
⎪
⎩ ⎪
⎩i∈Φ ri ⎪
⎭ ⎪
⎭
3.6

Here the decision makers’ aspiration level is indicated as θ, so we use a “Pr” to ensure that
the constraint holds at the predetermined confidence level. Additionally, based on probability
theory, a further “Pr” is needed to describe the random elements presented in Section 2,
10 Mathematical Problems in Engineering

which guarantee the establishment of a certain confidence level δ, resembling the P-model
probability maximization model presented in 34.
The transportation flow may exceed some arcs’ capacity because of uncertainties such
as the condition of the construction project road. Such conditions may require the manager
to select another path. Thus, the total amount of capacity on arc i cannot exceed the maximal
capacity of the arc i, which produces the following constraint:
 
j ykj
γi ≤ ri , i ∈ Φ. 3.7
j∈Ω k∈Ψ
vk

Actually, it is difficult to ensure that each service carrier is fully loaded; so the sum
of all flows transported by all kinds of carriers through each path cannot be less than the
material flow assigned to it; thus the following constraint is obtained:

ykj ≥ xj , j ∈ Ω. 3.8
k∈Ψ

The path flow in path j used by carrier k should not be negative, such that

ykj ≥ 0, j ∈ Ω, k ∈ Ψ. 3.9

3.4.2. Upper Level Model for the Bilevel MCNFP

The problem the construction contractor on the upper level faces is how to assign material
flow among the transportation paths across the complete transportation network, that is, how
to decide the material flow xj through transportation path j. Thus, the decision variable on
the upper level is xj .

(1) Objective Functions of the Upper Level

For large-scale construction projects, cost and time control are both important, so minimizing
total direct costs and total transportation time costs is the two objectives of the upper level
model. The two objectives of the upper level can be described as follows.
Firstly, the upper level decision maker attempts to minimize the direct costs of the com-
plete network by assigning the flow of the material to each transportation path to achieve a
system optimized flow pattern; thus, the total direct cost is the sum of all transportation costs
from different transportation paths. The first objective function of the upper level model can
be formulated as follows

C xj , ykj cj xj . 3.10
o,d∈E j∈Pod

In real conditions, there is increasing pressure to shorter transportation time to reduce

or eliminate extra project expenses, with the early arrival of materials shortening the
completion time of the construction project and improving construction efficiency. Thus, the
 k k
γ t , and, since t
j
total transportation time for carrier k in each path can be described as i∈Φ i i i
Mathematical Problems in Engineering 11

 k
is a birandom variable, i∈Φ γi ti can be regarded as a special birandom variable. Similarly,
j

the expected value of the total transportation time cost is one of the objectives on the
k
upper level. Different carriers are given different weights, and ti tk 1
i0
  j β
α j∈Ω k∈Ψ γi ykj /vk /ri  , so the second objective function of the upper level can be
described as follows:

⎡ ⎡ ⎛ ⎞ ⎤⎤
 j  β
 ⎢ j ⎢ k∈Ψ γi ykj /vk
⎠ ⎥⎥
k
γi ti0 ⎣1 α⎝
j∈Ω
T xj , ykj E⎣ wk ⎦⎦. 3.11
k∈Ψ j∈Ω i∈Φ
ri

(2) Constraints of the Upper Level

According to the basic assumptions in Section 3.1, it is stipulated that the demands between
all OD pairs should be satisfied. Thus,

xj Qod , o, d ∈ E. 3.12

j∈Pod

The following constraint ensures that the sum of the weights is equal to 1:

wk 1. 3.13
k∈Ψ

In order to describe the nonnegative variables, the constraints in 3.14 are presented:

xj ≥ 0, j ∈ Ω. 3.14

3.4.3. Global Model for the Bilevel MCNFP

Based on the previous discussion, by integrating 3.3–3.14, the following global model for
the nonlinear multiobjective bilevel programming with birandom variables is formulated for
the MCNFP in a large-scale construction project:


min C xj , ykj cj xj ,
o,d∈E j∈Pod
⎡ ⎡ ⎛ ⎤⎤
 j  ⎞β
 ⎢ j ⎢ γ y /v
⎠ ⎥ ⎥
k
γi ti0 ⎣1
kj k
α⎝
j∈Ω k∈Ψ i
min T xj , ykj E⎣ wk ⎦⎦,
k∈Ψ j∈Ω i∈Φ
ri
12 Mathematical Problems in Engineering
⎧
⎪
⎪ xj Qod , o, d ∈ E,
⎪
⎪
⎪
⎪ j∈Pod
⎪
⎪
⎪
⎪ wk 1,
⎪
⎪
⎪
⎪
⎪
⎪
k∈Ψ
⎪
⎪ xj ≥ 0, j ∈ Ω,
⎪
⎪ ⎡ ⎤
⎪
⎪  
⎪
⎪  ykj
⎪ j k
⎪
⎪
⎪ min C ykj E⎣ γi ei ⎦,
⎪
⎪ vk
⎪
⎪ ⎧ ⎧ ⎧k∈Ψ j∈Ω i∈Φ ⎡ ⎤ ⎫ ⎫
⎪
⎪ ⎛  ⎞β
⎪
⎪ ⎪ ⎪ ⎪  j ⎪ ⎪
⎪ ⎪
⎪ ⎨ ⎨ γ y /v ⎬ ⎬
⎪ ⎪ k
⎢ ⎠ ⎥
γi ti0 ω⎣1 α⎝
kj k
⎪
⎨ ⎪
⎪ Pr ω | Pr
j j∈Ω k∈Ψ i
⎦ ≤ Tj ≥ θ ≥ δ,
⎪
⎪ ⎪ ⎪ ri ⎪ ⎪
s.t. ⎪
⎪ ⎩ ⎩ i∈Φ ⎭ ⎭
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪ j ∈ Ω, k ∈ Ψ,
⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪  
⎪
⎪ ⎪
⎪ j ykj
⎪
⎪ ⎨ γi ≤ ri , i ∈ Φ,
⎪
⎪
⎪
⎪ s.t. vk
⎪
⎪ ⎪
⎪ ⎧
j∈Ω k∈Ψ
⎪
⎪ ⎪
⎪ ⎨1, if i ∈ Aj , j ∈ Ω,
⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪ γ
j
⎪
⎪ ⎪ i ⎩
⎪
⎪
⎪ ⎪
⎪ 0, otherwise,
⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪ ykj ≥ xj , j ∈ Ω,
⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪ k∈Ψ
⎩ ⎩ y ≥ 0, j ∈ Ω, k ∈ Ψ.
kj
3.15

4. Equivalent Crisp Model

Problem 3.15 is an expectation multiobjective bilevel programming model with chance
constraints which has clear nonlinear objectives and constraints. However, this is also difficult
to solve with complete confidence because the measures E{·} and Pr{·} are difficult to obtain.
In the following section, the normal birandom variables are focused on and the equivalent
crisp model of 3.15 is presented.

Definition 4.1 see 35. Let ξ be a random variable on the probability space Ω, A, Pr. Then
the expected value of ξ is defined by

 ∞ 0
Eξ Pr{ξ ≥ r}dr − Pr{ξ ≤ r}dr. 4.1
0 −∞

Note that the terms expected value, expectation, and mean value can be used inter-
changeably.

Definition 4.2 see 36. Let ξ be a birandom variable on the probability space Ω, A, Pr; then
the expected value of birandom variable ξ can be defined as follows:

 ∞ 0
Eξ Pr{ω ∈ Ω | Eξω ≥ t}dt − Pr{ω ∈ Ω | Eξω ≤ t}dt, 4.2
0 −∞

provided that at least one of the aforementioned two integrals is finite.

Mathematical Problems in Engineering 13

Lemma 4.3 see 32. Let ξ be a birandom variable on the probability space Ω, A, Pr. If the
expected value Eξω of the random variable ξω is finite for each ω, then Eξω is a random
variable on Ω, A, Pr.

Remark 4.4. It should be noted that the expected value operator E, which appears on both
sides of the previous definition of Eξ, is overloaded. In fact, symbol E represents different
meanings. That is to say, overloading allows us to use the same symbol E for different
expected value operators, because we can deduce the meaning from the type of argument.
k
Lemma 4.5. Let ti0 ω be a normal birandom variable, subject to a normal distribution
μtki0 ω, σ1t
N 2
k ω where μ
 tki0 ∼ Nμtki0 , σ2t
2
k . Then the objective function in 3.15
i0 i0

⎡ ⎡ ⎛ ⎤⎤
 j  ⎞β
 ⎢ j ⎢ γ y /v
⎠ ⎥ ⎥
k
γi ti0 ⎣1
kj k
α⎝
j∈Ω k∈Ψ i
T xj , ykj E⎣ wk ⎦⎦ 4.3
k∈Ψ j∈Ω i∈Φ
ri

is transformed into the following equivalent objective function:

⎡ ⎛ ⎞ ⎤
 j  β
 ⎢ k∈Ψ γi ykj /vk
T xj , ykj wk
j
γi μtki0 ⎣1 α⎝
j∈Ω
⎠ ⎥ ⎦. 4.4
k∈Ψ j∈Ω i∈Φ
ri

k
Proof. From the assumption, for any ω ∈ Ω, ti0 ω ∼ N
μtki0 ω, σ1t
2
k ω is an independent
i0
 tki0 ∼ Nμtki0 , σ2t
random variable, where μ 2
k . From Definition 4.2,
i0

k  ∞ ! k " 0 ! k "
E ti0 
Pr ω ∈ Ω | E ti0 ω ≥ t dt − Pr ω ∈ Ω | E ti0 ω ≤ t dt, 4.5
0 −∞

k
since t1i0 ω ∼ N
μtki0 ω, σt2k ω, and by Definition 4.1, function 4.5 is transformed as
i0
follows:

k  ∞ # $ 0 # $
E ti0 Pr μ tki0 ω ≥ t dt − Pr μ tki0 ω ≤ t dt μtki0 , 4.6
0 −∞

and then
14 Mathematical Problems in Engineering
⎡ ⎡ ⎛  ⎤⎤
j  ⎞β
 ⎢ j ⎢ γ y /v
⎠ ⎥ ⎥
k
γi ti0 ⎣1
kj k
α⎝
j∈Ω k∈Ψ i
T xj , ykj E⎣ wk ⎦⎦
k∈Ψ j∈Ω i∈Φ
ri
⎡ ⎛ ⎤
k  j  ⎞β
 ⎢ γ y /v
γi E ti0 ⎣1 ⎠ ⎥
kj k
α⎝
j j∈Ω k∈Ψ i
T xj , ykj wk ⎦
k∈Ψ j∈Ω i∈Φ
ri
⎡ ⎛ ⎤
 j  ⎞β
⎢ γ y /v
⎠ ⎥
kj k
α⎝
j j∈Ω k∈Ψ i
wk γi μtki0 ⎣1 ⎦.
k∈Ψ j∈Ω i∈Φ
ri

4.7

This completes the proof.

k
Let ei ω be a normal birandom variable subject to a normal distribution
μeik ω, σ1e
N 2
k ω where μ
 eik ∼ Nμeik , σ2e
2
k . Then similarly the objective function of the
i i
lower level is transformed into crisp equivalents:

 
 j ykj
C ykj γi μeik . 4.8
k∈Ψ j∈Ω i∈Φ
vk

k
Lemma 4.6. Assume that ti0 ω ∼ N μtki0 ω, σ1t
2
k ω is a normal birandom variable, where μ  tki0 is
i0
 j
a normal distributed random variable characterized by μ  tki0 ∼ Nμtki0 , σ2t
2
k ; then  tki0 ω1
i∈Φ γi μ
i0
  j β
α j∈Ω k∈Ψ γi ykj /vk /ri   − Tj ∈ Nμr , σr2  is also a random variable, where

⎡ ⎛ ⎤
 j  ⎞β
⎢ γ y /v
⎠ ⎥
kj k
α⎝
j j∈Ω k∈Ψ i
μr γi μtki0 ω⎣1 ⎦ − Tj ,
i∈Φ
ri

%
& 4.9
⎡ ⎛ ⎤
&  j  ⎞β 2
& ( j )2 k∈Ψ γi ykj /vk
& 2 ⎢ ⎠ ⎥
α⎝
j∈Ω
σr ' γi σ2t k ⎣1 ⎦ .
i∈Φ
i0 ri

Then the following constraint for the first constraint is derived in 3.15:

⎧ ⎧ ⎡ ⎛ ⎞ ⎤ ⎫ ⎫
⎪ ⎪  j  β ⎪ ⎪
⎨ ⎨ k∈Ψ γi ykj /vk
⎬ ⎬
k
⎢ ⎠ ⎥
γi ti0 ω⎣1 α⎝
j j∈Ω
Pr ω | Pr ⎦ ≤ Tj ≥θ ≥ δ, 4.10
⎪
⎩ ⎪
⎩ i∈Φ ri ⎪
⎭ ⎪
⎭

being equivalent to the following equation:

Mathematical Problems in Engineering 15
%
& ⎡ ⎛  ⎤
& j  ⎞β 2
& ( )2 γ y /v
& ⎢ kj k
⎠ ⎥
α⎝
j j∈Ω k∈Ψ i
Φ−1 θ' 2
γi σ1tk ω⎣1 ⎦ μr σr Φ−1 δ ≤ 0.
i∈Φ i0 ri

4.11

k
Proof. From the assumption, it is known that for any ω ∈ Ω, ti0 ω ∼ N
μtki0 ω, σ1t
2
k ω is an
i0
independent random variable, so it follows that

⎡ ⎛ ⎤
 j  ⎞β
γ y /v ( )
k
⎢ ⎠ ⎥
γi ti0 ω⎣1
kj k
α⎝
j j∈Ω k∈Ψ i
⎦ − Tj ∼ N μ r ω, σr2 ω 4.12
i∈Φ
ri

is also a normally distributed random variable, where

⎡ ⎛ ⎤
 j  ⎞β
⎢ γ y /v
⎠ ⎥
kj k
α⎝
j j∈Ω k∈Ψ i
 r ω
μ  tki0 ω⎣1
γi μ ⎦ − Tj ,
i∈Φ
ri

⎡ ⎤ 4.13
⎛  j  ⎞β 2
( j )2 γ y /v
⎢ kj k
⎠ ⎥
α⎝
j∈Ω k∈Ψ i
σr2 ω γi σ1t2
k ω⎣1 ⎦ .
i∈Φ
i0 ri

Then
⎧ ⎡ ⎛ ⎤ ⎫
⎪  j  ⎞β ⎪
⎨ γ y /v ⎬
k
⎢ ⎠ ⎥
γi ti0 ω⎣1
kj k
α⎝
j j∈Ω k∈Ψ i
Pr ⎦ ≤ Tj ≥ θ
⎪
⎩ i∈Φ ri ⎪
⎭
⎧*  (   )β
+ ⎫
j
k
⎪ j ⎪
⎪
⎨ i∈Φ γi ti0 ω 1 α j∈Ω k∈Ψ γi ykj /vk /ri − Tj − μ
 r ω ⎪
μr ω⎬
−
⇐⇒ Pr ≤ ≥θ
⎪
⎪ σr ω ⎪
σr ω ⎪
⎩ ⎭
* +
−μr ω
⇐⇒ Φ  r ω ≤ −Φ−1 θ1r1 
≥ θ ⇐⇒ μ σr ω
σr ω
⎡ ⎛  ⎤
j  ⎞β
⎢ γ y /v
⎠ ⎥
kj k
 tki0 ω⎣1 α⎝
j j∈Ω k∈Ψ i
⇐⇒ γi μ ⎦ − Tj
i∈Φ
ri

%
& ⎡ ⎛ ⎤
&  j  ⎞β 2
& ( j )2 k∈Ψ γi ykj /vk
& ⎢ ⎠ ⎥
α⎝
−1 j∈Ω
≤ −Φ θ' γi σ1t2
k ω⎣1 ⎦ .
i∈Φ
i0 ri

4.14
16 Mathematical Problems in Engineering
 j   j β
 tki0 ∼ Nμtki0 , σ2t
Since μ 2
k , then  tki0 ω1
i∈Φ γi μ α j∈Ω k∈Ψ γi ykj /vk /ri   − Tj ∈
i0
Nμr , σr2 , where

⎡ ⎛ ⎤
 j  ⎞β
⎢ γ y /v
⎠ ⎥
kj k
α⎝
j j∈Ω k∈Ψ i
μr γi μtki0 ω⎣1 ⎦ − Tj ,
i∈Φ
ri

%
& 4.15
⎡ ⎛ ⎤
&  j  ⎞β 2
& ( j )2 k∈Ψ γi ykj /vk
& 2 ⎢ ⎠ ⎥
α⎝
j∈Ω
σr ' γi σ2t k ⎣1 ⎦ ,
i∈Φ
i0 ri

for given confidence levels θ, δ ∈ 0, 1, so,

⎧ ⎧ ⎡ ⎛ ⎤ ⎫ ⎫
⎪ ⎪  j  ⎞β ⎪ ⎪
⎨ ⎨ γ y /v ⎬ ⎬
k
⎢ ⎠ ⎥
γi ti0 ω⎣1
kj k
α⎝
j j∈Ω k∈Ψ i
Pr ω | Pr ⎦ ≤ T j ≥ θ ≥δ
⎪
⎩ ⎪
⎩ i∈Φ ri ⎪
⎭ ⎪
⎭
⎧ ⎡ ⎛ ⎞ ⎤ ⎫
⎪  j  β ⎪
⎨ k∈Ψ γi ykj /vk
⎬
⎢ ⎠ ⎥
α⎝
j j∈Ω
⇐⇒ Pr ω |  tki0 ω⎣1
γi μ ⎦ − Tj ≤ M ≥δ
⎪
⎩ i∈Φ
ri ⎪
⎭

⎧   (  ⎫
⎪ j j  )β ⎪
⎪
⎨  tki0 ω 1
i∈Φ γi μ α k∈Ψ γi ykj /vk /ri − T j − μr ⎪
j∈Ω
M − μr ⎬
⇐⇒ Pr ω | ≤ ≤δ
⎪
⎪ σr σr ⎪ ⎪
⎩ ⎭

%
& ⎡ ⎛  ⎤
& j  ⎞β 2
& ( j )2 k∈Ψ γi ykj /vk
& ⎢ ⎠ ⎥
α⎝
−1 −1 j∈Ω
⇐⇒ M ≥ μr σr Φ δ ⇐⇒ Φ θ' γi σ1t2
k ω⎣1 ⎦
i∈Φ i0 ri

μr σr Φ−1 δ ≤ 0,
4.16

,
 j 2 2    j β 2
where M −Φ−1 θ i∈Φ γi  σ1tk ω 1 α j∈Ω k∈Ψ γi ykj /vk /ri   .
i0

The proof is completed.

Based on Lemmas 4.3 and 4.5, it is determined that the expectation multiobjective
bilevel programming model with chance constraints 3.15 is equivalent to the following crisp
nonlinear multiobjective bilevel programming problem:
Mathematical Problems in Engineering 17

min C xj , ykj cj xj ,
o,d∈E j∈Pod
⎡ ⎛ ⎤
 j  ⎞β
 ⎢ γ y /v
⎠ ⎥
kj k
α⎝
j j∈Ω k∈Ψ i
min T xj , ykj wk γi μtki0 ⎣1 ⎦,
k∈Ψ j∈Ω i∈Φ
ri

⎧
⎪
⎪ xj Qod , o, d ∈ E,
⎪
⎪
⎪
⎪ j∈Pod
⎪
⎪
⎪
⎪ wk 1,
⎪
⎪
⎪
⎪ k∈Ψ
⎪
⎪
⎪
⎪ xj ≥ 0, j ∈ Ω,
⎪
⎪
⎪
⎪  
⎪
⎪  ykj
⎪
⎪ min C ykj
j
γi μeik ,
⎪
⎪ vk
⎪
⎪ ⎧
⎪
⎪ %
&
k∈Ψ j∈Ω i∈Φ
⎡ ⎤
⎪
⎪ ⎪ ⎛   ⎞β 2
⎪
⎪ ⎪
⎪ & j
⎪
⎪ ⎪
⎪ & ( ) γ y /v
⎪ ⎪ & 2 ⎢ kj k
⎠ ⎥
α⎝
j∈Ω k∈Ψ i
⎨ ⎪ −1 j
⎪Φ θ' k ω⎣1
2
⎪ γi σ1t ⎦
⎪
⎪ ri
⎪
i0
s.t. ⎪ i∈Aj
⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪ μr σr Φ−1 δ ≤ 0, j ∈ Ω, k ∈ Ψ,
⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪  
⎪
⎪ ⎨ j ykj
⎪
⎪ γi ≤ ri , i ∈ Φ,
⎪
⎪ s.t vk
⎪
⎪ ⎪
⎪ j∈Ω k∈Ψ ⎧
⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪ ⎨1, if i ∈ Aj , i ∈ Ω,
⎪
⎪ ⎪
⎪ j
⎪
⎪ ⎪
⎪ γ
⎪
⎪ ⎪
⎪
i ⎩0, otherwise,
⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪
⎪
⎪ ⎪
⎪ ykj ≥ xj , j ∈ Ω,
⎪
⎪ ⎪
⎪
⎪
⎪ ⎪k∈Ψ
⎪
⎪
⎩ ⎪
⎩y ≥ 0, j ∈ Ω, k ∈ Ψ,
kj
4.17

 j   j β
where μr i∈Φ γi μtki0 ω1 α j∈Ω k∈Ψ γi ykj /vk /ri   − Tj , σr
,
 j 2   j β 2
i∈Φ γi  σ2t
2
k 1 α j∈Ω k∈Ψ γi ykj /vk /ri   and θ and δ are predicted confidence
i0

levels specified by the DM.

When 4.17 is used to make decisions, the upper level decision maker first makes a
decision xj , then the lower decision maker reacts ykj according to the cost, and the upper level
decision maker makes a proper adjustment based on the lower level feedback, finally making
the upper level objective optimal. Thus, the upper programming and the lower programming
influence and restrict each other in bilevel programming.

5. Solution Approach
To obtain an analytical optimal solution for a bilevel programming problem BLPP is
difficult, yet there is theoretical evidence supporting these observations since BLPP is in fact
NP-hard even in its linear form 37. Moreover, this problem is nonlinear and nondifferen-
tiable, and the MCNFP in a large-scale construction project has various nodes and links.
On the other hand, the nondifferentiable piecewise objective functions and constraints
18 Mathematical Problems in Engineering

presented in the MCNFP bring computational difficulties. Thus, the possibility of finding
a solution to the complexity is increased, and it is difficult to solve with any exact algorithm.
Therefore, here, an MOBLPSO is proposed to solve the MCNFP in a large-scale construction
project. Because particle swarm optimization PSO is computationally tractable compared
with other heuristic algorithms, it is easy to implement, and does not require any gradient
information for an objective function but the value.
PSO is a population-based self-adaptive search stochastic optimization technique pro-
posed by Kennedy and Eberhart 38, which was inspired by the social behaviour of animals
such as fish schooling and birds flocking. Similar to other population-based algorithms, such
as evolutionary algorithms, PSO can solve a variety of difficult optimization problems but
has shown a faster convergence rate than other evolutionary algorithms on some problems
39. PSO is influenced little by the continuity of the objective function; it just uses the
primary math operators and receives good results in static, noisy, and continuously changing
environments 40. Another advantage of PSO is that it has very few parameters to adjust,
which makes it particularly easy to implement. Since PSO can be implemented easily and
effectively, it has been applied in solving real-world optimization problems in recent years,
such as 41–45. In PSO, the following formulas 38 are applied to update the position and
velocity of each particle:
- . - .
vdl τ1 1 wτvdl τ1  cp r1 pdl,best τ − pdl τ cg r2 gdl,best τ − pdl τ ,
5.1
pdl τ1 1 pdl τ vdl τ 1,

where vdl is the velocity of lth particle at the dth dimension in the τth iteration, wτ is the
inertia weight, pdl τ is the position of lth particle at the dth dimension, r1 and r2 are random
numbers in the range 0, 1, cp and cg are personal and global best position acceleration
constants, respectively, while, pdl,best τ is personal best position of the lth particle at the dth
dimension, and gdl,best τ is the global best position at the dth dimension.
As mentioned before, it is very difficult to solve the bilevel model, especially when
the model is nonlinear. The contribution of this paper is that a universal effective algorithm
for solving the bilevel model is put forward, which is based on the hierarchical iteration. The
key idea of the algorithm is that the optimum of the bilevel model can be approached step by
step through repeatedly iterative calculations between the upper and lower models. The main
body of the proposed approach is a type of PSO—multiobjective PSO MOPSO with Pareto-
Archived Evolution Strategy PAES—which is designed only to cope with the upper level
programming problem based on the follower’s optimal response. Another type of improved
PSO—PSO with passive congregation PSOPC—is embedded to deal with the lower level
programming problem and obtain the optimal response of the follower for each given
decision variable of the upper level programming. The follower’s optimal reaction is then
returned to upper level programming problem as the implementation base for the MOPSO.
The algorithm is called the MOBLPSO, the notations of which for the MCNFP are listed as
follows:
τ1 , τ2 : iteration index of the upper and lower level, τ1 1, 2, . . . , T1 and τ2 1, 2,
. . . , T2 ;
l1 , l2 : particle index of the upper and lower level, l1 1, 2, . . . , L1 and l2 1, 2, . . . , L2 ;
j: index of transportation path, j 1, 2, . . . , J;
Mathematical Problems in Engineering 19

k: index of carrier, k 1, 2, . . . , K;
r1 , r2 , r3 , r4 , r5 : uniform distributed random number within 0,1;
w1 τ1 : inertia weight in the τ1 th iteration of the upper level;
w2 τ2 : inertia weight in the τ2 th iteration of the lower level;
Rlkj2 τ2 : particle selected randomly from the swarm at the kjth dimension in the
τ2 th iteration;
c1p , c1g : personal and global best position acceleration constant of the upper level;
c2p , c2g : personal and global best position acceleration constant of the lower level;
cpc : passive congregation coefficient of the lower level;
p1 max , p1 min : maximum and minimum position value of the upper level;
P l1 τ1 : vector position of the l1 th particle in the τ1 th iteration, P l1 τ1  p1l1 τ1 ,
p2l1 τ1 , . . . , pJl1 τ1 ;

P l2 τ2 : vector position of the l2 th particle in the τ2 th iteration, P l2 τ2  p1l2 τ2 ,
p2l2 τ2 , . . . , pKJ
l1
τ2 ;

V l1 τ1 : vector velocity of the l1 th particle in the τ1 th iteration, V l1 τ1  v1l1 τ1 ,
v2l1 τ1 , . . . , vJl1 τ1 ;

V l2 τ2 : vector velocity of the l2 th particle in the τ2 th iteration, V l2 τ2  v1l2 τ2 ,
v2l2 τ2 , . . . , vKJ
l2
τ2 ;
P l1 ,best τ1 : vector personal best position of the l1 th particle in the τ1 th iteration,
P l1 ,best τ1  p1l1 ,best τ1 , p2l1 ,best τ1 , . . . , pJl1 ,best τ1 ;
P l2 ,best τ1 : vector personal best position of the l2 th particle in the τ2 th iteration,
P l2 ,best τ2  p1l2 ,best τ2 , p2l2 ,best τ2 , . . . , pJl2 ,best τ2 ;
Gbest τ2 : vector global best position in the τ2 th iteration, Gbest τ2  g1best τ2 ,
g2best τ2 , . . . , gKJ
best
τ2 ;
ARC: the positions of the particles that represent nondominated vectors in the
repository;
FP l1 τ1 : fitness value of P l1 τ1 ; and
FP l2 τ2 : fitness value of P l2 τ2 .

5.1. Multiobjective Methods for the Upper Level Programming

Researchers are also seeing PSO as a very strong competitor to other algorithms in solving
multiobjective optimal problems 46 and it has been proved to be especially suitable for mul-
tiobjective optimization 47. The method applied here to deal with the upper level problem
is a multiobjective method which combines a MOPSO with PAES. The PAES 48 is one of the
Pareto-based approaches to update the best position. The methods use a truncated archive
to store the elite individuals. This approach uses leader selection techniques based on Pareto
dominance. The basic idea is to select as leaders to the particles that are nondominated with
respect to the swarm.
20 Mathematical Problems in Engineering

Procedure The updating of the best position in the subsequent iterations

generate an initial random solution pjl1 ,best τ1  and add it to the archive;
update pjl1 ,best τ1  to produce pjl1 τ1 1 and evaluate pjl1 τ1 1;
If pjl1 ,best τ1  dominates pjl1 τ1 1 then discard pjl1 τ1 1;
else if pjl1 τ1 1 dominates pjl1 ,best τ1  then replace pjl1 ,best τ1  with pjl1 τ1 1, and add pjl1 τ1 1
to the archive pjl1 ,best τ1 1 pjl1 τ1 1;
else if pjl1 τ1 1 is dominated by any member of the archive then discard pjl τ1 1;
else apply test pjl1 ,best τ1 , pjl1 τ1 1, archive to determine which becomes the new current
solution and whether to add pjl1 τ1 1 to the archive;
until a termination criterion has been reached, return to line 2.

Algorithm 1

Procedure Test
if the archive is not full;
add pjl1 τ1 1 to the archive;
if pjl1 τ1 1 is in a less crowded region of the archive than pjl1 ,best τ1 ;
accept pjl1 ,best τ1 1 pjl1 τ1 1;
else maintain pjl1 ,best τ1 1 pjl1 ,best τ1 ;
else
If pjl1 τ1 1 is in a less crowded region of the archive than pjl1 ,best τ1  for some
member pjl1 ,best τ1  on the archive;
add pjl1 τ1 1 to the archive, and remove a member of the archive from the most
crowded region;
if pjl1 τ1 1 is in a less crowded region of the archive than pjl1 ,best τ1 ;
accept pjl1 ,best τ1 1 pjl1 τ1 1;
else maintain pjl1 ,best τ1 1 pjl1 ,best τ1 ;
else
if pjl1 τ1 1 is in a less crowded region of the archive than pjl1 ,best τ1 ;
accept pjl1 ,best τ1 1 pjl1 τ1 1;
else maintain pjl1 ,best τ1 1 pjl1 ,best τ1 .

Algorithm 2

The details for the PAES procedure, test procedure, and selection procedure are stated
hereinafter Algorithms 1 and 2, in which P l1 ,best τ1  is initially set equal to the initial position
of particle l1 .
The repository that stores the positions of the particles that represent nondominated
vectors is denoted by ARC; then the velocity of each l1 th particle of the upper level is updated
using the following equations:
- . - .
vjl1 τ1 1 w1 τ1 vjl1 τ1  c1p r1 pjl1 ,best τ1  − pjl1 τ1  c1g r2 ARCh τ1  − pjl1 τ1  , 5.2

where ARCh τ1  is a solution randomly selected from the repository in iteration τ1 , which
can improve significantly the ability of global convergence by avoiding being trapped in
Mathematical Problems in Engineering 21

a stagnant state in finite iterations 49, 50. The index h is selected in the following way:
the hypercubes containing more than one particle are assigned a fitness equal to the result
of dividing any number into the number of particles they contain. This aims to decrease the
fitness of those hypercubes that contain more particles which is seen as a form of fitness
sharing 51. Then, a roulette-wheel selection is applied using these fitness values to select
the hypercube from which the corresponding particle is taken. Once the hypercube has been
selected, a particle is selected randomly within the hypercube.

5.2. PSOPC for the Lower Level Programming

From the previous description, because there are many constraints in the lower level, the
standard PSO can easily fall into premature convergence, so a PSOPC based on the standard
PSO is adopted to solve the lower level problem. He et al. 52 proved that PSOPC can avoid
the premature convergence problem, in the running of the PSO algorithm by adding a passive
congregation coefficient to the standard PSO, as this helps the algorithm move out of the local
optimal solution improving the convergence of the algorithm, and thus improving the global
search ability. The following equation is adopted to update the velocity of each l2 th particle
of the lower level:

- .
l2 l2 l2 ,best l2
vkj τ2 1 w2 τ2 vkj τ2  c2p r3 pkj τ2  − pkj τ2 
- . ( ) 5.3
l2
best
c2g r4 gkj τ2  − pkj τ2  cpc r5 Rlkj2 τ2  − pkj
l2
τ2  .

5.3. Framework of the Proposed MOBLPSO for the MCNFP

In our proposed algorithm, solving multiobjective bilevel programming is transformed to
solve the upper level and lower level programming problem interactively while determining,
respectively, the decision variable of the upper level or the lower level. To be mentionable,
the PSOPC for the lower level is nested in the MOPSO for the upper level, and the MOPSO
is the main body of the MOBLPSO. The solution information is exchanged between the two
types of PSO, and the output of one algorithm is the input of another algorithm, namely,
y, the output of PSOPC for lower level programming is the input of the MOPSO for upper
level programming; and x, the output of the MOPSO for the upper level programming is the
input of PSOPC for the lower level programming. These form a hierarchical and sequential
framework.

Parameter Selection
In order to guarantee the convergence of MOBLPSO, the parameters are selected on the basis
of empirical results that are carried out to observe the behaviour of the algorithm in different
parameter settings. By comparing several sets of parameters, including population size, iter-
ation number, acceleration coefficients, and inertia weight, the empirical results have shown
that the constant acceleration coefficients with c1p c1g 1.5 for the upper level, c2p 1,
c2g 2, and cpc 1.5 i.e., passive congregation coefficient 52 for the lower level, and
the adaptive inertia weights 53 provide good convergent behaviour in this study, which
is in accordance with the results provided by Eberhart and Shi 54. The adaptive inertia
22 Mathematical Problems in Engineering

weights for the upper level i.e., e 1 and lower level i.e., e 2 are set to be varying with
iteration as follows:

τe − Te
we τe  we Te  − we 1 − we Te , 5.4
1 − Te

where the iteration numbers are T1 500 i.e., for the upper level and T2 100 i.e., for the
lower level, and we 1 0.9 and we Te  0.1 for e 1, 2. Since the probability of becoming
trapped in the stagnant state can be reduced dramatically by using a large number of particles
49, the population sizes are set to be 300 for the upper level and 100 for the lower level.

Initialize
In the upper level, set iteration τ1 1. For l1 1, 2, . . . , L1 , generate the position of the particle
l1 with an integer random position note that every particle in the upper level consists of j
dimensions in this study. In the lower level, set iteration τ2 1. For l2 1, 2, . . . , L2 , generate
the position of the particle l2 with an integer random position note that every particle in the
lower level consists of k × j dimensions in this study.

Decode Particles into Solutions

Decode particles into solutions: for l1 1, 2, . . . , L1 , decode pl1 τ1  to a solution as pjl1 τ1 
l2
xj τ1 . For l2 1, 2, . . . , L2 , decode pl2 τ2  to a solution as pkj τ2  ykj τ2 . Mapping
between one potential solution for the upper and lower level of the MCNFP and particle
representation is shown in Figure 4.

Check the Feasibility

All particles of the upper level satisfy the constraints of the upper level. All particles of the
lower level satisfy the constraints of the lower level. Then, the particles are feasible.

Fitness Value
The fitness value used to evaluate the particle is the value of objective function in each level.
There are two objectives in the upper level; particle P l1 τ1 ’s fitness value FP l1 τ1  is a 1 × 2
matrix, namely,
⎡ ⎡ ⎛ ⎞ ⎤⎤
 j  β
( ) k∈Ψ γi ykj /vk
⎢ ⎢ ⎠ ⎥⎥
α⎝
j j∈Ω
F P l1 τ1  ⎣ cj xj , wk γi μtki0 ⎣1 ⎦⎦.
o,d∈E j∈Pod k∈Ψ j∈Ω i∈Φ
ri

5.5

The fitness value of the particle in the lower level is

( )  
j ykj
F P l2 τ2  γi μeik . 5.6
k∈Ψ j∈Ω i∈Φ
vk
Mathematical Problems in Engineering 23

Path 1 Path 2 Path j Path J

Particle p1l1 (τ1 ) p2l1 (τ1 ) ··· pjl1 (τ1 ) ··· pJl1 (τ1 )

xjl1 = pjl1

Solution xj : flow of material on transportation path Pj

Upper level
Lower level
Carrier 1 Carrier 2 Carrier k Carrier K
l2 l2 l2 l2
Particle p1j (τ2 ) p2j (τ2 ) ··· pkj (τ2 ) ··· pKj (τ2 )

l2 l2 l2 l2
p11 (τ2 ) p21 (τ2 ) pk1 (τ2 ) pK1 (τ2 )
l2
p12 (τ2 ) l2
p22 (τ2 ) l2 l2
pK2 (τ2 )
pk2 (τ2 )
. . ··· . ··· .
Particle . . . .
. . . .
. . . .
. . . .
. . . .
l2 l2
l2
p1J (τ2 ) l2
p2J (τ2 ) pkJ (τ2 ) pKJ (τ2 )

l2 l2
ykj = pkj

Solution ykj : flow of material transported by carrier k through Pj

Figure 4: Decoding method and mapping between PSO particles and solutions of two levels.

Figure 5 shows the schematic procedure for the MOBLPSO to generate solutions
for the proposed multiobjective bilevel model. Such a repeated interaction and cooperation
between two types of PSO reflects and simulates the decision process of multiobjective bilevel
programming and is able to solve multiobjective bilevel programming sequentially.

6. Practical Application
6.1. Project Description
In this section, an earth-rock work transportation project in a large-scale water conservancy
and hydropower construction project is taken as an example for our optimization method.
The Shuibuya Hydropower Project was conducted in Badong County, which is located in the
middle reaches of Qingjiang River in Sichuan province, China. The project is the first cascaded
project on the Qingjiang main stream and the third important project following Geheyan and
Gaobazhou in China. Once completed, it will provide a major power source to meet the peak
load demand in the Central China Power Grid. The installed capacity and annual output of
Shuibuya Power Plant are 1,600 MW and 3.92 GWh, respectively. The project has a powerful
regulating ability with a normal pool level of 400 m and reservoir capacity of 4.58 × 109 m3 .
The project consists of a concrete-faced rock fill dam CFRD, underground power house, a
chute spillway on the left bank, and the sluice tunnel on the right bank. The dam is 233 m
high and is the tallest of its kind in the world at present with a total volume of 15.64 × 106 m3 .
24 Mathematical Problems in Engineering

Start

Set initial iteration

τ=1 Start

Initialize the decision variable of upper level and the Set initial iteration
τ2 = 1
parameters of multiobjective aPSO

Initialize the decision variable of lower level and the

No In the feasible parameters of PSOPC
solution?

Yes
No In the feasible
Evaluate the initial particles to get the personal best solution?
position P l1 , best = P l1 (1)(l1 = 1, 2, ..., L1 )
Yes
x
Evaluate the initial particles to get the personal best
Solve the lower-level programming by PSOPC for position
each given initial result
(x, y)
Caculate each fitness value of the lower level particles
Caculate each fitness value by multiobejective method

Go to next iteration
Go to next iteration τ2 = τ2 + 1 Update the inertia weight ω2 (τ 2 )
τ1 = τ1 + 1 Update the inertia weight ω1 (τ1 )

Update the velocity V l2 (τ 2 ) and position P l2 (τ 2 )

Update the velocity V l1 (τ1 ) and position P l1 (τ1 )

No
Update the best position by using Pareto-Archived τ 2 = T2 ?
Evolution Strategy (PAES)
Yes

Output the fitness value and

No best position of the lower level
τ1 = T1 ?

Yes
Stop
Output the optimum results

Figure 5: Schematic diagram of MOBLPSO for MCNFP.

6.2. Data Collection

All detailed data for the Shuibuya Hydropower Project were obtained from the Hubei
Qingjiang Shuibuya Project Construction Company. In a large-scale construction project,
especially in a large water conservancy and hydropower construction project, earth-rock
work is usually a primary material, and earth-rock work transportation occurs every day in
excavation projects, borrow areas, filling projects, dumpling sites, and stockpile areas as it is
turned over and needs to be replaced frequently see Figure 6. In the Shuibuya Hydropower
Project, there are 4 excavation projects, 2 borrow areas, 3 stockpile areas, and 2 dumpling sites,
The location and detailed information of borrow areas, dumpling sites, and stockpile areas,
of the Shuibuya Hydropower Project is illustrated in Figure 7.
Three types of dump trucks carriers in the construction project are considered, which
transport earth-rock work along different paths connecting the OD pairs, with the destination
nodes having the practical demand of timeliness. All necessary data for every kind of carrier
were calculated as shown in Table 1, and Table 2 shows the details of the paths in the whole
road network.
Mathematical Problems in Engineering 25

O
Borrow areas

1 ··· j ··· J

D O D
Dumpling sites Excavation projects Filling projects
1 ··· w ··· W 1 ··· i ··· I 1 ··· m ··· M

O+D
Stockpile areas
1 ··· n ··· N

O: Supply (origin) area

D: Receive (destination) area
O + D: Supply (origin) area and receive (destination) area

Figure 6: Earth-rock work transportation relations in large-scale construction project.

The transportation network in the project includes an internal road network and an
external road network. In this case, only the internal road network is considered. The internal
road network is composed of 20 trunk roads located on the left and right banks, with 11 on the
left and 9 on the right, with a cross-river bridge connecting the left and right banks.
Therefore, 21 links are considered in this paper. In order to apply the proposed methods more
conveniently, adjacent roads of the same type have been combined and road shapes have been
ignored. An abstracted transportation network is illustrated in Figure 8. For each link in the
k
transportation network, there are a free flow birandom travel time t and birandom trans-
i0
k
portation cost ei . The corresponding data of which are stated in Table 3. In order to collect
the data of transportation time and costs, investigations and surveys were made to obtain
historical data from the financial department and experienced engineers of construction
team in Hubei Qingjiang Shuibuya Project Construction Company. Since the transportation
time and costs for each arc of the path change over time, the data are classified into
different parts based on different periods. Both transportation time and costs are assumed
to approximately follow normal distributions for each period, and the two parameters
expected value and variance for the normal distributions are estimated by using maximum
likelihood estimation, which justified by a chi-square goodness-of-fit test. By comparing
the normal distributions for the same transportation time and costs in different periods,
it can be found that the expected values of the aforementioned normal distributions also
approximately follow a similar random distribution pattern, which has also been justified
using a chi-square goodness-of-fit test. It should be noted that since the variance fluctuations
are quite insignificant, the median values of the variances in different periods are selected as
the variance for the previous normal distribution. The predicted confidence levels given by
the decision maker are, respectively, θ 0.9 and δ 0.85.
26 Mathematical Problems in Engineering

Stockpile area 1 Stockpile area 2

(Zoujiagou stockpile area) (Changtanghe stockpile area)
Borrow area 1
(Gongshanbao borrow area)

Orphan bank 1
(Liushutang orphan bank)
Orphan bank 2
(Heimagou orphan bank)
Borrow area 2 Stockpile area 3
(Qiaogou borrow area) (Xiaqiaogou stockpile area)

Figure 7: Layout of borrow areas, dumpling sites and stockpile areas of Shuibuya Hydropower Project.

Table 1: Information of carriers in Shuibuya Hydropower Project.

Carrier Kind index k Type heaped capacity; maximum payload Weight wk

1 K30N-8.4 16 m3 ; 26 t 0.3
Dump truck 2 Terex TA28 17 m ; 28 t
3
0.3
3 Perlini DP366 20 m3 ; 36 t 0.4

#3 #9

#1 #5 #7 #15 #12

#6 #8 #14 #16 #13 #11

#2 #4 #10

Node
Arc

Figure 8: Illustrations of road network of Shuibuya Hydropower Project.

 Table 2: Related data about information of paths in earth-rock work transportation network.

Demand Direct cost Constraint

OD pairs Transportation path j
Qod m3  CNY/m3  time h
Excavation project 1,2 → dumpling site 1 950 1 ⇔ #5 → #7 → #9 1.80 1.45
2 ⇔ #5 → #3 → #1 → #6 2.50 2.15

Excavation project 1,2 → filling project 1,2 2650 3 ⇔ #5 → #1 → #6 1.70 1.35

4 ⇔ #5 → #7 → #8 → #6 2.40 2.20
5 ⇔ #5 → #7 → #6 1.90 1.40
Excavation project 1,2 → stockpile area 1 1700 6 ⇔ #5 → #7 1.20 1.25
7 ⇔ #11 → #10 → #14 → #16 2.30 2.25

Excavation project 3,4 → filling project 3,4 2300 8 ⇔ #11 → #13 → #16 1.90 1.45
9 ⇔ #11 → #10 → #13 → #16 2.70 2.30
Mathematical Problems in Engineering

10 ⇔ #11 → #10 → #14 → #15 → #16 3.00 3.50

1650 11 ⇔ #11 → #13 → #12 1.60 1.50

Excavation project 3,4 → dumpling site 2
12 ⇔ #11 → #10 → #13 → #12 2.33 2.50

1480 13 ⇔ #11 → #10 → #13 2.60 1.75

Excavation project 3,4 → stockpile area 2
14 ⇔ #11 → #13 1.10 1.25

Excavation project 3,4 → stockpile area 3 1380 15 ⇔ #11 → #10 → #14 → #15 2.10 2.33

Borrow area 1 → filling project 1,2 1700 16 ⇔ #2 → #4 → #6 1.50 1.50

1250 17 ⇔ #14 → #15 → #16 1.80 1.55

Borrow area 2 → filling project 3,4
18 ⇔ #14 → #16 1.20 1.20
Stockpile area 1 → filling project 1,2 1150 19 ⇔ #7 → #8 → #6 1.90 1.45
Stockpile area 2 → filling project 3,4 1300 20 ⇔ #13 → #16 1.40 1.17
21 ⇔ #15 → #7 → #8 → #6 2.40 2.17
Stockpile area 3 → filling project 1,2 1260
22 ⇔ #15 → #7 → #6 2.20 1.60
27
 28

k k
Table 3: Birandom free flow travel time ti0 and birandom transportation cost ei .

Arc capacity ri Transportation cost eik CNY/unit Free transportation time tki0 h
Arc i Corresponding
nodes n/h Carrier 1 Carrier 2 Carrier 3 Carrier 1 Carrier 2 Carrier 3
Nμ, 0.64, with Nμ, 1.00, with Nμ, 0.01, with Nμ, 0.25, with Nμ, 0.81,with Nμ, 0.16, with
1 #1, #3 105
μ ∼ N 5.2, 0.10 μ ∼ N 6.0, 0.09 μ ∼ N 6.8, 1.00 μ ∼ N 0.2, 0.01 μ ∼ N 0.24, 0.09 μ ∼ N0.28, 0.04
Nμ, 1.00, with Nμ, 0.49, with Nμ, 0.81, with Nμ, 0.36, with Nμ, 0.25, with Nμ, 0.09, with
2 #1, #5 110
μ ∼ N3.2, 0.64 μ ∼ N 3.5, 0.16 μ ∼ N 3.8, 0.25 μ ∼ N 0.15, 0.04 μ ∼ N 0.16, 0.04 μ ∼ N 0.18, 0.01
Nμ, 4.00, with Nμ, 0.81, with Nμ, 0.64, with Nμ, 0.25, with Nμ, 0.36, with Nμ, 0.16, with
3 #1, #6 135
μ ∼ N 7.2, 1.00 μ ∼ N 7.5, 0.64 μ ∼ N7.8, 0.49 μ ∼ N 0.30, 0.16 μ ∼ N 0.35, 0.09 μ ∼ N 0.38, 0.01
Nμ, 1.00, with Nμ, 4.00, with Nμ, 0.01, with Nμ, 0.81, with Nμ, 0.36, with Nμ, 0.64, with
4 #2, #4 115
μ ∼ N 3.7, 0.49 μ ∼ N 4.0, 0.81 μ ∼ N 4.3, 0.01 μ ∼ N 0.14, 0.16 μ ∼ N 0.18, 0.09 μ ∼ N 0.19, 0.01
Nμ, 0.36, with Nμ, 0.81, with Nμ, 0.64, with Nμ, 0.01, with Nμ, 0.25, with Nμ, 0.09, with
5 #3, #5 108
μ ∼ N 2.2, 0.01 μ ∼ N 2.4, 0.09 μ ∼ N 2.6, 0.16 μ ∼ N 0.14, 0.01 μ ∼ N 0.18, 0.01 μ ∼ N 0.22, 0.01
Nμ, 0.81, with Nμ, 1.00, with Nμ, 0.49, with Nμ, 0.64, with Nμ, 0.09, with Nμ, 0.25, with
6 #4, #6 112
μ ∼ N 3.2, 0.16 μ ∼ N 4.0, 0.09 μ ∼ N 4.8, 0.09 μ ∼ N 0.12, 0.16 μ ∼ N 0.15, 0.01 μ ∼ N 0.18, 0.01
Nμ, 1.00, with Nμ, 0.64, with Nμ, 0.36, with Nμ, 0.01, with Nμ, 0.04, with Nμ, 0.01, with
7 #5, #7 180
μ ∼ N5.0, 0.01 μ ∼ N 5.2, 0.25 μ ∼ N 5.4, 0.16 μ ∼ N 0.25, 0.01 μ ∼ N 0.28, 0.01 μ ∼ N 0.32, 0.01
Nμ, 0.49, with Nμ, 0.36, with Nμ, 0.49, with Nμ, 0.09, with Nμ, 0.04, with Nμ, 0.09, with
8 #6, #7 145
μ ∼ N 4.5, 0.01 μ ∼ N 4.2, 0.16 μ ∼ N 3.4, 0.16 μ ∼ N 0.16, 0.01 μ ∼ N 0.19, 0.01 μ ∼ N 0.23, 0.01
Nμ, 0.16, with Nμ, 0.81, with Nμ, 1.00, with Nμ, 0.04, with Nμ, 0.01, with Nμ, 0.09, with
9 #6, #8 160
μ ∼ N 3.6, 0.25 μ ∼ N 4.0, 1.00 μ ∼ N 4.4, 0.09 μ ∼ N 0.13, 0.01 μ ∼ N 0.15, 0.04 μ ∼ N 0.17, 0.01
Nμ, 1.00, with Nμ, 1.00, with Nμ, 0.64, with Nμ, 0.01, with Nμ, 0.04, with Nμ, 0.09, with
10 #7, #8 165
μ ∼ N 4.0, 0.81 μ ∼ N 4.4, 0.49 μ ∼ N 4.8, 0.25 μ ∼ N 0.16, 0.01 μ ∼ N 0.19, 0.01 μ ∼ N 0.23, 0.04
Nμ, 4.00, with Nμ, 0.16, with Nμ, 0.25, with Nμ, 0.01, with Nμ, 0.04, with Nμ, 0.09, with
11 #7, #9 100
μ ∼ N 7.2, 0.09 μ ∼ N 7.6, 0.81 μ ∼ N 8.0, 0.16 μ ∼ N 0.36, 0.01 μ ∼ N 0.39, 0.01 μ ∼ N 0.42, 0.01
Nμ, 0.81, with Nμ, 0.64, with Nμ, 1.00, with Nμ, 0.01, with Nμ, 0.01, with Nμ, 0.01, with
12 #7, #15 130
μ ∼ N 8.0, 0.81 μ ∼ N 8.5, 0.50 μ ∼ N 8.7, 0.01 μ ∼ N 0.33, 0.01 μ ∼ N 0.36, 0.01 μ ∼ N 0.38, 0.01
Nμ, 4.00, with Nμ, 0.64, with Nμ, 0.25, with Nμ, 0.01, with Nμ, 0.01, with Nμ, 0.01, with
13 #10, #11 225
μ ∼ N 5.0, 0.81 μ ∼ N 6.0, 0.16 μ ∼ N 6.5, 0.09 μ ∼ N 0.30, 0.01 μ ∼ N 0.34, 0.01 μ ∼ N 0.36, 0.01
Nμ, 0.81, with Nμ, 1.00, with Nμ, 0.04, with Nμ, 0.01, with Nμ, 0.04, with Nμ, 0.04, with
14 #10, #13 155
μ ∼ N 5.5, 0.36 μ ∼ N 5.6, 0.49 μ ∼ N 5.8, 0.16 μ ∼ N 0.22, 0.09 μ ∼ N 0.26, 0.16 μ ∼ N 0.30, 0.09
Nμ, 0.64, with Nμ, 1.00, with Nμ, 0.09, with Nμ, 0.04, with Nμ, 0.01, with Nμ, 0.01, with
15 #10, #14 150
μ ∼ N 4.5, 0.49 μ ∼ N 4.6, 0.25 μ ∼ N 4.8, 0.09 μ ∼ N 0.22, 0.01 μ ∼ N 0.25, 0.04 μ ∼ N 0.27, 0.01
Nμ, 0.64, with Nμ, 0.09, with Nμ, 0.16, with Nμ, 0.04, with Nμ, 0.09, with Nμ, 0.01, with
16 #11, #13 170
Mathematical Problems in Engineering

μ ∼ N 3.6, 0.16 μ ∼ N 4.0, 0.01 μ ∼ N 4.4, 0.25 μ ∼ N 0.16, 0.01 μ ∼ N 0.18, 0.04 μ ∼ N 0.20, 0.01
 Table 3: Continued.
Arc capacity ri Transportation cost eik CNY/unit Free transportation time tki0 h
Arc i Corresponding
Mathematical Problems in Engineering

nodes n/h Carrier 1 Carrier 2 Carrier 3 Carrier 1 Carrier 2 Carrier 3

Nμ, 0.25, with Nμ, 0.49, with Nμ, 1.00, with Nμ, 0.01, with Nμ, 0.04, with Nμ, 0.09, with
17 #12, #13 125
μ ∼ N 4.2, 0.16 μ ∼ N 4.3, 0.09 μ ∼ N4.4, 0.16 μ ∼ N 0.22, 0.01 μ ∼ N 0.24, 0.09 μ ∼ N 0.26, 0.01
Nμ, 1.00, with Nμ, 0.04, with Nμ, 0.49, with Nμ, 0.01, with Nμ, 1.00, with Nμ, 0.09, with
18 #13, #16 145
μ ∼ N 4.5, 0.16 μ ∼ N 4.7, 0.81 μ ∼ N 4.9, 1.00 μ ∼ N 0.21, 0.64 μ ∼ N 0.23, 0.01 μ ∼ N 0.25, 0.16
Nμ, 0.25, with Nμ, 0.09, with Nμ, 0.04, with Nμ, 0.01, with Nμ, 0.16, with Nμ, 0.09, with
19 #14, #15 140
μ ∼ N 5.6, 0.49 μ ∼ N 6.0, 0.01 μ ∼ N 6.5, 0.04 μ ∼ N 0.30, 0.01 μ ∼ N 0.33, 0.01 μ ∼ N 0.35, 0.04
Nμ, 0.36, with Nμ, 0.04, with Nμ, 0.04, with Nμ, 0.09, with Nμ, 0.16, with Nμ, 0.25, with
20 #14, #16 135
μ ∼ N 4.6, 0.25 μ ∼ N 4.8, 0.16 μ ∼ N 5.0, 0.01 μ ∼ N 0.18, 0.04 μ ∼ N 0.22, 0.09 μ ∼ N 0.25, 0.49
Nμ, 1.00, with Nμ, 1.00, with Nμ, 0.81, with Nμ, 0.01, with Nμ, 0.16, with Nμ, 0.04, with
21 #15, #16 140
μ ∼ N 5.8, 0.09 μ ∼ N 6.2, 0.16 μ ∼ N 6.5, 0.04 μ ∼ N 0.30, 0.09 μ ∼ N 0.32, 0.25 μ ∼ N 0.35, 0.01
29
30 Mathematical Problems in Engineering

6.3. Computational Results

To verify the practicality and efficiency of the MCNFP optimization model under a birandom
environment presented previously, the proposed MOBLPSO was implemented to determine
the flow assignment amongst the transportation paths and amongst the carriers over a certain
period using actual data from the Hubei Qingjiang Shuibuya Project Construction Company.
After running the proposed MOBLPSO using MATLAB 7.0, the computational results were
obtained and the efficiency of the proposed algorithm was proven.
The computer running environment was an intel core 2 Duo 2.26 GHz clock pulse
with 2048 MB memory. The problem was solved using the proposed algorithm with satisfac-
tory solutions within 21 minutes on average, and the optimal solutions for lower level
programming and the Pareto optimal solution set for upper level programming were worked
out.
The red dots in Figure 9 show the Pareto optimal solutions, while the blue dots show
the best position of particles in this iteration. The decision maker can choose a plan from these
Pareto optimal solutions depending on their preference. For example, if the decision makers
feel that the total direct cost objective is more important, they may sacrifice transportation
time for more economical scheme. Thus they choose the absolute left of the Pareto optimal
solution in the minimum cost network flow plan in Table 4. On the contrary, if decision
makers feel that the transportation time objective is more important, they may choose
minimum total transportation time cost and sacrifice more costs for the MCNFP, choosing the
lowest of the Pareto optimal solutions. The minimum transportation time plan is in Table 5.

6.4. Model Comparison to an MCNFP with Single Randomness

To highlight the advantages of our mathematical model 4.17, additional computational
work was done using the proposed MOBLPSO to solve a similar MCNFP under a different
uncertain environment, that is, the random environment. To carry out comparisons under
a similar circumstance, analyses were conducted based on results from running the test
problem 10 times. A detailed analysis follows.
In order to guarantee a fair comparison between the MCNFP model with birandom-
ness denoted by MCNFP-birm and a model just considering single randomness denoted
by MCNFP-rm, the random distribution for each related uncertain parameter in the MCNFP-
1 1
rm was selected in the following way. Take the transportation cost e i.e., e ∼ Nμ, 0.64,
1 1
with μ ∼ N5.2, 0.10, for example. The stochastic nature of the expected value μ in the
normal distribution Nμ, 0.64 was ignored by using its expectation 5.2 as a representation
while the variance 0.64 was retained. Thus, for the MCNFP-rm, the birandomness of the
1
transportation cost e1 degenerated to a single randomness, in which the distribution of the
transportation cost could be expressed as N5.2, 0.64. Since the variance of the random
variable μ was sufficiently small i.e., 0.1  1, the expectation of the random variable μ essen-
tially reflected the most possible value over time. Thus, it was reasonable to select N5.2, 0.64
as the normal distribution for the transportation cost in the MCNFP-rm to compare with that
in the MCNFP-birm. The transformation of the other related uncertain parameters followed
a similar pattern. Thus the model for the MCNFP-rm was formulated and solved using the
proposed MOBLPSO 10 times.
As shown in Table 6, the best, the worst, and the average results for the random type
are higher than their counterparts for the MCNFP-birm. It is worth noting that the gaps
 Table 4: The most cost-effective plan for MCNFP in Shuibuya case.
1 2 3 4 5 6 7 8 9 10 11
Mathematical Problems in Engineering

Transportation path j
Material volume xj 950.000 543.763 1672.488 256.317 177.432 1700.000 766.646 1411.958 57.966 63.430 1279.675
Material volume y1j 426.432 309.723 576.206 71.020 93.874 505.161 371.885 449.943 36.224 46.715 520.477
Material volume y2j 413.345 107.514 587.051 92.521 44.360 620.743 267.585 521.378 42.172 48.536 364.225
Material volume y3j 369.912 159.467 509.230 52.741 127.025 574.096 285.792 440.637 34.154 48.542 394.974
Transportation path j 12 13 14 15 16 17 18 19 20 211 22
Material volume xj 370.325 161.357 1318.643 1380.000 1700.000 346.384 903.616 1150.000 1300.000 747.349 512.651
Material volume y1j 144.947 43.373 487.119 398.457 650.263 158.874 427.931 381.462 382.515 363.827 63.158
Material volume y2j 195.901 42.686 421.532 476.339 598.634 111.618 200.388 430.262 446.545 264.172 80.990
Material volume y3j 155.662 46.672 409.992 505.204 451.103 171.539 325.558 338.276 470.940 373.284 484.426
31
 32

Table 5: The most time-saving plan for MCNFP in Shuibuya case.

Transportation path j 1 2 3 4 5 6 7 8 9 10 11
Material volume xj 950.000 1013.517 758.507 820.247 57.735 1700.000 948.762 1056.185 253.392 41.661 647.444
Material volume y1j 265.783 354.500 308.790 329.115 45.111 573.575 492.092 422.106 157.707 21.322 363.277
Material volume y2j 427.952 324.088 400.510 476.403 39.031 523.953 354.168 405.054 48.491 28.744 222.921
Material volume y3j 293.735 334.929 390.005 432.165 38.571 602.472 398.627 315.831 56.696 39.224 199.717
Transportation path j 12 13 14 15 16 17 18 19 20 21 22
Material volume xj 1002.556 200.435 1279.565 1380.000 1700.000 1057.049 192.951 1150.000 1300.000 500.306 759.694
Material volume y1j 489.996 100.614 337.177 417.547 552.807 274.888 127.423 337.068 377.977 274.467 369.143
Material volume y2j 402.297 109.078 535.589 454.315 539.657 493.531 131.399 451.603 525.488 255.822 299.626
Material volume y3j 265.074 31.314 406.799 508.137 607.536 439.660 47.452 361.329 396.535 65.138 331.525
Mathematical Problems in Engineering
Mathematical Problems in Engineering 33

(Iteration 1) (Iteration 100)

The transportation time

The transportation time
12.83 12.83

12.82 12.82

12.81 12.81

12.8 12.8
3.2 3.4 3.6 3.8 4 3.2 3.4 3.6 3.8 4
The total direct cost ×104 The total direct cost ×104
(Iteration 200) (Iteration 300)

The transportation time

The transportation time

12.83 12.83

12.82 12.82

12.81 12.81

12.8 12.8
3.2 3.4 3.6 3.8 4 3.2 3.4 3.6 3.8 4
The total direct cost ×104 The total direct cost ×104
(Iteration 400) (Iteration 500)
The transportation time

The transportation time

12.82 12.82

12.815 12.815

12.81 12.81

12.805 12.805

12.8 12.8
3.2 3.4 3.6 3.8 4 3.2 3.4 3.6 3.8 4
The total direct cost ×104 The total direct cost ×104

Figure 9: Pareto optimal solutions of upper level programming for Shuibuya Hydropower Project.

between the best and the worst and between the best and the average solutions for MCNFP-
rm are wider than the gaps of their counterparts for the birandom type. This shows that
randomness creates a much larger solution space when uncertainty is introduced. Fortu-
nately, the widened solution space with a further stochastic nature in the MCNFP-birm
provides better solutions and they were successfully located by MOBLPSO, evidenced by the
narrower gaps between the best and the worst and between the best and the average solutions
found for the MCNFP-birm. This suggests that MOBLPSO is an effective and relatively
efficient approach for solving the MCNFP under a birandom environment.

6.5. Algorithm Evaluation

Since the PSOPC for the lower level is nested in the MOPSO for the upper level, and the
MOPSO is the main body of the proposed MOBLPSO, the evaluation of the MOPSO was
mainly paid attention to. In the MOPSO, a multiobjective method is introduced to derive
the Pareto optimal solution set for the upper level programming. This provides effective and
nondominated alternate schemes for the construction contractor. Compared to the weight-
sum method dealing with multiobjectives in 21, the solutions here are confirmed to be more
practical.
 34

Table 6: Comparisons of two types of model.

The direct cost objective ×103  The transportation time cost objective ×103  The transportation cost objective ×103 
Birandom type Random type Birandom type Random type Birandom type Random type
Best result 33.662 33.832 12.8003 12.7997 18.036 18.067
Average result 34.546 35.022 12.8027 12.8045 18.239 18.285
Worst result 35.429 36.211 12.8051 12.8092 18.441 18.503
Mathematical Problems in Engineering
Mathematical Problems in Engineering 35

Table 7: Algorithm evaluation by metrics of performance for Pareto optimal sets.

Iteration The average distance metric The distribution metric The extent metric
1 0.0781 0.1474 48.6227
100 0.0738 0.3460 58.1423
200 0.0878 0.4031 61.1722
300 0.0526 0.6967 69.2970
400 0.0554 0.8082 64.7773
500 0.0435 0.8938 68.8648

Comparing different optimization techniques experimentally always involves the

notion of performance. In the case of multiobjective optimization, the definition of quality is
substantially more complex than for single-objective optimization problems. There are many
metrics of performance to measure the distance of the resulting nondominated set to the
Paretooptimal front, the distribution of the solution found, and the extent of the obtained
nondominated front 55.
To gain further insight into the performance of the multiobjective method in the
proposed algorithm, the procedure was run different times and the results are summarized
in Figure 9 and Table 7. As is shown in Figure 9, the amount and the distribution of Pareto
optimal solutions in each iteration are satisfactory. For further expression of the efficiency
of the convergence, three metrics of performance proposed by Zitzler et al. 55 were
introduced: 1 the average distances of the resulting nondominated set to the Pareto-optimal
front: the value of which decreases with an increase in the iterations, meaning that the pro-
gram results come in toward the Pareto optimal front, which expresses the convergence of the
algorithm; 2 the distribution in combination with the number of non-dominated solutions
found: the higher the value, the better the distribution for an appropriate neighbourhood
parameter; 3 the extent of the obtained nondominated fronts: it uses a maximum
extent in each dimension to estimate the range to which the fronts spread out, which in this
paper equals the distance of the two outer solutions.
The metrics of performance for the Pareto optimal set is shown in Table 7 to provide a
satisfactory result for the efficiency of the convergence. Although there are some fluctuations
in the three metrics in the 500 iterations, these do not affect the final result.
To asses the efficiency and effectiveness of the MOBLPSO for the proposed MCNFP,
the MOBLPSO results for the MCNFP in the Shuibuya Hydropower Project are compared
with two other state-of-the-art heuristic algorithms, that is, a genetic algorithm for a multi-
objective bilevel model denoted by MOBLGA 56 and a simulated annealing algorithm
for a multiobjective bilevel model denoted by MOBLSA 57.
In order to carry out the comparisons under a similar circumstance, the parameter
selections for the MOBLGA and MOBLSA refer to those of the MOBLPSO, and nondominated
alternate schemes are also employed for both. To measure the quality of the results obtained
by the three algorithms, a weight sum method was introduced to detrmine one minimal
weight sum for the objectives from the nondominated solutions. Thus the comparison could
be implemented based on the unique measured criterion i.e., the minimal weight sum of
the objectives. To ensure the conformity validity of the multiobjectives, the division of the
dimensions and a unifying of the order of magnitude need to be performed before the weight-
sum procedure.
Table 8 shows the comparison results, that is, the minimal weight sum value of the
two objectives, and the average computation times, obtained using the preceding approaches
 36

Table 8: Computation time and memory used by MOBLPSO, MOBLGA and MOBLSA.
Type Combination of weights Minimal weight sum value of the two objectives Average computation time min
ω1 ω2 MOBLPSO MOBLGA MOBLSA MOBLPSO MOBLGA MOBLSA
1 ω1 0.1 ω2 0.9 1152.027 1160.989 1152.531 20.856 25.899 34.458
2 ω1 0.2 ω2 0.8 1024.272 1032.419 1024.273 20.926 26.032 33.921
3 ω1 0.3 ω2 0.7 896.238 903.848 897.214 21.052 25.679 34.068
4 ω1 0.4 ω2 0.6 769.472 775.277 769.555 21.158 25.329 35.568
5 ω1 0.5 ω2 0.5 641.786 646.706 641.897 20.963 26.169 35.012
6 ω1 0.6 ω2 0.4 514.148 518.136 514.216 20.678 26.969 35.142
7 ω1 0.7 ω2 0.3 386.486 388.529 386.521 21.203 26.135 34.791
8 ω1 0. 8 ω2 0.2 258.792 260.836 258.792 20.734 25.475 35.291
9 ω1 0.9 ω2 0.1 131.081 132.143 131.081 21.134 26.189 34.815
Mathematical Problems in Engineering
Mathematical Problems in Engineering 37

for the different combination of weights i.e., ω1 and ω2 represent the weights of the two
objectives, resp.. It is demonstrated that the MOBLPSO for the MCNFP can perform opti-
mizing better than the MOBLGA, since MOBLGA may lead to a local search and need more
computation time. On the other hand, the MOBLSA could get similar results to those from
MOBLPSO, but computation was much slower than the MOBLPSO.

7. Conclusions and Future Research

In this paper, a multiobjective bilevel programming model under birandom environment for
an MCNFP in a large-scale construction project was formulated. The contributions of this
paper to the literature are as follows. Firstly, the multiobjective bilevel model for the mini-
mum cost network flow problem in a large-scale construction project focused on here was
found to provide a more reasonable expression of the proposed problem, where the upper
level aims at optimizing the material flow assignment along the transportation paths and the
lower level decides on the flow of each carrier transports on the paths. Secondly, because of
the complicated realistic decision systems, this study employs birandom variables to charac-
terize the hybrid uncertain environment. The application of birandom variables makes the
proposed programming model more suitable for describing a vague and uncertain situation
in the real world. Further, the birandom uncertainty model was converted into an expectation
multiobjective bilevel programming model with chance constraints. Thirdly, in order to
solve the NP-hard multiobjective bilevel problem, a very effective and relatively efficient
algorithm i.e., MOBLPSO was developed by employing both a MOPSO and a PSOPC.
Finally, the Shuibuya Hydropower Project was used here as a practical application example.
The MOBLPSO results for the preceding project example were compared with MOBLGA and
MOBLSA methods, which demonstrated the validity of the proposed mathematical model
and the effectiveness of the proposed MOBLPSO method in handling complex problems.
Further research is necessary to identify further properties to develop a more effective
method for solving other practical problems: 1 the formulation of an MCNFP for manifold
materials rather than only one type of material transportation network in large-scale con-
struction projects, 2 the investigation of other new approaches such as an automated design
methodology and dependent chance programming to handle the birandom variables more
reasonably and effectively, 3 the development of more efficient solution methods to solve
multiobjective bilevel programming problems. Each of these areas is very important and
equally worthy of attention. It should be mentioned that there are several commercial solvers
that can efficiently solve large-scale nonlinear problems such as MINOS, CONOPT and
SNOPT. However, when solving bilevel programming with nonlinear and non-differentiable
piecewise objective functions and constraints like the MCNFP discussed in this paper,
these solvers may face difficulties to deal with the nondifferentiability and nonconvexity by
employing the exact techniques such as enumeration method, Karush-Kuhn-Tucker method,
and penalty function approach. The future research may seek to address this issue with
alternative exact techniques.

Acknowledgments
This paper was supported by the Key Program of NSFC Grant no. 70831005 and “985”
Program of Sichuan University “Innovative Research Base for Economic Development and
Management.” The authors would like to give their great appreciates to the editors and
38 Mathematical Problems in Engineering

anonymous referees for their helpful and constructive comments and suggestions, which
have helped to improve this paper.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 293137, 14 pages
doi:10.1155/2012/293137

Research Article
A Selection Approach for Optimized
Problem-Solving Process by Grey Relational Utility
Model and Multicriteria Decision Analysis

Chih-Kun Ke1 and Mei-Yu Wu2

1
Department of Information Management, National Taichung University of Science and Technology,
No. 129, Section 3, Sanmin Road, Taichung 404, Taiwan
2
Department of Information Management, Chung Hua University, No. 707, Section 2, WuFu Road,
Hsinchu 300, Taiwan

Correspondence should be addressed to Mei-Yu Wu, [email protected]

Received 21 January 2012; Accepted 17 April 2012

Academic Editor: Jung-Fa Tsai

Copyright q 2012 C.-K. Ke and M.-Y. Wu. This is an open access article distributed under the
Creative Commons Attribution License, which permits unrestricted use, distribution, and
reproduction in any medium, provided the original work is properly cited.

In business enterprises, especially the manufacturing industry, various problem situations may
occur during the production process. A situation denotes an evaluation point to determine the
status of a production process. A problem may occur if there is a discrepancy between the actual
situation and the desired one. Thus, a problem-solving process is often initiated to achieve the
desired situation. In the process, how to determine an action need to be taken to resolve the
situation becomes an important issue. Therefore, this work uses a selection approach for optimized
problem-solving process to assist workers in taking a reasonable action. A grey relational utility
model and a multicriteria decision analysis are used to determine the optimal selection order of
candidate actions. The selection order is presented to the worker as an adaptive recommended
solution. The worker chooses a reasonable problem-solving action based on the selection order.
This work uses a high-tech company’s knowledge base log as the analysis data. Experimental
results demonstrate that the proposed selection approach is effective.

1. Introduction
Problem solving is an important process that enables corporations to create competitive
advantages. In manufacturing industries, various problem situations may occur during the
production process 1, 2. A situation denotes an evaluation point to determine the status
of a production process. A problem may occur if there is a discrepancy between the actual
situation and the desired one 3. Thus, a problem-solving process is often initiated to achieve
the desired situation. In the process, workers determine what action needs to be taken to
resolve the situation. For a given problem, a situation may occur with various features
2 Mathematical Problems in Engineering

according to the context at that time. Due to the uncertain characteristics of situations, several
causes and possible actions may exist for a specific situation. Workers may observe a problem
situation, collect relevant information from the enterprise knowledge repository, explore
possible causes, and identify operational conditions in order to decide appropriate action
3, 4.
Quality of Service QoS is an important consideration in evaluating a problem-
solving solution. Worker feedback of an evaluating process can be represented as a utility
model reflecting the satisfaction a worker observes from taking an action. The worker
provides such a utility model 5 before committing to take an action. Grey relational
analysis 6, 7 can quantify all influences of various factors and their relation to consolidate
the utility model. Therefore, the worker’s grey relational utility model can be applied to
the monitoring information in order to evaluate the action’s QoS. The worker will get
the expected value of the issue of interest from taking an action. Based on various issues
of interest, how to select the reasonable action from a large number of candidate actions
requires a multicriteria decision analysis. A multicriteria decision analysis 8 is concerned
with structuring and solving decision and planning problems involving multiple criteria.
The purpose is to support decision makers facing such problems. Typically, there does not
exist a unique optimal action for such problems, and it is necessary to use decision maker’s
preferences to differentiate between actions. Therefore, a multicriteria decision analysis is
required to discover the selection order of the various actions for a specific situation. The
discovered selection order helps worker to solve the situation.
This work uses a selection approach to candidate actions to assist the worker in
acquiring a reasonable problem-solving action. Action formalization, a grey relational utility
model, and a multicriteria decision analysis are used to obtain an optimal selection order
for candidate actions. Then, the selected action for a specific situation is taken through a
problem-solving process. The result is considered a reasonable problem-solving solution for
the worker. This work explores a high-tech company’s knowledge base log as the analysis
data. The prototype system and use cases are proposed in the previous research 4. In this
work, we have an experiment to demonstrate that the proposed approach is effective. The
contribution of this research is in demonstrating a method which is easy to implement in a
problem solving knowledge recommendation system for selecting a reasonable solution.
The remainder of this paper is organized as follows. Section 2 reviews related works
on problem solving, grey relational analysis, multicriteria decision analysis, knowledge
management, and retrieval. Section 3 introduces a selection approach for optimized problem-
solving process by a grey relational utility model and a multicriteria decision analysis.
Section 4 describes an experimental data of a high-tech company’s knowledge base. An
experiment of the knowledge base log and discussions are showed in Section 5. Finally,
Section 6 presents our conclusions.

2. Related Works
The related literature covers problem solving, grey relational analysis and utility model,
multicriteria decision analysis, knowledge management, and retrieval.

2.1. Problem-Solving Process

In business enterprises, especially the manufacturing industry, various problem situations
may occur during the production process 1, 2, for example, poor production performance,
Mathematical Problems in Engineering 3

system overload, and low machine utilization. A situation denotes an evaluation point to
determine the status i.e., desirable or undesirable of a production process. A problem may
occur if there is a discrepancy between the actual situation and the desired one 3. For
example, when the current production output is below the desired level, the production line
may have some problems. Thus, a problem solving process is often initiated to achieve the
desired situation. Problem solving is the thought process that resolves various difficulties
and obstacles spread in the gap between the current problem and its desired solution
4.
Various approaches have been proposed to support problem solving. Allen et al.
enforced a problem-solving process based on the knowledge gained from solving previous
similar problems 9. Chang et al. implemented a self-improvement helpdesk service system
1, and Park et al. developed a decision support system for problem solving in a complex
production process 2. More recently, Yang et al. proposed integrating the case-based
reasoning CBR approach with ART-Kohonen neural networks ART-KNNs to enhance
fault diagnosis in electric motors 10. Moreover, Guardati introduced RBCShell as a tool
for constructing knowledge-based systems, whereby previously solved problems are stored
in the case memory to support problem solving in new cases 11.
In a complex production process, problem solving is usually knowledge intensive.
Past experience or knowledge, routine problem-solving procedures, and previous decisions
can be used to enhance problem solving. The types of knowledge are investigated to use for
problem solving and suggest the circulation of knowledge to avoid knowledge inertia 12.
In the problem-solving process, workers take several problem-solving steps to determine
what action needs to be taken to resolve the situation 3. Such action involves both
human wisdom and enterprise knowledge. Workers may observe a problem situation, collect
relevant information from the enterprise knowledge repository, explore possible causes, and
identify operational conditions in order to decide appropriate action 4.

2.2. Grey Relational Analysis and Utility Model

The grey relational analysis GRA is an important method in the grey system theory 7. The
GRA has been widely used in a number of areas, such as manufacturing 13, transportation
14, and the building trade 6. In the grey system theory, the GRA is essentially believed
to have captured the similarity measurements or relations in a system. Generally, the
procedure of grey relation analysis includes grey relation generation and grey relational
grade calculation steps. The grey relation generation step removes anomalies associated with
different measurement units and scales by the normalization of raw data. The grey relational
grade calculation step uses the grey relational coefficient to describe the trend relationship
between an objective series and a reference series at a given point in a system 15.
Quality of Service QoS is an important consideration in evaluating a problem-
solving action. Worker feedback of an evaluating process can be represented as a utility model
reflecting the satisfaction a worker observes from taking an action. The worker provides such
a utility model 5 before committing to take an action. GRA can quantify all influences of
various factors and their relation to consolidate the utility model. Therefore, the worker’s
grey relational utility model can be applied to the monitoring information in order to evaluate
the action’s QoS. The worker will get the expected value of the issue of interest from taking
an action.
4 Mathematical Problems in Engineering

2.3. Multicriteria Decision Analysis Method, ELECTRE

Multicriteria decision-making MCDM approach has played an important role in solving
multidimensional and complicated problems. ELECTRE Elimination Et Choice Translating
Reality is a family of multicriteria decision analysis methods 8, 16. ELECTRE methods
are developed in two main phases. In the first phase, the outranking relations are
constructed for a comprehensive comparison of each pair of actions. In the second phase,
the recommendations are elaborated from the results obtained by an exploitation procedure
from the first phase. The nature of the recommendation depends on the following problems:
choosing, ranking, or sorting. The evolutions of ELECTRE methods include ELECTRE I,
ELECTRE Iv, ELECTRE IS, ELECTRE II, ELECTRE III, ELECTRE IV, ELECTRE-SS, and
ELECTRE TRI. Each method is characterized by its construction and exploitation procedure.
ELECTRE I, ELECTRE Iv, and ELECTRE IS were designed to solve choice problem. ELECTRE
II, ELECTRE III, ELECTRE IV, and ELECTRE-SS were designed for solving ranking problems.
ELECTRE TRI was designed for solving sorting problems. This work uses a modified version
of the ELECTRE method 17 to discover an optimal selection order of candidate actions. The
selection order is presented to the worker as a recommended solution.

2.4. Knowledge Management and Retrieval

A repository of structured, explicit knowledge, especially in document form, is a codified
strategy for managing knowledge 18, 19. However, with the growing amount of
information in organization memories, knowledge management systems KMSs face the
challenge of helping users find pertinent information. Accordingly, knowledge retrieval is
considered a core component in accessing information in knowledge repositories 20, 21.
Translating users’ information needs into queries is not easy. Most systems use information
retrieval IR techniques 22 to access organizational codified knowledge 23. The use of
information filtering IF with a profiling method to model users’ information needs is an
effective approach that proactively delivers relevant information to users. The technique has
been widely used in the areas of information retrieval and recommender systems 24–26.
The profiling approach has also been adopted by some KMSs to enhance knowledge retrieval
27–29, whereby information is delivered to task-based business environments to support
proactive delivery of task-relevant knowledge 20, 27, 30.
This work explores a high-tech company’s knowledge base log 4 as the analysis
data. Knowledge management and retrieval techniques are used to enforce an experiment
to demonstrate that the proposed selection approach is effective.

3. The Selection Approach for Optimized Problem-Solving Process

This section describes a selection approach to candidate actions in terms of grey relational
utility model and multicriteria decision analysis, including problem-solving action formal-
ization, grey relational utility model for candidate actions, and selection order discovery by
a modified version of the ELECTRE method 17.

3.1. Problem-Solving Action Formalization

Problem-solving action formalization is an essential and initial task in our proposed selection
approach. This work refers to the use of a utility-based reputation model 5 to formalize an
action’s QoS items in order to enforce the utility model.
Mathematical Problems in Engineering 5

Let A  {a1 , a2 , . . . , an } denote the set of actions, and let a ∈ A. Let AP denote the set
of actions providers, let b ∈ AP , and let function S : AP → P A denote the actions provided
by an action provider, where P represents the power set operator. Let SW denote the set of
worker of the system, and let w ∈ SW. Each action has associated issues of interest, denoted
by set I, whose workers are interested in monitoring, and i ∈ I. Function IS represents the
set of issues of interest for an action: IS : A → P I. Function Ow : A × AP × I → R
denotes the expectation of the worker w for the actions he takes, where R denotes the real
w,b
numbers. Notation va,i represents the expectation of worker w on issue i of action a supplied
by provider b.
In a problem-solving environment, a potential issue of interest could be the QoS. Based
on the expectations, a worker can develop a utility model which reflects the satisfaction he
perceives from taking an action.

3.2. Grey Relational Utility Model for Candidate Actions

After the expectation formalization process of a problem-solving action’s specific interest
issue, a grey relational utility model is developed to represent worker satisfaction with action
acquisition.
w,b
Let Ua,i v denote the utility that worker w gets by obtaining the actual
value v ∈ R on issue i from action a of provider b. Each expected value v of specific
interest issue i of an action used as a QoS item to build a comparative vector ai 
Uaw,b
i ,i1
v1 , Uaw,b
i ,i2
v2 , . . . , Uaw,b
i ,in
vn , i  {1, 2, . . . , m}. This work sets the a0 as a desired
action with expected utility values of specific interest issues. It forms a reference vector a0 
Uaw,b
0 ,i1
v1 , Uaw,b
0 ,i2
v2 , . . . , Uaw,b
0 ,in
vn . Utilities are normalized and scaled to 0, 1 by grey
relation consideration 31, 32, as shown in 3.1 and 3.2. Larger-the-better means that the
larger target value is better, and smaller-the-better means that the smaller target value is
better. Therefore, U∗ w,b a,i R → 0, 1.

Larger-the-better is as follows:

w,b w,b
Ua,i v − mini Ua,i v
U∗ w,b
a,i v  w,b w,b
. 3.1
maxi Ua,i v − mini Ua,i v

Smaller-the-better is as follows:

w,b w,b
maxi Ua,i v − Ua,i v
U∗ w,b
a,i v  w,b w,b
. 3.2
maxi Ua,i v − mini Ua,i v

Then the grey relation equation 25, 32, 33 is used to calculate the grey relational grade
between reference vector and comparative vectors, partial equation as shown in 3.3. The
Uaw,b
0 ,i
v is a partial utility of reference vector, and Uaw,b
k ,i
v is a partial utility of comparative
vector. If the grey relational grade value Γ0k is closer to 1, it means that Uaw,b
0 ,i
v and Uaw,b
k ,i
v
6 Mathematical Problems in Engineering

have high correlation. If the grey relational grade value Γ0k is closer to 0, it means that Uaw,b
0 ,i
v
and Uaw,b
k ,i
v have low correlation:

 1/ρ
  Δmax − Δ0k n
Γ0k  Γ Uaw,b,i v, Ua
w,b
,i v  , where Δ0k  Δ0k v ρ
, 3.3
0 k
Δmax − Δmin k1

where ρ  {1, 2, . . . , m}. Δmax is the largest value of Δ0k and Δmin is the smallest value of
Δ0k . Based on the grey relational grade value Γ, a threshold value is used to filter out the
low correlation actions, and the remainders are considered as candidate actions for solving a
specific problem situation.
In Sections 3.1 and 3.2, the worker will get the expected value of the issue of interest
from taking an action. Based on various issues of interest, how to select the reasonable action
from a large number of candidate actions requires a multicriteria decision analysis.

3.3. Discover a Selection Order of Actions by a Modified ELECTRE Method

For the second task, this work uses a modified version of the ELECTRE method to discover
the selection order for candidate actions. If there are m candidate actions which involve n
QoS items, the matrix Q of expected values can be shown as 3.4. We use 8 steps to discover
the optimal selection order of action using a modified version of the ELECTRE method 17:

⎡ c,b c,b
⎤
v1,1 · · · v1,n
⎢ ⎥
  ⎢ . . .. ⎥
Q  Qij m×n  ⎢
⎢ .. . . . ⎥ ⎥. 3.4
⎣ ⎦
c,b c,b
vm,1 · · · vm,n

Step 1. To calculate the weighted normalization decision matrix, a weight for each QoS item
must be set to form a weighted matrix W, as shown in:

⎡ ⎤
W1 · · · 0
⎢ ⎥
⎢ .. ⎥ .
W  ⎢ ... . . . . ⎥ 3.5
⎣ ⎦
0 · · · Wn n×n

The multiplication of a normalization matrix Q by a weighted matrix W gets the weighted

normalization decision matrix V  QW, as shown in:

 
V  vij m×n . 3.6

Step 2. Compare arbitrary different row i and row j in the weighted normalization decision
matrix V to make sure of the concordance and discordance set. If value v of row i is higher
Mathematical Problems in Engineering 7

than value v of row j, the component k can be classified as the concordance set Cij or the
discordance set Dij . The concordance set Cij or the discordance set Dij is shown as:

   
Cij  k | vik ≥ vjk , Dij  k | vik < vjk . 3.7

Step 3. The sum of each component’s weight forms a concordance matrix C, as shown in:

  k∈Cij wk
C  cij m×m
, cij  n . 3.8
k∈1 wk

Step 4. We use a formula to get the discordance matrix. S is the set including all QoS items,
S  {1, 2, . . . , n}, as shown in:
 
maxk∈Dij vik − vjk 
dij    . 3.9
maxk∈S vik − vjk 

Therefore, a discordance matrix can be presented as D  dij m×m .

Step 5. The reverse complementary value is used to modify D to get the modified discordance
matrix D . The calculation of D is shown as:
 
D  dij , dij  1 − dij . 3.10
m×m

Step 6. To show the large component value of the candidate solution, when the expected
value is larger, we combine each component cij of the concordance set with the discordance
matrix to calculate the production and get the modified total matrix A (Hadamard product of
cij and dij ), as shown in:

 
A  aij m×m , aij  cij ◦ dij . 3.11

Step 7. Get the maximum value aj of each column from modified total matrix. The purpose
is to determine the modified superiority matrix, as shown in:

 
aj  max aij | i  1, 2, . . . , m , j  1, 2, . . . , m. 3.12

To make sure to get a reasonable solution, we have to rank aj from small to large:
a1 , a2 , . . . , am . The threshold a is set behind the smallest value a1 and the next smallest value
a2 . If the value aij is smaller than threshold a, it is replaced as 0 or 1. Then we get the modified
total superiority matrix, as shown in:
⎧
  ⎨1, aij ≥ a,
E  eij , eij  3.13
⎩0, aij < a.
8 Mathematical Problems in Engineering

Historical log of intranet

portal

Employee Intranet portal

Problem-solving process
Enterprise Data processing for
identification
knowledge knowledge discovery
(case-based reasoning)
bases

Knowledge pattern and

Problem-solving process situation/action profiles
execution discovery

Problem-solving process module Knowledge discovery module

Knowledge document Knowledge support

recommendation network construction

Knowledge recommendation module

Figure 1: Knowledge support framework for problem solving 4.

Step 8. Finally, we get eij  1 from the matrix E . It indicates that solution i is better than
solution j. We can eliminate solution j and show it as Ai → Aj .

From Steps 1 to 8, we get the relationship among the QoS items of the candidate actions
and get the optimal selection order for all candidate actions. The candidate action is the action
provided by an action provider. The worker can follow the selection order to take a reasonable
action.

4. Experimental Knowledge Base Log

In this section, we fetch a high-tech company’s knowledge base log as the analysis data. In the
previous research 4, the proposed knowledge support framework for problem-solving is as
shown in Figure 1. The proposed framework records the problem-solving steps, including
the situations and actions as well as the corresponding knowledge documents accessed
in the historical log. The knowledge discovery module employs mining technology to
extract hidden knowledge from the historical problem solving log. The extracted knowledge,
including situation/action profiles, decision making, and dependency knowledge, is used
to provide knowledge support. The knowledge base comprises historical logs, discovered
knowledge patterns, situation/action profiles, and enterprise knowledge documents. This
component acts as an information hub to provide knowledge support for problem solving.
For specific situations or actions, relevant information documents accessed by
workers is recorded in the problem-solving log. Historical codified knowledge textual
documents can also provide valuable knowledge for solving the target problem. Information
retrieval IR and text mining techniques are used to extract the key terms of relevant
documents for a specific situation or action. The extracted key terms form the situation/action
profile, which is used to model the information needs of the workers. This work assumes that
Mathematical Problems in Engineering 9

a generic problem-solving process is specified by experts to solve a problem or a set of similar

problems encountered on a production line. When the production line encounters a problem,
a problem-solving process is initiated. The situations that occurred in a problem may vary
due to the uncertainty of the constantly changing business environment. Moreover, different
workers may take different actions to solve a problem according to their skills and experience.
The problem-solving log records historical problem solving instances.

5. The Experiments and Results Discussion

This section presents the experiment, results, and relevant discussion of the wafer manu-
facturing problem use case.

5.1. Experiments
This paper uses the wafer manufacturing problem 4 as a useful example to illustrate the
experiment. A wafer manufacturing process in a semiconductor foundry is used to illustrate
the proposed approach. The process comprises the following steps: crystal growing, wafer
cutting, edge rounding, lapping, etching, polishing, cleaning, final inspection, packaging, and
shipping. The wafer cleaning step mainly uses DI deionized, ultrapure water to remove
debris left over from the mounting wax and/or polishing agent. A stable water supply
system to deliver ultrapure water for wafer cleaning is therefore vital in semiconductor
manufacturing. The knowledge retrieval technique is used to explore the knowledge base log
which includes 1,077 relevant data records of wafer cleaning step in a wafer manufacturing
process. The discovered data records involve with 72 situations from 7 interdatabases, 23
workers, and 238 actions. The 5 domain experts assist this experiment to carry out and
evaluate.

5.1.1. Problem-Solving Action Formalization and Grey Relational Utility Model

When the worker suffers from a specific problem situation, there are various suppliers
providing the problem-solving actions. The problem-solving action formalization and a grey
relational utility model are used to precompute the worker’s expected list of supplied action
QoS items and facilitate a multicriteria decision analysis to discover an optimal selection
order of candidate actions.
First, the problem-solving action formalization process identifies the worker, action,
and action providers. Then, the worker can decide the indicators quality of service items,
QoS items of current problem situation. We use abnormal situation of wafer cleaning as a
simple example. The worker sets performance, quality, and duration time as the QoS items
for abnormal situation. Then the relevant values of QoS items and actions are recorded in a
table, as shown in Table 1. For example, action A sets the QoS item, abnormal situation, where
the performance degree is high, quality degree is middle, and duration time is evaluated as
slow.
After the problem-solving action formalization process, a grey relational utility model
is developed to represent worker satisfaction with the action acquisition. The action C is
filtered out because of its low grey relational grade, and the reminder actions A, B, D are
considered as the candidate actions for solving a specific problem situation. Each QoS item is
normalized and scaled to 0, 1. Then, Table 1 is transformed into Table 2.
10 Mathematical Problems in Engineering

Table 1: Property of QoS item and action for abnormal situation.

Performance Quality Duration time

Action A High Middle Slow
Action B Low High Normal
Action C Low Low Slow
Action D Middle Low Quick

Table 2: Transformed property of QoS item and action for abnormal situation.

Performance Quality Duration time

Action A 0.34 0.32 0.22
Action B 0.31 0.35 0.25
Action D 0.32 0.28 0.30

5.1.2. The Selection Order Discovery of Candidate Actions

A modified version of the ELECTRE method 17 is used to determine the optimal selection
order of candidate actions to solve a specific problem situation. The decision matrix Q of
expected values can be shown as follows:
⎡ ⎤
0.34 0.32 0.22
⎢ ⎥
Q⎢ ⎥
⎣0.31 0.35 0.25⎦. 5.1
0.32 0.28 0.30

The weighted matrix W for each QoS item is shown as follows:
⎡ ⎤
0.4 0 0
⎢ ⎥
W ⎢
⎣ 0 0.35 0 ⎦.
⎥ 5.2
0 0 0.25

The multiplication of a normalization matrix Q and a weighted matrix W which gets the
weighted normalization decision matrix V V  QW is shown as follows:
⎡ ⎤
0.136 0.112 0.055
⎢ ⎥
V ⎢ ⎥
⎣0.124 0.1225 0.0625⎦. 5.3
0.128 0.098 0.075

The concordance set Cij or the discordance set Dij is shown as follows:

C12  {1}, D12  {2, 3}, C13  {1, 2}, D13  {3},

C21  {2, 3}, D21  {1}, C23  {2}, D23  {1, 3}, 5.4

C31  {3}, D31  {1, 2}, C32  {1, 3}, D32  {2}.
Mathematical Problems in Engineering 11

The sum of each component’s weight forms a concordance matrix C:


k∈C13 wk W1 W 2
C13  3   0.75,
k1 wk W1 W2 W3

⎡ ⎤ 5.5
− 0.4 0.75
⎢ ⎥
C⎢
⎣ 0.6 − 0.35⎦.
⎥

0.25 0.65 −

A discordance matrix can be presented as D:

maxk∈D13 {|v1k − v3k |} max{0.02}

D13    1,
maxk∈S {|v1k − v3k |}max max{0.008, 0.014, 0.02}

⎡ ⎤ 5.6
− 0.875 1
⎢ ⎥
D⎢
⎣1 − 0.51⎥
⎦.
0.7 1 −

A modified discordance matrix can be presented as D :

⎡ ⎤
− 0.125 0
⎢ ⎥
D  ⎢
⎣0 − 0.49⎥
⎦. 5.7
0.3 0 −

A modified total matrix can be presented as A:

⎡ ⎤
− 0.05 0
⎢ ⎥
A⎢
⎣ 0 − 0.1715⎥
⎦. 5.8
0.075 0 −

A modified total superiority matrix is shown as E :

⎡ ⎤
− 1 0
⎢ ⎥
E  ⎢ ⎥
⎣ 0 − 1 ⎦. 5.9
1 0 −

Finally, the optimal selection order is determined for all candidate actions. The
experiment results show that action B is better than action D and action D is better than
action A. The worker can follow the selection order to get a reasonable action.
12 Mathematical Problems in Engineering

Table 3: The experimental results of abnormal situation of wafer cleaning step.

Item
Method
Candidate actions Precision Recall
The method in 4 32 62.8% 86/137 75.4% 86/114
This paper’s method 26 68.3% 86/126 83.5% 86/103

5.2. Experimental Results and Relevant Discussions

This work used an actual abnormal situation of wafer cleaning step in a wafer manufacturing
process use case of a high-tech company to demonstrate that the proposed approach is
effective. Supplying an adaptive problem-solving solution to a worker will help the business
enterprise improve the service and quality. In the experiment of an actual abnormal situation
of wafer cleaning step in a wafer manufacturing process use case, the experimental results
are shown in Table 3.
In knowledge base log of the wafer cleaning step, a method proposed in 4 and
this paper’s method are enforced to the experiments. The method proposed in 4 means
that worker follows the experiential rules from the knowledge discovery process to take a
problem-solving action. The experimental result shows that precision is 62.8% and recall is
75.4%. This paper’s method uses a grey relational utility model to filter out low correlation
actions. The candidate actions for an abnormal situation decrease from 32 to 26 actions. The
experimental result shows that precision is 68.3% and recall 83.5%. The selection method used
in this work seems to be more effective than the method proposed in 4.
In the experiment process and result analysis, this research found that weight value
in multicriteria decision analysis tasks and worker feedbacks are the critical factors that
influenced the experimental results. For example, the weight and normalization values are
indistinguishable. These situations prevent the system from identifying the best solution
for recommendation. This study checks and adjusts the weight and normalization values
to enhance the distinguishing ability. The worker feedback influences how to decide the
QoS items. The QoS item is the critical factor for the grey relational utility model and the
multicriteria decision analysis processing.

6. Conclusion
In business enterprises, especially the manufacturing industry, various problem situations
may occur during the production process. In a problem-solving process, how to determine
an action needed to be taken to resolve the situation becomes an important issue. This
work proposes a selection approach for optimized problem-solving process to assist workers
in taking a reasonable action. A grey relational utility model and a multicriteria decision
analysis are used to determine the optimal selection order of candidate actions. The selection
order is presented to the worker as an adaptive recommended solution. The worker fetches
a reasonable problem-solving action based on the selection order. The contribution of this
research is in demonstrating a method which is easy to implement in a problem-solving
knowledge recommendation system for selecting a reasonable solution.
A high-tech company’s knowledge base log is used for an experiment. In the
experiment process and result analysis, this research found that weight value in a
multicriteria decision analysis task and worker feedback influenced the experimental results.
Future work should pay more attention to designing a worker feedback mechanism for
Mathematical Problems in Engineering 13

QoS item identification. The worker feedback would help the proposed selection approach
by intelligent tuning and learning to improve the service quality incrementally. The
recommended technique is to consider combining with more intelligent methods to enhance
the effect.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 376546, 26 pages
doi:10.1155/2012/376546

Research Article
Predictor-Corrector Primal-Dual Interior Point
Method for Solving Economic Dispatch Problems:
A Postoptimization Analysis

Antonio Roberto Balbo,1 Márcio Augusto da Silva Souza,2

Edméa Cássia Baptista,1 and Leonardo Nepomuceno3
1
Department of Mathematics, Universidade Estadual Paulista (UNESP), 17033-360 Bauru, SP, Brazil
2
Graduate Program in Electrical Engineering, Universidade Estadual Paulista (UNESP),
17033-360 Bauru, SP, Brazil
3
Department of Electrical Engineering, UNESP—Universidade Estadual Paulista,
17033-360 Bauru, SP, Brazil

Correspondence should be addressed to Leonardo Nepomuceno, [email protected]

Received 9 November 2011; Accepted 3 April 2012

Academic Editor: Jianming Shi

Copyright q 2012 Antonio Roberto Balbo et al. This is an open access article distributed under
the Creative Commons Attribution License, which permits unrestricted use, distribution, and
reproduction in any medium, provided the original work is properly cited.

This paper proposes a predictor-corrector primal-dual interior point method which introduces line
search procedures IPLS in both the predictor and corrector steps. The Fibonacci search technique
is used in the predictor step, while an Armijo line search is used in the corrector step. The method
is developed for application to the economic dispatch ED problem studied in the field of power
systems analysis. The theory of the method is examined for quadratic programming problems and
involves the analysis of iterative schemes, computational implementation, and issues concerning
the adaptation of the proposed algorithm to solve ED problems. Numerical results are presented,
which demonstrate improvements and the efficiency of the IPLS method when compared to
several other methods described in the literature. Finally, postoptimization analyses are performed
for the solution of ED problems.

1. Introduction
Since its introduction in 1984, the projective transformation algorithm proposed by
Karmarkar in 1 has proved to be a notable interior point method for solving linear
programming problems LPPs. This pioneer study caused an upheaval in research activities
in this area. Among all the variations of Karmarkar’s original algorithm, the first to attract
the attention of researchers was the one that uses a simple affine transformation to replace
Karmarkar’s original and highly complex projective transformation, enabling work with
2 Mathematical Problems in Engineering

LPP in its standard form. The affine algorithm was first introduced in 2 by Dikin, a
Soviet mathematician. Later, in 1986, the work was independently rediscovered by Barnes
in 3 and by Vanderbei et al. in 4. They proposed using the primal-affine algorithm
to solve LPP in standard form and also presented proof of the algorithm’s convergence.
A similar algorithm, called dual-affine, was developed and implemented by Adler et al.
5 to solve the LPP in the form of inequality. Compared to the relatively cumbersome
projective transformation, the implementation of the primal-affine and dual-affine algorithms
was simpler because of its direct relationship with the LPP. These two algorithms produced
promising results when applied to large problems 6, although the theoretical proof of
polynomial time complexity was not obtained from the affine transformation. Megiddo
and Shub’s study in 7 indicated that the trajectory that leads to the optimal solution
provided by affine algorithms depends on the initial solution. A poor initial solution, which
is close to a viable domain vertex, could result in an investigation that covers all vertex
problems.
Nevertheless, the polynomial time complexity of primal-affine and dual-affine
algorithms can be re-established by incorporating a logarithmic barrier function into the
objective function of the original LPP. The purpose of this procedure is to solve the
problem pointed out by Megiddo, that is, to prevent an interior solution from becoming
“trapped” at the border of the problem possibly a vertex. This procedure also provides
proof of the complexity of the method. The idea of using the logarithmic barrier function
method for convex programming problems was developed by Fiacco and McCormick
in 8, 9, based on the method proposed by Frisch in 10. After the introduction of
Karmarkar’s algorithm in 1984, the logarithmic barrier function method was reconsidered
to solve linear programming problems. Gill et al. used this method in 11 to develop
a projected Newton barrier method and demonstrated its equivalence with Kamarkar’s
projective algorithm. The methods proposed, among others, by Ye in 12, Renegar in
13, Vaidya in 14, and Megiddo in 15, as well as those of a central trajectory—called
path-following methods, which were proposed by Gonzaga in 16, 17 and Monteiro and
Adler in 18, use the objective function augmented by the logarithmic barrier function.
A third variation, the so-called primal-dual interior point algorithm, was introduced by
Monteiro et al. in 19 and by Kojima et al. in 20. This algorithm explores a potential
primal-dual function, a variation of the logarithmic barrier function, called the potential
function. The polynomial time complexity theory was successfully demonstrated by Kojima
et al. in 20 and Monteiro et al. in 19 based on Megiddo’s work, which provided
a theoretical analysis for the logarithmic barrier method and proposed the primal-dual
approach.
The predictor-corrector procedure initially defined by Mehrotra and Sun in 21 and
implemented in by Lustig et al. in 22 explored variant directions of the primal-affine interior
point methods in the predictor step. In the corrector step, the point previously obtained
in the predictor step was “centralized” to exploit the potential function related to the
logarithmic barrier function. This procedure significantly improved the performance of the
primal-dual interior point methods.
This strategy was reviewed and modified by Wu et al. in 23 and successfully applied
to solve optimal power flow problems. Wu used the logarithmic barrier penalization, the
Newton method, and first-order approximations in the predictor step to determine search
directions and the approximate solution. Second-order approximations were considered in
the corrector step to refine solutions obtained in the predictor step.
Mathematical Problems in Engineering 3

The methods related to the primal-dual interior point methodology, especially those
proposed by Kojima et al. in 20, Monteiro and Adler in 18, and Monteiro et al. in 19,
which were broadly investigated by Fang and Puthenpura in 24, have been explored in this
past decade to solve linear, nonlinear, and integer mathematical programming problems in
several fields of research.
This paper proposes a primal-dual interior point method that uses the predictor-
corrector strategy described by Lustig et al. in 22 and Wu et al. in 23 and incorporates
line search procedures in both the predictor and corrector steps. Theoretical aspects as well
as iterative schemes and computational implementation are investigated. A Fibonacci line
search procedure is carried out in the predictor step and an Armijo line search is used in the
corrector step to calculate the step sizes while taking into account constraints in the variables
of the problem. The line search procedures adopted are aimed at improving the overall
convergence of the proposed method for solving quadratic programming problems. The
method is applied to solve the economic dispatch ED problem, a classical quadratic problem
studied in the field of electrical power systems. The results obtained with the proposed
method are compared with those obtained by several others described in the literature
for solving ED problems, such as the primal-dual method described in 6, evolutionary
algorithms found in 25–27, genetic and coevolutionary genetic algorithms described by
Samed in 27, the cultural algorithm described by Rodrigues in 26, and a hybrid atavistic
genetic algorithm given in 25. This comparative investigation demonstrates the efficiency
of the proposed IPLS method.
This paper is organized as follows: Section 2 presents the ED problem; Section 3
develops the theory of the proposed IPLS method and presents its algorithm; Section 4
describes a computational implementation of the method, applying it to solve ED problems.
This section also includes a postoptimization analysis. Finally, conclusions are drawn in
Section 5.

2. The Economic Dispatch Problem

The economic dispatch problem ED is defined as an optimal allocation process of electricity
demands among available generating units, where operational constraints must be satisfied
while minimizing generation costs. Happ reported in 28 that, by 1920, several engineers
had become aware of the economic allocation problem. According to the aforementioned
author, one of the first methods employed to solve the ED problem was to request power
from the most efficient unit the merit order loading method. This method was based on the
following idea: the next incremental active power was to be supplied by the most efficient
plant, until it reached its maximum operational point, and so on, successively. Although this
method failed to minimize costs, it was employed until 1930, when the equal incremental cost
criterion began to produce better results.
The idea behind the method of incremental costs is that the next incremental
system load increase should be allocated to the unit with the lowest incremental cost,
which is determined by measuring the derivative of the cost curve. Steinberg and Smith
mathematically proved in 29 the equal incremental costs criterion, which was already being
used empirically. Around 1931, this method had already become well established. In theory,
the method described by Steinberg and Smith in 29 also ensures that if there are no active
constraints at the point of optimal operation, the incremental costs of all units should be
equal. This rule is still widely used by power system operators today.
4 Mathematical Problems in Engineering

2.1. Optimization Model for the Classical Economic Dispatch Problem

The economic dispatch ED problem is concerned with minimizing active power production
costs while meeting the system demand and taking into account the operational limits of all
generating units. The ED problem is mathematically described in

n 
 
Minimize CT  Ci Pi   ai Pi2  bi Pi  ci
i1


n
2.1
subject to Pi  D
i1

Pimin ≤ Pi ≤ Pimax ; i  1, . . . , n,

where CT : total cost function for generating units, n: number of generating units, Ci Pi : cost
of generation unit i without considering the valve-point effect, ai , bi , ci : coefficient of the cost
function for generating unit i, Pi : power output of generating unit i, D: total power demand,
Pimin : minimum power output limit for generating unit i, and Pimax : maximum power output
limit for generating unit i.
The objective function in 2.1 may also represent the so-called valve-point effects, as
in 28, which are associated with the opening of pressure valves at some specific operating
points. In such cases, Ci Pi  is mathematically described as in

   
 
Ci Pi   ai Pi2  bi Pi  ci  ei sin fi Pimin − Pi . 2.2

The cost function Ci Pi  described in 2.2 is continuous but not differentiable.
Although it is more representative, function 2.2 makes ED a much more complex problem
to solve due to its characteristics of nondifferentiability.
The literature describes several different methodologies to solve ED problems. In those
studies, the methodology associated with evolutionary algorithms stands out, especially
when issues related to nondifferentiability such as those described in 2.2 are involved.
Evolutionary algorithms have been used to solve ED problems because they are able to find
optimal solutions even when the objective function and/or constraints are not continuous
or non-differentiable. Numerical problems related to evolutionary algorithms involve the
inability to verify the optimality conditions associated with the solutions obtained and also
the computational effort necessary to obtain the solutions, especially for large systems.
Optimal solutions to ED problems have also been investigated through traditional
nonlinear programming methods, including interior point methods 6, 23, 30. This paper
proposes a predictor-corrector primal-dual interior point method for solving ED problems,
which incorporates line search procedures in both the predictor and corrector steps. The
results presented here demonstrate that the proposed method improves the solution of ED
problems. The following section examines the application of the primal-dual interior point
method to solve quadratic programming problems.
Mathematical Problems in Engineering 5

3. Solution Technique for the Quadratic Programming Problem

Quadratic programming problems QPPs represent a special class of nonlinear program-
ming in which the objective function is quadratic and the constraints are linear 31. The
problem is expressed mathematically by

1 T
Minimize x Qx  cT x
2
subject to Ax  b 3.1

l ≤ x ≤ u,

where A ∈ m×n so that rankA  n, b ∈ m , x ∈ n , c ∈ n , u ∈ n , l ∈ n , and Q ∈ n×n

is a diagonal matrix. Problem 3.1 is equivalent to 3.2, where z ∈ n is a slack variable and
r ∈ n is a surplus variable:

1 T
Minimize x Qx  cT x
2
subject to Ax  b
3.2
x  z  u; z≥0

x − r  l; r ≥ 0.

For μ > 0, it is possible to incorporate a logarithmic barrier function to the objective

function of 3.2 and eliminate inequality constraints. This procedure results in the following
nonlinear optimization problem:

1 T n n
Minimize Fμ x, r, z  x Qx  cT x − μ ln rj − μ ln zj
2 j1 j1

subject to Ax  b 3.3
xzu

x − r  l.

The Lagrangian function related to 3.3 is expressed by

  1
Lμ x, r, z, w, s, y  xT Qx  cT x  wT b − Ax  sT l − x  r  yT x  z − u
2

n 
n 3.4
−μ ln sj − μ ln yj ,
j1 j1
6 Mathematical Problems in Engineering

where the dual variables associated with the three equality constraints in 3.3 are,
respectively, w ∈ m , y ∈ n , s ∈ n . The optimal Karush-Kuhn-Tucker KKT conditions
for problem 3.1 are depicted in

∂Lμ
 0 ⇐⇒ − Qx − c  AT w  s − y  0,
∂x
∂Lμ
 0 ⇐⇒ Ax  b,
∂w

∂Lμ
 0 ⇐⇒ x  z  u,
∂y

3.5
∂Lμ
 0 ⇐⇒ x − r  l,
∂s

∂Lμ
 0 ⇐⇒ ZY e − μe  0,
∂z

∂Lμ
 0 ⇐⇒ RSe − μe  0,
∂r

where R, Z, S and Y are diagonal matrices whose diagonal elements are ri , zi , si , and yi ; i 
1, . . . , n, respectively; e  1, . . . , 1T ; μ is a dual metric or adjustment parameter for the curve
defined by the central trajectory path-following parameter. The set Ω0 given in 3.6 is
defined to simplify to notation. This set describes interior points for problem 3.2 and its
corresponding dual problem:

 
Ω0  x, w, z, r, y, s ⊥ − Qx  AT w  s − y  c,
3.6
 
Ax  b, x  z  u, x − r  l, z, r, y, s > 0 .

Equations 3.4, 3.5, and 3.6 are considered in the following sections to perform the
analysis of important issues concerning the proposed IPLS method, such as search directions,
step sizes, stopping criteria, and updating of the barrier parameter.

3.1. Search Directions

In this section, the search directions used in the proposed IPLS method are investigated.
In Section 3.2, the search directions for the predictor step are calculated while the search
directions for the corrector step are determined in Section 3.3. The proposed strategy is a
variant of the approach developed by Wu et al. in 23.
Mathematical Problems in Engineering 7

3.2. Search Directions—Predictor Step

Let us suppose that, in an iteration k, a point hk satisfies the primal and dual feasibility
conditions expressed by 3.5. In this case, the definition of the new point hk1 depends solely
on the calculation of a search direction and on a step size in such a direction. Disregarding
the step size in the iteration k  1, the new point hk1 is defined by the following equation:

⎛ ⎞ ⎛ ⎞
xk1 xk  dxk
⎜ k1 ⎟ ⎜ k ⎟
⎜ w ⎟ ⎜ w  dw k ⎟
⎜ ⎟ ⎜ ⎟
⎜ k1 ⎟ ⎜ k ⎟
⎜z ⎟ ⎜ z  dzk ⎟
⎜ ⎟ ⎜ ⎟
hk1 ⎜ ⎟⎜ ⎟. 3.7
⎜ r k1 ⎟ ⎜ r k  dk ⎟
⎜ ⎟ ⎜ r ⎟
⎜ ⎟ ⎜ ⎟
⎜ yk1 ⎟ ⎜ yk  dk ⎟
⎝ ⎠ ⎝ y ⎠

sk1 sk  dsk

Therefore, it is necessary to determine the direction of the movement dk to obtain the

new point hk1 . Following the steps in the Newton method applied to the nonlinear system
3.5, dk can be obtained by solving for the system 3.8, which is equivalent to 3.9:

   
J hk dk  −F hk , 3.8

⎛ ⎞⎛ ⎞ ⎛ ⎞
A 0 0 0 0 0 dxk tk
⎜ ⎟⎜ k ⎟ ⎜ k ⎟
⎜−Q AT 0 0 −I I ⎟ ⎜ ⎟ ⎜ ⎟
⎜ ⎟ ⎜ dw ⎟ ⎜ g ⎟
⎜ ⎟⎜ k ⎟ ⎜ k ⎟
⎜ I 0 I 0 0 0⎟ ⎜ ⎟ ⎜ ⎟
⎜ ⎟ ⎜ dz ⎟ ⎜ f ⎟
⎜ ⎟⎜ k ⎟  ⎜ k ⎟, 3.9
⎜ I 0 0 −I 0 0 ⎟ ⎜ ⎟ ⎜ ⎟
⎜ ⎟ ⎜ dr ⎟ ⎜ o ⎟
⎜ ⎟⎜ ⎟ ⎜ ⎟
⎜ 0 0 Y 0 Z 0⎟ ⎜ k ⎟ ⎜ k⎟
⎝ ⎠ ⎝ dy ⎠ ⎝ q ⎠
0 0 0 S 0 R dsk vk

where the residuals of 3.9 for the predictor step are expressed as in

tk  b − Axk ; g k  Qxk  c − AT wk − sk  yk ; f k  u − xk − zk ;
3.10
ok  l − xk  r k ; qk  μk e − Zk Yk e; vk  μk e − Rk Sk e; e  1, 1, . . . , 1T .
8 Mathematical Problems in Engineering

The directions dxk , dwk

, dzk , drk , dyk , dsk to be determined in the predictor step use the
residuals defined in 3.10, resulting in 3.11–3.16, as follows:

Adxk  tk , 3.11

−Qdxk  AT dw
k
 dsk − dyk  g k , 3.12

dxk  dzk  f k , 3.13

dxk − drk  ok , 3.14

Yk dzk  Zk dyk  qk , 3.15

Sk drk  Rk dsk  vk . 3.16

From 3.13 and 3.14, we obtain 3.17 and 3.18, respectively:

dzk  −dxk  f k , 3.17

drk  dxk − ok . 3.18

Isolating dyk and dsk in 3.15 and 3.16, respectively, leads to 3.19 and 3.20, as
follows:
 
dyk  Zk−1 qk − Yk dzk , 3.19
 
dsk  R−1
k v k
− S k d k
r . 3.20

Combining the results found in 3.17, 3.18, 3.19, and 3.20 with those given in
3.11–3.16, and considering 3.21, yields the directions 3.22 and 3.23:

 −1
θ  R−1
k S k  Zk
−1
Y k  Q , 3.21
 −1    
k
dw  AθAT Aθ g k  pk  tk , 3.22
 
dxk  θ AT dw
k
− g k − pk , 3.23

where
   
pk  R−1
k Sk o −v
k k
 Zk−1 qk −Yk f k . 3.24

Note that, after calculating 3.23, the remaining components of the direction vector
dzk , drk , dyk , and dsk in 3.17, 3.18, 3.19, and 3.20, respectively, are easily calculated. Since
matrix AθAT is symmetrical and positive definite in 3.22 considering that Q is symmetrical
k
and positive definite, dw can be determined by using the Cholesky decomposition.
Mathematical Problems in Engineering 9

3.3. Search Directions—Corrector Step

Analogously to the procedure carried out in Section 3.2, this section describes the calculation
of the search direction for the corrector step dk , which is obtained by solving the linear system
3.25, as follows:

   
J hk dk  −F hk , 3.25

 k  is obtained by considering second-order approximations in the residuals 3.10

where Fh
calculated in the predictor step, so that 3.25 is equivalent to

⎛ ⎞⎛ dk ⎞ ⎛ k ⎞
A 0 0 0 0 0 x t
⎜ ⎟⎜⎜ 
⎟ ⎜ ⎟
⎟
⎜−Q AT I⎟ dw ⎟ ⎜
k k⎟
⎜ 0 0 −I ⎟⎜⎜ ⎟ ⎜g ⎟
⎜ ⎟⎜ k ⎟ ⎜ ⎟
⎜ I
⎜ 0 I 0 0 0⎟⎟⎜ dz ⎟ ⎜ fk ⎟
⎜ ⎟⎜ ⎟⎜
⎜ ⎟,
⎟
3.26
⎜ I ⎜ ⎟
⎜ 0 0 −I 0 ⎟ k ⎜
0 ⎟⎜ dr ⎟ ⎜ o ⎟ k
⎟
⎜ ⎟⎜⎜ k⎟ ⎜
⎟ ⎟
⎜ 0 0 Y 0 Z 0⎟ ⎜  ⎟ ⎜ qk ⎟
⎝ ⎠ ⎝ dy ⎠ ⎝ ⎠
0 0 0 S 0 R dk v k
s

where

tk  b − Axk ; g k  Qxk  c − AT wk − sk  yk ; fk  u − xk − zk ;

3.27
ok  l − xk  r k ; qk  μk e − Zk Yk e − Dzk Dyk e; v k  μk e − Rk Sk e − Dxk Dsk e,

Dxk , Dzk , Dyk and Dsk are diagonal matrices whose diagonal components are dxk i , dzk i , dyk i
and dsk i , i  1, . . . , n, respectively.
The calculation of the residuals tk , g k , f k , ok , qk , vk , described in 3.10, and of
t , g , fk , ok , qk , v k , described in 3.27, basically distinguishes the predictor and corrector
k k

steps in the proposed method. It is important to note that the corrector step procedure uses
direction values dxk , dzk , dyk , and dsk , which have already been calculated in the predictor step,
to redefine residuals qk and v k in 3.27. Using 3.25 and 3.26 and following the same steps
10 Mathematical Problems in Engineering

taken to determine the directions of the predictor step, as seen in Section 3.2, the components
of the direction vector dk can be calculated using the following:

 −1    
dw
k
 AθAT Aθ g k  pk  tk , 3.28
 
dxk  θ AT dw
k
− g k − pk , 3.29

dzk  −dxk  fk , 3.30

drk  dxk  ok , 3.31

 
dyk  Zk−1 qk − Yk dzk , 3.32
 
dsk  R−1
k 
v k
− S k
k ,
d r 3.33

where
   
pk  R−1 k − v k  Zk−1 qk − Yk fk ,
k Sk o 3.34

and θ is defined in 3.21.

3.4. Step Size

After calculating the search directions for the predictor and corrector steps, it is possible to
move to a new point xk1 , wk1 , zk1 , r k1 , yk1 , sk1 , while ensuring that sk1 > 0, zk1 > 0,
yk1 > 0 and r k1 > 0. In order to ensure nonnegativity constraints over the slack variables, the
step to be taken in each direction in both the predictor and corrector steps must be controlled.
The basics of this procedure are described in 31 and are discussed below.

3.4.1. Predictor Step Size

Considering the variables defined in the predictor step, the step size for primal and dual
variables is calculated as described below:

xk1  xk  αPk dxk , 3.35

r k1  r k  αPk drk , 3.36

zk1  zk  αPk dzk , 3.37

wk1  wk  αDk dw
k
, 3.38

yk1  yk  αDk dyk , 3.39

sk1  sk  αDk dsk . 3.40

Mathematical Problems in Engineering 11

The step size αPk for the primal variables is calculated through

 
αPk  Min αP , αQ , αLS , 3.41

where, for 0 < α < 1, the step sizes αP , αQ , αLS are determined as follows.

i The step size for primal variables αP is obtained without violating the nonnegativity
requirements of the primal variables:

 
αzki αrik
αP  Min − ,− such that dzki , drki <0 . 3.42
dzki drki

ii The step size αQ is the maximum step size possible without increasing the objective
value:

 t  
dxk Qxk  c
αQ  −  t  . 3.43
k k
dx Qdx

iii The step size αLS is determined as in 3.44 from the Fibonacci line search strategy,
which is briefly summarized as follows:

     
αLS  Min Fμ xk1 αk   Min Fμ xk  αk dxk , 3.44
αk αk

where Fμ is defined in 3.3.

For notation simplicity, in the summary of the Fibonacci search, the following
T
identities are defined: xk1 αLS   xk1 αLS , r k1 αLS , zk1 αLS   xk  αLS dxk , r k 
αLS drk , zk  αLS dzk T , and dxk  dxk , drk , dzk ; so that dxk is defined in 3.23, drk is defined in
3.18, and dzk is defined in 3.17. Only primal variables are considered in the Fibonacci
T
search algorithm used by the IPLS method. Starting at a point xk  xk , r k , zk  , the
algorithm searches a new point xk1 in direction dxk using the function Fμ defined in 3.3. The
Fibonacci method calculates αLS so that the minimization of Fμ is ensured. αLS is determined
considering the Fibonacci sequence. The initial value of αLS is set taking into account the
interval of uncertainty 0, 1.
The step size αDk for the dual variables 3.38–3.40 is calculated through 3.45 for
0 < α < 1:
 
αski αyik
αDk  Min 1, − ,− such that dski ; dyki <0 . 3.45
dski dyki
12 Mathematical Problems in Engineering

3.4.2. Corrector Step Size

In the corrector step, the calculation of step size is defined analogously, considering the
variables from the following

xk1  xk  βPk dxk , 3.46

r k1  r k  βPk drk , 3.47

zk1  zk  βPk dzk , 3.48

wk1  wk  βDk dw

k
, 3.49

yk1  yk  βDk dyk , 3.50

sk1  sk  βDk dyk , 3.51

where
 
βPk  Min βP , βQ , βLS , 3.52

while the step sizes βP , βQ , βLS are determined as follows.

i The step size for primal variables βP is obtained without violating the nonnegativity
requirements of the primal variables:

 
αzki αrik
βP  Min 1, − ,− k k
such that dzi , dri < 0 . 3.53
dzk i
drk i

ii The step size βQ is the maximum step size possible without increasing the objective
value:

 t  

dxk Qxk  c
βQ  −  t  . 3.54
dxk Qdxk

iii The step size βLS in 3.55 is determined from the Armijo line search:

βLS  βk , 3.55

so that
      T
Fμ xk1 βk ≤ Fμ xk  βk ∇Fμ xk dxk , 3.56
Mathematical Problems in Engineering 13
T
where xk1 βk   xk1 βk , r k1 βk , zk1 βk   xk  βk dxk , r k  βk drk , zk  βk dzk  ; dxk 
T

dk , dk , dk ; so that dk , dk , dk are defined in 3.29–3.31, respectively. In the proposed IPLS
x r z x r z
method, the Armijo search is also performed in the direction defined by primal variables.
Starting at a point xk  xk , r k , zk , the method searches for a new point xk1 , in direction dxk ,
so that the function Fμ defined in 3.3 decreases. This search calculates βLS , thereby ensuring
the reduction of Fμ . To prevent oscillations in the iterative process, the initial choice for βk
should not be too high, and to prevent the process from stopping prematurely, it should not
be too low. Therefore, this value is generally adjusted to β0  1. If 3.44 is not satisfied, βk is
updated using the following sequence:

βk
βk1  , k  0, 1, . . . , n; with δ > 1, usually set to δ  2. 3.57
δ

The following equation is used for the analysis of 3.56:

        T  T
∇Fμ xk  ∇Fμ xk , ∇Fμ r k , ∇Fμ zk  Qxk  c, − μk R−1
k e, − μ k Zk
−1
e 3.58

with μk determined as in Section 3.6.

The step size for dual variables βDk is calculated by 3.59, without violating the
nonnegativity requirements of the dual variables:

 
αski αyik
βDk  Min 1, − ,− k k
such that dsi ; dyi < 0 . 3.59
dsk dyk
i i

The general principle used here to calculate αPk and βPk is to choose a step size that
reduces the quadratic objective by a maximum amount without violating the nonnegativity
requirements of the primal variables.
The basic idea for defining the line searches in both the predictor and corrector steps is
to use a more accurate search for the predictor step which uses first order approximation to
calculate the residuals and a simpler search, albeit more robust, for the corrector step which
uses second-order approximation to calculate the residuals. Therefore, the Fibonacci search
is used in the predictor step, since it is more accurate, and provides the minimum value for
the objective function in the predefined direction; the Armijo search is used in the corrector
step because it is simpler and more robust.

3.5. Stopping Rules

Interior point algorithms do not find exact solutions for linear or quadratic programming
problems. Therefore, stopping rules are needed to decide when the solution obtained in a
current iteration is sufficiently close to the optimal solution. In this study, the stopping rules
are based on 32.
Many algorithms consider that a good approximate solution is the one that presents
sufficiently small values for primal and dual residuals tk , uk , and also for the dual metric μk .
Nevertheless, it is possible to use relative values for the metrics tk , uk , and μk in order to
14 Mathematical Problems in Engineering

reduce scaling problems, as described in 32. Typical stopping rules are shown in 3.60–
3.65, as follows:
i primal feasibility:

 k
t   
≤ ε1 predictor step , 3.60
b 1
 
k 
t   
≤ ε1 corrector step ; 3.61
b 1

ii dual feasibility:

 k
u   
  ≤ ε2 predictor step , 3.62
Qxk  c  1
 k
u   
  ≤ ε2 corrector step ; 3.63
Qx  c  1
k

iii complementary slackness:

     
 k  k
v  ≤ ε3 , q  ≤ ε3 predictor step 3.64
     
 k  k
v  ≤ ε3 ,
 q  ≤ ε3 corrector step , 3.65

where ε1 , ε2 , and ε3 are sufficiently small positive numbers. Eventually, other criteria can be
adopted according to the specific characteristics of each problem, as can be seen in 24, 32.

3.6. Update of the Barrier Parameter

According to 32, the barrier parameter is updated using an inner product that involves the
primal variables r k and zk , and the dual variables sk and yk , respectively, as shown in the
following equation

 k T k  T
r s zk yk 3.66
μ1k  ; μ2k  ,
n n

so that μk is calculated using the following equation


μk  Min σμ1k , σμ2k for a constant 0 < σ < 1, 3.67

where the parameter σ is used to accelerate the convergence of the iterative process. This
procedure for updating the barrier parameter proposed by Wright in 32 helps in the
theoretical convergence proof and also in the complexity analysis of primal-dual methods.
Mathematical Problems in Engineering 15

3.7. Algorithm for the Proposed IPLS Method

Step 1 initialisation. Adjust k  0. Choose an arbitrary point: x0 ; w0 ; z0 , y0 , r 0 , y0 , s0  ∈ Ω0
and choose ε1 , ε2 , and ε3 as sufficiently small positive numbers.

Step 2 intermediate calculations—predictor. Calculate: tk ; g k ; f k ; ok ; qk ; vk using 3.10, μk

using 3.67 and matrix θ using 3.21.

Step 3 finding directions of translation—predictor. Calculate search directions dxk , dw

k
, dzk ,
dr , dy , and ds for the predictor step using 3.17–3.24.
k k k

Step 4 computing step size—predictor. Calculate Fibonacci step sizes αPk and αDk using
3.41–3.44.

Step 5 moving to a new solution—predictor. Update xk1 ; wk1 ; sk1 ; yk1 ; zk1 ;r k1
obtained from the predictor step, according to 3.35–3.44.

Step 6 checking for optimality—predictor. If the criteria defined in 3.60, 3.62, and 3.64
are satisfied, stop. The solution is optimal. Otherwise, go on to the following step.

Step 7 intermediate calculations—corrector. Calculate: tk ; g k ; fk ; ok ; qk ; v k using 3.27, μk
using 3.67 and matrix θ using 3.21.

Step 8 finding directions of translation—corrector. Calculate dxk , dw

k k k k
, dz , dr , dy , and dsk , for
the corrector step using 3.28–3.33.

Step 9 computing step size—corrector. Calculate the Armijo step size βPk and βDk using
3.52–3.58.

Step 10 moving to a new solution—corrector. Update xk1 ; wk1 ; sk1 ; yk1 ; zk1 ; r k1 using
3.46–3.48.

Step 11 checking for optimality—corrector. If the criteria defined in 3.61, 3.63, and 3.65
are satisfied, stop. The solution is optimal. Otherwise, go on to the next step.

Step 12. Adjust k  k  1 and return to Step 2.

The predictor Steps 2 through Step 6 are held in odd iterations, while the corrector
Steps 7 through Step 11 are performed in even iterations. The next section describes numerical
simulations involving the application of the proposed method to ED problems.

4. Application of the Proposed Algorithm to Solve ED Problems

In this section, the proposed method is applied to solve three power systems with 3, 6, and
13 generators, respectively. Tables 1, 3, and 5 show the data related to the generating units
of the power systems. These data were extracted from 26, 27. The tables list the coefficients
of the cost function for each generating unit, as described in 2.1, and also minimum and
maximum power output limits.
Tables 2 and 3 present the results of the application of the proposed method to solve
the power system with 3 generators, while Tables 5 and 6 list the results for the system with
16 Mathematical Problems in Engineering

Table 1: Characteristics of the system with 3 generators.

Unit Pimin MW Pimax MW ai $/MW2  bi $/MW ci $

1 100 600 0,001562 7,92 561
2 50 200 0,004820 7,97 78
3 100 400 0,001940 7,85 310

6 generators, and Tables 8 and 9 depict the results for the system with 13 generators. These
tables compare the solutions obtained by the proposed IPLS method against those calculated
by the following methods: the predictor-corrector primal-dual PCPD method described in
6, the hybrid genetic algorithm HGA, the coevolutionary genetic algorithm COEGA, the
hybrid atavistic genetic algorithm HAGA and the cultural algorithm CA. The solutions
determined by the HGA and COEGA methods are available in 27, while the solutions
obtained with the CA method are described in 26, and those obtained with HAGA method
are given in 25, but only for the system comprising 13 generators.
The comparison between the IPLS method and the evolutionary approaches cited
above were introduced in this section because these are traditional methods used in power
system to solve ED problems, especially when a more general nondifferentiable objective
function as shown in 2.2 is used. However, it is important to highlight that these
evolutionary approaches are heuristic procedures, which provide only approximate solutions
to ED problems. When ED is formulated as a quadratic problem, it can be solved by means
of exact methods, such as the IPLS and PCPD method.
Therefore, to better evaluate the performance of proposed IPLS method, this method
has been compared to the PCPD method in Table 10. The results in Table 10 have the
main purpose to show the reduction in the computational effort when the IPLS method is
compared to the PCPD method. Both methods were implemented using Borland Pascal 7.0
programming language.

4.1. Power System with 3 Generators

The main characteristics of the system containing 3 generators are described in Table 1.
Parameters ai , bi , ci stand for the coefficients of the cost functions for the generators, while
Pimin , Pimax represent minimum and maximum power output capabilities, respectively, for
generating unit i.
The following values are adopted to initialise the method:

x0  450, 100, 300; w0  0, 0, 0; y0  0, 0, 0. 4.1

The parameters related to the system’s total demand are set at D  850 MW and the
active power losses are neglected. The values adopted for ε1 , ε2 , and ε3 are 10−8 .
Table 2 shows the active power output calculated by the methods. The results for the
HAGA algorithm are not presented in this case study. Table 3 compares optimal values for
the objective functions obtained by each method. From the results presented in this table, it
is clear that the dispatches calculated by all the types of genetic algorithms cannot reach the
global optimum dispatch attained by the interior point methods PCPD and IPLS. As Table 3
indicates, the cost calculated by the IPLS and PCPD methods is lower than that obtained by
Mathematical Problems in Engineering 17

Table 2: Comparison of the power generation outputs obtained for the system with 3 generators.

Power output HGA COEGA PCPD IPLS

P1 MW 470,8421 344,7295 393,1698 393,1698
P2 MW 109,4012 193,9445 122,2264 122,2264
P3 MW 269,7567 311,3260 334,6038 334,6038
ΣPi MW 850,0000 850,0000 850,000 850,000

Table 3: Characteristics of the system with 3 generators.

Results Generation costs $

HGA 8.212,73
COEGA 8.223,86
PCPD 8.194,36
IPLS 8.194,36

Table 4: Characteristics of the system with 6 generators.

Unit PiMin MW PiMax MW ai $/MW2  bi $/MW ci $

1 10 125 0,15247 38,53973 756,79886
2 10 150 0,10587 46,15916 451,3251
3 35 225 0,02803 40,39655 1049,9977
4 35 210 0,03546 38,30533 1243,5311
5 130 325 0,02111 36,32782 1658,5696
6 125 315 0,01799 38,24041 1356,6592

the HGA and COEGA methods. As already discussed, this is an expected result, since the
evolutionary approaches provide only approximate solution to the problem.

4.2. Power System with 6 Generators

Table 4 describes the main characteristics of the system containing 6 generators.
As in the previous case study, the parameters ai , bi , ci stand for the coefficients of the
cost functions for the generating unit I, while Pimin , Pimax represent minimum and maximum
power output capabilities, respectively, for the generating unit i.
The following values are adopted to initialise the method:

x0  20, 30, 75, 75, 145, 155; w0  0, 0, 0, 0, 0, 0; y0  1, 1, 1, 1, 1, 1. 4.2

The parameters related to the system’s total demand are set at D  500 MW and the
active power losses are neglected. The values adopted for ε1 , ε2 , and ε3 are 10−8 .
Table 5 shows the active power dispatch calculated by the methods. The solutions
for COEGA and HAGA algorithms were not presented by their authors. Table 6 compares
optimal values for the objective function obtained by each method. Again, as expected, the
costs calculated by the IPLS and PCPD methods are lower than those obtained by the HGA
method.
18 Mathematical Problems in Engineering

Table 5: Comparison of the power generation outputs obtained for the system with 6 generators.

Generated power HGA PCPD IPLS

P1 MW 20,1367 17,36596 17,36596
P2 MW 14,8645 10,00000 10,00000
P3 MW 72,4008 61,340667 61,340667
P4 MW 72,4008 77,97487 77,97487
P5 MW 180,0617 177,81828 177,81828
P6 MW 139,5865 155,500216 155,500216
ΣPi MW 500,0000 500,0000 500,0000

Table 6: Values of the objective function for the system with 6 generators.

Results Generation cost $

HGA 27.037,29
PCPD 27.003,50
IPLS 27.003,50

Table 7: Characteristics of the system with 13 generators.

Unit PiMin MW PiMax MW ai $/MW2  bi $/MW ci $

1 0 680 0,00028 8,1 550
2 0 360 0,00056 8,1 309
3 0 360 0,00056 8,1 307
4 60 180 0,00324 7,74 240
5 60 180 0,00324 7,74 240
6 60 180 0,00324 7,74 240
7 60 180 0,00324 7,74 240
8 60 180 0,00324 7,74 240
9 60 180 0,00324 7,74 240
10 40 120 0,00284 8,6 126
11 40 120 0,00284 8,6 126
12 55 120 0,00284 8,6 126
13 55 120 0,00284 8,6 126

4.3. Power System with 13 Generators

Table 7 describes the main characteristics of the system containing 13 generators.
The parameters in this table are analogous to those described in the preceding case
studies. The following values are adopted to initialise the method:

x0  660, 320, 330, 150, 140, 155, 165, 150, 140, 70, 80, 75, 85;

w0  0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0; 4.3

y0  30, 30, 30, 30, 30, 30, 30, 30, 30, 30, 30, 30, 30.

The parameters related to the system’s total demand are set at D  2520 MW and the
active power losses are neglected. The values adopted for ε1 , ε2 , and ε3 are 10−8 .
Mathematical Problems in Engineering 19

Table 8: Comparison of the power generation outputs obtained for the system with 13 generators.

Power output HGA COEGA CA PCPD IPLS

P1 651,145 735,626 679,2551 680,0000 680,0000
P2 319,982 337,495 359,8672 360,0000 360,0000
P3 320,463 292,625 357,2368 360,0000 360,0000
P4 137,776 146,713 154,8137 155,0000 155,0000
P5 156,688 177,346 158,0946 155,0000 155,0000
P6 147,007 131,552 155,8520 155,0000 155,0000
P7 159,165 154,197 146,1697 155,0000 155,0000
P8 145,378 159,550 146,8364 155,0000 155,0000
P9 151,551 167,339 168,7979 155,0000 155,0000
P10 82,259 60,677 40,0181 40,0000 40,0000
P11 86,320 74,681 40,0000 40,0000 40,0000
P12 82,893 56,537 55,0175 55,0000 55,0000
P13 79,368 25,655 55,0488 55,0000 55,0000
ΣPi MW 2.520,00 2.520,00 2.520,00 2.520,00 2.520,00

Table 9: Values of the objective function for the system with 13 generators.

Results Generation cost $

HGA 24.111,69
COEGA 24.072,03
HAGA 24.052,34
CA 24.052,10
PCPD 24.050,08
IPLS 24.050,08

Table 8 lists the power generation outputs obtained by the methods. The values of
the dispatch calculated by the HAGA are not given by 25, who provided only the optimal
value for the objective function. Once more, as Table 9 indicates, the total cost calculated by
the PCPD and IPLS methods is lower than that calculated by all the others, although CA and
HAGA approaches get close to the optimal solution point.

4.4. Performance of the Interior Point Methods Tested

This section evaluates the computational effort of the interior point methods tested here
PCPD and IPLS, measuring it in terms of the number of iterations required to obtain
the optimal solution. To this end, Table 10 shows the number of iterations obtained by the
solution algorithms of each method for the previously studied systems. It is important to
highlight that the same parameter settings were used for the two methods.
Computational tests were carried out in an Intel Corel Quad Q9550, with 3.5 GB of
RAM memory, in order to calculate and compare the CPU times between the proposed IPLS
method and the PCPD method. For such a purpose, we utilized the specific unit GET TIME
from Borland Pascal 7.0. The precision of this unit is up to milliseconds. The computational
times calculated by this unit for the power systems tested which include the systems with
3, 6, and 13 generators were all null for both, the proposed method, and the PCPD method.
This occurred due to the efficiency of the machine processor and also due to the efficiency of
20 Mathematical Problems in Engineering

Table 10: Number of iterations for the PCPD and IPLS methods.
Simulated system PCPD IPLS
3 generating units 26 12
6 generating units 22 15
13 generating units 23 17

both methods tested. Therefore, the efficiency of the methods is compared only in terms of
number of iterations, as described in Table 10.
The basic difference between the PCPD and IPLS algorithms is that line searches
are incorporated in the corrector and predictor steps of the IPLS method. Therefore, these
results demonstrate that the introduction of line searches in the IPLS method greatly reduces
the number of iterations required to solve ED problems. Since line searches represent only
a minor additional computational effort in the overall process of finding a solution, the
computational effort for solving ED problems is significantly improved by the proposed IPLS
method.

4.5. Postoptimization Analysis: Incremental Costs

This section conducts a postoptimization analysis to evaluate the optimality conditions of the
solutions obtained in the previous section for the systems in question. The purpose of this
analysis is to evaluate the complete picture concerning optimal solutions for ED problems.
The classical ED problem 2.1 can be rewritten as follows:

Minimize CT

n
subject to Pi  D 4.4
i1

Pi ∈ S,


where S  {Pi ∈  ⊥ Pi − Pimin ≥ 0 and Pimax − Pi ≥ 0, i  1 . . . , n}, and CT  ni1 Ci Pi  
ai Pi2  bi Pi  ci .
Problem 4.4 is subsequently used for the postoptimization analysis of the solutions
obtained by the systems studied in the previous section.

4.6. The Lagrangian Function and KKT Conditions

Considering ED as redefined in 4.4, one finds the following associated Lagrangian function:

 
  
n 
n   
n
 
L Pi , w, si , yi  CT Pi   w D − Pi  si Pimin − Pi  yi Pi − Pimax , 4.5
i1 i1 i1
Mathematical Problems in Engineering 21

where w ∈ , si ∈ , and yi ∈ , i  1, . . . , n, are the associated Lagrange multipliers. The

KKT conditions associated with the Lagrangian function 4.5 are expressed through


n
D− Pi  0, 4.6
i1
 
Pi − Pimin ≥ 0; si Pi − Pimin  0; i  1, . . . , n, 4.7
 
Pimax − Pi ≥ 0; yi Pimax − Pi  0; i  1, . . . , n, 4.8

λi Pi  − w − si  yi  0; i  1, . . . , n, 4.9

where

∂Ci Pi 
λi Pi    2ai Pi  bi ; i  1, . . . , n. 4.10
∂Pi

In the literature on power systems, the Lagrange multiplier w is called energy price
i.e., the price of 1 MWh, while λi Pi  is called incremental or marginal cost of generating
unit i. Using expression 4.9, the energy price can be calculated by

w  λi Pi  − si  yi ; i  1, . . . , n. 4.11

4.7. Energy Prices and Incremental Costs Using KKT Conditions

If the optimal solution provided by the IPLS method satisfies the KKT conditions, then
there are four possible combinations for analysing prices and incremental costs, which are
examined below.

4.7.1. No Active Constraint

In this case there is no active constraint in the optimal solution of problem 4.4, so that s∗i  0,
yi∗  0; i  1, . . . , n. Thus, from 4.11, one reaches

 
w  λ∗i Pi∗ ; i  1, . . . , n, 4.12

that is, the energy price is equal to the incremental marginal costs for all the generating
units. This situation corresponds to the rule commonly used by power system operators,
which states that all marginal costs are equal. It is important to emphasize that this rule is
valid only for this case and should, therefore, be used cautiously.

4.7.2. Active Constraints for Maximum Power Output Limit

In this case, some generating units are dispatched in their maximum power output
capabilities, so that the constraints associated with maximum power output capabilities are
22 Mathematical Problems in Engineering

active in the optimal solution of 4.4. To analyse this case, let the set Ωmax be defined with
the indices of the generating units that have been optimally dispatched in their maximum
power output. In this situation, s∗i  0 for i  1, . . . , n, yj∗ > 0 for j ∈ Ωmax , and yj∗  0 for
j∈/ Ωmax . Starting from 4.11, one reaches

 
w  λ∗j Pj∗  yj∗ ; j ∈ Ωmax ,
  4.13
w  λ∗j Pj∗ ; j∈
/ Ωmax .

Based on 4.13, it is possible to show that the marginal costs for the group of
generating units that belong to Ωmax are lower than the marginal costs for the group that
does not belong to Ωmax , since yj∗ > 0; j ∈ Ωmax .

4.7.3. Active Constraints for Minimum Power Output Limit

In this case, some generating units are dispatched in their minimum power output
capabilities, so that the constraints associated with minimum power output capabilities are
active in the optimal solution of 4.4. To analyse this case, let the set Ωmin be defined with the
indices of the generating units that have been optimally dispatched in their minimum power
output. In this situation, yi∗  0 for i  1, . . . , n, s∗j > 0 for j ∈ Ωmin , and s∗j  0 for j ∈
/ Ωmin .
Thus, using 4.11, one reaches

 
w  λ∗j Pj∗ − s∗j ; j ∈ Ωmin ,
  4.14
w  λ∗j Pj∗ ; j∈
/ Ωmin .

Based on 4.14, it can be shown that the marginal costs for the group of generating
units that belong to Ωmin are higher than the marginal costs for the group that does not belong
to Ωmin , since s∗j > 0; j ∈ Ωmin .

4.7.4. Active Constraints for Both Minimum and Maximum Power Output Capabilities
In this case, some generating units are dispatched in their upper limits, while others are
dispatched in their lower limits, or at some other operational point between their upper and
lower limits. Obviously, the same unit cannot simultaneously assume lower and upper limits.
The comments made in the preceding sections concerning marginal costs for the generating
units that are dispatched in their lower or upper limits also apply to this case.

4.8. Results of Incremental Analyses for the Systems under Study

4.8.1. Case 1: Power System with 3 Generating Units
Table 2 describes the optimal dispatch, Pi∗ , i  1, . . . , n, calculated by the IPLS method for the
system with 3 generating units. As this table indicates, no generating unit has reached its
Mathematical Problems in Engineering 23

Table 11: Incremental analysis for the 3-generator system.

Unit λ∗i s∗i yi∗ w∗

1 9,14826 0 0 9,14826
2 9,14826 0 0
3 9,14826 0 0

Table 12: Incremental analysis of the 6-generator system.

Unit λ∗i s∗i yi∗ w

1 43,8449 0 0 43,8449
2 48,2765 4,43164 0
3 43,8449 0 0
4 43,8449 0 0
5 43,8449 0 0
6 43,8449 0 0

lower or upper limit, so there is no active constraint in the optimal solution. This situation
coincides with the one described in Section 4.7.1. The energy price, marginal costs, and
Lagrange multipliers are shown in Table 11 for this case. As described in Section 4.7.1, the
values obtained by the IPLS method for s∗i and yi∗ ; i  1, . . . , n are all zero. Also, the energy
price is equivalent to the marginal costs, which are all equal, as expected. These results are in
accordance with the theory described in Section 4.7.1.

4.8.2. Case 2: Power System with 6 Generating Units

Table 5 shows the optimal dispatch, Pi∗ , i  1, . . . , n, calculated by the IPLS method for
the system with 6 generating units. As can be seen in this table, the generating unit 2 has
reached its lower limit, so the optimal solution has one active constraint. This situation
coincides with the one described in Section 4.7.3. Table 12 lists the energy price, marginal
costs, and Lagrange multipliers calculated by the IPLS method for this case. As described in
Section 4.7.3, the values obtained by the IPLS method for s∗i and yi∗ ; i  1, . . . , n are all zero
except for the value of s∗2 , which is associated with the constraint for lower output capabilities
at unit 2. Except for unit 2, all the marginal costs are equal to the energy price. These results
are in accordance with the theory described Section 4.7.3 and also with 4.14.

4.8.3. Case 3: Power System with 13 Generating Units

Table 8 shows the optimal dispatch, Pi∗ , i  1, . . . , n, calculated by the IPLS method for
the system with 13 generating units. Table 13 lists the energy price, marginal costs, and
Lagrange multipliers calculated by the IPLS method. As the latter table indicates, generated
units 1, 2, and 3 have reached their upper limits, and generated units 10, 11, 12, and 13
have reached their lower limits, indicating that there are 6 active constraints in the optimal
solution calculated by the IPLS method. This situation coincides with the one described in
Section 4.7.4. As described previously, the values obtained by the IPLS method for s∗i and yi∗ ;
i  1, . . . , n are zero except for the values of y1∗ , y2∗ , y3∗ , which are associated with upper
output capabilities, and also for s∗10 , s∗11 , s∗12 , s∗13 , which are associated with lower output
24 Mathematical Problems in Engineering

Table 13: Incremental analysis for the 13-generator system.

Unit λ∗i s∗i yi∗ w

1 8,4807 0 0,2635 8,7443
2 8,5031 0 0,2411
3 8,5031 0 0,2411
4 8,7443 0 0
5 8,7443 0 0
6 8,7443 0 0
7 8,7443 0 0
8 8,7443 0 0
9 8,7443 0 0
10 8,8272 0,0828 0
11 8,8272 0,0828 0
12 8,9124 0,1680 0
13 8,9124 0,1680 0

capabilities. The marginal costs for all the remaining units 4, 5, 6, 7, 8, and 9 are equal to the
energy price. These results are in accordance with the theory described in Sections 4.7.2 and
4.7.3 and also with 4.13 and 4.14.
As expected, in all the cases analysed in Tables 11, 12, and 13, the value of the
generation cost w  λ∗i − s∗i  yi∗ was determined univocally, which proves the equal
incremental cost criterion 29.
The analysed results indicate that the dispatches Pi∗ , i  1, . . . , n calculated,
respectively, in Tables 2, 5, and 8 and the results for λ∗i , w, s∗i , and yi∗ determined, respectively,
in Tables 11, 12, and 13, satisfy the complementary slackness conditions set forth in 4.7 and
4.8.

5. Conclusions
This paper proposes a predictor-corrector primal-dual interior point method which
introduces line search procedures IPLS in both the predictor and corrector steps. The
Fibonacci search is used in the predictor step, while an Armijo search is used in the corrector
step. The method is developed for application to the economic dispatch ED problem, which
is an example of a quadratic programming problem studied in the field of power systems
analysis. ED problems have already been solved through primal-dual interior point methods,
although the strategy adopted here to solve the problem has not yet been tested.
The proposed algorithm is applied to solve ED problems in case studies involving
systems with 3, 6, and 13 generating units. The results provided by the proposed IPLS method
are compared to those provided by several other methods described in the literature, such as
the predictor-corrector primal-dual PCPD interior point method, hybrid genetic algorithm,
coevolutionary genetic algorithm, hybrid atavistic genetic algorithm, and cultural algorithm.
The dispatches calculated by all the types of genetic algorithms could not reach the global
optimal dispatch attained by the interior point methods PCPD and IPLS.
The computational effort of the interior point methods tested PCPD and IPLS was
evaluated and measured in terms of the number of iterations required to find the optimal
solution. The results indicate that the introduction of line searches in the IPLS method
Mathematical Problems in Engineering 25

considerably reduces the number of iterations required for solving ED problems. Line
searches pose represent only a minor additional computational effort in the overall process
of finding a solution; hence, the computational effort for solving ED problems is also greatly
improved by the proposed IPLS method.
A theory for performing a postoptimization analysis was also analysed. This theory
highlights the relation among energy prices, incremental generation costs, and other
Lagrange multipliers. This mathematical relation is used to validate optimal solutions for
ED problems calculated by the IPLS method.
Further research could involve the representation of the so-called valve point loading
in the objective function of ED problems. In that case, the nondifferentiability of the objective
function should be treated appropriately.

Acknowledgment
The authors are grateful for the financial support of FAPESP and CNPq Brazil.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 953848, 11 pages
doi:10.1155/2012/953848

Research Article
Applying Hierarchical Bayesian Neural Network in
Failure Time Prediction

Ling-Jing Kao1 and Hsin-Fen Chen2

1
Department of Business Management, National Taipei University of Technology, 10608, Taiwan
2
Graduate Institute of Industrial and Business Management, National Taipei University of Technology,
10608, Taiwan

Correspondence should be addressed to Ling-Jing Kao, [email protected]

Received 31 December 2011; Accepted 21 February 2012

Academic Editor: Jung-Fa Tsai

Copyright q 2012 L.-J. Kao and H.-F. Chen. This is an open access article distributed under
the Creative Commons Attribution License, which permits unrestricted use, distribution, and
reproduction in any medium, provided the original work is properly cited.

With the rapid technology development and improvement, the product failure time prediction
becomes an even harder task because only few failures in the product life tests are recorded.
The classical statistical model relies on the asymptotic theory and cannot guarantee that the
estimator has the finite sample property. To solve this problem, we apply the hierarchical Bayesian
neural network HBNN approach to predict the failure time and utilize the Gibbs sampler of
Markov chain Monte Carlo MCMC to estimate model parameters. In this proposed method, the
hierarchical structure is specified to study the heterogeneity among products. Engineers can use
the heterogeneity estimates to identify the causes of the quality differences and further enhance the
product quality. In order to demonstrate the effectiveness of the proposed hierarchical Bayesian
neural network model, the prediction performance of the proposed model is evaluated using
multiple performance measurement criteria. Sensitivity analysis of the proposed model is also
conducted using different number of hidden nodes and training sample sizes. The result shows
that HBNN can provide not only the predictive distribution but also the heterogeneous parameter
estimates for each path.

1. Introduction
In this high technology era, the society operations highly depend on various machinery
and equipments. Once the machinery or equipment is broken down, enormous trouble and
economics cost will be brought to the entire society. To enhance the product reliability,
the methodologies to assess product reliability have received much discussion in both
academics and industries. Among several mature techniques, degradation testing provides
an efficient way for reliability assessment when product quality is associated with a time-
varying degradation process. Typically, degradation measures can provide more reliability
information, particularly in modeling the failure-causing mechanism, than time-to-failure
data in few or no failure situation.
2 Mathematical Problems in Engineering

Predicting the remaining lifetime of a product is also an important issue in quality

control. For example, knowing the remaining equipment lifetime can help in optimizing the
machine maintenance schedule. The equipment lifetime is traditionally studied by fitting
a statistical probability distribution, and most of these statistical models are constructed to
study various degradation processes of a product. Examples include Lu and Meeker 1, Lu
et al. 2, and Meeker and Hamada 3. The method of stochastic processes is the alternative
used to study the degradation data. Examples can be found in Doksum and Hoyland 4.
Most of above methods emphasize on parameter estimations or the process of
hypothesis testing. Under the assumption that data follows a certain probability distribution,
the statistical inference is made based on the asymptotic theory. The statistical inferences
based on the asymptotic theory are valid only if the sample size is large or close to infinite.
When the sample information is small or when the discrete data are provided, the finite
sample property of the estimation based on the asymptotic theory is not held. Therefore,
nonparametric or semiparametric statistics have been proposed to perform the reliability
prediction. However, these statistical methods are far from perfect because the overfitting
problem usually leads to inaccurate parameter estimates.
Due to the data limitations and the drawbacks of classical statistics approaches,
Bayesian approach provides the solution from a different perspective. Unlike these
frequentist’s approaches which consider the data random and the test statistics or estimators
are investigated over imaginary samples fy | θ, Bayesian approach regards the sampling
distribution irrelevant to the statistical inferences because it considers events that have
not occurred yet. Bayesian inference is conducted using Bayes theorem in which posterior
distribution is defined by the likelihood function which contains sample information times
the prior distribution of parameter of the interest. Since Bayeisan inference follows the formal
rules of probability theory, Bayes estimators are consistent, asymptotically efficient, and
admissible under mild conditions. The detail discussion of Bayesian approach can be found
in Bernardo and Smith 5, Gelman et al. 6, Robert and Casella 7, and Liu 8.
Lately Bayesian has been applied in the fatigue crack growth prediction in the
literature. For example, Zheng and Ellingwood 9 generalize a stochastic fatigue crack
growth model by incorporating a time-dependent noise term described by arbitrary marginal
distributions and autocorrelations to model the uncertainty in the crack growth under
constant amplitude loading. Zhang and Mahadevan 10 propose a Bayesian procedure to
quantify the uncertainty in mechanical and statistical model selection and the uncertainty
in distribution parameters. The procedure is applied to a fatigue reliability problem, with
the combination of two competing crack growth models and considering the uncertainty in
the statistical distribution parameters for each model. Akama 11 performs the Bayesian
analysis to estimate an appropriate value of the uncertain propagation rate of cracks that can
be initiated at the wheel seat of a Shinkansen vehicle axle.
Neural network NN is the other popular prediction method. Neural network is
a computer-intensive, algorithmic procedure for transforming inputs into desired outputs
using highly inter-connected networks of relatively simple processing elements often termed
neurons, units, or nodes; we will use nodes thereafter. Neural networks are modeled
following the neural activity in the human brain. The essential features of a neural network
are the nodes, the network architecture describing the connections between the nodes, and the
training algorithm used to find values of the network parameters weights for a particular
network. The nodes are connected to one another in the sense that the output from one node
can be served as the inputs to other nodes. Each node transforms an input to an output using
some specified function that is typically monotone, but otherwise arbitrary. This function
Mathematical Problems in Engineering 3

depends on parameters whose values must be determined with a training set of inputs and
outputs. Network architecture is the organization of nodes and the types of connections
permitted. The nodes are arranged in a series of layers with connections between nodes in
different layers, but not between nodes in the same layer.
Several researchers also integrate neural network algorithm with Bayesian theory,
which has been known as Bayesian neural network, in prediction. For examples, Neal 12
applied Hybrid Markov chain Monte Carlo MCMC numerical integration techniques for
the implementation of Bayesian procedures. Müller and Rios Insua 13 proposed a MCMC
scheme based on a static or dynamic number of hidden nodes. In their subsequent paper,
they have extended their research results by releasing the constraint of number of hidden
nodes 13. Also, Holmes and Mallick 14 used Bayesian neural network modeling in the
regression context.
In this paper, we conduct a hierarchical Bayesian neural network analysis with MCMC
estimation procedure in the failure time prediction problem. Here, hierarchy means that the
coefficients in our constructed HBNN model are specified by random effect distributions.
We attempt to use this hierarchical structure to determine if the heterogeneity exists among
paths. The advantage of proposed HBNN model cannot only provide a better failure time
prediction by incorporating the heterogeneity of components and autocorrelated structure
of error term but also provide a predictive distribution for the target value. Different from
previous research, the proposed HBNN model can successfully offer the full information of
parameter estimation and covariance structure. Engineers can use the heterogeneity estimates
to identify the causes of the quality differences and further enhance the product quality.
The data of the fatigue crack growth from Bogdanoff and Kozin 15 is used to
illustrate the proposed model. To demonstrate the effectiveness of the proposed model, the
prediction performance of the proposed model is evaluated using multiple performance
measurement criteria. Sensitivity evaluation of the proposed model is also conducted using
different number of hidden nodes and training sample sizes. The result shows that HBNN can
provide not only the predictive distribution but also the heterogeneous parameter estimates
for each path.
The rest of this paper is organized as follows: Section 2 introduces the proposed HBNN
model for failure time prediction. In Section 3, the fatigue crack growth data from Bogdanoff
and Kozin 15 is illustrated, and the model estimation procedure is provided. Failure time
prediction and sensitivity analysis are demonstrated in Section 4. Concluding remarks are
offered in Section 5.

2. HBNN Model for Failure Time Prediction

To model failure time, we adapted the growth-curve equation used by Liski and Nummi 16
as follows:


M
ti,j  βi,m0 βi,m Γi,m,j εi,j ,
m1 2.1
  
Γi,m,j  ψ i,k0,m i,k1,m yi,j i,k2,m ln yi,j ,

where yi,j is the jth crack length of the ith path and ti,j is the observed cycle time of the ith
path, where i  1, 2, . . . , N and j  1, 2, . . . , ni . In addition, βi,m are the weights of the ith path
4 Mathematical Problems in Engineering

attached to the hidden nodes m m  1, 2, . . . , M, M is the number of hidden nodes, Γi,m,j
is the output of the mth hidden node when the jth crack length of the ith path is presented,
i,k1,m are the weights from the first input, yi,j , to the hidden node m, and ψ is the activation
function. Typically, the choice of M depends upon the problem under consideration. The
testing results of neural network with combinations of different numbers of hidden nodes
have been investigated. In the present case, we have set the number of hidden nodes M
equal to 3 because it gives the best predicting result.
According to the above equation, we know that there are totally N paths from a given
population, and ni observations are available for path i at fixed crack lengths yi,1 , yi,2 , . . . , yi,ni
i.e., The observations at length yi,1 , yi,2 , . . . , yi,ni are ti,1 , ti,2 , . . . , ti,ni , resp.. Herein, we assume
that the conditional distribution of ti,j given yi,j is normally distributed as fti,j | yi,j  ∼
M
m1 βi,m Γi,m,j , σ . It means that each value of yi,j produces a random value of ti,j
2
Nβi,0
M
m1 βi,m Γi,m,j and a variance σ . Moreover,
2
from a normal distribution with a mean of βi,0
from literature 17, 18, we understand that degradation signals are usually autocorrelated
in nature. We also noticed that the values of the first-order autocorrelation r1 of the residuals
in Lu and Meeker 1 are not exactly equal to 2.0. Therefore, we suspected that the error
term might be characterized as a first-order autoregressive process. Based on this finding, we
proposed a new parametric crack growth model with autocorrelated errors as the following
equations:


M
ti,j  βi,0 βi,m Γi,m,j εi,j , 2.2
m1
  
Γi,m,j  ψ i,0,m i,1,m yi,j i,2,m ln yi,j , 2.3

εi,j  ρi εi,j−1 Zi,j , 2.4

where ρi is the autocorrelation coefficient and Zi,j is a normal distributed error with N0, σ 2 
form. Note that the elements ti,1 , ti,2 , . . . , ti,ni in 2.2 are independent given βi,m , i,k,m , σ 2 , ρi
and yi,j , where k is the number of inputs. The function ψ· is referred to as an activation
function in a neural network. Typically, the activation function is nonlinear. Some of the
most common choices of ψ· are the logistic and the hyperbolic tangent functions. In order
to describe the heterogeneity varying from path to path, we characterized βi by a 4-variate
normal distribution with mean vector β and covariance matrix Vβ , βi | β, Vβ ∼ N4 β, Vβ , i 
1, 2, . . . , N, and i,m is characterized by a 3-variate normal distribution with mean vector
 m , and covariance matrix Vm for m  1, 2, and 3. Equations 2.2–2.4 specify a general
model for studying when observed cycle time sensitivity to crack length may increase. The
heterogeneity among paths is captured by parameters βi , i,k,m , and the specification of
covariates Vβ and Vm .
According to the above setting, the likelihood function for the data can be written as

   N ni
l βi , i,m , σ 2 , ρi | ti,j ∝ ti,j | Yi,j , βi , i,m , σ 2 , ρi . 2.5
i1 j1

To reduce the computational burden of posterior calculation and exploration, we

define β ∼ N4 α, Vα , Vβ ∼ Inv.Wishart f0 , G0 ,  m ∼ N3 p, Vp , Vm ∼ Inv.Wishart f1 , G1 ,
Mathematical Problems in Engineering 5

σ 2 ∼ Inv.Gammar0 /2, S0 /2, ρi ∼ Uniform−1, 1 as the conjugate priors on the parameters

βi , β, Vβ , i,m ,  m , Vm , σ 2 , and ρi , respectively. Typically, the selection of priors is problem-
specific. Some have even criticized Bayesian approach as relying on “subjective” prior
information. However, we should also notice that the basis of prior information could be
“objective” or data-based. The power prior developed by Ibrahim et al. 19 is an example
of it. However, in most empirical cases, the utilization of diffuse prior for parameters is a
reasonable default choice.
By using the Bayes theorem with the sample information and prior distribution of
each parameter, the posterior distribution of each parameter can be derived. The posterior
distributions and the details of the estimation procedure can be referred to Carlin and Louis
20. The posterior distributions of estimated parameters can be summarized as the full
conditional probability formulas shown in the Appendix.
In addition to the posterior distribution for the estimated parameter, the predictive
distribution of the unobserved cycle time, tpred , given the observed cycle time, t, is one of
our main objectives. The predictive distribution is analytically intractable because of the
requirement of highly dimensional numerical integration. However, the Markov chain Monte
Carlo MCMC method provides an alternative, whereby we sample from the posterior
directly and obtain sample estimates of the quantities of interest, thereby performing the
integration implicitly 21. In other words, Bayesian analysis of hierarchical models has been
made feasible by the development of MCMC methods for generating samples from the full
conditionals of the parameters given the remaining parameters and the data.
Among these MCMC methods, Gibbs sampling algorithm is one of the best known
estimation procedures that uses simulation as its basis 22 and will be used herein to
estimate our parameters. It has been shown that, under the mild condition, the Markov chain
will converge to a stationary distribution 23. Beginning with the conditional probability
distributions in 5, the Gibbs and Metropolis-Hasting sampling procedure uses recursive
simulation to generate random draws. Details of the conditional distributions for the full
information model are available upon request. The values of these random draws are then
used as the conditional values in each conditional probability distribution, and according to
the procedure, generated random draws are carried out again in the next iteration. After
numerous reiterated simulations are performed in this way, the convergent results yield
random draws that are the best estimates of the parameters.

3. Illustrative Example and Model Estimation

3.1. Illustrative Example
We use the fatigue crack growth data from Bogdanoff and Kozin 15 as an illustrative
example to demonstrate the modeling procedure and effectiveness of the proposed
Hierarchical Bayesian neural network approach. Figure 1 is a plot of the total 30 sample
degradation paths. It is obvious that variability amongst paths does exist. There are several
possible factors, such as different operating conditions and different material properties,
which could cause the variability. Therefore, it is a big challenge to construct a model to
capture the statistical properties of degradation paths and to predict failure time.
In this data set, there are 30 sample paths in total and each sample path has 164 paired
observations, cycle time, and crack length. The cycle time is observed at some fixed crack
lengths. We predefined the path as “failure” as soon as its crack length reaches a particular
6 Mathematical Problems in Engineering

300000

250000

200000

Cycle time
150000

100000

50000

10 20 30 40 50
Crack length

Figure 1: Thirty paths of fatigue crack growth data from Bogdanoff and Kozin 15.

critical level of degradation i.e., Df  49 mm and assumed the experiment was terminated
at 40 mm. In other words, based on the measurements of degradation from 9 mm to 40 mm,
we would like to model the degradation process and use the proposed model to predict the
failure time ti,j  Df to the assumed critical level for the degradation path i.e., crack length
 49 mm. As mentioned, because the fatigue experiment was conducted on paths with fixed
crack length, we are interested in the predicted failure time for the path when a specific crack
length i.e., 49 mm is reached.

3.2. Model Estimation

Because the coefficients βi,m and i,k,m used to depict the degradation process are high
dimensional, it is difficult to integrate out these parameters to obtain the distribution of
failure time, especially when complex interactions among random parameters are present. To
solve this problem, estimation was carried out using the Markov chain Monte Carlo methods
using R language. The chain ran for 20,000 iterations, and the last 10,000 iterations are used
to obtain parameter estimates. Convergence was assessed by starting the chain from multiple
points and inspecting time-series plots of model parameters. Posterior draws from the full
conditional are used to compute means and standard deviations of the parameter estimates.
Table 1 reports the posterior mean and standard deviation of the parameters for the
proposed model. It shows that the values of Γm1,j , Γm2,j , and Γm3,j become steady when
lnyi,j  becomes a large number. The covariance matrix of the heterogeneity distribution is
reported in Table 2. It shows that the posterior mean of the diagonal elements of matrix Vβ are
ranged from 0.0002 to 0.0004. Compared to the outputs of hidden nodes Γm,j ranged from 0 to
1, all these diagonal elements are not really small. It represents that the heterogeneity across
paths does exist. According to above findings, we can conclude that the proposed HBNN
model can successfully determine the heterogeneity across various paths even though, in this
particular data set, we were unable to provide explanation to the cause of heterogeneities
because of the limited information in data.
Mathematical Problems in Engineering 7

Table 1: Estimated mean and STD for posterior parameters.

Estimated parameter
β  m1  m2  m3 σ2 ρi
⎡ ⎤
−0.0013      
−8.0899 −38.3625 −26.610
Posterior Mean ⎣ 0.2925 ⎦
0.3218 0.1952 −0.6606 −0.1878 0.001521 0.7806321
0.2749 0.8385 19.3739 9.8855
⎡ ⎤
0.0153      
0.0075 0.0093 0.0019
Posterior STD ⎣ 0.0119 ⎦ 0.0003 0.0008 0.0070 0.000313 0.073125
0.0178 0.0012 0.0093 0.0084
0.0152

Table 2: Covariance matrix of the distribution of heterogeneity.

Estimated parameter Posterior Mean Posterior STD

⎡ ⎤ ⎡ ⎤
0.043 0.016 0.023 0.021 0.0043 0.0024 0.0044 0.0006
Vβ ⎣ 0.023 0.001 0.009 0.044 ⎦ ⎣ 0.0051 0.0022 0.0044 0.0051 ⎦
0.029 0.050 0.024 0.020 0.0030 0.0009 0.0040 0.0030
0.023 0.018 0.006 0.041 0.0039 0.0003 0.0001 0.0033
   
0.062 0.022 0.044 0.009 0.013 0.038
Vm1 0.074 0.053 0.016 0.055 0.039 0.068
0.033 0.046 0.063 0.051 0.006 0.018
   
0.144 0.051 0.020 0.033 0.021 0.028
Vm2 0.026 0.003 0.024 0.006 0.011 0.057
0.081 0.043 0.099 0.066 0.012 0.069
   
0.075 0.005 0.033 0.071 0.016 0.034
Vm3 0.036 0.076 0.001 0.029 0.001 0.057
0.020 0.045 0.073 0.062 0.002 0.078

4. Failure Time Prediction and Sensitivity Analysis

4.1. Failure Time Prediction
The model estimation shown in Section 3 allows us to predict failure time ti,j to the assumed
critical level of degradation i.e., Df  49 mm based on the measurements of degradation
from 9 mm to 40 mm. In order to demonstrate the effectiveness of the proposed hierarchical
Bayesian neural network model, the prediction performance is evaluated using the following
performance measures: the root mean square error RMSE, mean absolute difference
MAD, mean absolute percentage error MAPE, and root mean square percentage error
RMSPE. The definitions of these criteria were summarized in Table 3. RMSE, MAD, MAPE,
and RMSPE are measures of the deviation between actual and predicted failure times. The
smaller the deviation, the better the accuracy. The failure time prediction results using the
proposed hierarchical Bayesian neural network model are computed and summarized in
Figure 2 and Table 4. Table 4 shows that RMSE, MAD, MAPE, and RMSPE of the HBNN
model are 0.37340, 0.27121, 1.058%, and 1.440%, respectively. It can be observed that these
values are very small. It indicates that there is a smaller deviation between the actual and
predicted failure times obtained by the proposed model. Moreover, the proposed HBNN
can provide not only posterior estimates of the spatial covariance but also a natural way
to incorporate the model uncertainty in statistical inference.
8 Mathematical Problems in Engineering

28

27

Cycle time (in 10000)

26

25

24

23

22
0 5 10 15 20 25 30
Path

Actual
Predicted

Figure 2: Prediction of failure time at 49 mm when data collection is stopped at 40 mm.

Table 3: Performance measures and their definitions.

Metrics Calculation

30 2
RMSE RMSE  i1 Ti − Pi  /30
30
MAD MAD  i1 |Ti − Pi |/30

MAPE MAPE  30i1 |Ti − Pi /Ti |/30
30 2
RMSPE RMSPE  i1 Ti − Pi /Ti  /30
∗
Note that T and P represent the actual and predicted failure time, respectively.

Table 4: Summary of failure time prediction results by HBNN model.

Models RMSE MAD MAPE RMSPE

HBNN 0.37340 0.27121 1.058% 1.440%

4.2. Sensitivity Analysis

To evaluate the sensitivity of the proposed method, the performance of the HBNN model
was tested using different number of hidden nodes and training sample sizes. In this section,
we set the number of hidden nodes as 3, 4, 5, and 6. And three different sizes of the training
dataset observations collected from 9 mm to 30 mm, 9 mm to 35 mm, and 9 mm
to 40 mm resp. were considered. The prediction results made by the HBNN model are
summarized in Table 5 in terms of RMSE, MAD, MAPE, and RMSPE.
According to the table, the HBNN model has a lower RMSE, MAD, MAPE, and RMSPE
with observations collected from 9 mm to 40 mm than with observations collected from 9
mm to 30 mm. This is because the sample size of the 9 mm to 30 mm dataset is smaller
than the sample size of the 9 mm to 40 mm dataset. However, the RMSE, MAD, MAPE,
and RMSPE are almost the same for the cases of hidden nodes  3, 4, 5, or 6. This result
suggests that there is no difference for the predictions when the number of hidden nodes
varies.
Mathematical Problems in Engineering 9

Table 5: Sensitivity analysis.

# of hidden nodes Training dataset RMSE MAD MAPE RMSPE
from 9 mm to 30 mm 0.40576 0.29048 1.108% 1.543%
3 from 9 mm to 35 mm 0.38022 0.27297 1.081% 1.486%
from 9 mm to 40 mm 0.37340 0.27121 1.058% 1.440%
from 9 mm to 30 mm 0.40568 0.29060 1.089% 1.558%
4 from 9 mm to 35 mm 0.38070 0.27326 1.057% 1.487%
from 9 mm to 40 mm 0.37366 0.27088 1.089% 1.467%
from 9 mm to 30 mm 0.40592 0.29036 1.082% 1.520%
5 from 9 mm to 35 mm 0.38076 0.27350 1.056% 1.456%
from 9 mm to 40 mm 0.37391 0.27065 1.062% 1.435%
from 9 mm to 30 mm 0.40606 0.29047 1.104% 1.536%
6 from 9 mm to 35 mm 0.38051 0.27393 1.098% 1.489%
from 9 mm to 40 mm 0.37357 0.27068 1.076% 1.461%

5. Conclusion
In this paper, we applied the HBNN approach to model the degradation process and to make
the failure time prediction. In the process of developing the HBNN model, the MCMC was
utilized to estimate the parameters. Since the prediction of failure time made by HBNN model
can sufficiently represent the actual data, the time-to-failure distribution can also be obtained
successfully. In order to demonstrate the effectiveness of the proposed hierarchical Bayesian
neural network model, the prediction performance of the proposed model is evaluated using
multiple performance measurement criteria. Sensitivity evaluation of the proposed model is
also conducted using different number of hidden nodes and training sample sizes. As the
results reveal, using HBNN can provide not only the predictive distribution but also accurate
parameter estimate. By specifying the random effects on the coefficients βi and i,m in the
HBNN model, the heterogeneity varying across individual products can be studied. Based
on these heterogeneities, the engineers will be able to conduct a further investigation in the
manufacturing process and then to find out the causes of differences.
For the future research, statistical inferences of failure time based on degradation
measurement, such as failure rate and tolerance limits, can be further evaluated given the
predicted failure time. In addition, for some highly reliable products, it is not easy to obtain
the failure data even under the elevated stresses. In such case, accelerated degradation testing
ADT can be an alternative that provides an efficient channel for failure time prediction.
The proposed HBNN approach can also be applied to depict the stress-related degradation
process by including those stress factors as covariates in the model.

Appendix
The Full Conditional Probability of Estimated Parameters

 
βi | rest ∝ ti | Yi , βi , i,m , σ 2 , ρi · βi | β, Vβ ,
N
β | rest ∝ βi | β, V β · β | μβ , Vβ ,
i1
10 Mathematical Problems in Engineering

  N
 
Vβ | rest ∝ βi | β, Vβ · Vβ | f0 , G0 ,
i1

ni
i,m | rest ∝ ti | Γi , βi , i,m , σ 2 , ρi · i,m |  m , Vm ,
j1

N
 
 m | rest ∝ i,m |  m , Vm  ·  m | p, Vp ,
i1

N
 
Vm | rest ∝ i,m |  m , Vm  · Vm | f1 , G1 ,
i1

N
σ 2 | rest ∝ ti | Yi , βi , i,m , σ 2 , ρi · σ 2 | r0 , s0 ,
i1
   
ρi | rest ∝ ti | Yi , βi , i,m , σ 2 , ρi · ρi .
A.1

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 827137, 16 pages
doi:10.1155/2012/827137

Research Article
A Fuzzy Dropper for Proportional Loss Rate
Differentiation under Wireless Network with a
Multi-State Channel

Yu-Chin Szu
Department of Information Management, St. John’s University, 499, Section 4, Tam King Road,
Tamsui District, New Taipei City 25135, Taiwan

Correspondence should be addressed to Yu-Chin Szu, [email protected]

Received 18 October 2011; Revised 25 January 2012; Accepted 3 February 2012

Academic Editor: Jung-Fa Tsai

Copyright q 2012 Yu-Chin Szu. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

The proportional loss rate differentiation PLD model was proposed to provide controllable
and predictable loss rate for different classes of wired network connections. However, these
algorithms cannot be directly applied to wireless networks, because of the location-dependent
and time-varying wireless channel capacity. This paper proposes a novel packet dropper for
fuzzy controlling of the proportional loss rate differentiation in a wireless network with multistate
channel. The proposed dropper, fuzzy proportional loss rate dropper FPLR, prefers to drop the
small packets destined to a poor condition channel to improve the network performance. The loss
rate debts of the poor channel will be compensated later to keep PLD. From simulation results,
FPLR does achieve accurate loss rate proportion, lower queuing delay and loss rate, and higher
throughput, compared with other methods in the wireless environment.

1. Introduction
The Internet becomes an important infrastructure of global communication. However, many
multimedia applications require some guarantee of the quality of services QoS. Thus
the best-effort service is not suitable to such applications because it cannot promise any
guarantee about packet loss, delay, or jitter. The Internet Engineering Task Force IETF
first proposed the Integrated Service IntServ as a QoS architecture for IP networks 1.
Because IntServ suffers from the scalability problem, the Differentiated Service DiffServ
2 was then proposed. Diffserv has proceeded in two directions—absolute differentiated
service and relative differentiated service. The absolute differentiated service ensures that
an admitted user can enjoy certain and steady performance, while the relative differentiated
service ensures that users with a higher service class experience better performance than the
2 Mathematical Problems in Engineering

users with a lower one. The proportional differentiation model, a branch of relative service
differentiation, has received a lot of attention because it can perform the controllable and
predictable differentiation 3, 4. That is, the proportional differentiation model offers the
network manager a means of varying quality spacing between service classes according to
the given pricing or policy criteria and ensures that the differentiation between classes is
consistent in any measured timescale.
The proportional services can be differentiated according to different performance
metrics, such as throughput, delay, loss rate, or jitter. When adopting packet loss rate as the
performance metric, the proportional differentiation model is referred to as the proportional
loss rate differentiation PLD model. To provide PLD, some methods, such as Proportional
Loss Rate PLR 5, Average Drop Distance ADD 6, Debt Aware 7, Weighted Random
Early Detection WRED 8, Weight Simple Adaptive Proportion WSAP 9, Hop-count
Probabilistic Packet Dropper HPPD 10, and RED with maximum drop probability
adjustment, were proposed.
As wireless technologies rapidly advance and lightweight portable computing devices
become popular, wireless networks have become pervasive. Accordingly, the PLD model
is also urgently required for wireless environments, just as it was for wired networks.
However, the above approaches designed in a wired network are not applicable in a wireless
environment, which has some distinct characteristics, such as high error rate, location-
dependent and time-varying capacity, and scarce bandwidth 11.
In a wireless network with a multirate channel, when many packets encountering a
good channel are dropped and many packets encountering a poor channel are kept in the
buffer, the system performance becomes poor because most packets are transmitted in a
poor-capacity channel. Actually, dropping the packet having the poorest channel will cause
the optimal performance, but this behavior completely ignores to maintain the PLD model.
Therefore, how to keep the PLD model and raise the overall performance in a wireless
network with a multirate channel is a challenge and will be investigated in this paper.
This paper proposes a novel algorithm, named fuzzy proportional loss rate dropper
FPLR. In the FPLR dropper, we utilize the concept of fuzzy control to make an optimal
decision for dropping the small packets destined to a poor channel and reserving the large
packets destined to a good channel, causing a lot of large packets to be transmitted via a good
channel. Therefore, FPLR can provide high performance and keep PLD in a wireless with a
multistate channel.
Organization of the remainder of the paper is as follows. Section 2 describes the
background, including the proportional differentiation model, some previous related works,
structure of fuzzy controller systems, and what problems occur when these works are directly
applied into a wireless network. Section 3 describes in more detail the FPLR and the design of
the fuzzy controller. In Section 4, some simulation results and their implications are exhibited.
The conclusion of this work is given in Section 5.

2. Background
2.1. Proportional Differentiation Model
The proportional differentiation model was proposed first by Dovrolis and Ramanathan 5
and Bobin et al. 6, and its structure is shown as Figure 1. The arrival traffic is classified
into N service classes where each class has a dedicated queue. Let qi denote the measured
Mathematical Problems in Engineering 3

Class 1
Class 2
Proportional Proportional Output Wired link
Input differentiation . differentiation
.
dropper . scheduler

Class N

Figure 1: The proportional differentiation model.

performance of class i. For proportional differentiation model, the following equation should
be satisfied for all pairs of classes, i and j,

qi ci  
 1 ≤ i, j ≤ N , 2.1
qj cj

where c1 ,c2 ,. . .,cN are the quality differentiation parameters QDP. A network operator could
manipulate the service quality spacing between classes by adjusting QDPs.
Let Li be the average loss of the class-i packets with σi as the loss differentiation
parameters LDPs. For all pairs of service classes, i and j, the proportional loss differentiation
model is specified by

Li σi  
 1 ≤ i, j ≤ N . 2.2
Lj σj

Let Di be the average queuing delay of the class-i packets with δi as the delay
differentiation parameters DDPs. The proportional delay differentiation model has the
following constraint for any pair of classes:

Di δi  
 1 ≤ i, j ≤ N . 2.3
Dj δj

2.2. Proportional Loss Rate (PLR)

Dovrolis et al. proposed the proportional loss rate dropper PLR to offer the PLD model 5.
In order to determine which packet should be dropped, PLR uses a loss history table LHT
 i t be
to record the loss rate of each class at present. Let Li t be the average loss rate and L
the normalized average loss rate of class i at time t. Also Li t and Ai t denote the numbers
of dropped packets and arrived packets, respectively, of class i until time t. Bt denotes the
set of backlogged classes. PLR chooses class J to drop its tail packet as follows:

Li t
Li t  1 ≤ i ≤ N, 2.4
Ai t
4 Mathematical Problems in Engineering

Mobile
Wireless host
channel
bandwidth
Class 1 MH1
Class 2 C1 (t)
Proportional Proportional Output MH2
Input differentiation . differentiation C2 (t)
.
dropper . scheduler .
.
.
Class N
CM (t)
MHM

Figure 2: The proportional differentiation model in a wireless network.

 i t  Li t
L 1 ≤ i ≤ N, 2.5
σi

 i t
J  arg min L 1 ≤ i ≤ N. 2.6
i∈Bt

PLR aims to maintain a unanimous normalized average loss rate among all classes.
According to the number of packets that PLR estimates, the calculated average loss rate is
different; so there are two kinds of algorithms, namely, PLR with infinite memory, PLR ∞,
and PLR with memory M, PLRM. When calculating the average loss rate, PLR∞ counts
packets from initial to present, while PLRM observes the last M packets of every class at
present. From the long-term observation, the result of PLR∞ is closer to targeted proportion
than that of PLRM. However, when the class load significantly oscillates, adopting PLRM
is preferred because of its adaptation, but determining an optimal M is difficult.

2.3. The Problem of Achieving PLD in a Wireless Network

Previous studies on achieving the PLD model focused on increasing the accuracy of the
achieved loss proportion between classes in wired networks. These proposed algorithms did
not consider any characteristics in a wireless network.
Figure 2 depicts the PLD model applied in a wireless network. In this environment, all
mobile hosts share one wireless link. Since each host could be located at different places,
different capacities exist when the scheduler transmits data to different mobile hosts via
this wireless link. Also as the mobile host moves, the capacity to this destined host varies.
Thus a wireless link has a location-dependent and time-varying capacity, and it is called
as a multistate link herein. For simplicity, the term channel j means the wireless link at
transmitting the packet to the mobile host j. Let Cj t denote the encountered capacity when
the scheduler transmits packets via channel j at time t.
In a wireless network with a multirate link, when many packets encountering a
good channel are dropped and many packets encountering a poor channel are kept in the
buffer, the system performance becomes bad because most packets will be transmitted via a
poor-capacity channel. Actually, dropping the packet having the poorest channel will cause
the optimal performance, but this behavior completely ignores keeping the PLD model.
Mathematical Problems in Engineering 5

Fuzzy

Defuzzification
inference engine

Fuzzification
Fuzzy Fuzzy
Controller inputs outputs Controller
inputs outputs
Fuzzy
rule base

Figure 3: The architecture of the fuzzy controller.

FPLR

P Si
FCS P outi
(fuzzy control system) Drop decision Drop/not drop
C(Hi )

L1 t
Depti
L2 t DD (debt decision )
.
.
.
LN t

Figure 4: The structure of FPLR.

Therefore, designing a dropper to simultaneously keep the PLD model and raise the overall
performance in a wireless network with a multirate link is a challenge.

2.4. The Fuzzy Controller

The fuzzy controller that is a nonlinear mapping system developed by Mamdani 12, 13
consists of four main components: fuzzification, fuzzy inference engine, rule base, and
defuzzification, as shown in Figure 3.
The fuzzification or fuzzifier calculates suitable sets of degree of membership, called
“fuzzy sets,” for crisp inputs. The fuzzy inference engine performs inference procedure for
given inputs according to the fuzzy rules to derive proper actions. The rule base consists of
a set of linguistic rules, as well as a set of membership functions for linguistic values. The
defuzzification or defuzzifier converts the fuzzy output to crisp values.

3. Fuzzy Proportional Loss Rate Dropper (FPLR)

FPLR uses three processes to decide how to drop packets, as shown in Figure 4. A fuzzy
controller system on the first process takes advantage of fuzzy theory to PLD. The debt
decision module in the second process is to compensate for the loss rate debts. The third
process is to determine an appropriate packet to drop.
6 Mathematical Problems in Engineering

VS S MS L VL
1

(byte)
50 250 500 1000 1500 2000
a The membership functions for the input P S
VB B MC G VG
1

(Mbps)
0 1 2 5.5 11
b The membership functions for the input CH

nd pnd m pd d
1

P
0 0.25 0.5 0.75 1
c The membership functions for the output of fuzzy inference engine

Figure 5: The membership functions.

3.1. Fuzzification
In this paper, most of the membership functions for the fuzzy sets are chosen to be triangular,
because triangular membership functions are the most economic. All membership functions
are defined on common interval 0, 1. With fuzzy logic, we assign grade values to our two
variables, which are packet sizes and channel states. Thus the fuzzy set A consists of two
fuzzy variables, P S, CH, where P S is the fuzzy variable term for the packet size and
CH is the channel capacity encountered when the scheduler transmits the HOL packet.
The membership functions of P S and CH are shown in Figures 5a and 5b, respectively,
and they are the input of the FCS. The fuzzification component translates the inputs into
corresponding fuzzy values.
In Figure 5a, VS, S, MS, L, and VL denote very small, small, medium small, large,
and very large, respectively. In Figure 5b, VB, B, MC, G, and VG indicate very bad channel,
bad channel, medium channel, good channel, and very good channel, respectively.
Let the fuzzified output of the fuzzy inference engine be P , which uses singleton fuzzy
sets representing the drop probability of the packet, as shown in Figure 5c. In Figure 5c,
nd, pnd, m, pd, and d denote not drop, probably not drop, maybe drop, probably drop, and
drop, respectively.
Mathematical Problems in Engineering 7

Table 1: The rule base.

Packet sizes
VS S MS L VL
VB d d d d d
B pd pd pd m m
Channel capacity MC pd pd m pnd pnd
G m m pnd pnd pnd
VG nd nd nd nd nd

3.2. Rule Establishment

Fuzzy rules can effectively treat the nonlinearity, and the whole fuzzy rules are shown in
Table 1. Each rule performs the mapping process from the fuzzy input to fuzzy out. These
rules are intuitive. For example, when channel state is very bad and no matter a packet is big
or small, an incoming packet must be dropped.

3.3. Defuzzification
The center of gravity CoG technique, which computes the weighted average of the center
of gravity of each membership function, is used to compute the defuzzified output, Pout ,
 
of the FCS. That is Pouti  nf1 μi,f Pi,f Pi,f / nf1 μi,f Pi,f , where Pi,f is the center of the
membership function recommended by the consequence of rule f of class i, and the height
is cut by the minimum vale after MAX-MIN inference engine 14. ui,f Pi,f  is the degree of
membership of input variables, packet size and channel states, of class i. The n is number of
rules.

3.4. Debt Decision

The debt decision is adopted because, in this work, maintaining the loss rate differentiation
is considered to be more important than achieving high throughput. A debt value debt is
used to record the “drop debt” carried by class i. debti having the positive value represents
that the number of loss happening is less than the expectation in class i. That is, some other
classes instead of class i drop the packets. Similarly, the value of debti being negative and zero
means that class i has more and equal number of losses than its expectation, respectively. debt
is specified by

 N 
 i t
L
 J t >
If L i1
then debtJ  −0.25,
N
 N  3.1
 i t
L
 J t <
If L i1
then debtJ  0.25,
N

where L J t is the normalized average loss rate of class J at time t and N is the number of
service classes.
8 Mathematical Problems in Engineering

We would like to use the decision function of FPLR to decide that the packet should
be dropped and need not be dropped. We use a threshold θ to compare with Pout . Thus the
condition of dropping the packet of the candidate class J is as follows:

 
PoutJ debtJ > θ. 3.2

3.5. Algorithm
Algorithm 1 presents the pseudocode of the FPLR. When the buffer has empty space, the
dropper simply inserts the packet into a proper queue. When buffer overflow occurs, the
dropper selects an appropriate packet to drop. Let Li t and Ai t be the number of dropped
packets and the number of arrived packets of class i at time t, respectively.
When an arriving packet encounters a full buffer, the dropper selects a proper packet,
which may be this arriving packet or a packet in the buffer to be dropped for keeping
the proportional loss rate among classes. At determining which packet to be dropped, the
dropper first calculates the normalized average loss rate L i t  Li t/Ai tσi for each class i.
Then the class with the smallest normalized average loss rate, that is, J  arg mini∈Bt L  i t,
is regarded as the candidate class.
The dropper considers three important factors, including channel state, packet size,
and debt degree, to determine whether the packet of the class J should be dropped.
Note the dropper drops the HOL packet, rather than the tail packet or arriving packet,
because using this method can reduce the queuing delay of queued packets.
If the candidate class J does not satisfy the above condition, the dropper will choose
the candidate class K, which has the next smallest normalized average loss rate. Judging
whether the HOL packet of candidate class K will be dropped is similar to 3.2, that is,
PoutK debtK  > θ.
Some noticeable points about the FPLR are explained as follows.

1 FPLR drops the HOL packet, rather than the tail packet, of the selected class,
because using this method can reduce the queuing delay of queued packets. Also
the HOL packet will actually experience the current channel capacity, but the
tail packet may not be transmitted at this capacity because of the time-varying
bandwidth.
2 For FPLR, because the packets destined to a low-capacity channel are easily
dropped and the packets destined to a high-capacity channel are easily kept
in the buffer, most packets are transmitted in a good channel, generating high
performance.
3 The fuzzy logic is an effective tool for efficient buffer management. It can
easily handle several nonlinear factors and does not need detailed mathematic
descriptions for the system.

4. Simulation and Discussion

The simulations compare the performance of FPLR and WPLR in terms of loss rate ratio, loss
improvement, throughput improvement, and delay improvement. The simulations are conducted to
investigate the effects of packet arrival rate, number of mobile hosts, and state transition rate
Mathematical Problems in Engineering 9

Li : the number of lost packets of class i

Ai : the number of arrived packets of class i
σi : the loss differentiation parameter of class i
CHi : the channel capacity encountered when the scheduler transmits the HOL packet of class i
Bt: the set of backlogged classes at present t
P Si : the size of the HOL packet in class i
Pi,f : the center of the membership function recommended by the consequence of rule f of class i
μi,f Pi,f : the degree of membership of input variables, packet size and
channel states, of class i
Pouti : the defuzzified output of FCS of class i
θ: drop threshold
debti : lost debt of class i
FPLR Dropper
{
a class-i packet arrives at time t, Ai t ;
if buffer overflow{
calculate Li t   Li t/Ai tσi , i  
1, 2, . . . , N;
calculate Pouti  nf1 μi,f Pi,f Pi,f / nf1 μi,f Pi,f , i = 1, 2,. . ., N; f = 1, 2, 3, 4, 5;
Jarg mini∈Bt L  i t;
debti  0;
 J t > N
if L i1
 i t/N then debtJ  −0.25, i  1, 2, . . . , N;
L

else if LJ t <  N 
i1 Li t/N then debtJ  0.25, i  1, 2, . . . , N;
if PoutJ debtJ > θ {
drop the HOL packet from class J;
LJ t ;}
else{
do {
findK  arg next mini∈Bt L  i;
if PoutK debtK > θ {
drop the HOL packet from class K;
LK t ;}
} whileone packet is dropped or all classes have been visited
if no packet is dropped{
drop the HOL packet from class J;
LJ t ;}
}
accept the incoming packet;
}

Algorithm 1: The FPLR algorithm.

upon WPLR and FPLR. Also, the behaviors of these two droppers under different timescales
are explored. First, the average loss rate of each class i, Li , is obtained by using 2.4, and the
loss rate ratio of class i over class j is defined as Rij Li /Lj . The loss improvement of class i is
P F P P F
defined as Li − Li /Li where Li and Li are the loss rates of class i made by WPLR and
FPLR, respectively. Similarly, the throughput improvement and delay improvement of class i
P F P
are defined as TiF −TiP /TiP and Di −Di /Di , respectively, where Ti denotes the throughput
of class i and Di denotes the average queuing delay of class i.
10 Mathematical Problems in Engineering

4.1. Simulation Models

The model we simulated is depicted in Figure 2, and the scheduler is using the First-Come
First-Served FCFS scheduler. In all simulations, three service classes N  3 are assumed,
and the corresponding loss rate differentiation parameters are set as σ1  1, σ2  2, and
σ3  4. Packet arrival follows a Poisson process, and its mean overall arrival rate is λ  120
packets/sec. The distribution of packet sizes for all classes is such that 40% of packets are 40
bytes, 50% packets are 550 bytes, and 10% packets are 1500 bytes. Thus, the mean packet size
is 441 bytes. The threshold θ is set as 0.5. The total buffer size is 10,000 bytes, and the number
of hosts is five, that is, M  5. The wireless channel is simulated by a multistate Markov
process, which has five states with the values of capacities varying among 0 purely bad,
1 Mbps, 2 Mbps, 5.5 Mbps, and 11 Mbps purely good. The transition rate matrix of channel
capacity is set as

1 2 3 4 5
⎡ ⎤
1 −a ap1 ap12 ap13 ap14
⎢ ⎥
2⎢
⎢ap2 −a ap2 ap22ap23 ⎥
⎥
⎢ ⎥
⎢ ⎥
3⎢ 2 2 ⎥,
−a ap3 ap3 ⎥ 4.1
⎢ap3 ap3
⎢ ⎥
⎢ 3 ⎥
4⎢
⎢ap4 ap42 ap4 −a ap4 ⎥ ⎥
⎢ ⎥
⎣ ⎦
5 ap54 ap53 ap5 ap5 −a
2

where a is the state transition rate to other states and pi is the probability of state i being
translated to its neighbor states when the transition occurs. The default value of a is 30, and
the values of p1 , p2 , p3 , p4 , and p5 can be calculated by letting the sum of each row equal
to 0. In each simulation, at least 500,000 packets for each class are generated for the sake of
stability.

4.2. Packet Arrival Rate

To observe the influence of different packet arrival rates on achieved loss rate ratios, loss
improvement, delay improvements and throughput improvement, the arrival rate λ is
varied from 100 to 150 packets/sec. The target loss rate ratios are 4 σ3 /σ1  4/1 for class 3
over class 1 and 2 σ2 /σ1  2/1 for class 2 over class 1. Figure 6a shows that WPLR and
FPLR can achieve the accurate loss rate ratios. For the FPLR dropper, because the class with a
larger debt has a higher probability to be dropped, the target loss rate proportions can be still
maintained.
Observed from Figure 6b, the loss improvements attained by FPLR increase as
arrival rate increases, and three classes have the same loss improvement. At a low packet
arrival rate, the packet losses seldom happen, causing that the fuzzy mechanism has minor
influence. As the arrival rate increases, since the opportunity of using the fuzzy mechanism
becomes large, more small packets transmitted via low-capacity channels are dropped,
and more large packets transmitted via high-capacity channels are kept. Thus the loss
improvements made by FPLR increase.
Mathematical Problems in Engineering 11

5 40

Loss improvement (%)

30
Loss rate ratio

3
20
2

10
1

0 0
100 110 120 130 140 150 100 110 120 130 140 150
Arrival rate (packets/s) Arrival rate (packets/s)

PLR : R 31 FPLR : R 31 FPLR (total) FPLR (class-2)

PLR : R 21 FPLR : R 21 FPLR (class-1) FPLR (class-3)
a b
20 40
Throughput improvement (%)

Delay improvement (%)

15 30

10 20

5 10

0 0
100 110 120 130 140 150 100 110 120 130 140 150
Arrival rate (packets/s) Arrival rate (packets/s)

FPLR (total) FPLR (class-2) FPLR (total) FPLR (class-2)

FPLR (class-1) FPLR (class-3) FPLR (class-1) FPLR (class-3)
c d

Figure 6: The effect of packet arrival rate.

From Figure 6c, two phenomena are observed. First, the throughputs improved by
FPLR increase as arrival rate increases. Second, the throughput improvements of all classes
are in the order class 3 > class 2 > class 1. The first phenomena is because the more loss
improvement, the more throughput improvement. The second phenomenon is not trivial and
explained in the following.
Let λi be the packet arrival rate of class i. Thus for WPLR, the throughput of class i,
P
TiP , can be expressed as TiP  λi 1 − Li . Also let the loss improvement of class i, made by the
P F P
dropper FPLR, be denoted as fiF , which is equal to Li − Li /Li . Therefore, the throughput
12 Mathematical Problems in Engineering
F P
of class i can be easily obtained as TiF  λi 1 − Li   λi 1 − 1 − fiF Li . Hence, the throughput
improvement of class i is

  P
TiF 1 − 1 − fiF Li
−1 − 1. 4.2
TiP P
1 − Li

From this equation, we can prove the more loss improvement, the more throughput
improvement.
For different classes, observed from Figure 6b, the loss improvements, fiF , of all
P P P
classes are the same. Also Figure 6a shows that L3 > L2 > L1 . Under these conditions,
from 4.2, the throughput improvements of all classes are in the order class 3 > class 2 >
class 1. For example, all λi  120 packets/sec, loss rates of classes 1, 2, and 3 for WPLR are
20%, 40%, and 80%, respectively, that is, their throughputs are 100, 80, and 40. When the
loss improvement is 50% for all classes, the loss rates of classes 1, 2, and 3 for our proposed
dropper reduce to 10%, 20%, and 40%, respectively, that is, their throughputs are 110, 100,
and 80. In this example, the throughput improvements for classes 1, 2, and 3 are 10%, 25%,
and 100%, respectively.
Figure 6d shows the delay improvements achieved by FPLR. The delay improve-
ments are caused by two reasons. First, because the packet destined to a poor channel is easier
to be dropped than that destined to a good channel, nondropped packets usually encounter a
good channel, causing that they have short transmission time and thus short queuing delay.
Second, FPLR dropping the HOL packet, rather than dropping the tail packet, reduces the
queuing delay of the queued packets. Also the delay improvements enhance as the arrival
rate increases because the opportunity of using the fuzzy mechanism becomes large. Finally,
the delay improvements of all classes are in the order class 1 > class 2 > class 3 since the more
throughput improvement, the less delay improvement.

4.3. Timescale
In this simulation, the loss rate ratios between successive classes are measured over five
time intervals—100, 500, 1000, 5000, and 10000 p-units, where a p-unit is the average packet
transmission time. During each time interval, the loss rate ratios of class 2 over class 1 and
class 3 over class 2 are measured and averaged.
Figure 7 shows five percentiles, 5%, 25%, 50% median, 75%, and 95%, of the average
loss rate ratio. FPLR has the broader ranges on short timescales than WPLR and similar ranges
on long timescales. The reason is that although using the fuzzy mechanism will achieve the
loss rate ratio temporarily away from target loss rate proportion in the short term, they will
let the opportunity of using the debt decision mechanism keep PLD on the long term.

4.4. Number of Mobile Hosts

The number of mobile hosts is varied from 5 to 25 to observe the influence on achieved loss
rate ratios, loss improvement, delay improvement, and throughput improvement. Packets of
each class are evenly distributed to each mobile host. Since below all simulation results for
different classes have the similar treads as Figure 6. Therefore we will only show the total
Mathematical Problems in Engineering 13

Target loss ratio for successive classes = 2

4

3.5

Average loss rate ratio

2.5

PLR
FPLR
PLR
PLR

FPLR
FPLR
PLR
1.5

PLR

FPLR
FPLR
1

0.5

0
100 500 1000 5000 10000
Measured timescales (p-units)

5% 75%
25% 95%
50%

Figure 7: Five percentiles of average loss rate ratio on various measured timescales.

50
5
45
4.5
40
4
35
3.5
Improvement (%)

30
3
Loss rate ratio

25
2.5
20
2
15
1.5
10
1
5
0.5
0
0 5 10 15 20 25
5 10 15 20 25 Number of mobile hosts
Number of mobile hosts
Loss
PLR : R 31 FPLR : R 31 Delay
PLR : R 21 FPLR : R 21 Throughput
a b

Figure 8: The effect of the number of mobile hosts.

14 Mathematical Problems in Engineering

50
5
45
4.5
40
4
35
3.5

Improvement (%)
30
3
Loss rate ratio

25
2.5
20
2
15
1.5
10
1
5
0.5
0
0 20 25 30 35 40
20 25 30 35 40 State transition rate
State transition rate
Loss
PLR : R 31 FPLR : R 31 Delay
PLR : R 21 FPLR : R 21 Throughput
a b

Figure 9: The effect of the state transition rate.

loss improvement, total throughput improvement, and total delay improvement. Figure 8a
shows that the number of mobile hosts does not affect the loss rate ratios achieved by
two droppers. Figure 8b reveals that the loss improvement, throughput improvement, and
delay improvement made by FPLR increase as the number of mobile hosts increases. When
there are only a few mobile hosts, for FPLR, few HOL packets destined to poor channels can
be selected as a substitution, so that the improvements are not high. As the number of mobile
hosts increases, since more small packets transmitted via poor channels can be chosen, the
improvements made by FPLR raise.

4.5. State Transition Rate

Given that a channel varies among the five states, 0, 1 Mbps, 2 Mbps, 5.5 Mbps, and 11 Mbps,
the transition rate, a, is varied from 20 to 40 to observe its effect upon loss rate ratios and
all improvements. Figure 9a shows that the state transition rate does not affect the loss rate
ratios. From Figure 9b, as state transition rate changes faster, all improvements of FPLR
become smaller. When the state transition rate is small, the bad channel will lasts long,
causing that the HOL blocking also last long. Many packets will be accumulated in the buffer,
and packet losses usually occur, leading FPLR to have high opportunities to adopt the fuzzy
mechanism. When the state transition rate becomes larger, the packets caused by the HOL
blocking can be absorbed in the buffer, implying a smaller loss rate. Thus, the improvements
made by FPLR also become smaller.
Mathematical Problems in Engineering 15

40
5
35
4.5

30 4

25 3.5
Improvement (%)

Loss rate ratio

20
2.5
15
2

10 1.5

1
5

0.5
0
0.1 0.3 0.5 0.7 0.9 0
Threshold 0.1 0.3 0.5 0.7 0.9
Threshold
Loss
Delay FPLR : R 31
Throughput FPLR : R 21
a b

Figure 10: The effect of threshold θ.

4.6. Threshold θ
Herein we investigate the effects of the parameter θ for FPLR. Figure 10a reveals that loss
improvement, throughput improvement, and delay improvement made by FPLR increase
as threshold θ increases. As the threshold θ increases, since the opportunity of considering
packet size and channel states becomes large, smaller packets transmitted via low-capacity
channels are dropped, and more large packets transmitted via high-capacity channels are
kept. Thus the improvements made by FPLR increase. However, Figure 10b shows when
threshold θ exceeds 0.5, the target loss rate ratios slide down as threshold θ increases. The
reason is that in this case the loss rate proportions have minor influence, so the target loss
rate proportions cannot be maintained.

5. Conclusions
This paper proposed a high-performance algorithm, FPLR, which can be used to provide
proportional loss differentiation in a wireless network with multi-state channel. FPLR uses
three processes to decide how to drop packets. A fuzzy controller system on the first process
takes advantage of fuzzy theory to PLD. The debt decision module in the second process is
to compensate for the loss rate debts. The third process is to determine an appropriate packet
to drop. FPLR not only considers the normalized average loss rate, but also considers the
channel state and packet sizes, in order to improve the performance of dropping.
16 Mathematical Problems in Engineering

From the simulation results, FPLR is examined to deal with location-dependent

channel capacity well and does provide more accurate proportional loss rate differentiation
than WPLR. Compared with WPLR, FPLR indeed provides better throughput and lower
queuing delay and loss in the wireless network with a multistate channel.
Our future works include developing a wireless proportional scheduler to provide
both proportional loss differentiation and delay differentiation.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 783476, 21 pages
doi:10.1155/2012/783476

Research Article
A Cost-Effective Planning Graph Approach for
Large-Scale Web Service Composition

Szu-Yin Lin,1 Guan-Ting Lin,1 Kuo-Ming Chao,2

and Chi-Chun Lo1
1
Institute of Information Management, National Chiao Tung University, Hsin-Chu 300, Taiwan
2
Faculty of Computing and Engineering, Coventry University, Coventry CV1 5FB, UK

Correspondence should be addressed to Szu-Yin Lin, [email protected]

Received 16 November 2011; Revised 25 January 2012; Accepted 28 January 2012

Academic Editor: Jung-Fa Tsai

Copyright q 2012 Szu-Yin Lin et al. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

Web Service Composition WSC problems can be considered as a service matching problem,
which means that the output parameters of a Web service can be used as inputs of another one.
However, when a very large number of Web services are deployed in the environment, the service
composition has become sophisticated and complicated process. In this study, we proposed a novel
cost-effective Web service composition mechanism. It utilizes planning graph based on backward
search algorithm to find multiple feasible solutions and recommends a best composition solution
according to the lowest service cost. In other words, the proposed approach is a goal-driven
mechanism, which can recommend the approximate solutions, but it consumes fewer amounts
of Web services and less nested levels of composite service. Finally, we implement a simulation
platform to validate the proposed cost-effective planning graph mechanism in large-scale Web
services environment. The simulation results show that our proposed algorithm based on the
backward planning graph has reduced by 94% service cost in three different environments of
service composition that is compared with other existing service composition approaches which
are based on a forward planning graph.

1. Introduction
Research on Web Service Composition WSC has become increasingly important in recent
years due to the growing number of web services over the Internet and the challenge of
automating the process. Particularly with the development of cloud computing, there will be
more and more diverse Web services deployed and published on cloud environments. Web
services are Internet-based software components which have the capabilities of delivering
service cross-platforms and languages. The W3C organization has defined “Web Services”
that “a software system designed to support interoperable machine-to-machine interaction
over a network. It has an interface described in a machine-processable format specifically
2 Mathematical Problems in Engineering

Web Services Description Language WSDL. Other systems interact with the Web service
in a manner prescribed by its description using SOAP messages, typically conveyed using
HTTP with an XML serialization in conjunction with other Web-related standards 1”. The
W3C has also pointed out that “We can identify two major classes of Web services, REST-
compliant Web services, in which the primary purpose of the service is to manipulate XML
representations of Web resources using a uniform set of stateless operations; and arbitrary
Web services, in which the service may expose an arbitrary set of operations 2”.
Since the growth of Web services to a large number is happening and possible
interactions among them are huge, searching, analying, and processing them to find the
required services to achieve user goals is very difficult via a manual process. This also means
service composition problem has become increasingly sophisticated and complicated in the
real world 3. Therefore, the issue of finding solutions efficiently via composing services to
form a complex composited service is one of the important studies.
The process of combining and linking existing Web services to create new service is
known as WSC. In other words, WSC problems can be considered as a service matching
problem, which means that the output parameters of a Web service can be used as inputs
of another Web service. The aim of WSC is to provide a means for composing diverse
Web services to accomplish user request which cannot be satisfied by a single Web service.
The Web services composition approaches can be broadly classified as static or dynamic
based on the process and the way of composing services. A static Web service composition
is constructed to solve the particular problem through manually identifying Web services
by their capabilities. They are composed by a series of known Web services and a set of
known data in order to obtain the expected results. Dynamic Web service composition is to
automatically select Web services and compose those at the execution/run time. The aim is
to build and utilize an automated service discovery and its associated execution mechanism
to produce the required composite services. There have been numerous methods proposed
for solving the problem of service composition, such as workflow 4 and AI planning 5.
The Web service composition is commonly described by using the Web Services Business
Process Execution Language BPEL 6 which is an XML-based language that provides
particular functionalities for processes, such as define variables, create conditionals, design
loops, and handle exception. It utilizes Web services as the model for the decomposition and
the composition of the process. However, BPEL promotes the development of workflow and
the integration of business processes.
Nowadays, numerous researches focus on finding and developing new approaches to
fit in with WSC. The task of WSC usually assumed that the composition process generates a
composition workflow, which starts from the known variables from the requirements or the
related constraints to the expected goal. Therefore, many algorithms based on AI planning
techniques that can facilitate to automat Web service composition have been proposed
3, 5, 7–9, but it is still a great challenge for solving large-scale WSC problem to obtain
multiple flexible service composition solutions with acceptable service cost and execution
time. It can assume that Web services as actions, and the process of composing them to
produce the desired result as planning, so planning graph is one of the most suitable
techniques could be used for WSC problem. However, there are very few studies using
planning graph approach to achieve WSC problem, especially with considering both sides
of cost and effectiveness in large-scale Web services composition.
Therefore, this paper proposes a new cost-effective planning graph approach based
on backward strategy for large-scale Web service composition on cloud environment, which
can find multiple solutions and recommend a list of best composite services composition to
Mathematical Problems in Engineering 3

users. In addition, we can recommend the approximate match services which may not totally
meet to user requests, but the user may accept the services and it uses fewer amounts of Web
services and less nested levels of composite Web services. The main research objectives in
this paper are 1 to present a novel framework and composition processes for WSC on cloud
environment, 2 to design a cost-effective WSC algorithm which can obtain multiple service
composition solution using fewer number of Web services with low cost and in acceptable
execution time, 3 the proposed approach must process large-scale Web services which
amount over 10000, and 4 to provide an approximate solution when there is no composite
solution which exactly corresponds to the request.
The rest of this paper is structured as follows. Section 2 describes the related works.
Section 3 proposes the planning graph service composition algorithm based on the backward
strategy. Section 3 presents the details of experiment and its results, and we give a summary
discussion about the result. Finally, Section 4 concludes this study and proposes the future
work.

2. Related Works
The planning graph, which is a representation technique by AI planning, provides a very
powerful search technique in a space 10 to improve the efficiency of AI algorithms. A
WSC problem can be modeled as a planning graph. The input parameters of the composition
request are mapped to the initial state, and the output parameters of the composition request
are mapped to goal propositions. If a planning graph reaches a proposition level which
contains all required parameters, then it searches backward from the last level of the graph for
a solution. However, the disadvantage of this approach is the difficulty of designing a strategy
to trade off two key criteria that are cost and effectiveness. Therefore, there are always two
problems of time consuming and redundant actions existed in the solution.
The planning graph is a layered graph whose edges are only allowed to connect two
nodes from one layer to next layer. And the planning graph’s layers are with an alternating
sequence of action layer and proposition layer. The proposition layer contains a finite set
of states, and the action layer contains a finite set of actions the action has preconditions,
negative effects, and positive effects. For example, the first layer of planning graph, P0, is a
proposition layer which contains the initial states of the planning problem. The next layer, A1,
is an action layer which contains a set of actions which preconditions can be satisfied by P0,
and P1 is the union of the states of P0 and the effects of all A1’s actions. Those preconditions
of actions in A1 are connected to the state nodes in P0 by incoming arcs, and those positive
or negative effects in P1 are connected to the state nodes in P1 by outgoing arcs. The process
continues until it reaches the goal states or the fixed-point level of the graph.
The study conducted by 10 showed a Planning Graph planner technique called
GRAPHPLAN. The GRAPHPLAN algorithm is operated in two main steps which alternate
within a loop: graph expansion and solution extraction. The solution extraction can be
formulated as a constraint solving problem 11 or as a search problem 12. In Peer’s survey
9, GRAPHPLAN’s advantages include good performance, soundness, completeness,
generation of shortest plans, and termination on unsolvable problems. However, the original
GRAPHPLAN algorithm has some limitations: 1 its representation language is restricted to
pure STRIPS operators, so no conditional or universally quantied effects are allowed; 2 the
performance can decrease drastically if too much irrelevant information is contained in the
specification of a planning task 13.
4 Mathematical Problems in Engineering

Preprocessing
Goal

Cloud
web Web
service service
repository

Service Search
group Web service
optimal
matching composition solution
module module module

Semantic
WordNet similarity
module

Composition Feedback
repository

Figure 1: The flow diagram of the service composition mechanism.

Zheng and Yan 7 also transformed the problem of service composition into the
problem of simplified planning graph based on forward search, which could be constructed
in polynomial time. In classical AI planning technique, generating final solutions by a
backward search is a popular approach, but it is the most time consuming technique.
Researches have been working on it to improve it. However, forward search could improve
efficiency, but the redundant Web services during the construction of the planning graph
lead to the increase of service cost. Zheng and Yan 7 put efforts into using forward search in
planning graph algorithm to solve WSC problem, and it shows a good result which can find
a solution in polynomial time but encounters some drawbacks: 1 there are many redundant
Web services existed in the solution of service composition, and 2 it is lack of flexible
search mechanism which can recommend multiple solutions for service composition when
few input unknown parameters occur. In other words, the composition algorithm based on
the forward strategy aims to minimize the search time, but there are many possible redundant
and unnecessary Web services included in the final solution.

3. Backward Planning Graph Approach for Web Services Composition

In this section, we will introduce the proposed service composition mechanism which
includes four steps, such as preprocessing, service group matching, service composition, and
search optimal solution. Those modules will be described in following subsections.
The overview and its flow diagram of the proposed service composition mechanism
are shown in Figure 1, which contains the following four main processes and modules

I Preprocessing. There are two components involved in the first step. One is the Web
service repository, and the other is semantic similarity module. The Web Service
Repository will search Web services from distributed UDDIs on cloud and store
those services in a repository database and entries in the repository will be updated
regularly. Therefore, the input of this mechanism is Cloud Web Services. Semantic
Mathematical Problems in Engineering 5

Similarity Module precalculates the semantic similarity values between any two
concepts and stores the similarity values in a semantic similarity database for
retrieval.
II Service group matching module. It utilizes Web Service Repository and Semantic
Similarity Module to select the Web services that can satisfy the query, and group
them based on the degree of their similarity. It will provide a set of service groups
for service composition.
III Web Service Composition Module. It will query Service Group Matching Module
to get services which are required by composition algorithm. Web Service Com-
position Module will generate multiple service composition solutions according to
the goal which is described in final output parameters of each solution. With the
expansion of levels in backward planning graph composition algorithm, the goal
will be refined at each iteration.
IV Search Optimal Solution Module: It will calculate the score of each solution and
choose the most suitable solution of WSC from these identified solutions according
to the given goal.

3.1. Preprocessing
In large-scale WSC, the number of querying services could be large. Querying Web service
entries registered in distributed UDDIs at runtime in process of service composition, the
efficiency is likely lower than those entries stored in one centralized database. So, all Web
service entries to be used in this approach will be stored to a centralized structured Web
Service Repository. In addition, the calculation of semantic similarity between concepts is a
time consuming task which is not efficient to meet dynamic service composition, so it will
be preprocessed by Semantic Similarity Module. Service Group Matching Model according
to the repository and the relationships of concept similarity to respond the query. The
preprocessing task requires two components.

(I) Web Service Repository

The aim of service repository is to virtualize service discovery. We query Web services
registered in distributed UDDIs on cloud and parse the WSDL of Web services to store them
in a repository database, as shown in Figure 2. It will search regularly Web services from
distributed UDDIs and analyze the structure to update database. The structure is to facilitate
the process of service composition by including a set of input parameters, output parameters,
and their associated service name.

(II) Semantic Similarity Module

The semantic module is for discovering the relationship between Web services. According
to the definition of lexicon and classification on WordNet, it transforms the description of
services into the concept and relationship of Ontology, as shown in Figure 3. The similarities
between concepts can be calculated based on their semantic similarity. Through these
functions, obtaining semantic similarity values between semantic concepts become possible.
The values of similarity will fall between 0 and 1, and the higher value represents higher
similarity. Those similarity values are precalculated and stored in a database. However, this
6 Mathematical Problems in Engineering

WS
UDDI
WS
WS
UDDI WS
WS Web service
WS
WS repository

WS
UDDI UDDI

WS UDDI

Figure 2: Capture web services into repository from cloud.

Entity

Physical Abstract

Thing Object Matter Semantic

similarity
module

Living thing Stuff Food

Life Being Cell Meat Fish

Animal Person Plant

Figure 3: Import semantic concepts from WordNet.

module is useful but optional in the proposed service composition approach, so that it is not
introduced to experiments in Section 4.

3.2. Service Group Matching Module

There will be full of many similar Web services on cloud, due to rapid expansion of solution
space, so we could group similar Web services together based on their semantics as a service
group. “Service group” is a concept that we proposed in this algorithm, which means that
a group of Web services have certain degree of similarity in their input parameters and
output parameters. This module will provide appropriate extracted service groups according
to system requests or user queries for service composition module. It will be the key to reduce
the amount of system queries and calculation. Service group matching algorithm includes
three steps.
Mathematical Problems in Engineering 7

ABCD W1 IJ

ABC W2 IJ
AB W4 IJK

ABC W3 IJK

AB W4 IJK

EF W5 IJK EF W5 IJK

Figure 4: The example of service group extraction.

(I) Semantic Parameter Expansion

Semantic expansion is based on Sematic Similarity Module SSM, which records relation-
ships between semantic concepts. Querying the SSM according to the request will get a set
of concepts which can meet the request. Then, the set of parameters can be used to select the
Web services which satisfy the query and group them based on the degree of their similarity.

(II) Query Web Service Repository

From the previous step, we have a set of parameterized queries. Using them to query the
database by matching services in the repository which output parameters can provide one of
query parameter sets. It is assumed that there exists at least one service that can produce the
expected output.

(III) Extract Web Service Group

Those Web services that are collected from the previous step will be classified into different
groups and each group can be represented by one service. The extraction rule of service group
is “effect w ⊆ effect wg ∧ precond w ⊇ precondwg.” The effect w and precond w
mean the output and input results of Web services, respectively. For example, in Figure 4,
there are five services, W3 has input parameters {A, B, C} and output parameters {I, J, K}. W4
has input parameters {A, B} and output parameters {I, J, K}. W4 uses fewer inputs and gets
the same outputs, and then it concludes that W4 contains W3, and so on. It helps to reduce
the search space of solutions.

3.3. Web Service Composition Module

In the proposed algorithm, a planning graph approach based on the backward strategy is
adopted to solve the problem of large search space. The aim of a backward search is to find
the initial states from end or intermediate states, so we propose an algorithm for solution
8 Mathematical Problems in Engineering

i ← 0, P0 ← s0 , G ← P0
repeat
G ← Expand Based On Backward G
S ← Extract Solutions G, S
S ← Reduce Solutions S
ii 1
Validate Solution G, S
Compute Score G, S
Output Search Solution S

Algorithm 1

extraction from a planning graph, which help to find the initial state. The main composition
algorithm is shown as follows.

3.3.1. Algorithm Compose G, S

G  P0 , A1 , P1 , . . . , Ai , Pi  is a simplified planning graph.
S  {s1 , . . . , sn } is a set of solution candidates Algorithm 1.
Web Service Composition Module includes the following four steps.

(I) Expand the Planning Graph

In this step, we will expand the planning graph with more action level for backward search.
From the last proposition level in the planning graph, a list of expected parameters can be
obtained, and then Service Group Matching Module can be interrogated to get service groups.
Those service groups can be added to a new action level and arrange a new proposition level.

3.3.2. Algorithm Expand Based on Backward G

G  P0 , A1 , P1 , . . . , Ai , Pi  is a simplified planning graph.
W  {w1 , . . . , wn } is a set of web services.
WG  {wg 1 , . . . , wg n } is a set of web service groups Algorithm 2.

(II) Extract Solutions from the Planning Graph

After the previous step, we can get a planning graph GP0 , A1 , P1 , . . . , Ai , Pi  which contains
action and proposition levels. In the solution extraction process, we have to trace to obtain
possible solutions from the planning graph layer by layer, so keep those lists of service
composition first and then expand them to the next new layer in the planning graph. In other
words, we find out the service combinations to extend the service composition solutions from
the action level. This step is for finding feasible composition solutions which correspond to
the initial state of the request according to the planning graph established in previous steps.
Mathematical Problems in Engineering 9

for w ∈ W do
for wg ∈ WG do
if effect w ⊆ effect wg ∧ precond w ⊇ precond wg then
wg ← wg ∪ w
if effect w ⊇ effect wg ∧ precond w ⊆ precond wg then
wg ← wg ∪ w
effect wg ← effect w
precond wg ← precond w
if not be filled with service group then
WG ← WG ∪ new wg
Ai 1 ← WG
return G

Algorithm 2

for s ∈ S do
for a ∈ Ai do
available a ← true
S←S−s
do
required ← inputs s
ns ← new solution
parent ns ← s
for a ∈ Ai do
if available a ∧ required ∩ effect a /
 NULL then
required ← required − required ∩ effect a
available a ← false
ns ← ns ∪ a
if required  NULL then
S ← S ∪ ns
break
while required  NULL
return S

Algorithm 3

3.3.3. Algorithm Extract Solutions G, S

S  {s1 , . . . , sn } is a set of solution candidates.
inputs s: a set of input parameters of solution s.
parent s: the parent node of solution s.
available a: it records action a whether available or not Algorithm 3.

(III) Reduce Solutions

From the above step, it extracts possible solutions to form a set of service compositions. Two
strategies in this research can be used to select the most appropriate solution. One of the
strategies is that removing the solutions which utilize the number of services more than the
threshold given in any new expansive level. “Service Threshold” means the max number of
10 Mathematical Problems in Engineering

for s ∈ S do
if count s > Service T hreshold then
S←S−s
for s ∈ S do
if initial s ⊃ {initial s2 | s2 ∈ S} then
S←S−s
return S

Algorithm 4

services used in any composition solution. It is the key to reduce redundant solutions and
facilitate the efficiency of composition algorithm. It can be determined by users according to
their server performance. The Service Threshold value is set to 3000 by default value which
is very huge in the experiments. The other is to remove the solutions which have too many
services and similar to other short solutions in each action level. The process helps to filter
large number of unwanted solutions and identified the most appropriate ones.

3.3.4. Algorithm Reduce Solutions S

initial s: a set of initial input parameters of solution s.
count s: a number of web services of solution s.
Service Threshold: a number of max services used in one solution Algorithm 4.

(IV) Validate and Score Solutions

In order to filter out less appropriate solutions, a threshold value is given in this step to
remove solutions with lower precision. “Threshold” means the minimum tolerable precision
of output and input parameters matching results of Web services. It can also be described as
the threshold of solution precision. Users can set the value to 1 when they want to obtain the
completely matching solutions, otherwise, decrease this threshold value to allow unmatched
but possible solutions. In addition, we repeat the above steps to expand the planning graph
for finding all solutions and then calculate the score for each solution to find the best one.
If the process stops in this step by threshold or finishes complete planning graph but still
without solution, it means that there is no final solution found in this composition problem.
The validate algorithm is shown as below, and the score approach for search optimal solution
is in the Section 3.4.

3.3.5. Algorithm Validate Solution G, S

Initial s: a set of initial input parameters of solution s.
precise s: the precise of solution s that correspond to user request.
intersection: the amount of all same concepts.
union: the amount of all different concepts.
Precise Threshold: The threshold of solution precision Algorithm 5.
Here is an example to explain the proposed composition mechanism. Assume a user’s
request which includes a set of input parameter rin  {A, B, C, D} and a set of output
Mathematical Problems in Engineering 11

for s ∈ S do
intersection ← Count initial s ∩ initial g
union ← Count initial s ∪ initial g
precise s ← intersection/union
if Precise Threshold ≤ precise s then
Search Solution S ← Search Solution S ∪ s

Algorithm 5

Table 1: The example of Web services.

Web service Input parameters Output parameter

W1 A, B, C E, F
W2 A, B H
W3 D, E I
W4 E, F J
W5 K, L
W6 G L
W7 H M
W8 I, J, K M, N
W9 L N

parameters rout  {M, N}, and there are nine Web services in our Web Service Repository.
Table 1 shows the details of the example of Web Service Repository.
Figure 5 shows the expanded planning graph result of the above given example.
{A, B, C, D} and {M, N} are the input and output parameters of the composition request. At
first, we search Web services which can output {M, N}, then we get {w7 , w8 , w9 } which can
support the proposition 4 P4, our goal. Those three Web services will be involved in action 3
A3. We collect input parameters of Web service in action 3 A3, and we will get proposition
3 P3. The rest of proposition and action are like this, and so forth. From the previous step, a
planning graph is generated to extract solutions. We utilize our proposed algorithm to extract
solutions which store them in a tree structure to form a solution tree for tracing. Every leaf
node in solution tree means that there is a solution from leaf node to root. The result is shown
in Figure 6. Many possible paths that can reach initial state of the tree have been discovered.
This is one of advantages of adopting the backward strategy, so that multiple solutions for
user request can be found.
{M, N} are the output parameters of user request. It is located in proposition 4 P4,
so we need to find the combinations of Web services in action 3 A3, which corresponds
to {M, N}. And we will get two combinations, which are {W7, W9} and {W8}. Those
combinations will be added to the root as its child. Now, there are two nodes at second level.
The solution node composited by {W7, W9} requires a set of input parameters {H, L}, so we
need to find the combinations of Web services in action 2 A2, which can correspond to
{H, L}. So we get {W2, W5} and {W2, W6}, and so forth.
12 Mathematical Problems in Engineering

W2

A A H W7
W3
B I M
B
W1 D J W8
W4 N
C E K
D F L W9
W5
G
W6

P1 A1 P2 A2 P3 A3 P4

Figure 5: The simplified planning graph for the above example.

M, N

W7, W9 W8

W2, W5 W2, W6 W3, W4, W5

A, B, D A, B, D, G W1

A, B, C, D

Figure 6: The solution tree for the planning graph for the above example.

3.4. Search Optimal Solution Module

After establishing the solution tree, it found a number of service composition solutions which
possibly satisfy user request. Then, the Search Optimal Solution Module needs to give a score
on each solution and select the highest score one. At first, we calculate the precision of the
matched solutions with user request. We utilize the ratio of the number of intersections to
the number of unions, which are between the solution’s initial states and the user request’s
inputs. The precision equation is in the following.

∩ s1 s2
Precise s1 , s2   . 3.1
∪ s1 s2

Equation 3.1 shows the precision. In this equation, ∩ s1 s2 represents the amount of
the same concepts and ∪ s1 s2 represents the amount of all different concepts, where S1 and
S2 both are lists of concepts. This equation evaluates the similarity between the solution’s
initial states and the user request’s inputs. It also means the difference between two lists of
concepts. After the previous step, we have the likelihood of the solutions to achieve the goal.
Mathematical Problems in Engineering 13

For calculation of the score for each solution, we need to calculate matching degree between
the levels of the solutions. The matching equation is illustrated in the following

Mat s1 , s2   KM − α∪ s1 s2 − ∩ s1 s2 

3.2
where KM  KMSimc1 , c2  c1 ∈ s1 , c2 ∈ s2 .

Equation 3.2 shows the matching score. In the above equation, KM represents
classical Kuhn-Munkres algorithm which solved the assignment problem, and Sim represents
the similarity between any two concepts in s1 and s2 . This equation is to evaluate the
matching score of two solutions. With the previous two formulas, we can calculate the
solution score. It sums the matching scores between levels of the solutions and divides by
the number of levels to gain the average. Then, we get the average of matching scores, and
multiple by the matching precision of the solution and the request. The score equation is
shown as below.

slu
s1 ,s2 Mat s1 , s2 
Score slu  Precise slu · in, r · in . 3.3
n

Equation 3.3 shows the solution score. Solution slu is a list of nodes from node leaf
to the root, which represents each level of service composition, slu · in represents the input
parameters of the solution slu, r · in represents the input parameters of the request r, and the
number of levels is represented by n. The Precision calculates the matching precision between
the input parameters of the request r and the input parameters of the solution slu.
Briefly, our proposed mechanism is particularly suitable for large-scale service
composition due to the problems that service composition is an error-prone and complicated
process. In this study, we designed a cost-effective planning graph mechanism for finding
multiple service composition solutions with lower service cost to overcome the above
problems. Furthermore, in some cases, the exact solution does not exist, and our proposed
mechanism still can recommend approximate solutions. On the other hand, in order to
provide multiple solutions, it must need to trace each possible solution. Our proposed
mechanism can filter out and reduce the less appropriate solutions in order to avoid
exponential growth in complexity.

4. Experiments
In this section, the simulation design, assumption, performance metrics, and simulation
results are described. Moreover, there is a brief discussion in the later section.

4.1. Simulation Design

We established a simulation platform which is based on the proposed mechanism for
validating our algorithm. In this platform, WSBen 14, which is widely used to evaluate the
efficiency and effectiveness in Web service discovery and composition, is utilized to generate
different test sets to validate the proposed algorithm. The simulation platform will carry out
the algorithm according to the test dataset and the requests derived from WSBen.
14 Mathematical Problems in Engineering

Web service discovery and composition

benchmark tool

Web services Request

Web service
Web service composition
repository

Service pattern Search optimal Composition

matching solution solution

Figure 7: The architecture of simulation platform.

The architecture of simulation platform is shown in Figure 7. WSBen was set up with
the test data including a set of Web services and a set of feasible requests for testing WSC
algorithm. In the simulation, a program extracts the information of Web service generated by
WSBen and then stores it in the Web Service Repository which includes service name, input
parameters, and output parameters. The Service Group Matching Module is in charge of Web
services selection according to the service query which has been processed by the Web Service
Composition Module. In addition, it also groups the selected Web services as Web service
groups for the composition algorithm. The Web Service Composition Module including a
composition algorithm composes a composite service according to the composition request,
which interacts with the service matching module in the discovery and selection process until
a possible solution had been found, if there is any. Therefore, it will generate a list of candidate
composite Web services which can fulfill the required services. The Search Optimal Solution
Module calculates each candidate solution to obtain a score in order to generate an ordered
recommendation list for selection.

4.2. Simulation Assumption

WSBen is a Web services generation and benchmark tool for Web services composition
and discovery, which provides a set of functions to simplify the generation of Web service
test datasets and builds test environments including the testing requests 14. A complex
graph network with nontrivial topological features does not occur in a simple form such
as lattices or random graphs but often occur in real applications. Many systems in nature
can be described by models of complex networks, which are structures consisting of nodes
or vertices connected by links or edges 15. Such as a Web service can be assumed to be
a transformation between two difference domain nodes, this could be regarded as clusters
of parameters. The development of WSBen is based on the above assumption. The complex
Mathematical Problems in Engineering 15

network is most commonly used in three concepts—“random,” “small-world,” and “scale-

free” network 15. Therefore, the tool provides these three different types of network models
to generate Web services test datasets. It also can generate diverse sizes of datasets based on
the complex network type specified.
The network topology will be constructed as a directed graph based on graph
theory. Each node is represented as a parameter cluster, and each edge is represented as
a connecting between two different clusters, that will be regarded as generation template
of Web services. The development of WSBen is based on the above assumption. This test
environment also includes five feasible and correct requests r1, r2, r3, r4, and r5 generated
by WSBen. We put them into all experimental cases as the test requests in three network
models for evaluation. There is an input framework that users can specify the generated
Web service and the characteristics of network topology in WSBen. The input framework
xTS  |J|, Gr , η, Mp , |W| is described as below.

I |J| is the total number of parameter cluster.

II Gr donates a graph model to specify the topology of parameter cluster network.
The three types of network, which are “random,” “small-world,” and “scale-free”
complex networks, can be simulated by the three network model, as follows.

i Erdo-Renyi |J|, p. The model has such a simple generation approach that it
creates |J| nodes in graph and assign each edge in the graph with probability
p.
ii Newman-Watts-Strogatz |J|, k, p. The initialization is a ring graph with k
nodes. Each node adds to graph and constructs edge by connecting to others
with probability p. The process will iterate until there are |J| nodes in the
graph.
iii Barabasi-Albert |J|, m. There are m nodes with no edge in the initial graph.
Each node adds with m edges, which are preferentially attached to existing
nodes with high degrees.

III η donates the parameter condense rate. Users can control the density of partial
matching cases in generated Web services.
IV Mp donates the minimum number of parameters in a cluster. In other words, each
cluster has at least Mp parameters.
V |W| donates the total number of Web services in a test dataset.

The assumptions in datasets for simulation have to be described in advance. There

are three types of network in the simulation, which are random, small-world, and scale-free
types. Each network is assumed as a parameterized cluster network, and a Web service is a
transformation between two clusters. Each cluster contains its parameters, and it is also called
node. In other words, the input and output parameters of a Web service can be generated
and selected from each two domain cluster nodes according to argument η, Mp , and the
generation rules of WSBen, and a Web service generated in the network could be regarded as
an edge. WSBen provides a set of functions to simplify the generation of test data for WSC
algorithm. It generates Web services according to the parameter cluster network which users
specify. In our simulation, we assume that there are 100 clusters in network and the parameter
condense rate is 0.8. The configurations for three types of network model in our experiment
platform are as follows.
16 Mathematical Problems in Engineering

I Random Network: Barabasi-Albert 100, 0.06. The model creates 100 nodes in the
graph and each edge in the graph is with probability 0.06 to be chosen.
II Small-World Network: Newman-Watts-Strogztz 100, 6, 0.1. The initialization is
a ring graph with 6 nodes. Each node adds to the graph and constructs edges
connected to each other with probability 0.1, until there are 100 nodes in this graph
III Scale-Free Network: Erdo-Reyi 100, 6. There are 6 nodes with no edge in the
initial graph. Each node adds 6 edges until reach 100 nodes. Each added edge is
preferentially attached to existing nodes with high degrees.
For each network, there are 10 different sizes in each of test data types, which sizes are
10,000 to 100,000, respectively. Thus, there are 30 test sets three frameworks multiplied by
ten different test sizes in our large-scale WSC simulation.

4.3. Evaluation Criteria

Effectiveness, efficiency, and feasibility are three evaluations, which are used to test our
proposed approach. We use diverse sizes of Web services and three types of Web service
networks to measure the scalability and robustness of our approach. The evaluation metrics
are as follows.
I #T : it measures the time that is required by the algorithm to find a fully matched or
approximate solution. In other words, it is a measure of computational efficiency.
II #C: the number of Web services in a solution of WSC problem, which also stands
for composite cost. It is a measure of cost and effectiveness.
III #L: the number of nested levels of composite Web services in a solution of WSC
problem. It is also a measure of cost and effectiveness.
IV #P : it measures the difference of input parameters between the final solution and
user request. It means that there exists a completely correct solution if the #P rate
is 100%, otherwise, the solution is an approximate answer with some missing input
parameters, and user can add those missing input parameters to achieve the goal.
Precision described in 3.1 is a measure of effectiveness.

4.4. Simulation Results

In this section, we show the efficiency, effectiveness, and feasibility of the proposed algorithm
in three cases. We utilize diverse sizes of Web services and different type of network topology
to observe the scalability and robustness of our proposed algorithm. Some related results are
illustrated in the below sections. The three test datasets of our experiments deal with the
networks of random, small, and scale-free type. We compare the proposed backward strategy
with the forward strategy in the previous study 7 to observe the results. The evaluation
criteria are four indexes: #T , #C, #L, and #P which are described in Section 4.3.

Case 1 Random Network. Table 2 shows the results of five requests of random network
with |W|  10, 000 Web services in a test dataset. The results of criterion #P mean that both
Backward and Forward strategies can find solutions in all cases #P  1. Regarding #L,
Backward and Forward strategies have no difference in finding solutions. In the criterion of
#T , the computational efficiency of Forward is better than Backward, because of generating
Mathematical Problems in Engineering 17

Table 2: Results of random network with |W|  10000.

Backward Forward
Test request
#L #C #T #P #L #C #T #P
r1 8 18 2.725 1 8 262 1.033 1
r2 8 14 3.028 1 8 237 1.05 1
r3 7 9 1.916 1 7 220 1.066 1
r4 7 10 2.191 1 7 245 1.072 1
r5 9 16 4.141 1 9 241 1.062 1
Avg. 7.8 13.4 2.8 1 7.8 241 1.056 1

Table 3: Results of small world network with |W|  10000.

Backward Forward
Test request
#L #C #T #P #L #C #T #P
r1 14 14 1.599 1 14 183 0.863 1
r2 11 11 1.016 1 11 175 0.769 1
r3 12 12 1.985 1 12 156 0.746 1
r4 10 10 2.419 1 10 174 0.716 1
r5 16 16 1.854 1 16 181 0.903 1
Avg. 12.6 12.6 1.776 1 12.6 173.8 0.8 1

final solutions by a backward search to expand graph layers is very time consuming. It still
falls within an acceptable time frame in our proposed approach even in the large-scale 10000
Web services environment. In the experiment with #C Web services, our proposed Backward
approach outperforms the Forward. Backward strategy uses less 20 services to fulfill the
request in all cases, but the Forward strategy requires more than 200 Web services to find
a solution.

Case 2 Small World Network. Table 3 shows the results of five test requests of a small world
network with |W|  10, 000 Web services in a test dataset. The results of criterion #P mean
that both our proposed Backward and the Forward strategies still can find solutions in all
cases #P  1. Regarding #L, the result of Backward strategy is as good as the Forward
strategy. Our proposed Backward strategy takes more a little time than the Forward strategy
in #T , but processing time is still acceptable. The reason is to generate final solutions by a
backward search to expand graph layers is very time consuming. Finally, in the experiment
with #C, it shows it has produced much better performance than the Forward strategy.

Case 3 Scale-Free Network. Table 4 shows the result of five test requests of a scale-free
network which contains |W|  10, 000 Web services in a test dataset. The results of criterion #P
mean that Forward strategy still can satisfy all requests #P  1, but it requires more than 200
Web services to obtain the solution in service cost #C. In the more complex scale-free network,
although Backward strategy finds the fully matched solution is impossible in some cases, an
approximate solution can be found and replaced, which use much less services to satisfy the
request. Regarding #T and #L, the result shows that Backward strategy are a bit better than
Forward in #T , but both produce almost the same performance in these two criteria.
18 Mathematical Problems in Engineering

Table 4: Results of scale-free network with |W|  10000.

Backward Forward
Test request
#L #C #T #P #L #C #T #P
r1 4 11 1.232 0.933 4 244 2.48 1
r2 4 6 3.151 1 4 343 1.654 1
r3 5 11 2.886 0.778 5 356 2.824 1
r4 — — — — 4 313 1.414 1
r5 4 10 0.203 0.814 4 281 2.122 1
Avg. 4.25 9.5 1.868 0.8812 4.4 316 2.3808 1

450

400

350

300
No. of C

250

200

150

100

50

0
1 2 3 4 5 6 7 8 9 10
|W| ×104

Backward
Forward

Figure 8: The average cost of finding solution in random network.

As shown in Figures 8, 9, and 10, the proposed algorithm has much better usage
of Web services in all cases in terms of obtaining the solution. Because of the aim of the
forward algorithm, which is to reach the goal as quick as possible, it expands the search space
in planning graph for services composition problem no matter how many redundant Web
services are produced. However, the proposed backward algorithm has no redundant Web
services existed in the solution, because its backward strategy searches what it needs to reach
the initial state. Figure 10 shows average cost of searching solution in Scale-Free Network.
It can be observed that the forward algorithm represents an unstable circumstance in Scale-
Free Network, when the size of a test dataset becomes large. Nevertheless, our backward
algorithm is still to appear stable and effective results. On average, our algorithm reduces
to 94% service cost for finding the solutions. From the above experiment results, we have a
simple deduction that the backward search will continue to display the stable and smooth
results in different types of network topology, even if the sizes of Web services continue to
increase.
In experiments, three types of network topology and diverse sizes of Web services are
utilized to evaluate these two algorithms. The main findings about the proposed algorithm
from the experiments are given as follows. In effectiveness, the experiment results show
our proposed backward algorithm has 94% better effectiveness compared to the forward
algorithm in most cases. In few cases, it uses little more levels to obtain the solution, but it
Mathematical Problems in Engineering 19

450

400

350

300

No. of C
250

200

150

100

50

0
1 2 3 4 5 6 7 8 9 10
|W| ×104

Backward
Forward

Figure 9: The average cost of finding solution in small world network.

450

400

350

300
No. of C

250

200

150

100

50

0
1 2 3 4 5 6 7 8 9 10
|W| ×104

Backward
Forward

Figure 10: The average cost of finding solution in scale-free network.

can get low-cost solutions. As confirmed by the experiment results, our proposed algorithm
can also get very high-precise solutions in most cases. In efficiency, although the forward
algorithm has better performance than the backward algorithm, the cost of solution is very
high. The proposed backward algorithm is efficient when the sizes of Web service are less
than 50,000. Therefore, the effect of this cost-effective approach for large-scale WSC problem
is exhibited.
20 Mathematical Problems in Engineering

5. Conclusion
In this study, we proposed a backward planning graph mechanism for Web service
composition on cloud environment. It utilizes a planning graph based on a backward
search to find multiple feasible solutions and recommends the best composite solution
based on their service costs. We also validated that the proposed algorithm can improve
the error-prone problem of service composition and the redundant Web service involved in
large-scale service composition problem. Therefore, the algorithm based on the backward
planning graph search, which is capability of recommending multiple service composition
and remove the redundant services. As the experiment results in this paper, we proved that
our proposed backward algorithm had a better cost-effectiveness than the forward search
algorithm in terms of service cost. The proposed algorithm is able to recommend approximate
solutions of service composition using very few Web services, because it has higher quality
of relationships between services. In other words, we can decrease the amount of cost of Web
services and remain acceptable planning graph levels and execution time.
In the future, we will study how to improve a greedy algorithm in order to expand
the solution tree. To obtain right combinations is a very important issue for the design of
algorithm. It cannot only help to decrease wrong combinations, but also to improve the
effectiveness and efficiency of algorithm. Moreover, we can add more predictable restrictions
to prune the huge combination tree nodes for our algorithm efficiency. If there are some
more predictable restrictions and composition information, then that will help us to make
more appropriate decisions to find the solutions. Moreover, because the Semantic Similarity
Module in the proposed approach is optional, this module has been not analyzed in the
experiments. There is a need to have an environment that can help to validate semantic
association of service compositions. To design a semantic experiment environment should
be undertaken determining how the semantic can influence the effectiveness of service
composition.

Acknowledgment
This research work was supported by the National Science Council of the Republic of
China under the Grant NSC-99-2410-H-009-036-MY3. This research is carried out as a part
of GREENet which was supported by a Marie Curie International Research Staff Exchange
Scheme Fellowship within the 7th European Community Framework Programme under
grant agreement no. 269122.

References
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3 M. Kuzu and N. K. Cicekli, “Dynamic planning approach to automated web service composition,”
Applied Intelligence, vol. 36, no. 1, pp. 1–28, 2010.
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in Design (CSCWD ’05), pp. 452–457, Coventry, UK, 2005.
5 L. Qiu, L. Chang, F. Lin, and Z. Shi, “Context optimization of AI planning for semantic Web services
composition,” Service Oriented Computing and Applications, vol. 1, no. 2, pp. 117–128, 2007.
6 A. Alves, A. Arkin, S. Askary et al., “Web Services Business Process Execution Language Version 2.0,”
OASIS WSBPEL TC, 2007.
Mathematical Problems in Engineering 21

7 X. Zheng and Y. Yan, “An efficient syntactic web service composition algorithm based on the planning
graph model,” in Proceedings of the IEEE International Conference on Web Services (ICWS ’08), pp. 691–
699, September 2008.
8 Y. Yan and X. Zheng, “A planning graph based algorithm for semantic web service composition,” in
Proceedings of the IEEE Joint Conference on E-Commerce Technology (CEC ’08) and Enterprise Computing,
E-Commerce and E-Services (EEE ’08), pp. 339–342, July 2008.
9 J. Peer, Web Service Composition as AI Planning—a Survey, University of St.Gallen, St. Gallen,
Switzerland, 2005.
10 A. L. Blum and M. L. Furst, “Fast planning through planning graph analysis,” Artificial Intelligence,
vol. 90, no. 1-2, pp. 281–300, 1997.
11 S. Kambhampati and M. B. Do, “Planning as constraint satisfaction: Solving the planning graph by
compiling it into CSP,” Artificial Intelligence, vol. 132, no. 2, pp. 151–182, 2001.
12 S. Russell and P. Norvig, Artificial Intelligence: A Modern Approach, Prentice Hall Press, Upper Saddle
River, NJ, USA, 2009.
13 Y. Dimopoulos, B. Nebel, and J. Koehler, “Encoding planning problems in nonmonotonic logic
programs,” in Proceedings of the 4th European Conference on Planning: Recent Advances in AI Planning
(ECP ’97), pp. 169–181, Toulouse, France, 1997.
14 S. C. Oh and D. Lee, “WSBen: A web services discovery and composition benchmark toolkit,”
International Journal of Web Services Research, vol. 6, no. 1, pp. 1–19, 2009.
15 X. F. Wang and G. Chen, “Complex networks: Small-world, scale-free and beyond,” IEEE Circuits and
Systems Magazine, vol. 3, no. 1, pp. 6–20, 2003.
Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 398232, 17 pages
doi:10.1155/2012/398232

Research Article
An Optimal Classification Method for
Biological and Medical Data

Yao-Huei Huang,1 Yu-Chien Ko,2 and Hao-Chun Lu3

1
Institute of Information Management, National Chiao Tung University, Management Building 2,
1001 Ta-Hsueh Road, Hsinchu 300, Taiwan
2
Department of Information Management, Chu-Hua University, No. 707, Section 2, WuFu Road,
Hsinchu 300, Taiwan
3
Department of Information Management, College of Management, Fu Jen Catholic University, No. 510,
Jhongjheng Road, Sinjhuang, Taipei 242, Taiwan

Correspondence should be addressed to Yao-Huei Huang, [email protected]

Received 25 October 2011; Revised 25 January 2012; Accepted 28 January 2012

Academic Editor: Jung-Fa Tsai

Copyright q 2012 Yao-Huei Huang et al. This is an open access article distributed under the
Creative Commons Attribution License, which permits unrestricted use, distribution, and
reproduction in any medium, provided the original work is properly cited.

This paper proposes a union of hyperspheres by the mixed-integer nonlinear program to classify
biological and medical datasets. A classifying program with nonlinear terms uses piecewise
linearization technique to obtain a global optimum. The numerical examples illustrate that the
proposed method can obtain the global optimum more effectively than current methods.

1. Introduction
Classification techniques have been widely applied in the biological and medical research
domains 1–5. Either objects classification or patterns recognition for biological and medical
datasets necessarily demands an optimum accuracy for saving patients’ lives. However,
cancer identification with the supervised learning technique does not take a global view in
identifying species or predicting survivals. The improvement should cover the whole scope
to give implications instead of only considering the efficiency for diagnosis. This research
aims to extract features from whole datasets in terms of induction rules.
In the given dataset with several objects, in which each object has some attributes and
belongs to a specific class, classification techniques are used to find a rule of attributes that
appropriately describes the features of a specified class. The techniques have been studied
over the last four decades, including decision tree-based methods 6–11, hyperplane-based
methods 12–14, and machine learning-based methods 14–17.
2 Mathematical Problems in Engineering

To assess the effects of these classifying techniques, three criteria are used for
evaluating the quality of inducing rules based on the study of Li and Chen 3.

i Accuracy. The rule fitting a class should not cover the objects of other classes. The
accuracy of a rule should be the higher the better.
ii Support. A good rule of fitting a class should be supported by most of the objects of
the same class.
iii Compact. A good rule should be expressed in a compact way. That is, the fewer the
number of rules, the better the rules are.

This study proposes a novel method to induce rules with high rates of accuracy,
support, and compactness based on global optimization techniques, which have become
more and more useful in biological and medical researches.
The rest of this paper is organized as follows. Section 2 gives an overview of the related
literatures. Two types of mathematical models and a classification algorithm are proposed in
Section 3. The numerical examples demonstrate the effectiveness of the proposed method in
Section 4. Finally, the main conclusions of this study and future work are drawn in Section 5.

2. Literature Review
Currently, two well-known methods are used to induce classification rules. The first method
is the decision tree-based method, which has been developed in the last few decades 6–10.
It is widely applied to fault isolation of an induction motor 18 to classify normal or tumor
tissues 19, skeletal maturity assessment 20, proteomic mass spectra classification 21, and
other cases 22, 23. Although the decision tree-based method assumes that all classes can be
separated by linear operations, the inducing rules will suffer if the boundaries between the
classes are nonlinear. In fact, the linearity assumption prohibits practical applications because
many biological and medical datasets have complicated nonlinear interactions between
attributes and predicted classes.
Consider the classification problem with two attributes as shown in Figure 1, where
“” represents a first-class object, and “•” represents a second-class object. Figure 1 depicts a
situation in which a nonlinear relationship exists between the objects of two classes. Decision
tree method focuses on inducing classification rules for the objects, as shown in Figure 1b,
in which the decision tree method requires four rectangular regions to classify the objects.
The second is the support vector hyperplane method, which conducts feature selection
and rule extraction from the gene expression data of cancer tissue 24; it is also applied
in other applications 12–14, 25. The technique separates observations of different classes
by multiple hyperplanes. As the number of decision variables is required to express the
relationship between each training datum and hyperplane, and the separating hyperplane
is assumed a nonlinear programming problem, the training speed becomes slow for a large
number of training data. Additionally, similar hypersphere support vector methods have
been developed by Lin et al. 26, Wang et al. 27, Gu and Wu 28, and Hifi and M’Hallah
29 for classifying objects. In classification algorithms, they partition the sample space using
the sphere-structured support vector machine 14, 30. However, these methods need to form
a classification problem as a nonlinear nonconvex program, which makes reaching an optimal
solution difficult. Taking Figure 1 as an example, a hyperplane-based method requires four
hyperplanes to discriminate the objects, as shown in Figure 2.
Mathematical Problems in Engineering 3

a Nonlinear dataset b Classify by decision tree method

Figure 1: Classifying the objects of two classes.

Figure 2: Classify by hyperplane method method.

As previously mentioned, many biological and medical datasets have compli-

cated boundaries between attributes and classes. Both decision tree-based methods and
hyperplane-based methods find only the rules with high accuracy, which either cover only
a narrow part of the objects or require numerous attributes to explain a classification rule.
Although these methods are computationally effective for deducing the classifications rules,
they have two limitations as follows.

i Decision tree-based methods are heuristic approaches that can only induce feasible
rules. Moreover, decision tree-based methods split the data into hyperrectangular
regions using a single variable, which may generate a large number of branches
i.e., low rates of compactness.
ii Hyperplane-based methods use numerous hyperplanes to separate objects of
different classes and divide the objects in a dataset into indistinct groups. The
method may generate a large number of hyperplanes and associated rules with
low rates of compactness.
4 Mathematical Problems in Engineering

Figure 3: Classify by hypersphere.

Therefore, this study proposes a novel hypersphere method to induce classification

rules based on a piecewise linearization technique. The technique reformulates the original
hypersphere model by a piecewise linearization approach using a number of binary variables
and constraints in the number of piecewise line segments. As the number of break points
used in the linearization process increases, the error in linear approximation decreases, and
an approximately global optimal solution of the hypersphere model can be obtained. That
is, the proposed method is an optimization approach that can find the optimal rules with a
high rate of accuracy, support, and compactness. The concept of the hypersphere method is
depicted in Figure 3, in which only one circle is required to classify the objects. All objects of
class “•” are covered by a circle, and those not covered by this circle belong to class “.”

3. The Proposed Models and Algorithm

As the classification rules directly affect the rates of accuracy, support, and compactness, we
formulate two models to determine the highest accuracy rate and support rate, respectively.
To facilitate the discussion, the related notations are introduced first:

ai,j : j  th attribute value of the i th object,

ht,k,j : j  th center value of the k th hypersphere for class t,

rt,k : radius of the k th hypersphere for class t,

nt: number of objects for class t,

ci : i th object belonging to class ci ∈ {1, 2, . . . , g},

m: number of attributes,

Rt : a rule describing class t.

Based on these notations, we propose two types of classification models as follow.

Mathematical Problems in Engineering 5

rt,k
rt,k

(ht,k,1 , ht,k,2 ) (ht,k,1 , ht,k,2 , ht,k,3 )

a Two dimensions b Three dimensions

Figure 4: The concept of hypersphere method.

3.1. Two Types of Classification Models

Considering the object xi and hypersphere St,k , and normalizing ai,j i.e., to express its scale
easily, we then have the following three notations.

Notation 1. Normalization rescales all ai,j as ai,j . The following is a normalizing formula:

ai,j − aj
ai,j  , 3.1
aj − aj

where 0 ≤ ai,j ≤ 1, aj is the largest value of attribute j, and aj is the smallest value of
attribute j.

Notation 2. A general form for expressing an object xi is written as

 
xi  ai,1 , ai,2 , . . . , ai,m ; ci , 3.2

where ci is the class index of object xi .

Notation 3. A general form for expressing a hypersphere St,k is written as

St,k  ht,k,1 , ht,k,2 , . . . , ht,k,m ; rt,k , 3.3

where St,k is the k’th hypersphere for class t.

We use two and three dimensions i.e., two attributes and three attributes as
visualizations to depict clearly a circle and a sphere, respectively Figure 4. Figure 4a
denotes the centroid of the circle as ht,k,1 , ht,k,2  and the radius of the circle as rt,k . They are
extended to three dimensions called sphere Figure 4b; in m dimensions i.e., m attributes,
m > 3, which are then called hyperspheres.
To find each center and the radius of the hypersphere, the following two nonlinear
models are considered. The first model looks for a support rate as high as possible while the
accuracy rate is fixed to 1, as shown in Model 1.
6 Mathematical Problems in Engineering

Model 1. One has the following:


Maximize ut,i,k
i∈I

m 
 2
subject to ai,j − ht,k,j ≤ 1 − ut,i,k M 2
rt,k , ∀i ∈ I ,
j1
3.4
m 
 2
ai ,j − ht,k,j 2
> rt,k , ∀i ∈ I − ,
j1

ut,i,k ∈ {0, 1} ∀i ∈ I , rt,k ≥ 0, and M is big enough constant,

where I and I − are the two sets for all objects expressed, respectively, by

 
I  i | i  1, 2, . . . , n, where object i ∈ class t , 3.5

 
I −  i | i  1, 2, . . . , n, where object i ∈
/ class t . 3.6

Referring to Li and Chen 3, the rates of accuracy and support of Rt in Model 1 can be
specified by the following definitions.

Definition 3.1. The accuracy rate of a rule Rt for Model 1 is ARRt   1.

Definition 3.2. The support rate of a rule Rt for Model 1 is specified as follows.

i If k∈K ut,i,k ≥ 1 for all i belonging to class t, then Ut,i  1; otherwise Ut,i  0, where
K indicates the hypersphere set for class t.
ii

i∈classt Ut,i
SRRt   , 3.7
nt

where nt indicates the number of objects belonging to class t.

The second model looks for an accuracy rate as high as possible while the support rate
is fixed to 1, as shown in Model 2.

Model 2. One has the following:


Maximize vt,i ,k
i ∈I −

m 
 2
subject to ai,j − ht,k,j ≤ r 2t,k , ∀i ∈ I ,
j1
Mathematical Problems in Engineering 7
m 
 2
ai ,j − ht,k,j > vt,i ,k − 1M r 2t,k , ∀i ∈ I − ,
j1

vt,i ,k ∈ {0, 1}, ∀i ∈ I − , r t,k ≥ 0,

3.8

where I and I − are the two sets expressed by 3.5 and 3.6, respectively.
Similarly, the rates of accuracy and support of Rt in Model 2 can be considered as
follows.

Definition 3.3. The accuracy rate of a rule Rt of Model 2 is denoted as ARRt  and is specified
as follows.


i If k∈K vt,i ,k  0 belongs to class t, then Vt,i  1 for all i ; otherwise, Vt,i  0, where
K represents the hypersphere set for class t.

ii


Rt  − i ∈class t Vt,i
ARRt   , 3.9
Rt 

where Rt  represents the number of total objects covered by Rt .

Definition 3.4. The support rate of a rule Rt of Model 2 is denoted as SRRt , and SRRt   1.

Definition 3.5. The compactness rate of a set of rules R1 , . . . , Rg , denoted as CRR1 , . . . , Rg , is

expressed as follows:

 g
CR R1 , . . . , Rg  g , 3.10
t1 USt

where USt means the number of hyperspheres and unions of hyperspheres for class t.A union
of hyperspheres indicates that the object is covered by different hyperspheres, as shown in
Figure 5. Take Figure 5 for an example, in which there are two classes. The objects of class
“” are covered by two unions of the circles i.e., S1,1 ∪ S1,2 ∪ S1,3 and S1,4 ∪ S1,5 , and the
objects of class “•” are covered by one circle i.e., S2,1 . Therefore, US1  2, US2  1, and
CRR1 , R2   2/3.
Moreover, Models 1 and 2 are separable nonlinear programs solvable to find an
optimal solution by linearizing the quadratic terms h2t,k,j . The piecewise linearization
technique is discussed as follows.
8 Mathematical Problems in Engineering

S1,5

S1,4
S1,1

S2,1

S1,2

S1,3

Figure 5: Classify by hypersphere method.

Proposition 3.6 referring to Beale and Forrest 31. Denote approximate function Lfx as a
piecewise linear function (i.e., linear convex combination) of fx, where bl , l  1, 2, . . . , q represents
the break points of Lfx. Lfx is expressed as follows:

 
q
fx ∼
 L fx  fbl wl , 3.11
l1


q
x wl bl , 3.12
l1


q
wl  1, 3.13
l1

where wl ≥ 0, and 3.13 is a special-ordered set of type 2 (SOS2) constraint (reference to Beale and
Forrest [31]).
Note that the SOS2 constraint is a set of variables in which at most two variables may
be nonzero. If two variables are nonzero, they must be adjacent in the set.

Notation 4. According to Proposition 3.6, let fx  h2t,k,j . fx is linearized by the
Proposition 3.6 and is expressed as Lh2t,k,j .

3.2. Solution Algorithm

A proposed algorithm is also presented to seek the highest accuracy rate or the highest
support rate, as described as follows.

Algorithm 3.7.

Step 1. Normalize all attributes i.e., rescale ai,j  ai,j − aj /aj − aj  to be 0 ≤ ai,j ≤ 1.

Step 2. Initialization: t  1 and k  1.

Mathematical Problems in Engineering 9

Step 0
Normalize (all attributes)

Step 1
t = 1 and k = 1

Step 2
Remove the objects
Solve model 1 for k ′ th
covered by St,k from
hypersphere of class t
the dataset, temporarily

Step 3
No
k =k+1 Satisfy stop
conditions?

Yes

Step 4
Are all classes t = t + 1; k = 1
processed?

Step 5
Check the unions of hypersphere
St,k in the same class t

Step 6
Calculate the number of unions
US t for all t

End

Figure 6: Flowchart of the proposed algorithm.

Step 3. Solve Model 1 or Model 2 to obtain the k th hypersphere of class t. Remove the
objects covered by St,k from the dataset temporarily.

Step 4. Let k  k 1, and resolve Model 1 or Model 2 until all objects in class t are assigned
to the hyperspheres of same class.

Step 5. Let k  1 and t  t 1, and reiterate Step 3 until all classes are processed.

Step 6. Check the independent hyperspheres and unions of hyperspheres St,k in the same
class t.
10 Mathematical Problems in Engineering

Table 1: Dataset of Example 1.

Object ai,1 ai,2 ci Object ai,1 ai,2 ci Object ai,1 ai,2 ci

x1 6 8 1 x2 12 20 1 x3 13 8 1
x4 18 12.5 1 x5 24 19 1 x6 24 14.5 1
x7 17.5 17.5 2 x8 22 17 2 x9 22 15 2
x10 30 11 2 x11 33.5 7.5 2 x12 24.5 3.5 3
x13 26.5 8 3 x14 23.5 7.5 3 x15 6 30 3

Symbols of ci  1:  2: 3: ×.

1 15 1 15

0.75 0.75

2 2
5 5
7 8 7 S2,1 8 S1,2
a2 0.5 a2 0.5
9 9 6
6
4 4
10 S1,1 10
0.25 0.25
1 3 S3,1 13 S2,2
1 3 14 13 14 11
11 12
0 12 0
0 0.25 0.5 0.75 1 0 0.25 0.5 0.75 1
a1 a1
a Normalized data for Example 1 b Classified by the hypersphere method for Example 1

Figure 7: Visualization of Example 1.

Step 7. Calculate and record the number of independent hyperspheres and unions of
hyperspheres in USt , and iterate t until all classes are done.

According to this algorithm, we can obtain the optimal rules to classify objects most
efficiently. The process of the algorithm is depicted in Figure 6.

3.3. Operation of a Simple Example

Consider a dataset T in Table 1 as an example, which has object i, two attributes ai,1 , ai,2 ,
and an index of classes ci  for i  1, 2, . . . , 15. The dataset T is expressed as T  {xi |
ai,1 , ai,2 ; ci ∀i  1, 2, . . . , 15}. There are the domain values of ci ∈ {1, 2, 3}. As there are only
two attributes, these 15 objects can be plotted on a two-dimensional space after normalizing
them, as shown in Figure 7a.
This example can be solved by the proposed algorithm as follows.

Step 1. Normalize all attributes i.e., ai,1  ai,1 − 6/33.5 − 6 and ai,2  ai,2 − 3.5/30 − 3.5.

Step 2. Initialization: t  1 and k  1.

Mathematical Problems in Engineering 11

Table 2: Centroid points for the Iris data set by the proposed method.

Rule
Union of spheres St,k ht,k,1 ht,k,2 ht,k,3 ht,k,4 rt,k
number
R1 S1,1 S1,1 0.366 0.807 0.000 0.000 0.6205
S2,1 0.557 0.320 0.205 0.460 0.2540
R2 S2,1 ∪ S2,2 ∪ S2,3 S2,2 0.575 0.581 0.626 0.515 0.0612
S2,3 0.423 0.261 0.352 0.490 0.1388
S3,1 0.248 0.000 2.226 2.151 4.8087
R3 S3,1 ∪ S3,2
S3,2 0.329 0.187 0.650 0.613 0.0330

Table 3: Comparing results for the Iris flower data set R1 ,R2 ,R3 .

Hyperplane
Items Proposed method Decision tree
support vector
ARR1 ,R2 ,R3  1,1,1 1,0.98,0.98 1,0.98,0.96
SRR1 ,R2 ,R3  1,0.98,0.98 1,0.98,0.98 1,0.96,0.98
CR 1 0.5 0.1875

Step 3. The classification model i.e., Model 1 is linearly formulated as follows:


Maximize ut,i,k
i∈I

m 
  
ai,j − 2ai,j ht,k,j
2
subject to L h2t,k,j ≤ 1 − ut,i,k M 2
rt,k , ∀i ∈ I ,
j1
3.14
m 
  
ai ,j − 2ai ,j ht,k,j ∀i ∈ I − ,
2
L h2t,k,j 2
> rt,k ,
j1

ut,i,k ∈ {0, 1}, rt,k

2
≥ 0,

where I  {x1 , x2 , . . . , x6 } and I −  {x7 , x8 , . . . , x15 }. The optimal solution of the

ht,k,1 , ht,k,2 , rt,1  0.047,0.265,0.15749 for S1,1 , where S1,1 covers objects 1–4. We then
temporarily remove these objects covered by S1,1 .

Step 4. k  k 1: the optimal solution of the ht,k,1 , ht,k,2 , rt,k   0.736,0.5,0.0138 for S1,2 , where
S1,2 covers objects 5-6. Class 1 is then done.

Step 5. As t  t 1, k  1, and Steps 3 and 4 are iterated, we then, respectively, have optimal
solutions for St,k as follows. The results are shown in Figure 7b.
i h2,1,1 , h2,1,2 , r2,1   0.514, 0.469, 0.0127, where S2,1 covers objects 7–9.
ii h2,2,1 , h2,2,2 , r2,2   0.929, 0.210, 0.0251, where S2,2 covers objects 10-11.
iii h3,1,1 , h3,1,2 , r3,1   0.583, 0.188, 0.0436, where S3,1 covers objects 12–14.

Step 6. Check and calculate the unions of hypersphere St,k for all k in class t i.e., Initial t  1.

Step 7. As t  t 1, mark the number of unions of class t into USt and iterate Step 6 until t  g.
12 Mathematical Problems in Engineering

4. Numerical Examples
This study shows how the experimental results evaluate the performance, including accuracy,
support, and compactness rates, and compares the proposed model with different methods
using CPLEX 32. All tests were run on a PC equipped with an Intel Pentium D 2.8 GHz CPU
and 2 GMB RAM. Three datasets were tested in our experiments as follows:

i Iris Flower dataset introduced by Sir Ronald Aylmer Fisher 1936,
ii European barn swallow Hirundo rustica dataset obtained by trapping individual
swallows in Stirlingshire, Scotland, between May and July 1997 1, 3,
iii the highly selective vagotomy HSV patient dataset of F. Raszeja Memorial
Hospital in Poland 3, 33, 34.

4.1. Iris Flower Dataset

The Iris Flower dataset contains 150 objects. Each object is described by four attributes i.e.,
sepal length, sepal width, petal length, and petal width and is classified by one of three
classes i.e., setosa, versicolor, and virginica. By solving the proposed method, we induced
six hyperspheres i.e., S1,1 ∈ Class 1, S2,1 , S2,2 , S2,3 ∈ Class 2, and S3,1 , S3,2 ∈ Class 3. The
induced classification rules are reported in Table 2. Table 2 also lists a hypersphere and two
unions i.e., S1,1 , S2,1 ∪ S2,2 ∪ S2,3 , and S3,1 ∪ S3,2  of hyperspheres with centroid points and
radii.
Rule R1 in Table 2 contains a hypersphere S1,1 , which implies that

i “if ai,1 − 0.3662 ai,2 − 0.8072 ai,3 − 02 ai,4 − 02 ≤ 0.6205, then object xi
belongs to class 1.”

Rule R2 in Table 2 contains a union of three hyperspheres i.e., S2,1 ∪ S2,2 ∪ S2,3  which
implies that

i “if ai,1 − 0.5572 ai,2 − 0.322 ai,3 − 0.2052 ai,4 − 0.462 ≤ 0.254, then object xi
belongs to class 2,” or
ii “if ai,1 − 0.5752 ai,2 − 0.5812 ai,3 − 0.6262 ai,4 − 0.5152 ≤ 0.0612, then object
xi belongs to class 2,” or
iii “if ai,1 − 0.4232 ai,2 − 0.2612 ai,3 − 0.3522 ai,4 − 0.492 ≤ 0.1388, then object
xi belongs to class 2.”

Rule R3 in Table 2 contains a union of two hyperspheres i.e., S3,1 ∪ S3,2 , which implies
that

i “if ai,1 − 0.2482 ai,2 − 02 ai,3 − 2.2262 ai,4 − 2.1512 ≤ 4.8087, then object xi
belongs to class 3,” or
ii “if ai,1 − 0.3292 ai,2 − 0.1872 ai,3 − 0.652 ai,4 − 0.6132 ≤ 0.033, then object
xi belongs to class 3.”

Comparing the proposed method with both decision tree 3 and hyperplane methods
35 in deducing the classification rules for the Iris Flower dataset, Table 3 lists the
experimental result.
Mathematical Problems in Engineering 13

Table 4: Centroid points for the Swallow data set by the proposed method.

Rule Union of
St,k ht,k,1 ht,k,2 ht,k,3 ht,k,4 ht,k,5 ht,k,6 ht,k,7 ht,k,8 rt,k
number spheres
S1,1 0.607 0.110 0.806 0.000 0.000 0.406 1.077 1.163 1.780
S1,1 ∪S1,2 ∪ S1,2 0.483 0.000 0.236 0.328 0.000 0.793 0.280 0.931 0.948
R1
S1,3 ∪ S1,4
S1,3 0.588 0.000 1.179 0.000 0.000 0.653 1.037 0.982 1.879
S1,4 0.414 0.000 0.658 0.000 0.227 0.085 0.563 1.224 1.197
S2,1 0.358 0.667 0.371 1.403 0.360 1.530 0.634 0.114 2.825
S2,1 ∪ S2,2 0.198 1.102 0.697 0.000 0.000 1.734 0.110 0.595 2.632
R2 S2,2 ∪S2,3 ∪ S2,3 0.532 0.422 0.323 1.676 1.009 0.000 0.180 0.020 2.458
S2,4 ∪ S2,5
S2,4 0.528 0.000 0.430 0.876 0.579 0.461 0.435 0.040 0.694
S2,5 0.659 1.408 0.516 0.000 0.382 0.000 0.173 0.064 1.570

Table 5: Comparing results for the Swallow data set R1 ,R2 .

Hyperplane support
Items Proposed method Decision tree
vector
ARR1 ,R2  1, 1 0.97,1 0.97,1
SRR1 ,R2  1, 0.97 0.97,1 0.97,1
CR 1 0.3 0.1

The accuracy rates of R1 , R2 , R3  in the proposed method are 1,1,1, as Model 1 has
been solved. This finding indicates that none of objects in class 2 or class 3 are covered by S1,1 ,
none of objects in classes 1 or 3 are covered by S2,1 ∪S2,2 ∪S2,3 , and none of the objects in classes
1 or 2 are covered by S3,1 ∪ S3,2 . The support rate of R1 ,R2 ,R3  in the proposed method is
1,0.98,0.98, indicating that all objects in class 1 are covered by S1,1 , 98% of the objects in class
2 are covered by S2,1 , S2,2 , and S2,3 , and 98% of the objects in class 3 are covered by S3,1 and
S3,2 . The compactness rate of rules R1 , R2 , and R3 is computed as CRR1 , R2 , R3   3/3  1.
Finally, we determine the following.

i Although all three methods perform very well in the rates of accuracy and support,
the proposed method has the best performance for the accuracy of classes 2 and 3
i.e., R2 and R3 .
ii The proposed method has the best compactness rate.

4.2. Swallow Dataset

The European barn swallow Hirundo rustica dataset was obtained by trapping individual
swallows in Stirlingshire, Scotland, between May and July 1997. This dataset contains 69
swallows. Each object is described by eight attributes, and it belongs to one of two classes
i.e., the birds are classified by the gender of individual birds.
Here, we also used Model 1 to induce the classification rules. Table 4 lists the optimal
solutions i.e., centroid and radius for both rules R1 and R2 .
The result of the decision tree method, which is referred to in Li and Chen 3, is listed
in Table 5, where AR R1 , R2   0.97, 1, SR R1 , R2   0.97, 1, and CR  0.3.
14 Mathematical Problems in Engineering

The result of the hyperplane method, referred to in Chang and Lin 35, is also listed
in Table 5, whereARR1 , R2   0.97, 1, SRR1 , R2   0.97, 1, and CR  0.1.
We compared the three methods in Table 5 to show that the proposed method can
induce rules with better or equivalent values of AR and SR. In fact, the proposed method
also has the best compactness rate.

4.3. HSV Dataset

The HSV dataset contains 122 patients classified into four classes, with each patient having 11
preoperating attributes. To maximize the support rate with respect to the proposed method
i.e., Model 1, the proposed method generated seven hyperspheres and three unions of
hyperspheres. The centroids and radii of the hyperspheres are reported in Table 6, and a
comparison with other methods is reported in Table 7.
Using the decision tree method in the HSV dataset generates 24 rules. In addition, the
hyperplane method deduces 45 hyperplanes for the HSV dataset. Table 7 also shows that the
proposed method can find rules with the highest rates i.e., AR, SR, and CR compared with
the other two methods.

4.4. Limitation of the Proposed Method

The hypersphere models are solved by one of the most powerful mixed-integer program
software CPLEX 32 running in a PC. Based on optimization technique, the results of the
numerical examples illustrate that the usefulness of the proposed method is better than that of
the current methods, including the decision tree method and the hyperplane support vector
method. As the solving time of the hypersphere model, which is linearized, mainly depends
on the number of binary variables and constraints, solving the reformulated hypersphere
model from the proposed algorithm takes about one minute for each dataset i.e., in Sections
4.1 and 4.3, in which using eight piecewise line segments linearizes the nonlinear nonconvex
term i.e., Lh2t,k,j  of Model 1.
The computing time for solving a linearized hypersphere program grows rapidly
as the numbers of binary variables and constraints increase. Also, the computing time
of the proposed method is slower than that of the decision tree method and hyperplane
method, especially for large datasets or a great number of piecewise line segments. In the
further study, utilizing a mainframe-version optimization software 36–38, integrating meta-
heuristic algorithms, or using distributed computing techniques can enhance solving speed
to conquer this problem.

5. Conclusions and Future Work

This study proposes a novel method for deducing classification rules, which can find the
optimal solution based on a hypersphere domain. The optimization technique for finding
classification rules is approached to optimal. Results of the numerical examples illustrate
that the usefulness of the proposed method is better than that of the current methods,
including the decision tree method and the hyperplane method. The proposed method is
guaranteed to find an optimal rule, but the computational complexity grows rapidly by
increasing the problem size. More investigation and research are required to enhance further
 Table 6: Centroid points for the HSV data by the proposed method.

Rule Union of
Sk,l ht,k,1 ht,k,2 ht,k,3 ht,k,4 ht,k,5 ht,k,6 ht,k,7 ht,k,8 ht,k,9 ht,k,10 ht,k,11 rt,k
numbers spheres
S1,1 0.504 0.528 0.366 0.288 0.850 0.848 0.351 −0.282 0.405 0.234 0.313 1.576
S1,2 0.469 0.395 0.312 0.133 −0.274 −0.309 0.134 0.590 0.813 1.000 −0.847 3.044
S1,3 0.287 0.867 0.458 0.189 0.977 0.267 0.017 −0.846 0.462 −1.000 1.000 4.249
S1,1 ∪
R1 S1,2 . . . ∪ S1,4 0.586 −0.400 0.605 0.467 −0.167 −0.631 0.268 1.000 0.526 1.000 0.120 3.365
S1,8 S1,5 0.296 −0.511 −1.000 0.536 −0.263 0.552 0.954 0.635 −0.117 −1.000 0.600 4.608
S1,6 0.775 0.678 −0.092 0.340 0.366 0.455 0.451 1.000 0.422 0.295 0.470 1.560
Mathematical Problems in Engineering

S1,7 0.525 0.296 0.194 0.124 −0.945 −0.467 0.127 1.000 0.097 −0.897 0.654 4.113
S1,8 0.000 0.140 0.109 0.250 0.193 0.168 0.063 0.142 0.181 0.119 0.082 0.089
S2,1 S2,1 0.513 0.056 0.143 0.078 0.533 0.439 0.180 0.167 −0.284 −0.464 0.749 1.450

R2 S2,2 S2,2 0.533 0.381 0.139 0.568 −0.373 −0.005 0.080 0.831 0.293 0.215 0.369 1.293
S2,3 S2,3 0.000 −0.450 0.709 0.553 0.896 1.000 0.157 −0.447 0.068 −0.580 1.000 3.579
S2,4 S2,4 0.000 0.862 0.543 −0.066 0.389 0.451 0.106 0.394 −0.004 0.042 −0.014 0.409
S3,1 0.624 0.507 −1.000 0.147 0.840 1.000 0.827 −0.585 0.199 0.831 −0.380 4.277
S3,1 ∪ S3,2
R3 S3,2 0.534 0.483 −0.088 0.365 −0.364 0.270 0.437 0.785 0.786 0.682 −1.000 3.003
S3,3 S3,3 0.000 0.210 0.630 0.750 −1.000 0.244 0.388 1.000 0.474 −0.604 0.475 3.162
S4,1 0.551 0.374 0.637 0.256 0.865 0.944 0.315 −0.831 −0.485 −0.676 0.979 4.330
S4,1 ∪
S4,2 ∪ S4,3 S4,2 0.717 0.254 0.548 −0.718 0.118 0.730 −0.547 0.498 −0.580 −0.464 0.821 3.287
R4 S4,3 0.527 1.000 0.533 0.089 −0.152 −1.000 0.366 0.046 0.547 0.947 −0.436 2.943
S4,4 S4,4 0.489 0.625 −0.209 0.522 0.644 0.582 0.615 1.000 0.306 −0.401 0.931 2.059
S4,5 S4,5 −0.011 0.491 −0.409 0.155 −0.766 −0.227 −0.107 1.000 0.303 −0.680 −0.185 2.843
15
16 Mathematical Problems in Engineering

Table 7: Comparing results for the HSV data set R1 ,R2 ,R3 ,R4 .

Hyperplane support
Items Proposed method Decision tree
vector
ARR1 ,R2 ,R3 ,R4  1,1,1,1 0.93,0.81,0.7,0.71 0.9,1,1,0.9
SRR1 ,R2 ,R3 ,R4  0.99,1,1,1 0.93,0.72,0.78,0.71 0.9,0.72,0.67,0.69
CR 0.4 0.17 0.09

the computational efficiency of globally solving large-scale classification problems, such as

running mainframe-version optimization software, integrating meta-heuristic algorithms, or
using distributed computing techniques.

Acknowledgments
The authors wish to thank the editor and the anonymous referees for providing insightful
comments and suggestions, which have helped them improving the quality of the paper.
This work was supported by the National Science Council of Taiwan under Grants NSC 100-
2811-E-009-040-, NSC 99-2221-E-030-005-, and NSC 100-2221-E-030-009-.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 365697, 18 pages
doi:10.1155/2012/365697

Research Article
A Modified PSO Algorithm for Minimizing
the Total Costs of Resources in MRCPSP

Mohammad Khalilzadeh,1 Fereydoon Kianfar,1

Ali Shirzadeh Chaleshtari,1 Shahram Shadrokh,1
and Mohammad Ranjbar2
1
Department of Industrial Engineering, Sharif University of Technology, Tehran 11365-8639, Iran
2
Department of Industrial Engineering, Faculty of Engineering, Ferdowsi University of Mashhad,
Mashhad 9177948974, Iran

Correspondence should be addressed to Mohammad Khalilzadeh, [email protected]

Received 6 September 2011; Revised 4 December 2011; Accepted 30 December 2011

Academic Editor: Yi-Chung Hu

Copyright q 2012 Mohammad Khalilzadeh et al. This is an open access article distributed under
the Creative Commons Attribution License, which permits unrestricted use, distribution, and
reproduction in any medium, provided the original work is properly cited.

We introduce a multimode resource-constrained project scheduling problem with finish-to-start

precedence relations among project activities, considering renewable and nonrenewable resource
costs. We assume that renewable resources are rented and are not available in all periods of
time of the project. In other words, there is a mandated ready date as well as a due date for
each renewable resource type so that no resource is used before its ready date. However, the
resources are permitted to be used after their due dates by paying penalty costs. The objective
is to minimize the total costs of both renewable and nonrenewable resource usage. This problem
is called multimode resource-constrained project scheduling problem with minimization of total
weighted resource tardiness penalty cost MRCPSP-TWRTPC, where, for each activity, both
renewable and nonrenewable resource requirements depend on activity mode. For this problem,
we present a metaheuristic algorithm based on a modified Particle Swarm Optimization PSO
approach introduced by Tchomté and Gourgand which uses a modified rule for the displacement
of particles. We present a prioritization rule for activities and several improvement and local search
methods. Experimental results reveal the effectiveness and efficiency of the proposed algorithm for
the problem in question.

1. Introduction
The resource-constrained project scheduling problem RCPSP is the scheduling of project
activities subject to precedence relations as well as renewable resource constraints with the
objective of minimizing the makespan of the project. Each nonpreemptive activity in RCPSP
can be done in a single mode. For more information on RCPSP and solution methods, we
refer to Demeulemeester and Herroelen 1. In the multimode RCPSP MRCPSP, a set of
2 Mathematical Problems in Engineering

allowable modes can be defined for each activity which is characterized by a constant
duration and associated resource requirements. In this paper we consider MRCPSP with
the objective of minimizing total costs of all resources. Two types of resources, renewable
and nonrenewable, are considered. Nonrenewable resource cost of an activity is a function
of its resource requirements, determined by its modes. The limited renewable resources are
rented and each renewable resource is available in a predetermined sequential time period
specified by its ready time and due date and is not available before the ready time. However,
each renewable resource can be used after its due date with tardiness penalty cost. As the
cost of renting for each renewable resource is fixed, there is no need to incorporate it into
the objective function and only tardiness penalty cost is considered for each renewable re-
source. The MRCPSP under minimization of total costs of resources RCPSP-TWRTPC is an
applicable problem and a modified version of the MRCPSP in which all assumptions and
constraints of the MRCPSP are held, but the objective function is different. We assume that
there are a few renewable resources such as very expert human resources with high skill
levels, particular types of cranes, and tunnel boring machines that should be leased from
other companies providing these types of resources. Since these limited renewable resources
are employed in other projects, there is a dictated ready date as well as a due date for each
of them such that no resource can be accessible before its ready date, but these resources are
allowed to be used after their due dates by paying penalty cost, depending on the resource
type. Also, we suppose that there are a few nonrenewable resources like budget, materials,
energy, or other resources which are consumed during the project.
Ranjbar et al. 2 studied this problem with single mode for each activity and availab-
ility of one unit for each type of renewable resource, without considering nonrenewable re-
sources. They called this problem resource-constrained project scheduling problem, minimization
of total weighted resource tardiness penalty cost RCPSP-TWRTPC, which is an extended form of
resource-constrained project scheduling problem RCPSP. They developed a metaheuristic-based
GRASP algorithm together with a branch and bound procedure to solve the problem.
The problem we have studied here is a generalization of the problem introduced by
Ranjbar et al. 2 with more realistic viewpoint of resource costs by considering both renew-
able and nonrenewable resources cost. We call this problem multimode resource-constrained
project scheduling problem, minimization of total weighted resource tardiness penalty cost MRCPSP-
TWRTPC.
Several exact and heuristic methods have been presented for MRCPSP. For instance,
we can point to branch and cut method introduced by Heilmann 3 and branch and bound
method developed by Zhu et al. 4 as two of the most powerful exact methods. Zhang et al.
5 presented classical particle swarm optimization PSO methods for multimode resource-
constrained project scheduling problems to minimize the duration of construction projects.
Lova et al. 6 suggested a heuristic algorithm based on priority rules and thereafter a hy-
brid genetic algorithm 7 to solve MRCPSP. Jarboui et al. 8 applied a combinatorial pa-
rticle swarm optimization for solving multimode resource-constrained project scheduling
problem. Ranjbar et al. 9 developed scatter search algorithm to tackle this problem, using
path relinking methodology as its local search method. Van Peteghem and Vanhoucke 10
proposed genetic algorithm to solve preemptive and nonpreemptive multimode resource-
constrained project scheduling problems. Kazemi and Tavakkoli-Moghaddam 11 devel-
oped a multimode particle swarm optimization which combines with genetic operator to
solve a biobjective multimode resource-constrained project scheduling problem with positive
and negative cash flows. The difference between this study and the previous papers is that
they all considered the minimization of project makespan as objective function, but, in our
Mathematical Problems in Engineering 3

problem, the objective function is minimization of total costs of renewable and nonrenewable
resources.
MRCPSP-TWRTPC is a generalization of the RCPSP problem, and, considering the
NP-hardness of RCPSP 12, 13, the MRCPSP-TWRTPC problem is NP-hard as well, and
hence, metaheuristic method is the practical approach. In the remainder of this paper, we
introduce a metaheuristic-based PSO algorithm for solving this problem. PSO, in its present
form, dates back to 1990s; however, in this short period, PSO has shown good performance
in a variety of application domains, particularly in the constrained optimization problems.
Many researchers studied PSO widely and proposed several modifications. In this paper, we
use a modified PSO algorithm developed and used by Tchomté and Gourgand for solving
RCPSP efficiently 14.
The rest of this paper is organized as follows. In the next section, MRCPSP-TWRTPC
is described in detail and is formulated in a mathematical model. In Section 3, a description
of the PSO algorithm and its modifications is presented, and in Section 4 an algorithm based
on modified PSO introduced by Tchomté and Gourgand 14 is explained. Section 5 is the
experimental analysis. Finally, Section 6 concludes the work.

2. Problem Description
In MRCPSP-TWRTPC, a project is to be scheduled in order to minimize its total costs.
Resources available for completing project activities can be classified as either renewable
or nonrenewable. Activity j may have a number of execution modes Mj . Each activity
mode specifies the activity duration and the activity requirements for the certain amount of
renewable and nonrenewable resources. Each type of limited renewable resource is rented
for a fixed time interval, starting from its ready time and ending with its due date, and is
not available before its ready time but can be used after its due date with tardiness penalty
cost. Nonrenewable resources are not limited. All activities are ready at the beginning of
the project, and no preemption is permitted. If an activity is started under a specific mode,
the activity mode cannot be changed. Activity j executed in mode m has duration djm and
requires rjmk units of renewable resource k and njmk units of nonrenewable resource k. The
project network is depicted by an activity on node AON representation with finish-to-start
precedence relations and zero time lag. Dummy activities 1 and n correspond to start and
completion of the project. The list of activities is topologically numbered; that is, each
predecessor of every activity has a smaller number than the number of activity itself. Also,
we define the earliest and latest start time of activity j by ESTj and LSTj , respectively. ESTj s
and LSTj s are computed by CPM forward and backward passes using the mode with shortest
duration for each activity and assigning LSTn  LFTn  T , where T is an upper bound for
project makespan determined by any valid method, such as the sum of the longest duration
of entire project activities plus the ready times of renewable resources. Consequently, each
activity j can only be performed in time period ESTj , LSTj .
We define problem parameters as follows:

n: number of project activities,

NR: number of nonrenewable resources,
ck : unit cost of nonrenewable resource k,
R: number of renewable resources,
4 Mathematical Problems in Engineering

Rk : renewable resource k availability,

rk : ready time of renewable resource k,

dk : due date of renewable resource k,

pk : tardiness penalty cost of renewable resource k for each period,

Mj : number of modes of activity j,

Pj : the set of predecessors of activity j,

djm : duration of activity j under mode m,

rjmk : renewable resource k requirement for executing activity j under mode m,

njmk : nonrenewable resource k requirement for executing activity j under mode m,

ESTj : earliest start time of activity j,

LSTj : latest start time of activity j,

T: upper bound of the project makespan.

We also define the decision variables as follows:

⎧
⎨1, if activity j is started under mode m in period τ,
xjmτ 
⎩0, otherwise,
⎧ 2.1
⎨1, if renewable resource k is used in period τ,
ykτ 
⎩0, otherwise.

lk : is the renewable resource k tardiness, determined by lk  max{0, CPk − dk }, where

CPk is the release time of resource k by the project.
The mixed integer programming model for this problem can be formulated as follows:

⎛ ⎞

NR 
n 
Mj

LSTj

R
Min ck ⎝ njmk xjmτ ⎠ pk · lk 2.2
k1 j1 m1 τESTj k1

 
Mj LSTj
S.t. xjmτ  1, j  1, 2, . . . , n, 2.3
m1 τESTj
Mathematical Problems in Engineering 5

 i
Mi LST  
Mj LSTj
τ dim ximt ≤ τxjmt , j  1, 2, . . . , n, i ∈ Pj , 2.4
m1 τESTi m1 τESTj


n 
Mj

τ
rjmk xjmz ≤ Rk · ykτ , k  1, 2, . . . , R, τ  1, 2, . . . , T, 2.5
j1 m1 zτ−djm 1

r
k −1

ykτ  0, k  1, 2, . . . , R, 2.6
τ1

τ · ykτ − dk ≤ lk , k  1, 2, . . . , R, τ  dk , dk 1, . . . , LSTn , 2.7

xjmτ ∈ {0, 1}, j  1, 2, . . . , n, m  1, 2, . . . , Mj , τ  ESTj , . . . , LSTj , 2.8

ykτ ∈ {0, 1}, k  1, 2, . . . , R, τ  0, . . . , LSTn , 2.9

lk ≥ 0, k  1, 2, . . . , R. 2.10

In the above model, objective function 2.2 is project cost minimization in which the
first and second terms are total costs of using nonrenewable resources and total penalty costs
of renewable resources tardiness, respectively. Constraint set 2.3 ensures that each activity j
is started under one of its modes within its specified start time periods, that is, ESTj , LSTj .
Constraint set 2.4 forces precedence relationship between activities. Constrain 2.5 limit
renewable resource usage. According to constraint 2.6, renewable resources cannot be used
before their ready times and their tardiness periods are determined by constraint 2.7.
Finally, constraint sets 2.8, 2.9, and 2.10 are nonfunctional ones.

3. Particle Swarm Optimization

The PSO algorithm is relatively recent, evolutionary, and population-based metaheuristic,
originally developed by Kennedy and Eberhart 15 and redefined by Shi and Eberhart
16. In spite of the early stages of the PSO method, it has found broad applications in
combinatorial and constrained optimization domains and is currently a main research topic.
PSO inspired from the social behavior of natural swarms exploits a swarm of particles for
search space that are updated from iteration to iteration. Each particle corresponds to a
candidate solution assessed by the objective function of the problem in question and is
considered as a point in an n-dimension space. The status of a particle is represented by
its position and velocity 15. The n-dimensional position for particle i at iteration t can be
represented as Xi,t  xi1 t t
, xi2 t
, . . . , xin . Similarly, the velocity is also an n-dimension vector
for particle i at iteration t which can be denoted as Vi,t  vi1 t t
, vi2 t
, . . . , vin . Using the fitness
evaluation, each particle remembers the best position it has perceived so far, referred to as Pi,t ,
and the best position of all particles, the best position of the best particle in the entire swarm,
referred to as Gt . The position vector of each particle at iteration t is updated using 3.1, and
the particle moves to its new position:

Xi,t 1  Xi,t Vi,t . 3.1

6 Mathematical Problems in Engineering

Velocity vector is also updated by3.2

Vi,t 1  c1 · Vi,t c2 · r2 · Pi,t − Xi,t  c3 · r3 · Gt − Xi,t . 3.2

This vector is a function of three components: previous velocity of the particle, the best
experience of the particle, also, the entire swarm’s best experiences up to the current iteration
which are called inertia, cognition part, and social part, respectively 16.
Updating process continues until the termination criterion is met which usually is the
maximal number of generations, processing time, or the best particle position of the whole
swarm that cannot improve further after a predefined number of generations.
In 3.2, r2 and r3 are real random numbers with uniform distribution which are
usually selected from the interval 0, 1. c2 and c3 are known constants as learning factors,
showing the significance of local and global best experiences, respectively. Also, c1 is defined
as a positive inertia weight which was first introduced by Shi and Eberhart 17. This
parameter can be specific for each particle 18. Liu et al. 19 and Shi and Eberhart 20
introduced time-decreasing inertia weight.
The PSO parameters analyses have been the subject of several researches. For instance,
Tchomté and Gourgand 14 determined some conditions for parameters to ensure that each
particle converges to some equilibrium point after enough number of iterations.
Although PSO has been originally designed for solving continuous problems, it can
be used for solving discrete problems as well. Different techniques have been designed to
use this algorithm for combinatorial optimization problems such as the ones introduced by
Jarboui et al. 8, Clerc 21, and Kennedy and Eberhart 22.
In this paper, we use the modified PSO approach which was introduced by Tchomté
and Gourgand 14 as an extension of PSO that integrates a new displacement rule of the
particles. The computational results of their algorithm showed that their PSO algorithm
outperformed all state-of-the-art algorithms in solving RCPSP, and this is the reason for
selecting their approach for our problem. We describe this modified PSO method in the
following.
A metaheuristic algorithm should be able to explore search space effectively and
efficiently. PSO algorithm should be intelligent enough to both intensively explore regions of
the search space with high-quality solutions and to diversely move to unexplored regions of
the search space. These two techniques that were introduced by Glover and Laguna 23 are
known as intensification and diversification methods, respectively. Tchomté and Gourgand
14 analyzed particle trajectories and modified particle position updating rules. The idea
originated from the PSO applications in which particles basically move from their current
positions toward the best local and global positions Pi,t , Gt , but the particles do not get close
enough to Pi,t and Gt . As a result, diversification is performed well, but intensification is
not. Consequently, Tchomté and Gourgand 14 proposed a new particle displacement rule
to improve the intensification process by letting each particle visit two positions Si,t and Ti,t
before moving from current position, Xi,t , to the next position Xi,t 1 . First, the inertia has
influences on the position by making the particle move from Xi,t to Si,t . Then the cognition
part moves the particle to Ti,t and finally under social part affect the particle to reach its
new position, Xi,t 1 , at the next iteration. Adapted from Tchomté and Gourgand 14, particle
displacement in the classical PSO and this modified PSO has been shown in Figures 1a and
1b, respectively.
Mathematical Problems in Engineering 7

Pit
Vit Pit
Vit
Tit
Xi,t+1

Sit

Xi,t+1

Xit Xit
Gt Gt
a b

Figure 1: Particle displacement in the swarm: a classical PSO, b modified PSO.

For this purpose, the particle position updating rule is

Si,t  Xi,t c1 · Vi,t ,

Ti,t  Si,t c2 · r2 · Pi,t − Si,t ,
Xi,t 1  Ti,t c3 · r3 · Gt − Ti,t ,
Xi,t 1  Xi,t c1 · 1 − c2 · r2  · 1 − c3 · r3  · Vi,t
c2 · r2 · 1 − c3 · r3  · Pi,t − Xi,t  c3 · r3 · Gt − Xi,t . 3.3

Then, in each time step t, velocity vector is updated as follows:

Vi,t 1  α · Vi,t β · Pi,t − Xi,t  γ · Gt − Xi,t , 3.4

α  c1 · 1 − r2 · c2  · 1 − r3 · c3 ,
β  c2 · 1 − r3 · c3 , 3.5
γ  c3 .

Tchomté and Gourgand 14 showed that the necessary conditions for coefficients so
that the particles converge to the equilibriums are satisfying 3.6 plus 3.7 or 3.6 plus 3.8:

φ > 0, φ − 2 ∗ c1 1 < 0, c1 < 1, 3.6

where φ  c2 c3 /2,

0 < c1 < 0.9, 0 < c2 < 2, 0 < c3 < 2, 3.7

0 < c1 < 0.9, 2 ≤ c2 < 4, 2 ≤ c3 < 4. 3.8

4. Modified PSO for MRCPSP-TWRTPC

In this section, we present a modified PSO algorithm, using the approach of Tchomté and
Gourgand 14, for solving MRCPSP-TWRTPC. Algorithm 1 shows the pseudocode. In this
algorithm the ith particle position at iteration t is represented by the n-dimensional vector
8 Mathematical Problems in Engineering

1 Do Preprocessing
2 Generate initial particle swarm
3 While termination criterion is met do
4 While all particles have been evaluated do
5 Determine activities priorities
6 Schedule activities based on their modes and priorities using the parallel
schedule generation and delay local search
7 While schedule is improved do
8 Improve schedule by Mode Assignment Modification—Part I
9 Improve schedule by Local Left Shift
10 End while
11 Improve schedule by Mode Assignment Modification—Part II
12 Compute corresponding cost of the generated schedule
13 End while
14 Update the local and global best solutions if necessary
15 Update position and velocity of each particle according to 3.3 and 3.4, respectively
16 End while
17 Report the global best solution

Algorithm 1: Pseudocode of modified PSO algorithm for MRCPSP-TWRTPC.

Xi,t  xi1
t t
, xi2 t
, . . . , xin  in which xijt , j  1, 2, 3, . . . , n is the mode assignment to the jth activity
at iteration t and is an integer in the interval 1, Mj . A feasible schedule of the project is
constructed from each Xi,t . For this purpose, first the activities are prioritized, see Section 4.3.
Then, using single-pass parallel schedule generation scheme, the activities are scheduled, see
Section 4.4. Certain local search and improvement procedures are applied on this solution to
reach a better schedule, see Sections 4.5, 4.6, 4.7, and 4.8.
Each particle’s fitness value is determined by calculating total cost of the final sched-
ule. Then, if necessary, local and/or global best positions are updated, see Section 4.9. If ter-
mination criterion is not met, particle positions and velocity vectors are updated by 3.3 and
3.4, respectively, for the next iteration, see Section 4.10. Different parts of this algorithm are
described in more details as follows.

4.1. Preprocessing
Sprecher et al. 24 introduced several preprocessing rules in order to reduce feasible space of
MRCPSP. Later, these rules have been used in other articles such as Lova et al. 6, Peteghem
and Van Vanhouck 10, and Hartmann and Briskorn 25. Considering the similarities
between MRCPSP-TWRTPC and MRCPSP, we apply two of these rules to our proposed
problem. One is the nonexecutable mode elimination rule for an activity. For a nonexecutable
mode, the amount of the resource needed for executing the activity is more than the resource
availability. Another method is inefficient mode elimination method. A given mode is inefficient
for an activity if there is another mode for which the activity duration is less, and that activity
can be accomplished with less total amount of both renewable and nonrenewable resources.
Therefore, activities modes are analyzed one by one and nonexecutable and inefficient modes
are deleted.

4.2. Generating Initial Particle Swarm

Initial particle swarm is generated randomly. Here, component j, j  1, . . . , n, of either po-
sition or velocity vectors for each particle is generated randomly from the ranges 1, Mj  and
Mathematical Problems in Engineering 9

−Mj , Mj , respectively, as there is no nonrenewable resource constraint in the problem;

moreover, all nonexecutable modes have been deleted, initial mode assignments are feasible,
and no modification is needed.
4.3. Activity Priority for Scheduling
In order to generate a solution in MRCPSP-TWRTPC, two issues are to be decided: activities
mode assignment and scheduling of activities. By specifying mode assignment for a solution,
the cost of nonrenewable resources is determined and fixed. Then, scheduling of activities is
performed with the objective of minimizing the total cost of renewable resource tardiness
penalties. Therefore, the priorities of activities for scheduling are determined by renewable re-
sources. Our procedure for this purpose is as follows.
First, we define the set of activities which need renewable resource k as the activity set of
resource k ASRk . Each activity in this set may have immediate or nonimmediate predecessors
that may not be a member of this set. We define the set of these predecessors which are not
members of ASRk as activities predecessors of resource k APRk . Then, the pairs of ASRk and
APRk , k  1, . . . , R, are prioritized by index k using the heuristic that activities in ASRk
and APRk for the resource which has more potential of causing tardiness penalty should
receive higher priority of being scheduled. To access the potential of the kth resource tardiness
penalty cost, we note that this penalty cost is equal to Pk × max{0, CPk − dk }, where CPk is
the release time of resource k in the project, and hence Pk × CPk − dk  is a good measure for
prioritizing the resources for this purpose. Now the question is how to access CPk without
knowing the schedule. We use the following procedure to access CPk , k  1, . . . , R.
Since no activity can start sooner than the ready time of all the resources it needs, in
order to take into account the resource ready time, we add one dummy node k for each re-
source k, k  1, . . . , R, to the project network. Each dummy activity R is single mode with no
resource requirement, and the duration of rk . All these dummy activities can be scheduled at
time zero. Then, for any activity j which needs renewable resource k, we set dummy activity
k as one of its predecessors. So execution of activity j is not possible before the time rk . Note
that dummy activity k is a member of APRk . The length of the critical path of subnetwork
k is denoted by CPk and is considered as a relative measure of CPk for k  1, . . . , R. CPk is
computed using CPM method. After computation of CPk for all resources, the parts of activity
sets ASRk and APRk , k  1, . . . , R, are prioritizing using the value of Pk × CPk − dk .
In our procedure for prioritizing activities for scheduling, we give more priority to the
activities in APRk than activities in ASRk , since activities in ASRk cannot be scheduled unless
activities in APRk are scheduled.
Finally, for each resource k, it is necessary to prioritize the activities belonging to each
set of ASRk and APRk . We notice when a set of activities using a renewable resource are to be
scheduled, we actually deal with an RCPSP, because activities under specified modes are
to be scheduled in order to execute within the shortest possible time. Therefore, in order to
prioritize activities of a set of ASRk or APRk , we apply one of the most efficient heuristics to
scheduling of activities in RCPSP. Lova et al. 6 compared a number of most efficient heu-
ristics for prioritization of activities in RCPSP and found out that activities prioritization
based on nondecreasing order of the sum of the latest start and finish time LSTLFT
gained the best results among single-pass heuristics. This has been among the best multipass
methods as well. Multipass methods need much more computation times than single-pass
methods, but they usually result in negligible improvement of the solution; hence, we use
the LSTLFT method with single-pass scheduling in order to prioritize activities of ASRk and
APRk .
10 Mathematical Problems in Engineering

4.4. Scheduling Activities

We use parallel schedule generation scheme for scheduling activities, since it fits well with de-
lay local search which we will use. For more details on parallel schedule generation scheme see
Section 6.3.2.1.2 of Demeulemeester and Herroelen 1.
Parallel schedule generation scheme repeats over the separate decision points at which
activities can be added to the schedule. A decision point in time horizon corresponds with the
completion times of already scheduled activities; thus, at most n decision points need to be
considered. At each decision point, the unscheduled activities whose predecessors have been
accomplished are taken into consideration in the order of priority list and are scheduled if no
resource conflict exists at that time instant.
In this problem, renewable resources have ready time and availability of them differs
before and after these times and some new activities may be able to be scheduled after these
times. Therefore, we consider ready times in addition to the completion times of activities for
choosing new point in time horizon. A new point in time horizon is the closest point to the
current point among the ready times of renewable resources and the completion time of
scheduled activities.

4.5. Delay Local Search

This local search method was used by Chen et al. 26 for the RCPSP problem to escape from
local minimum. This method performs like the mutation operator in genetic algorithm and
can delay scheduling each activity in spite of its priority to let other activities be scheduled
sooner and some resources asked by selected activity will be retained for other activities.
In order to use resources more efficiently, scheduling some activities are delayed in
spite of their priority. So other activities can be scheduled sooner. If these selected activities
are not delayed, they could delay other project activities for a rather long time. Therefore,
each activity is delayed if q ≤ q0 , where q is randomly selected form uniform distribution
0, 1 and q0 0 < q0 < 1 is the probability of delay and called “delay rate.”
Considering the efficiency of this delay local search in shortening project makespan
shown in Chen et al. 26, we apply this method to scheduling activities.

4.6. Mode Assignment Modification-Part I

After scheduling activities, the current schedule may have a set of activities with positive
free floats. We call this set FFA. For each j ∈ FFA, it may be possible to change the
mode of activity j and reschedule it, using its free float, such that its finish time is not
increased and hence no other activity is affected. The mode change and rescheduling of
activity j can reduce nonrenewable resource costs, but it can also change CPk , release time
of resource k, k  1, . . . , R. The change of CPk can change renewable resource k tardiness,
k  max{0, CPk −dk }, and its cost, pk lk . If we set the availability of resource k, k  1, . . . , R, for
the periods after max{CPk , dk } equal to zero and then reschedule activity j, we are sure that
this scheduling is not going to increase renewable resource tardiness penalties. Considering
the above points, we define “mode assignment modification-part I” as follows and use it as a
local search procedure in our algorithm.
1 For the current schedule find the set FFA by forward pass computation.
2 Set the availability of resource k, k  1, . . . , R, for the periods after max{CPk , dk }
equal to zero.
Mathematical Problems in Engineering 11

3 For each j ∈ FFA, as we go through forward pass, consider the least nonrenewable
resource cost mode of activity j. If it is not its current mode, reschedule activity
j in this mode using its free float and considering resource constraints, without
increasing its finish time. If this rescheduling is not possible, check the next least
nonrenewable resource cost mode of activity j.

4.7. Local Left Shift Improvement

Mode assignment modification-part I can reduce the renewable resource requirements of
the project for certain periods under the resulted schedule. This should be expected since
usually the mode with less nonrenewable resources has longer duration and requires less
renewable resources per period. Hence, the possibility of local left shift of certain activities
exists. Therefore, we perform the standard local left shift method after the mode assignment
modification-part I.
After performing local left shift, we might be able to modify some of the activities
mode assignment again by mode assignment modification-part I. Hence, these two
procedures are used one after another until no improvement can be achieved in the schedule.

4.8. Mode Assignment Modification-Part II

We consider the set of project activities with no successors and call this set NSA. The direct
predecessor activities of dummy activity n make NSA. For any j ∈ NSA if we change the
mode of activity j and reschedule it, the schedule of no other activity changes and the value
R
of cost change of the project is Δc  ΔNRCj k1 pk Δlk , where ΔNRCj is the change of
nonrenewable resource cost of mode for activity j and Δlk is the change of kth resource
tardiness. Since activity j has no successor, Δlk can be computed easily. If the value of change
effect on total cost is negative, the mode change for activity j ∈ NSA is justifiable. Considering
above points, we define the following local search procedure as “mode assignment modification-
part II” and use it in our algorithm.

1 Let NSA  {j | activity j is the direct predecessor of dummy activity n}.

2 For each j ∈ NSA, consider some modes for activity j, in which nonrenewable re-
sources requirement cost is less and this cost saving is more than the probable in-
crease in the penalty cost of renewable resources. Compute Δc for each of them.
Considering renewable resource constraints, if the least Δc is negative, its cor-
responding mode replaces the current mode of activity j.

4.9. Updating the Local and Global Best Solutions

As mentioned earlier, the PSO algorithm stores the best local solution obtained by each pa-
rticle and the best global solution obtained by the entire swarm. Therefore, after evaluating
all the particles of the swarm at iteration, the best local solution for each particle up to the
current iteration is compared with the current solution of the particle. If the current solution
has lower total cost, the best local solution of the particle is replaced by the current solution
of the particle.
Similarly, the best global solution is updated.
12 Mathematical Problems in Engineering

4.10. Updating Particles Position and Velocity

To update position of the particles to generate new solutions for the next iteration, firstly,
particles velocity is updated using 3.4. In this process each element of the velocity vector
which is more than Mi is changed to Mi and each element of the velocity vector which is less
than −Mi is changed to −Mi . Then, particles positions are updated using 3.3. Similar to the
procedure for updating each particle velocity, each element of the new position vector which
is more than Mi is changed to Mi and each element of the new position vector which is less
than 1 is changed to 1. As the elements of position vector determine the mode assignment of
activities and should be integer, each noninteger element is rounded to the closest integer.

5. Experimental Analysis
In this section, we present experimental analysis of the algorithm. All programs have been
coded and executed on C#.NET 2008 platform on a PC with Core 2 Duo 2.53 GHz CPU and
3 GB RAM.

5.1. Sample Problems

We used sample problems library of PSPLIB 27 and selected three sets of multimode project
scheduling problems, j10, j16, j20 as the small size problems and j30 as the medium size
problem. In addition, two sets of large size problems, j60 and j90, were generated with the
same parameters as j30, but with 60 and 90 activities, respectively. Also, in order to observe
the effect of resources in the problem, two extra sets of project scheduling problems were
generated by Kolisch et al. 28, which we call j30 r4 n4 and j60 r4 n4. All the parameters
in these sets are similar to those in sets j30 and j60, respectively, but instead of having 2
renewable and 2 nonrenewable resources, there exist 4 resources of each type.
Discrete uniform distribution has been used in the related literature of the project
scheduling; for example, Ranjbar et al. 2 and Khalilzadeh et al. 29 used discrete uniform
distribution for resource ready dates and due date. Hence, in this paper we have used discrete
uniform distribution to select the parameters. The unit cost of nonrenewable resources
were randomly selected from discrete uniform distribution 2,6, the unit penalty cost of
renewable resource tardiness were randomly chosen from discrete uniform distribution
10,30. The ready times of renewable resources were randomly generated from discrete
uniform distribution 0,15, and finally, the renewable resource due dates were randomly
picked from discrete uniform distribution 5,15 plus the amount of their ready time.

5.2. Parameters Tuning

There exist five parameters, delay rate q0 , the number of particles in the swarm P, and also,
c1 , c2 , and c3 in our PSO algorithm. For setting these parameters we used 3-point factorial
design as shown in Table 1. As mentioned in Section 3, parameters c1 , c2 , and c3 ought to be
chosen in the ranges given by 3.6 and 3.7, or 3.6 and 3.8. For each of these two ranges,
three points have been selected.
A set of 100 test instances was randomly selected from the set j16 and solved with the
CPU time limit of 150 milliseconds. Subsequently, around 4 to 30 iterations were executed,
depending on the number of particles in the swarm.
Mathematical Problems in Engineering 13

Table 1: Parameter settings.

Parameter Levels
q0 0.2–0.4–0.6
P 10–30–60
c1 0.2–0.45–0.7
Satisfying relations 3.6 and 3.7 Satisfying relations 3.6 and 3.8
c2 0.5–1–1.5 2.5–3–3.5
c3 0.5–1–1.5 2.5–3–3.5

Table 2: Algorithm validity assessment.

Problems set Average CPU time millisecond Average d Standard deviation of d

J10 536 problems 278 1.19 2.18
J16 550 problems 446 3.64 4.75
J20 554 problems 543 4.70 5.65
J30 640 problems 825 7.40 8.13
J60 640 problems 1818 10.56 11.06
J90 640 problems 2916 11.76 12.21
J30-r4-n4 640 problems 1509 7.78 8.73
J60-r4-n4 640 problems 3302 11.69 12.56

Each test instance was run for all 35 × 2  486 permutations of parameter values, a total
of 48,600 problems. The tuned values of the parameters are q0  0.4, P  60, c1  0.2, c2  0.5,
c3  1.

5.3. Algorithm Validity

As our research is new, we could not find any solved problem in the literature. So we
developed some instance problems whose optimum objective function values are in hand.
Then we solved these instances with our algorithm and tested the results. In order to
generate these instances, we used sample problems introduced in Section 5.1; however, we
modified the due dates of renewable resources as follows. We generated a random feasible
schedule for each instance, after assigning the least nonrenewable cost mode to each activity
of the project. In this schedule, we determined the release time of each renewable resource.
Subsequently, we set the due date for each renewable resource equal to its release time; hence,
this schedule has zero tardiness penalty cost and its objective function value is equal to the
cost of nonrenewable resources. As we assigned the least nonrenewable cost modes to the
activities, this schedule is optimal and the optimum value of its objective function is available.
All sample problems were modified with the above procedure and solved with the
PSO algorithm. The termination criterion was generation of 600 schedules. In order to assess
the validity of the algorithm, d, the percent deviation of the objective function value from
optimum, computed for each test problem solved, where d  100 × Zp − Zopt /Zopt , Zp is
the objective function value of the best solution achieved by the PSO algorithm and Zopt ,
the optimal objective function value of the instance. Table 2 shows the average and standard
deviation of d for each problem set. The low values of average and standard deviation of d
reveal good performance of the algorithm with small CPU time, although we do not have
any standard for comparison.
14 Mathematical Problems in Engineering

Table 3: Algorithm robustness check.

120 schedules 900 schedules

Problem set
Average CPU time Average percent Average CPU time Average percent
millisecond deviation millisecond deviation
j10 69 6.18 352 5.17
j16 112 4.74 541 5.01
j20 135 4.14 648 4.14
J30 216 4.17 1039 3.65
J60 471 3.44 2220 3.35
J90 776 2.13 3652 2.08
J30-r4-n4 410 4.13 1893 3.29
J60-r4-n4 880 2.77 4085 2.76

5.4. Algorithm Robustness

In order to check the robustness of the PSO algorithm, we have used the algorithm for
several instances. Each instance has been solved several times, and d the percent deviation
of objective function value for each instance has been computed.
From each set of problems, 15 randomly chosen instances have been used and each
instance has been solved 30 times using the PSO algorithm, and each time done under two
termination criteria, generation of 120 and 900 schedules.
To check the robustness of the algorithm, d for each instance has been computed,
where d  100 × SdZi /EZi , Zi is the objective function value of the best solution achieved
by solving the problem for ith run, SdZi  standard deviation of Zi , and EZi  is the mean of
Zi . The average of d for the problems of each set has been shown in Table 3.

5.5. Improvement Methods Performance Assessment

In this section, we assess the performance of the improvement methods introduced in
Sections 4.6 and 4.8. The first one is the mode assignment improvement method-part I along
with local left shift, and the other one is the mode assignment improvement method-part II.
In order to assess each of these improvement methods, we remove each one from the original
algorithm to get two simplified algorithms, each of which does not have one of the two
improvement methods. We use 30 instances from each problem set and solve them with the
main algorithm, also, with the two simplified algorithms. Subsequently, compare the results
gained by simplified algorithms with the results of the original algorithm. All instances have
been solved by three algorithms under three different termination criteria, to generation of
120, 600, and 900 schedules. We compute d for each instance to compare the results, where
d  100 × Zs − Zp /Zp , Zs is the final solution objective function value obtained by the
simplified PSO algorithm, Zp , final solution objective function value obtained by original
PSO, and d is the percent deviation of Zs from Zp .
Mean and standard deviation of d for each set have been computed. Table 4 shows
the effect of deleting mode assignment improvement method-part I and local left shift and
we can see that, in all cases, the performance of the algorithm deteriorates remarkably and in
most cases the mean CPU time, in millisecond, considerably increases if this local search is
deleted.
 Table 4: Performance assessment of improvement part I.
120 schedules 600 schedules 900 schedules
Average CPU Average CPU Average CPU
Mathematical Problems in Engineering

Average CPU Average CPU Average CPU

time of Standard time of Standard time of Standard
time of original Average time of original time of original Average
Problem set simplified deviation of simplified Average d deviation of simplified deviation of
algorithm d algorithm algorithm d
algorithm d algorithm d algorithm d
millisecond millisecond millisecond
millisecond millisecond millisecond
J10 87 85 6.43 14.13 270 335 7.27 15.77 385 487 15.90 27.79
J16 121 133 10.32 16.65 707 523 4.54 9.11 605 791 6.66 12.75
J20 157 171 10.61 15.71 515 654 10.43 17.49 725 983 12.63 21.84
J30 233 247 5.41 9.93 787 1005 8.58 14.75 1120 1488 10.41 14.92
J60 499 541 10.46 12.29 1658 2189 8.95 10.72 2419 3257 10.33 13.26
J90 819 886 10.05 11.57 2676 3531 11.23 11.83 3960 5293 11.82 13.04
J30-r4-n4 437 476 9.43 13.34 1423 1964 8.81 13.55 2082 2909 11.71 13.81
J60-r4-n4 887 1003 12.12 13.94 2950 7089 12.72 15.03 4294 6084 13.13 14.78
15
 16

Table 5: Performance assessment of improvement part II.

120 schedules 600 schedules 900 schedules
Average CPU Average CPU Average CPU
Average CPU Average CPU Average CPU
time of Standard time of Standard time of Standard
time of original Average time of original time of original Average
Problem set simplified deviation of simplified Average d deviation of simplified deviation of
algorithm d algorithm algorithm d
algorithm d algorithm d algorithm d
millisecond millisecond millisecond
millisecond millisecond millisecond
J10 87 112 0.61 8.65 270 429 3.32 11.92 385 646 4.37 14.77
J16 121 175 2.45 7.62 707 676 5.47 10.20 605 1032 2.04 8.66
J20 157 220 1.50 7.41 515 842 0.38 5.85 725 1231 0.66 7.96
J30 233 341 −1.52 8.06 787 1313 1.68 5.29 1120 1922 2.16 6.63
J60 499 730 −0.54 3.19 1658 2858 −0.55 3.74 2419 4208 0.68 4.25
J90 819 1167 0.06 3.55 2676 4575 −0.73 4.32 3960 6752 −0.93 2.84
J30-r4-n4 437 618 −0.70 6.74 1423 2413 −0.04 3.61 2082 3611 0.39 4.27
J60-r4-n4 887 1322 0.77 3.89 2950 5102 1.34 4.70 4294 7505 −0.62 3.45
Mathematical Problems in Engineering
Mathematical Problems in Engineering 17

Table 5 shows the effect of deleting mode assignment improvement method-part II. We
can see that in most cases the performance of the algorithm deteriorates, and in all cases the
average CPU time increases remarkably. In the following, we explain the reason for increasing
the average CPU time.

6. Conclusions
In this paper, we introduced MRCPSP-TWRTPC problem as a resource-oriented cost min-
imization project scheduling problem considering both renewable and nonrenewable re-
source costs. We formulated and mathematically modeled this problem as mixed integer pro-
gramming model and discussed its NP-hardness. Subsequently, we developed a metaheuris-
tic algorithm to tackle the proposed project scheduling problem. We briefly reviewed the ap-
plications of the PSO algorithm for solving combinatorial and constrained optimization prob-
lems. Thereafter, we applied a modified PSO algorithm including modified updating rules
for particles velocity and position. In order to generate feasible schedules, we used the
PSO algorithm for activity mode assignment and developed a novel heuristic technique to
prioritize activities for parallel scheduling scheme. Two improvement heuristics, delay local
search and local left shift, in line with two mode assignment modification methods, were
implemented to improve the solutions. The computational results revealed proper algorithm
robustness in solving different instances especially with high number of iterations. Also, the
validity analysis showed small deviations from the optimal solutions for the test instances in
reasonable solving time. Finally, we assessed two improvement methods used in our algo-
rithm to demonstrate their good performance.

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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 170391, 5 pages
doi:10.1155/2012/170391

Letter to the Editor

Comment on “Highly Efficient Sigma Point Filter
for Spacecraft Attitude and Rate Estimation”

Baiqing Hu, Lubin Chang, An Li, and Fangjun Qin

Department of Navigation Engineering, Naval University of Engineering, Wuhan 430033, China

Correspondence should be addressed to Lubin Chang, [email protected]

Received 13 September 2011; Accepted 3 January 2012

Copyright q 2012 Baiqing Hu et al. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

In light of the intuition that a better symmetrical structure can further increase the numerical
accuracy, the paper by Fan and Zeng 2009 developed a new sigma point construction strategy
for the unscented Kalman filter UKF, namely, geometric simplex sigma points GSSP. This
comment presents a different perspective from the standpoint of the numerical integration. In this
respect, the GSSP constitutes an integration formula of degree 2 with equal weights. Then, we
demonstrate that the GSSP can be derived through the orthogonal transformation from the basic
points set of degree 2. Moreover, the method presented in this comment can be used to construct
more accurate sigma points set for certain dynamic problems.

With the intuition that a better symmetry property provides a better numerical behavior 1,
addressed the construction strategies to make the best symmetric structure in simplex sigma
point set and derived the so-called geometric simplex sigma points GSSP for Euclidean
geometric space. As compared with the previously exiting simplex sigma points set, the GSSP
has a symmetric structure and a lower computational expense, is numerically more accurate,
and can be used in a variety of 3-dimensional modeled dynamic problems.
In this comment we will show that the GSSP can also be derived from the integration
rule of degree 2. Embedding the Gaussian assumption in the Bayesian filter we can reach
the idea that the functional recursion of the Bayesian filter reduces to an algebraic recursion
operating only on conditional means and covariances which share the same structure of
Gaussian weighted integrals whose integrands are all of the form nonlinear function ×
Gaussian density. The multidimensional integrals are usually intractable for systems involving
nonlinearity, so the recursive estimation problem boils down to how to compute the integrals
using approximate methods. There are many well-known numerical integration methods
such as Gauss-Hermite quadrature, cubature rules, fully symmetric integration rule, and
central-difference-based methods that can be used to handle such integrals 2–4. The
unscented transformation UT used in the traditional unscented Kalman filter UKF can
be interpreted as either fully symmetric integration rule or cubature rule of degree 3. The
2 Mathematical Problems in Engineering

simplex UT can also be interpreted as a numerical integration formula of degree 2 3. Next
we will focus on the numerical integration formula of degree 2 in order to derive the GSSP.
Before getting involved in further details, we first introduce some definitions when
constructing the exact monomials rule as follows 3, 4.

Definition 1. Consider the monomials of the form di1 xiαi , where the powers αi are nonnega-

tive integers and di1 αi ≤ p, a rule said to have precision p if it can integrate such monomials
accurately and it is not exact for monomials of degree p  1.
The numerical integration formulas are conducted by approximating the integrals
with the weighted sum of an elaborately chosen set of points as follows 5–7:

   
gx · Wx ≈ αk g χk , 1
Rn k

where Rn is a region in an n-dimensional, real, Euclidean space, x  x1 , x2 , x3 , . . . , xn  is

the state variable, αk are constants, and χk are points in the space. The integral weight is
a Gaussian distribution as discussed above. Since an arbitrary Gaussian distribution with
mean μ and covariance Σ can always be transformed into the unit Gaussian distribution as
see prove in 4

 
   
gx · N x; μ, Σ dx  g Aξ  μ · Nξ; 0, Idξ, 2

where AAT  Σ and I is the identity matrix, we can start by considering the multidi-
mensional unit Gaussian integral. Based on Definition 1, we can construct a rule, which is
exact up to degree 2 by determining the weighted points set χk such that it is exact for
selections g i ξ  1, gi ξ  ξi , gi,j ξ  ξi ξj , i 
/ j, and gi,i ξ  ξi2 . The true values of the
integrals are


I0  1 · Nξ; 0, Idξ  1, 3

I1  ξi · Nξ; 0, Idξ  0, i  1, 2, . . . n,

I2  ξi2 · Nξ; 0, Idξ  1, i  1, 2, . . . n, 4

I1 × 1  ξi ξj · Nξ; 0, Idξ  0, i 
/ j  1, 2, . . . n.

In 5 Stroud had proved that n  1 is the minimum number of points for equally weighted
degree 2 formulas. Let us define n  1 equally weighted points

 
χ  χ1 , χ2 , . . . , χn1 , 5
Mathematical Problems in Engineering 3

where χk  χk,1 , χk,2 , . . . , χk,n T , k  1, 2, . . . , n  1. In order to calculate 4 accurately using

these points through 1, we can get the following equations:

1  n1
χk  0,
n  1 k1
6
1  n1
χk · χTk  In ,
n  1 k1

where I n is the n-dimensional identity matrix. Any equally weighted points set that fulfills
6 can approximate the unit Gaussian integral accurately up to degree 2. References 6, 7
have presented a basic points set that fulfills such conditions with the form as
√ 2rkπ
χk,2r−1  2 cos ,
n1 7
√ 2rkπ
χk,2r  2 sin ,
n1

r  1, 2, . . . , n/2, and if n is odd, χk,n  −1k . n/2 is the greatest integer not
exceeding n/2. When n  3, the basic points set is
⎡ √ √ ⎤
0 − 2 0√ 2
√
 ⎢ ⎥
S1  χ1 | χ2 | χ3 | χ4  ⎣ 2 0 − 2 0 ⎦. 8
−1 1 −1 1

Next we will give a theorem through which we can get the GSSP from the basic points set of
degree 2.

Theorem 1. Assume that n  1 equally weighted points set as that in 5 constitutes an integration
formula of degree 2. A is an n×n orthogonal matrix. Then, Aχ also constitutes an integration formula
of degree 2.

Proof. By defining a matrix

⎡ ⎤
χ1,1 χ2,1 χ3,1 · · · χn1,1
⎢ χ1,2 χ2,2 χ3,2 · · · χn1,2 ⎥
⎢ ⎥
M⎢ . .. .. .. .. ⎥, 9
⎣ .. . . . . ⎦
χ1,n χ2,n χ3,n · · · χn1,n

we can rewrite 6 as

MMT  n  1In , 10

where In is the n-dimensional identity matrix. A is an orthogonal matrix, so

AMAMT  AMMT AT  n  1In AAT  n  1In . 11

Hence, Aχ also fulfills 6 which completes the proof.

4 Mathematical Problems in Engineering

For the 3-dimensional Euclidean space, there are many orthogonal matrixes. Here, we
use the direction cosine matrix DCM which is widely used in the practical systems such as
guidance and navigation 8. The DCM that rotates an angle φ about u  0 0 1T is
⎡ ⎤
  cos φ sin φ 0
C φ  ⎣− sin φ cos φ 0⎦. 12
0 0 1

By a simple computation, it is obvious that

⎡ ⎤
 1 1 −1 −1
3π
S2  C S1  ⎣−1 1 1 −1⎦. 13
4
−1 1 −1 1

Since all the points share equal weight, S2 is virtually just the GSSP derived in 1.
Up to this point we have derived the GSSP through the numerical integration formulas
method. Compared with the intuitionistic method in 1, our method is more principled
in mathematical terms. Although Theorem 1 is proposed for integration formula of degree
2, it can be generalized for different degrees, that is, the orthogonal transformation on
the numerical integration formula will not change its accurate degree. Reference 7 also
presented the points set of degree 3, that is,
 
γ  γ1 , γ2 , . . . , γ 2n , 14

where γ k  γk,1 , γk,2 , . . . , γ k,n T , k  1, 2, . . . , 2n with

√  
2r − 1kπ
γk,2r−1  2 cos ,
n
√   15
2r − 1kπ
γk,2r  2 sin ,
n

r  1, 2, . . . , n/2, and if n is odd, γk,n  −1k . n/2 is the greatest integer not
exceeding n/2. It can be proven that the points set 14 can be derived through orthogonal
transformation on the cubature points set with the form 4
√ √
λ nek − nek , k  1, . . . , n, 16

where ei denotes a unit vector to the direction of coordinate axis i.

As can be seen from 16 the distance of the cubature point from the mean is
√
proportional to n. So, for high-dimensional problems, the cubature points set bears the
nonlocal sampling problem 9–11. For many kinds of nonlinearities such as exponents or
trigonometric functions, this can lead to significant difficulties. In contrast, the points set
14 does not bear such nonlocal sampling problem. Under this condition, the points set 14
is more accurate than the cubature points set 16. Therefore, to this respect, we can derive
different sigma points set which may be more accurate for certain dynamic problems by the
presented method.
Mathematical Problems in Engineering 5

References
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Mathematical Problems in Engineering, vol. 2009, Article ID 507370, 23 pages, 2009.
2 K. Ito and K. Xiong, “Gaussian filters for nonlinear filtering problems,” IEEE Transactions on Automatic
Control, vol. 45, no. 5, pp. 910–927, 2000.
3 Y.-X. Wu, D.-W. Hu, M.-P. Wu, and X.-P. Hu, “A numerical-integration perspective on Gaussian
filters,” IEEE Transactions on Signal Processing, vol. 56, no. 8, pp. 2910–2921, 2006.
4 I. Arasaratnam and S. Haykin, “Cubature Kalman filters,” IEEE Transactions on Automatic Control, vol.
54, no. 6, pp. 1254–1269, 2009.
5 A. H. Stroud, “Numerical integration formulas of degree two,” Mathematics and Computers in
Simulation, vol. 14, pp. 21–26, 1960.
6 A. H. Stroud, “Remarks on the disposition of points in numerical integration formulas,” Mathematical
Tables and Other Aids to Computation, vol. 11, pp. 257–261, 1957.
7 D. Xiu, “Numerical integration formulas of degree two,” Applied Numerical Mathematics, vol. 58, no.
10, pp. 1515–1520, 2008.
8 D. H. Titterton and J. L. Weston, Strapdown Inertial Navigation Technology, The Institution of Electrical
Engineers, 2nd edition, 2004.
9 S. J. Julier, “The scaled unscented transformation,” in Proceedings of the American Control Conference,
vol. 6, pp. 4555–4559, Anchorage, Alaska, USA, May 2002.
10 S. Chen, H. Tong, Z. Wang, S. Liu, M. Li, and B. Zhang, “Improved generalized belief propagation for
vision processing,” Mathematical Problems in Engineering, vol. 2011, Article ID 416963, 12 pages, 2011.
11 S. Y. Chen, “Kalman filter for robot vision: a survey,” IEEE Transactions on Industrial Electronics, vol.
59, 2012.
Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 349178, 20 pages
doi:10.1155/2012/349178

Research Article
A Filter Algorithm with Inexact Line Search

Meiling Liu,1 Xueqian Li,2 and Qinmin Wu3

1
Department of Mathematics, Tongji University, Shanghai 200092, China
2
Business School, University of Shanghai for Science and Technology, Shanghai 200093, China
3
School of Management, Fudan University, Shanghai 200433, China

Correspondence should be addressed to Meiling Liu, [email protected]

Received 25 October 2011; Accepted 18 December 2011

Academic Editor: Dongdong Ge

Copyright q 2012 Meiling Liu et al. This is an open access article distributed under the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in
any medium, provided the original work is properly cited.

A filter algorithm with inexact line search is proposed for solving nonlinear programming prob-
lems. The filter is constructed by employing the norm of the gradient of the Lagrangian function to
the infeasibility measure. Transition to superlinear local convergence is showed for the proposed
filter algorithm without second-order correction. Under mild conditions, the global convergence
can also be derived. Numerical experiments show the efficiency of the algorithm.

1. Introduction
Fletcher and Leyffer 1 proposed filter methods in 2002 offering an alternative to traditional
merit functions in solving nonlinear programming problems NLPs. The underlying concept
is that a trial point is accepted provided that there is a sufficient decrease of the objective
function or the constraint violation. Filter methods avoid the difficulty of determining a
suitable value of the penalty parameter in the merit function. The promising numerical
results in 1 led to a growing interest in filter methods in recent years. Two variants of trust-
region filter sequential quadratic programming SQP method were proposed by Fletcher et
al. 2, 3. Chin and Fletcher 4 developed filter method to sequential linear programming
strategy that takes equality-constrained quadratic programming steps. Ribeiro et al. 5
proposed a general filter algorithm that does not depend on the particular method used for
the step of computation. Ulbrich 6 argued superlinear local convergence of a filter SQP
method. Ulbrich et al. 7 and Wächter and Biegler 8 applied filter technique to interior
method and achieved the global convergence to first-order critical point. Wächter and Biegler
9, 10 proposed a line-search filter method and applied it to different algorithm framework.
Gould et al. 11 and Shen et al. 12 developed new multidimensional filter technique.
2 Mathematical Problems in Engineering

Su and Pu 13 extended the monotonicity of the filter technique. Nie 14 applied filter
method to solve nonlinear complementarity problems. In this paper, the global convergence
is analyzed widely. However, it has been noted by Fletcher and Leyffer 1 that the filter
approach can suffer from the Maratos effect as that of a penalty function approach. By the
Maratos effect, a full step can lead to an increase of both infeasibility measure and objective
function in filter components even if arbitrarily close to a regular minimizer. This makes the
full step unacceptable for the filter and can prohibit fast local convergence.
In this paper, we propose a filter algorithm with inexact line-search for nonlinear
programming problems that ensures superlinear local convergence without second-order
correction steps. We use the norm of the gradient of the Lagrangian function in the infea-
sibility measure in the filter components. Moreover, the new filter algorithm has the same
global convergence properties as that of the previous works 2, 3, 9. In addition, since the
sufficient decrease conditions in an SQP framework can usually make the algorithm complex
and time-consuming, the presented method is a line-search method without using SQP steps.
An inexact line-search criterion is used as the sufficient reduction conditions. In the end,
numerical experiences also show the efficiency of the new filter algorithm.
This paper is organized as follows. For the main part of the paper, the presented tech-
niques will be applied to general NLP. In Section 2, we state the algorithm mechanism. The
convergent properties are shown in Section 3. The global and superlinear convergence are
proved. Furthermore, the Maratos effect is avoided. Finally, Section 4 shows the effectiveness
of our method under some numerical experiences.

2. Inexact Line-Search Filter Approach

2.1. The Algorithm Mechanism
We describe and analyze the line-search filter method for NLP with equality constraints. State
it as

minn fx
x∈Ê
2.1
subject to ci x  0, i ∈ E,

where the objective function f : Ên → Ê and the constraints ci are assumed to be continu-
ously differentiable, and E  {i | i  1, 2, . . . , m}.
The corresponding Lagrangian function is

Lx, λ  fx λT cx, 2.2

where the vector λ corresponds to the Lagrange multiplier. The Karush-Kuhn-Tucker KKT
conditions for 2.1 are

∇fx λT ∇cx  0,
2.3
cx  0.
Mathematical Problems in Engineering 3

For a given initial estimate x0 , the line-search algorithm generates a sequence of iter-
ates xk by xk 1  xk αk dk as the estimates of the solution for 2.1. Here, the search direction
dk is computed from the linearization at xk of the KKT conditions 2.3:
    
Wk ∇cxk  dk ∇fxk 
− , 2.4
∇cxk  0 λ cxk 

where the symmetric matrix Wk denotes the Hessian ∇2xx Lxk , λk  of 2.2 or a positive
definite approximation to it.
After a search direction dk has been computed, the step size αk ∈ 0, 1 is determined
by a backtracking line-search procedure, where a decreasing sequence of step size αk is tried
until some acceptable criteria are satisfied. Generally, the acceptable criteria are constructed
by a condition that if the current trial point xk can provide sufficient reduction of a merit
function. The filter method proposed by Fletcher and Leyffer 1 offers an alternative to merit
functions. In this paper, the filter notion is defined as follows.

Definition 2.1. A pair Vk , fk  is said to dominate another pair Vl , fl  if and only if both Vk ≤ Vl
and fk ≤ fl .

Here, we define V x : cx2 ∇Lx2 as the l2 norm of the infeasibility measure.
That is, we modify the infeasibility measure in filter, with this modification, the superlinear
convergence is possibly derived. Strictly, it is a stationarity measure. However, we still call
it infeasibility measure according to its function. In the rest of paper, the norm is always
computed by l2 norm excepting special noting.

Definition 2.2. A filter is a list of pairs Vl , fl  such that no pair dominates any other. A point
Vk , fk  is said to be acceptable for inclusion in the filter if it is not dominated by any point in
the filter.

When a pair Vk , fk  is said to be acceptable to the filter, we also say the iterate xk is
acceptable to the filter. In filter notion, a trial point xk 1 is accepted if it improves feasibility
or improves the objective function. So, it is noted that filter criteria is less demanding than
traditional penalty function. When improving optimality, the norm of the gradient of the
Lagrangian function will tend to zero, so it offers a more precise analysis for the objective
function.
However, this simple filter concept is not sufficient to guarantee global convergence.
Fletcher et al. 3 replace this condition by requiring that the next iterate provides at least as
much progress in one of the measure V or f that corresponds to a small fraction of the current
infeasibility measure. Here, we use the similar technique to our filter. Formally, we say that a
trial point can be accepted to the current iterate xk or the filter if

V xk  ≤ βV xl  2.5a

or

fxk  ≤ fxl  − γ V xk , 2.5b

4 Mathematical Problems in Engineering

for some fixed constants β, γ ∈ 0, 1, and V xl , fxl  are points in current filter. In practical
implementation, the constants β close to 1 and γ close to 0. However, the criteria 2.5a and
2.5b may make a trial point always provides sufficient reduction of the infeasibility measure
alone, and not the objective function. To prevent this, we apply a technique proposed in
Wächter and Biegler 10 to a different sufficient reduction criteria. The switching condition
is
 e1
∇fkT dk < 0, −αk ∇fkT dk > δV xk e2 , 2.6

where δ > 0, e2 > 1, e1 ≥ 2e2 . If the condition 2.6 holds, we replace the filter condition 2.5b
as an inexact line-search condition, that is, the Armijo type condition

fxk 1  ≤ fxk  ηαk ∇fkT dk , 2.7

where η ∈ 0, 1/2 is a constant. If 2.6 holds but not 2.7, the trial points are still determined
by 2.5a and 2.5b.
If a trial point xk can be accepted at a step size by 2.7, we refer to xk as an f type
iterate and the corresponding αk as an f step size.

2.2. The Algorithm Analysis

By the right part of switching condition 2.6, it ensures that the improvement to the
objective function by the Armijo condition 2.7 is sufficiently large compared to the current
infeasibility measure V xk . Thus, if iterate points remote from the feasible region, the
decrease of the objective function can be sufficient. By setting e2 > 1, the progress predicted
by the line model −αk ∇fkT dk e1 of f can be a power of the infeasibility measure V x. The
choice of e1 ≥ 2e2 makes it possible that a full step can be accepted by 2.7 when it closes to
a local solution.
In this paper, we denote the filter as a set Fk containing all iterates accepted by 2.5a
and 2.5b. During the optimization, if the f type switching condition 2.6 holds and the
Armijo condition 2.7 is satisfied, the trial point is determined by 2.7 not by 2.5a and
2.5b, and the value of the objective function is strictly decreased. This can prevents cycling
of the algorithm see 10.
If the linear system 2.4 is incompatible, no search direction dk can be found and the
algorithm switches to a feasibility restoration phase. In it, we try to decrease the infeasibility
measure to find a new iterate xk 1 that satisfies 2.4 and is acceptable to the current filter.
Similarly, in case ∇fkT dk < 0, the sufficient decrease criteria for the objective function in
2.5b may not be satisfied. To inspect where no admissible step size α can be found and
the feasibility restoration phase has to be invoked, we can consider reducing α and define

⎧
⎨min 1 − β, − γ V xk  , δV xk 
e2
⎪
e , if ∇fkT dk < 0,
αmin  −∇fkT dk −∇fkT dk 1 2.8
k ⎪
⎩
1 − β, otherwise.

If the trial step size α < αmin

k , the algorithm turns to the feasibility restoration phase.
Mathematical Problems in Engineering 5

By αmin
k
, it is ensured that the algorithm does not switch to the feasibility restoration
phase as long as 2.6 holds for a step size α < αk and that the backtracking line-search
procedure is finite. Thus, for a trial point xk , the algorithm eventually either delivers a new
iterate xk 1 or reverts to the feasibility restoration phase. Once finding a feasible direction, the
algorithm still implements the normal algorithm.
Of course, the feasibility restoration phase may not always be possible to find a point
satisfying the filter-accepted criteria and the compatible condition. It may converge to a
nonzero local minimizer of the infeasibility measure and indicate that the algorithm fails. In
this paper, we do not specify the particular procedure for the feasibility restoration phase.
Any method for dealing with a nonlinear algebraic system can be used to implement a
feasibility restoration phase.

2.3. The Algorithm

We are now in the place to state the overall algorithm.

Algorithm 2.3.

Step 1. Given: starting point x0 , constants V max  max{104 , 1.2V x0 }, β, γ ∈ 0, 1, η ∈
0, 1/2, δ > 0, e1 ≥ 2e2 , e2 > 1, τ ∈ 0, 1.

Step 2. Initialize: F0  {V max , fx0 }, the iteration counter k ← 0.

Step 3. For k  0, 1, 2, . . ., stop if xk satisfies the KKT conditions 2.3.

Step 4. Compute the search direction dk from 2.4. If the system 2.4 is incompatible, go to
the feasibility restoration phase in Step 7.

Step 5. Set α0  1, compute αmin

k
.

1 If αk < αmin

k
, go to Step 7. Otherwise, compute the new trial point xk 1  xk αk dk .
2 If the conditions 2.6 and 2.7 hold, accept the trial step and go to Step 6, otherwise
set xk  xk 1 , go to Step 53.
3 In case where no αk make 2.7 hold, if xk 1 can be accepted to the filter, augment
the filter by Fk 1  Fk ∪ {V xk 1 , fxk 1 }, go to Step 6; Otherwise set xk  xk 1 ,
go to Step 54.
4 Compute αk 1  ταk , go back to Step 51.

Step 6. Increase the iteration counter k ← k 1 and go back to Step 4.

Step 7. Feasibility restoration phase: by decreasing the infeasibility of V to find a new iterate
xk 1 such that 2.4 is compatible. And if 2.7 holds at xk 1 , continue with the normal
algorithm in Step 6; if 2.5a and 2.5b hold at xk 1 , augment the filter by Fk 1  Fk ∪
{V xk 1 , fxk 1 }, and then continue with the normal algorithm in Step 6; if the feasibility
restoration phase cannot find such a point, stop with insuccess.

Remark 2.4. In contrast to SQP method with trust-region technique, the actual step does not
necessarily satisfy the linearization of the constraints.
6 Mathematical Problems in Engineering

Remark 2.5. Practical experience shows that the filter allows a large degree of nonmonotonic-
ity and this can be advantageous to some problems.

Remark 2.6. To prevent the situation in which a sequence of points for which are f type
iterative point with Vk → ∞ is accepted, we set an upper bound V max on the infeasibility
measure function V .

For further specific implementation details of Algorithm 2.3, see Section 4.

3. Convergence Analysis
3.1. Global Convergence
In this section, we give a global convergence analysis of Algorithm 2.3. We refer to the global
convergence analysis of Wächter and Biegler 10 in some places. First, state the necessary
assumptions.

Assumption A1. Let all iterates xk are in a nonempty closed and bounded set S of Ên .

Assumption A 2. The functions f and c are twice continuously differentiable on an open set
containing S.

Assumption A 3. The matrix Wk is positive definite on the null space of the Jacobian ∇cxk 
and uniformly bounded for all k, and the Lagrange multiply λ is bounded for all k.

Assumptions A1 and A2 are the standard assumptions. Assumption A3 plays an im-

portant role to obtain the convergence result and ensures that the algorithm is implementable.
For stating conveniently, we define a set J  {i | xi is accepted to the filter}. In addi-
tion, sometimes, it is need to revise Wk to keep it positive definite by some updating methods
such as damped BFGS formula 15 or revised Broyden’s method 16.
From Assumptions A1–A3, we can get

dk  ≤ Md , mW dk 2 ≤ dkT Wk dk ≤ MW dk 2 , λk  ≤ Mλ , 3.1

where Md , Mλ , MW , and mW are constants.

Lemma 3.1. Suppose Assumptions A1–A3 hold, if {xki } is a subsequence of iterates for which dki  >
1 with a constant 1 > 0 independent of ki , then for constant 2  mW /2 1 , if V xki  ≤
mW /2Mλ  1 , then

∇fxki T dki ≤ − 2 . 3.2

Proof. By the linear system 2.4 and 3.1,

∇fkTi dki  −λTki ∇cxki dki − dkTi Wki dki

 λTki cxki  − dkTi Wki dki

≤ Mλ V xki  − mW dki 2
Mathematical Problems in Engineering 7
mW
≤ Mλ 1 − mW 1
2Mλ
 − 2.
3.3

Lemma 3.1 shows that the search direction is a descent direction for the objective
function when the trial points are sufficiently close to feasible region.

Lemma 3.2. Suppose Assumptions A1–A3 hold, and that there exists an infinite subsequence {xki }
of {xk } such that conditions 2.6 and 2.7 hold. Then

lim V xki   0. 3.4

k→∞

Proof. From Assumptions A1 and A2, we know that ∇f is bounded. Hence, it has with 3.1
that there exists a constant Mm > 0 such that
 
 T 
∇fk dk  ≤ Mm . 3.5

By 2.6 it has
 e1
δV xki e2 < −αki ∇fkTi dki ≤ Mm
e1
αki . 3.6

As 1 − 1/e1 > 0, we have

 1−1/e1
δ
e1 V xki e2 −e2 /e1 < α1−1/e
ki
1
. 3.7
Mm

Then by 2.7 and 3.7,

fxki 1  − fxki  ≤ ηαki ∇fkTi dki

< −ηδ1/e1 α1−1/e 1

V xki e2 /e1
ki 3.8
 1−1/e1
δ
< −ηδ1/e1 e1 V xki e2 .
Mm

e1 1−1/e1
Hence, for c1 : ηδ1/e1 δ/Mm  , an integer K and all j  1, 2, . . .,

K
j−1 K
j−1
   
f xK j  fxK  fxki 1  − fxki  < fxK  − c1 V xki e2 . 3.9
ki K ki K

Since fxK j  is bounded below as j → ∞, the series on the right hand side in the last line of
3.8 is bounded, then implies the conclusion.
8 Mathematical Problems in Engineering

Lemma 3.3. Let {xki } ⊂ {xk } be an infinite subsequence of iterates so that V xki , fxki  is entered
into the filter. Then

lim V xki   0. 3.10

i→∞

Proof. Here, we refer to the proof of 2, Lemma 3.3. If the conclusion is not true, there exists
an infinite subsequence {kj } ⊂ {ki } ⊂ J such that

 
V xkj ≥ , 3.11

for all j and for some > 0. This means that no other V, f pair can be added to the filter at a
later stage within the region

     
Vkj − 1 − β , Vkj × fkj − γ , fkj , 3.12

or with the intersection of this region with

 
S0  0, V max  × f min , ∞ 3.13

for some constants f min ≤ fxk . Now, the area of each of these regions is 1−βγ 2 . Hence, the
set S0 ∪ {V, f | f ≤ Mf } is completely covered by at most a finite number of such regions,
for any Mf ≥ f min . Since the pairs Vkj , fkj  keep on being added to the filter, fkj tends to
infinity when i tends to infinity. Without loss of generality, assume that fkj 1 ≥ fkj for all j is
sufficiently large. But 2.5a and 3.11 imply that

Vkj 1 ≤ βVkj , 3.14

so Vkj → 0, which contradicts 3.11. Then, this latter assumption is not true and the
conclusion follows.

Next, we show that if {xk } is bounded, there exists at least one limit point of the
iterative points is a first-order optimal point for 2.1.

Lemma 3.4. Suppose Assumptions A1–A3 hold. Let {xki } be a subsequence with ∇fkTi dki < − 2 for
a constant 2 > 0 independent of ki . Then, there exists a constant α > 0 so that for all ki and αki < α,

fxki αki dki  − fxki  ≤ ηαki ∇fkTi dki . 3.15

Mathematical Problems in Engineering 9

Proof. From Assumptions A1 and A2, dT ∇2 fxd ≤ cf d2 for some constant cf > 0. Thus, it
follows from the Taylor Theorem and 3.1 that

fxki αki dki  − fxki  − αki ∇fkTi dki

   
 α2ki dkTi ∇2 f y1 dki ≤ cf α2ki dki 2 ≤ αki 1 − η 2 3.16
 
≤ − 1 − η αki ∇fkTi dki ,

if αki ≤ αki : 1 − η 2 /cf Md2 , where y1 denotes some point on the line segment from xki to
xki αki dki . Then the conclusion follows.

Lemma 3.5. Suppose Assumptions A1–A3 hold, and the filter is augmented only a finite number of
times, then

lim dk   0. 3.17

k→∞

Proof. Since the filter is augmented only a finite number of times, there exists an integer K1
so that for all iterates {xk }k>K1 the filter is not augmented. If the claim is not true, there must
exist a subsequence {xki } and a constant > 0 so that dki  ≥ for all i. Then by Lemma 3.1,
it has ∇fkTi dki ≤ − 2 for all ki ≥ K2 , K2 is some integer and K2 > K1 . And from Lemmas 3.2
and 3.4, it has V xki  ≤ and

fxki 1  − fxki  ≤ ηαki ∇fkTi dki ≤ −αki η 2 . 3.18

Since fxki  is bounded below and monotonically decreasing for all k ≥ K2 , one can conclude
that limi → ∞ αki  0. This means that for ki > K2 the step size α  1 has not been accepted. So,
we can get a αki < 1 such that a trial point xki 1  xki αki dki satisfies

 
V xki 1 , fxki 1  ∈/ Fki 3.19

or

fxki 1  − fxki  > ηαki ∇fkTi dki . 3.20

Let V min  min{Vk | Vk , fk  ∈ Fk }. From Lagrange’s Theorem, it has

 T
V xki 1   V xki  αki ∇V y2 dki
  
≤ V xki  αki ∇V y2 dki  3.21

≤ V xki  cV αki Md ,

for some constant cV , where y2 denotes some point on the line segment from xki to xki αdki .
Since limi → ∞ αki  0 and limi → ∞ V xki   0 by Lemmas 3.2 and 3.3, it has V xki 1  < V min
10 Mathematical Problems in Engineering

for ki sufficiently large, so 3.19 is not true. In case 3.20, since αki → 0 for sufficiently
large ki , we have αki ≤ α with α from Lemma 3.4, that is, 3.20 can not be satisfied. Then the
conclusion follows.

Lemma 3.6. Suppose Assumptions A1–A3 hold. Let {xki } be a subsequence of {xk } with ∇fkTi dki ≤
− 2 for a constant 2 > 0 independent of ki . Then, there exists trial points can be accepted to the filter.

Proof. The mechanisms of Algorithm 2.3 ensure that the first iterate can be accepted to
the filter. Next, we can assume that V xk , fxk  is acceptable to the kth filter and
V xl , fxl  ∈ Fk , l < k. If αki ≤ c2 : 2 /Md2 cf , it has

αki 2 −αki ∇fkTi dki

α2ki ≤ ≤ , 3.22
Md2 cf cf dki 2

that is, αki ∇fkTi dki cf α2ki dki 2 ≤ 0, so by 3.16

fxki αki dki  ≤ fxki . 3.23

Similarly, if αki ≤ c3 V xki  ≤ V xki /d2 cV , with c3 : 1/Md2 cV and cV from Lemma 3.5, it
has

−αki V xki  cV α2ki dki 2 ≤ 0,

3.24
V xki αki dki  ≤ V xki .

Hence, we have

fxki 1   fxki αki dki  ≤ fxki  ≤ fxl  − γ V xl ,

3.25
V xki 1   V xki αki dki  ≤ V xki  ≤ βV xl .

The claim then follows from 3.25.

The last Lemma 3.6 shows, for case V xk  > 0, Algorithm 2.3 either accepts a new
iterate to the filter or switches to the feasibility restoration phase. For case V xk   0 and the
algorithm does not stop at a KKT point, then ∇fkT dk < 0, αmin k
 0, and the Armijo condition
2.7 is satisfied for sufficiently small step size αk , so an f type iterate is accepted. Hence, the
inner loop in Step 5 always terminates in a finite number of trial steps, and Algorithm 2.3 is
well defined.

Lemma 3.7. Suppose Assumptions A1–A3 hold. Let {xki } be a subsequence with dki  ≥ for a
constant > 0 independent of ki . Then, there exists an sufficient large integer K such that for all
ki > K the algorithm can generate some trial points either be accepted to the filter or be f type steps.

Proof. By Lemmas 3.1, 3.2, and 3.3, there exist constants 1, 2 > 0 so that

V xki  ≤ 1, ∇fkTi dki < − 2 3.26

for all ki > K.

Mathematical Problems in Engineering 11

If V xki   0, the f type switching condition 2.6 is true, there must exist iterates for
which are f type iterates. For the remaining iterates with V xki  > 0, if
⎧  1/e2 −1 ⎫
⎨α c τc3 e1 ⎬
2 2
V xki  < min , , , 3.27
⎩ c3 c3 δ ⎭

with α from Lemma 3.4 and c2 , c3 from Lemma 3.6, it implies with e2 > 1

δV xki e2

e1 < τc3 V xki , 3.28
2

as well as

c3 V xki  < min{α, c2 }. 3.29

Now choose an arbitrary ki ≥ K with V xki  > 0 and define

c4 : c3 V xki   min{α, c2 , c3 V xki }. 3.30

Lemmas 3.4 and 3.6 then imply that a trial step size αki ≤ c4 satisfies both

fxki αki dki  ≤ fxki  ηαki ∇fkTi dki ,

  3.31
V xki αki dki , fxki αki dki  ∈ Fki .

Since α > ταk > ταmin k by the definition of αmink , the method does not switch to the
feasibility restoration phase for those trial step sizes. Then the claim follows.

Based on the above lemmas, we can give the main global convergence result.

Theorem 3.8. Suppose Assumptions A1–A3 hold, then

lim V xk   0, 3.32

k→∞

lim dk   0, 3.33

k→∞

that is, there exits a limit point x of {xk } which is a first-order optimal point for 2.1.

Proof. 3.32 follows from Lemmas 3.2 and 3.3.

If the filter is augmented a finite number of times, then the claim 3.33 holds from
Lemma 3.5. For either case, there exists a subsequence {xki } so that ki ∈ J for all i. Suppose
the conclusion 3.33 is not true, there must exist a subsequence {xkj } of {xki } such that
dkj  ≥ for some constant > 0. Hence by Lemmas 3.1 and 3.3, it has ∇fkTj dkj < − 2 and
limi → ∞ V xkj   0 for all kj . Then by Lemma 3.7, when α < min{α, c2 , c3 V xkj }, the algorithm
12 Mathematical Problems in Engineering

can generate a f type iterate, that is, the filter is not augmented, this contradicts the choice of
{xkj }, so that 3.33 holds.

3.2. Local Convergence

In this section, we show the local convergence of Algorithm 2.3.

Assumption A4. The iterates xk converge to a point x that satisfies

     
V x  0, ∇x L x, λ  0, ∇xx L x, λ is positive definite on d : ∇cxT d  0 ,

∇cx has full-row rank .

3.34

Assumption A 5. There is a neighborhood Nx of x such that Wk  ∇xx Lxk , λk , for all
xk ∈ Nx.

Remark 3.9. Under Assumption A4, the point x is a strict local minimum of 2.1.

Remark 3.10. Under Assumptions A4 and A5, it is well known that with the choice xk 1 
xk dk , the sequence {xk } converges q-superlinearly to x and that the convergence is q-
quadratic if ∇xx f and ∇xx ci are lipschitz continuous in a neighborhood of x. That is, for any
given ζ ∈ 0, 1, xj ∈ Nx, j  k, k 1, . . ., and xj 1  xj dj , it has

       
dj 1  ≤ ζdj , xj 1 − x ≤ ζxj − x. 3.35

We use the proof techniques of local convergence in 6. In proof, define lρ x, λ 
Lx, λ ρ/2cx22 and lρ x, λ  fx ρ/2V x with ρ is a parameter.

Lemma 3.11. Suppose Assumptions A1–A3 hold. Let x satisfy the Assumption A4. Then, there exist
constants 0 < r < t, ρ0 > 0 and a neighborhood Nσ x  {x : x − x < σ} ⊂ Nx such that

r ρ − ρ0    
x − x2 cx2 ≤ lρ x, λ − lρ x, λ ≤ t 1 ρ x − x2 , 3.36
2 2

for all ρ ≥ ρ0 and all x ∈ Nσ x.

Moreover, possibly after increasing t > 0, ρ0 > 0 and reducing σ > 0, we have that for all
ρ ≥ ρ0 and all x ∈ Nσ x

r ρ − ρ0    
x − x2 V x ≤ lρ x, λ − lρ x, λ ≤ t 1 ρ x − x2 . 3.37
2 2
Mathematical Problems in Engineering 13

Proof. Let x ∈ Nx. Using Taylor’s Theorem and ∇x lρ x, λ  0, ∇λlρ x, λ  0, we have with
some x , λ  on the line segment between x, λ and x, λ
  1  
lρ x, λ − lρ x, λ  x − xT ∇xx lρ x , λ x − x
2
3.38
  
x − xT ∇xλ lρ x , λ λ − λ .

Obviously, it has

   ρ   ρ  T  
∇xx lρ x , λ  ∇xx lρ/2 x , λ c x ∇c x ∇c x . 3.39
2 2

Under Assumption A4, there exists ρ > 0 such that for all ρ ≥ ρ,
 
dT ∇xx lρ/2 x, λ d ≥ 4rd2 , ∀d ∈ Ên , 3.40

with a constant r > 0, see 15, Theorem 17.5.

Suppose λx is Lipschitz continuous and Ly is the Lipschitz constant of λ, and ρ > 0
is a constant. Let ρ0 : max{ρ, 4L2y /r} for all x with x − x ≤ σ, it has by continuity
 ρ0 
dT ∇xx lρ0 /2 x, λ cx d ≥ 2rd2 , ∀d ∈ Ên . 3.41
2

Thus, we obtain for all x ∈ Nσ x by 3.38, 3.39, and 3.41

  ρ0      T  
lρ0 x, λ − lρ0 x, λ ≥ rx − x2 ∇c x x − x2 λ − λ ∇c x x − x. 3.42
4

It is obvious for all s > 0 that

 T   1   2  2
 
2 λ − λ ∇c x x − x ≥ − ∇c x x − x − sλ − λ
s
 2 3.43
1   2  
≥ − ∇c x x − x − sL2y λ − λ .
s

If s  r/L2y , 1/s  L2y /r ≤ ρ0 /4, then it has

  r ρ0    
lρ0 x, λ − lρ0 x, λ ≥ x − x2 ∇c x x − x2 . 3.44
2 8

Since cx  0, lρ x, λ  lρ0 x, λ  fx, and by 3.44 it has

    ρ − ρ0
lρ x, λ − lρ x, λ  lρ0 x, λ − lρ0 x, λ cx2
2
3.45
r ρ − ρ0
≥ x − x2 cx2 ,
2 2
14 Mathematical Problems in Engineering

that is the left inequality in 3.36. For the right inequality in 3.36, it is obvious from 3.38
that for all x ∈ Nx,
   
lρ x, λ − lρ x, λ ≤ t 1 ρ x − x2 , 3.46

with a constant t > 0. This proves the inequality 3.36.

Choose K large enough such that for j ≥ k ≥ K, cxj  → 0. We can assume cx < 1.
Then, if ρ0 is large enough, it has from 3.44 and lρ x, λ  lρ0 x, λ  fx that
   
lρ x, λ − lρ x, λ ≥ lρ x, λ − lρ x, λ ≥ r x − x2 . 3.47
0 0 0 0
2

By an analogue of 3.45 holds for lρ , this proves the left inequality in 3.37.
On the other hand, it has
  ρ
lρ x, λ − lρ x, λ  fx V x − fx. 3.48
2

Since fx and cx are twice continuously differentiable on closed set S, we have fx −
fx  Ox − x2  and V x  Ox − x2 . This shows the right inequality in 3.37 possibly
after increasing t.

Lemma 3.12. Let x satisfy Assumptions A4 and A5. Then for any ζ ∈ 0, 1 and M ≥ 1, there is an
index K such that for all k ≥ K, with

xk − x ≤ M min xl − x, 3.49

Vl ,fl ∈Fk

the points xj 1 , j  k, k 1, . . ., with αk  1 are acceptable to

     
Fj : Fk ∪ Vk , fk ∪ Vk 1 , fk 1 ∪ · · · ∪ Vj , fj . 3.50

Proof. Let Nx as in Assumption A5, ζ  1/2, ρ0 and Nσ x ⊂ Nx be given by
Lemma 3.11. For all k ≥ K1 , K1 is a sufficient large integer, and choose ρ ≥ ρ0 so large that

ρ   
ρ ρ − ρ0 β ρ
β −γ ≥β , ≥ 1− . 3.51
2 4 2 4 2

Then, it has from 3.37 in Lemma 3.11

    
r β ρ 
x − x2 1− V x  lρ x, λ − lρ x, λ ≤ t 1 ρ x − x2 . 3.52
2 4 2

Let

V : min Vj . 3.53
Vj ,fj ∈FK1
Mathematical Problems in Engineering 15

By V > 0 and continuity there exists 0 < σ1 < σ such that V x ≤ βV for all x ∈ Nσ1 x, so
the point x is acceptable to FK1 . Since xk → x, xk ∈ Nσ1 x for all k ≥ K2 > K1 , K2 is an
integer. By 3.35, we can choose σ1 so small that for all k ≥ K2 , the sequence {xj }j≥k with
αk  1 converges linearly with a contraction factor of at least

  
  1 1 − β/2 r   1 
xj 
1−x ≤ 1−   xj − x ≤ xj − x. 3.54
2 1 − β/4 2M2 t 1 ρ 2

Suppose an arbitrary k2 ≥ K2 such that 3.49 holds, and set σ2 : xk − x. By 3.54, it has
xk 1 ∈ Nσ2 x and xk 1 is acceptable to FK1 . Next, it is a need to show that xk is acceptable
with respect to Vl , fl  ∈ Fk ∪ Vk , fk  for K1 ≤ l ≤ k. By 3.49, it has xl ∈ Nσ x \ Nσ2 /M x,
so by 3.52

   
lρ xl , λl  − lρ x, λ ≥ r β ρ
σ2 1− Vl . 3.55
2M2 2 4 2

And, by 3.52 and 3.54

   
  1 1 − β/2 r
lρ xk 1 , λk 1  − lρ x, λ ≤ t 1 ρ xk 1 − x2 ≤ 1− σ 2. 3.56
2 1 − β/4 2M2 2

Next, suppose x, λ with x ∈ Nσ2 x is not acceptable to Vl , fl  then

V x > βVl , fx γ V x > fl . 3.57

Thus, it has with 3.51 and 3.52

ρ ρ 
lρ x, λ  fx V x > fl − γ V x
2 2
ρ  ρ
> fl β − γ Vl ≥ fl β Vl
2 4
  3.58
β ρ
 lρ xl , λl  − 1 − Vl
2 2
1 − β/2   
≥ lρ xl , λl  − lρ xl , λl  − lρ x, λ .
1 − β/4

This shows with 3.55 that

     
lρ x, λ − lρ x, λ > 1 − 1 − β/2 lρ xl , λl  − lρ x, λ
1 − β/4
  3.59
1 − β/2 r
≥ 1− σ 2.
1 − β/4 2M2 2
16 Mathematical Problems in Engineering

This produces a contradiction to 3.56, so xk 1 is acceptable to Fk ∪ Vk , fk . Then, the

acceptability of Vj 1 , fj 1  for Fl follows by induction.

Next, we show that the sequence {xj }j≥k with αk  1 can make the sufficient decreasing
condition 2.7 hold.

Lemma 3.13. Suppose Assumptions A1–A3 hold. Let x satisfy Assumptions A4 and A5 and let K
be as in Lemma 3.11. Then for all k > K the sequence {xj }j≥K with αj  1 satisfies

   
f xj 1 ≤ f xj ηαj ∇fjT dj . 3.60

Proof. Suppose αj ∇fjT dj < 0 and αj ∇fjT dj e1 < −δV xj e2 hold. By αj  1, thus

  e2 /e1
∇fjT dj < −δ1/e1 V xj . 3.61

On the other hand, with αj  1 the assertion fxj 1  ≤ fxj  η∇fjT dj yields

1 T 2  
η∇fjT dj ≥ ∇fjT dj d ∇ f x dj . 3.62
2 j xx

Thus,

1  
∇fjT dj ≤ −   djT ∇2xx f x dj , 3.63
2 1−η

where x on the line segment between xj and xj 1 .

Obviously, we can prove the conclusion if with K > 0 large enough and for all j ≥ k ≥
K the following holds

  e2 /e1 1  
−δ1/e1 V xj ≤−   djT ∇2xx f x dj . 3.64
2 1−η

Since cj ∇cjT dj  0, dj  −∇cjT ∇cj ∇cjT −1 cj . By Assumption A4, ∇cj has full-row
rank, there exists cd > 0 such that
   
dj  ≤ cd V xj , 3.65

thus,
 2  
dj  ≤ c2 V xj 2 . 3.66
d

Choose K large enough such that V xj  ≤ 1 for all j ≥ k ≥ K. By e1 > 2e2 and 3.66 it
has
 2  
dj  ≤ c2 c5 V xj e2 /e1
, 3.67
d
Mathematical Problems in Engineering 17

Table 1: Description on headers.

Header Description
Problem The name of the CUTE problem being solved
n Number of variables of the problem
m The total number of constraints
mnl Number of nonlinear constraints
NIT1 Number of iterations of Algorithm 2.3
NIT2 Number of iterations of algorithm Tri-filter
NIT3 Number of iterations of algorithm SNOPT
NF1 Number of f evaluations of Algorithm 2.3
NF2 Number of f evaluations of algorithm Tri-filter
NF3 Number of f evaluations of algorithm SNOPT

for a constant c5 : 2δ1/e1 1 − η/cf cd2 , we can choose suitable parameters such that the last
inequality holds. Thus,

  1  2 1  
 cf dj  ≥ 
e2 /e1
δ1/e1 V xj ≥   djT ∇2xx f x dj . 3.68
2 1−η 2 1−η

This completes the proof.

Theorem 3.14. Suppose Assumptions A1–A5 hold. Then, there exists K > 0 such that Algorithm 2.3
takes steps with αk  1 for all k ≥ K, that is,

xk 1  xk dk . 3.69

In particular, xk converges q-superlinearly to x. If ∇xx f and ∇xx ci are Lipschitz continuous in a

neighborhood of x then xk converges q-quadratically.

Proof. Since Assumptions A4 and A5 hold, xk → x with x satisfying A4. By Lemmas 3.12 and
3.13, the iterate xk 1 , λk 1   xk dk , λxk dk  is acceptable to the filter Fk ∪ Vk , fk  and
satisfies the sufficient decreasing condition 2.7. Thus, the trial iterate xk dk , λxk dk  is
accepted by the algorithm and it has

xk 1  xk dk , λk 1  λxk dk . 3.70

That is in both cases the algorithm takes the steps with αk  1. And according to Remark 3.10,
{xk } converges q-superlinearly to x.

4. Numerical Experience
In this section, we give some numerical results of Algorithm 2.3. We take some CUTE prob-
lems 17, which are available freely on NEOS, to test our algorithm. The test codes are edited
in MATLAB. The details about the implementation are described as follows.
18 Mathematical Problems in Engineering

Table 2: Numerical results of small-scale problems.

Problem n m mnl NIT1/NIT2 NF1/NF2

hs017 2 5 3 11/14 14/20
hs019 2 6 4 2/5 5/6
hs024 2 4 2 1/4 2/5
hs037 3 7 6 5/7 6/10
hs042 3 5 4 6/7 8/10
hs043 4 3 0 11/14 12/16
hs046 5 4 2 19/30 41/102
hs047 5 6 3 9/19 28/70
hs049 5 4 2 17/23 27/26
hs056 7 15 11 8/18 16/41
hs059 2 7 4 13/16 25/20
hs063 3 7 5 13/15 30/44
hs071 4 11 9 6/28 12/103
hs076 4 7 4 5/6 6/7
hs077 5 4 2 15/26 25/36
hs078 5 6 3 8/6 18/29
hs079 5 6 3 6/9 10/11
hs092 6 1 1 25/18 35/52
hs098 6 16 12 6/6 6/7
hs099 19 42 28 15/19 25/78
hs104 8 22 16 16/23 33/60
hs106 8 22 21 32/36 12/37
hs108 9 14 10 15/12 13/13
hs111 10 26 23 42/48 50/52
hs112 10 16 16 25/52 25/30
hs113 10 8 1 9/13 15/19
hs114 10 34 23 25/28 23/29
hs116 13 41 35 37/44 30/54
hs117 15 20 15 15/16 15/23
hs118 15 59 59 12/18 22/19
hs119 16 48 40 13/18 16/19

Table 3: Numerical results of mid-scale problems.

Problem n m mnl NIT1/NIT3 NF1/NF3

Ngone 97 1371 1369 16/72 21/20
Grouping 100 450 350 1/0 4/2
Eigen a2 110 110 55 8/11 5/6
Eigen a 110 110 110 52/226 158/208
Mathematical Problems in Engineering 19

a The parameters are set to β  0.99, γ  0.0001, η  0.4, δ  1, τ  0.6, e1  2.3,
e2  1.1, the termination tolerance  1E − 6.
b The optimal residual is defined as
  !
res  max ∇fxk  ∇cxk λ, V xk  . 4.1

That is, the algorithm terminates when res < .

c Wk is updated by damped BFGS formula 15.
The detailed results of the numerical test on small-scale problems are summarized in
Table 2. For comparison purposes, we also give the numerical results of tridimensional line-
search filter solver Tri-filter in Shen et al. 12 in Table 2. The row headers in Tables 2 and 3
are presented in Table 1.
The results in Table 2 indicate that Algorithm 2.3 has a good effect.
In addition, we also test some mid-scale problems. And we compare the numerical
results which are summarized in Table 3 in Algorithm 2.3 and SNOPT solver in Gill et al. 18
since no mid-scale problems are given in trifilter solver.
From Table 3, we find the efficiency of Algorithm 2.3 is also improved significantly.
From both Tables 2 and 3, in general, the behavior of the proposed algorithm is rather stable.
Finally, we may conclude that, as far as our limited computational experience is concerned,
the proposed algorithm is well comparable to trifilter solver and SNOPT solver.

Acknowledgment
This research is partially supported by the National Natural Science Foundation of China
Grant nos. 10771162 and 91024021.

References
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region SQP-filter algorithm for general nonlinear programming,” SIAM Journal on Optimization, vol.
13, no. 3, pp. 635–659, 2002.
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Journal on Optimization, vol. 13, no. 1, pp. 44–59, 2002.
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steps,” Mathematical Programming, vol. 96, no. 1, Ser. A, pp. 161–177, 2003.
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for large-scale nonlinear programming,” Mathematical Programming, vol. 106, no. 1, pp. 25–57, 2006.
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global convergence,” SIAM Journal on Optimization, vol. 16, no. 1, pp. 1–31, 2005.
10 A. Wächter and L. T. Biegler, “Line search filter methods for nonlinear programming: local
convergence,” SIAM Journal on Optimization, vol. 16, no. 1, pp. 32–48, 2005.
20 Mathematical Problems in Engineering

11 N. I. M. Gould, C. Sainvitu, and P. L. Toint, “A filter-trust-region method for unconstrained

optimization,” SIAM Journal on Optimization, vol. 16, no. 2, pp. 341–357, 2006.
12 C. G. Shen, W. J. Xue, and D. G. Pu, “Global convergence of a tri-dimensional filter SQP algorithm
based on the line search method,” Applied Numerical Mathematics, vol. 59, no. 2, pp. 235–250, 2009.
13 K. Su and D. G. Pu, “A nonmonotone filter trust region method for nonlinear constrained
optimization,” Journal of Computational and Applied Mathematics, vol. 223, no. 1, pp. 230–239, 2009.
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Computation, vol. 167, no. 1, pp. 677–694, 2005.
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environment,” ACM Transactions on Mathematical Software, vol. 21, no. 1, pp. 123–160, 1995.
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Hindawi Publishing Corporation
Mathematical Problems in Engineering
Volume 2012, Article ID 324245, 17 pages
doi:10.1155/2012/324245

Research Article
Optimal Incentive Pricing on Relaying
Services for Maximizing Connection Availability in
Multihop Cellular Networks

Ming-Hua Lin and Hao-Jan Hsu

Department of Information Technology and Management, Shih Chien University, No. 70, Ta-Chih Street,
Taipei 10462, Taiwan

Correspondence should be addressed to Ming-Hua Lin, [email protected]

Received 16 September 2011; Accepted 12 October 2011

Academic Editor: Yi-Chung Hu

Copyright q 2012 M.-H. Lin and H.-J. Hsu. This is an open access article distributed under the
Creative Commons Attribution License, which permits unrestricted use, distribution, and
reproduction in any medium, provided the original work is properly cited.

This paper investigates an incentive pricing problem for relaying services in multihop cellular
networks. Providing incentives to encourage mobile nodes to relay data is a critical factor in
building successful multihop cellular networks. Most existing approaches adopt fixed-rate or
location-based pricing on rewarding packets forwarding. This study applies a mathematical
programming model to determine an optimal incentive price for each intermediate node that
provides relaying services. Under the obtained incentive price, the connection availability of
the networks is maximized by using the same relaying costs as other pricing schemes. A
signomial geometric programming problem is constructed, and a deterministic optimization
approach is employed to solve the problem. Besides, quality-of-service constraints are added in the
proposed model to mitigate the unfairness between connection availabilities of individual nodes.
Computational results demonstrate that the proposed model obtains the optimal incentive price
on relaying services to maximize connection availability of the networks.

1. Introduction
Over the past few years, wireless networks and wireless devices have rapidly developed and
undergone significant advances. More and more services that dramatically affect personal
and business communications are provided by wireless access networks. How to build a
seamless wireless network has received increasing attention from the practitioners and the
researchers. Most wireless networks are based on cellular architecture, which means that
a mobile host is handled by a central base station in a limited range. Cellular networks
have inherent limitations on cell coverage and the dead spot problem. Traditionally, the
network providers utilize more infrastructure equipments such as base stations, to solve
2 Mathematical Problems in Engineering

these problems. However, this method is expensive. Therefore relaying technology has been
developed to solve this problem. In the last decade, multihop cellular networks have been
proposed to harness the benefits of conventional cellular networks and emerging multihop
ad hoc networks. In cellular networks, a mobile device directly connects with the base
station; in multihop networks, a mobile device communicates with others over peer-to-peer
connections. Figure 1 indicates the scenario of general multihop cellular networks. Adopting
hop-by-hop connections can extend the service area at the boundaries of the network and
eliminate dead spots, including indoor environments and basements. Much research has
evaluated and summarized the advantages of multihop cellular networks over existing
single-hop cellular networks as follows 1–5.

i Increases the speed of data transmission.

ii Reduces total transmission power.
iii Extends the service area.
iv Increases system capacity.
v Balances traffic load.
vi Reduces the interference with other nodes.
vii Reduces the number of base station sites.

Cooperation among nodes is a critical factor for ensuring the success of the relaying
ad hoc networks 2, 6. In recent years, a number of approaches have been proposed to
encourage mobile nodes to relay data for others in ad hoc networks. Most of existing
motivation-based approaches focus on a charging protocol and use fixed-rate pricing that
gives identical reward level on per unit of packet forwarded. Although the major advantage
of fixed-rate pricing is that billing and accounting processes are simple, providing identical
reward level to all mobile nodes neglects the distinct importance of each mobile node
in the networks. Lo and Lin 2 developed a location-based incentive pricing scheme
rewarding each mobile node based on its degree of contribution to successful hop-by-
hop connections. Simulation results indicate that their method provides higher connection
availability compared to the fixed-rate pricing scheme.
This paper constructs a mathematical programming model to the problem of optimal
pricing on relaying services provided by the mobile nodes in the multihop cellular networks.
The formulated model that maximizes connection availability of the networks under identical
relaying costs used by the fixed-rate pricing scheme and the location-based pricing scheme
2 is a signomial geometric programming SGP problem. Convexification strategies and
piecewise linearization techniques are employed to reformulate the problem into a convex
mixed-integer nonlinear programming MINLP problem that can be solved by conventional
MINLP methods to reach a global solution. We also add quality-of-service QoS constraints
in the constructed model to guarantee each mobile node with a minimum successful
connection probability, therefore mitigating the unfairness between connection availabilities
of individual nodes. Computational experiments are conducted to compare the proposed
method with existing pricing schemes. Simulation results indicate that the proposed method
obtains higher connection availability of the networks than the existing pricing methods
without additional relaying costs.
The rest of the paper is organized as follows. Section 2 reviews existing multihop
cellular networking models and incentive pricing models. In Section 3, an incentive pricing
model for maximizing connection availability is proposed to determine the optimal price on
Mathematical Problems in Engineering 3

Building

Indoor
environment Base station

Basement

Figure 1: Scenario of general multihop cellular networks.

relaying services provided by mobile nodes. Section 4 provides a solution approach based on
variable transformations and piecewise linearization techniques. In Section 5, we present the
computational experiments, and finally concluding remarks are made in Section 6.

2. Literature Review
Opportunity-driven multiple access ODMA is an ad hoc multihop protocol where the
transmissions from the mobile hosts to the base station are broken into multiple wireless
hops, thereby reducing transmission power 4. The high-data-rate coverage of the cell can
be increased by adopting relaying technologies for the mobile nodes outside the high-data-
rate coverage area. The Ad Hoc GSM A-GSM system is a network protocol platform that
accommodates relaying capability in GSM cellular networks. Although the GSM system aims
to provide global roaming, the dead spot problem still exists, for example, in subway stations
and basements. Since installing additional base stations at each dead spot location is not
economical, the A-GSM system extends the data communication through the mobile nodes
7. Qiao and Wu 3 presented an integrated cellular and ad hoc relay iCAR system to
combine the cellular infrastructure with ad hoc relaying technologies. All cellular networks
have problems of limited capacity and unbalanced traffic. Cellular networks probably cannot
provide the connection service because some of the cells are heavily congested, but at the
same time other cells still have available channels. This kind of centralized obstruction
makes the system unable to establish successful communication, even though the number
of required channels does not reach the maximum capacity of the entire system. Utilizing
relaying technologies a mobile host in a congested cell obtains a free channel in another
cell and establishes a new call successfully. Wu et al. 8 proposed a scheme called mobile-
assisted data forwarding MADF to add an ad hoc overlay to the fixed cellular infrastructure,
and special channels are assigned to connect users in a hot cell to its neighboring cold
cells without going through the base station in the hot cell. An intermediate forwarding
4 Mathematical Problems in Engineering

agent, such as a repeater or another mobile terminal, in the cold cell is required to relay
the data to that cell. Wu et al. 8 observed that under a certain delay requirement, the
throughput can be greatly improved. Luo et al. 9 proposed a unified cellular and ad hoc
network UCAN architecture that considers the balanced traffic and network throughput.
The UCAN architecture uses relaying technologies to send information to the mobile device
if the transmission quality of the channel is poor. Each mobile device in the UCAN model has
both a 3G cellular link and IEEE 802.11-based peer-to-peer links. The 3G base station forwards
packets for destination clients with poor channel quality to proxy clients with better channel
quality. Multihop cellular network is considered as a promising candidate of 4G wireless
network for future mobile communications. The complete surveys of technologies advances
and economic perspective on the deployment of multihop cellular networks are provided by
Li et al. 1 and Manoj et al. 10.
Since forwarding data for others consumes battery energy and delays its own data,
providing incentives for mobile nodes to cooperate as relaying entries is necessary. The
existing incentive schemes can be classified into detection-based and motivation-based
approaches. The detection-based approach finds out the misbehaving nodes and reduces
their impact in the networks. Marti et al. 11 developed two methods that find the
misbehaving nodes and avoid routing packets through these nodes. Michiardi and Molva
12 proposed a mechanism to enforce cooperation among nodes based on reputation and
to prevent denial of service attacks because of selfishness. Buchegger and Le Boudec 13
developed a protocol to detect and isolate misconduct nodes, therefore making it unattractive
to deny cooperation.
Instead of discouraging misbehavior by punishing misbehavior node, the motivation-
based approach encourages positive cooperation by rewarding incentives for relaying
packets. Buttyán and Hubaux 6, 14 developed different approaches to provide incentives
to cooperative nodes, therefore simulating packet forwarding. Buttyán and Hubaux 14 did
not discuss the reward level, and Buttyán and Hubaux 6 suggested to reward the relaying
service based on the number of forwarding packets. Jakobsson et al. 15 developed a micro-
payment scheme to encourage collaboration and discourage dishonest behavior in multihop
cellular networks. A subject reward level is determined according to the importance of the
packet. Lamparter et al. 16 proposed a charging scheme using volume-based pricing. A
fixed price per unit of data is rewarded for forwarding traffic in ad hoc stub networks. The
rewarding mechanisms mentioned above adopt fixed-rate pricing and do not consider the
importance of each mobile node in the routing topology.
Lo and Lin 2 proposed a location-based incentive pricing scheme that adjusts
the price of incentives for packet forwarding based on the degree of each mobile nodes
contributing to successful hop-by-hop connections. Since the willingness of the mobile node
to relay packets has a significant impact on the success of the multihop connections from
all nodes in its subtree to the base station, the importance of a mobile node depends on the
number of mobile nodes in its subtree. They defined the location index LI v of a mobile node v
as the number of nodes residing in the tree rooted at node v. Let N be the set of intermediate
nodes providing relaying services for the mobile nodes that require hop-by-hop connections
to the base station, and ALI be the average location index of all nodes in N; the price of the
feedback incentives for node v, pv , is defined as follows 2:

Rp 1
pv  p0 LI v − ALI · · , 2.1
RLI LI v
Mathematical Problems in Engineering 5

where Rp  min{p0 , Pmax − p0 }, RLI  max{ALI − minv∈N {LI v }, maxv∈N {LI v } − ALI}, p0 is
the price used in the fixed-rate pricing method, and Pmax is the maximum price the network
provider can reward to an intermediate mobile node. Equation 2.1 employs p0 as a basic
price and gives a higher incentive price on relaying services for the node with a higher
location index. Because some incentive rewards are shifted from the nodes of low importance
to the node of high importance, the Lo and Lin 2 pricing scheme results in higher connection
availability but does not generate higher relaying costs compared to the fixed-rate pricing
scheme. However, their method does not provide an optimal incentive pricing solution that
maximizes connection availability of the networks.

3. Proposed Incentive Pricing Model

3.1. Connection Availability Maximization Problem
Pricing is an inducer for suppliers to provide services. Monetary incentives can affect the
motivation of mobile nodes providing services and are usually characterized by a supply
function that represents the reaction of mobile nodes to the change of the price 17. In this
paper, we assume a linear relationship between the price of incentives and the willingness of
forwarding packets 18, that is,

  pv
S pv  , 0 ≤ pv ≤ Pmax , 3.1
Pmax

where pv is the incentive price on per unit of relayed data, Pmax is the maximum price the
network provider can reward to an intermediate mobile node per unit of relayed data, and
Spv  is the willingness of forwarding packets under the incentive price pv . Spv  is the
supply function representing the reaction of mobile nodes to the change in the price of the
incentives. Spv  0  0 means that node v will not relay traffic for others if no feedback
is provided for relaying services. The willingness of forwarding packets linearly increases as
the incentive price on relaying services increases. Spv  Pmax   1 means the maximum price
is acceptable for all mobile nodes to provide relaying services.
In multihop cellular networks, data packets must be relayed hop by hop from a given
mobile node to a base station; thus the connection availability of node i depends on the
willingness of all intermediate mobile nodes on the routing path to forward packets. Let CAi
be the connection availability of node i, that is, the successful connection probability from
node i to the base station. CAi can be expressed as 2

  
CAi  S pv , 3.2
v∈Mi

where Mi is the set of intermediate nodes in the path from node i to the base station, and all
the other variables are the same as defined before.
6 Mathematical Problems in Engineering

The connection availability maximization problem in the multihop cellular networks

considered in this paper can be formulated as follows:

w 
CAi
i1
Maximize 3.3
w
  pv 
subject to CAi  , i  1, . . . , w, 3.4
v∈Mi
Pmax


w  
w 
Ti · pv ≤ Ti · Pfixed , 3.5
i1 v∈Mi i1 v∈Mi

0 ≤ pv ≤ Pmax , 3.6

where w is the number of nodes requiring hop-by-hop connections to the base station in
the networks, Ti is the units of traffic sent by node i, and Pfixed is the fixed incentive price
on relaying services used by the fixed-rate pricing scheme. The objective function aims
to maximize the connection availability of the networks, that is, the average connection
availability of all mobile nodes using hop-by-hop connections to the base station. Lo and
Lin 2 refers the objective function as service availability. Constraint 3.5 indicates the total
relaying costs of the proposed method are not greater than the total relaying costs of the
fixed-rate pricing scheme.

3.2. Connection Availability Maximization Problem with QoS Requirements

In the numerical examples, we find the connection availabilities of some mobile nodes are
zero by using the proposed model described previously. In order to alleviate the unfairness
situation between connection availabilities of individual nodes, this study employs QoS
constraints in the original model to guarantee each mobile node with a minimum
successful connection probability. The connection availability maximization problem with
QoS requirements considered in this study can be formulated as follows:

Maximize 3.3
3.7
subject to 3.4 ∼ 3.6,

CAi ≥ QoSCA , i  1, . . . , w, 3.8

Min CALB , if Min CALB > 0,

QoSCA  3.9
0.01, if Min CALB  0,

where Min CALB represents the minimal connection availability of all mobile nodes requiring
hop-by-hop connections to the base station in the location-based pricing scheme. Constraint
3.8 indicates that the connection availability of each mobile node satisfies the required QoS
level QoSCA . If the minimal connection availability of all mobile nodes in the location-based
pricing scheme is greater than zero, then the required QoS level is set as Min CALB . Otherwise,
the required QoS level is set as 0.01.
Mathematical Problems in Engineering 7

4. Problem-Solving Approach
Since the problem described in the previous section is an SGP problem, that is, a class
of nonconvex programming problems. SGP problems generally possess multiple local
optima and experience much more theoretical and computational difficulties. This study
uses variable transformations and piecewise linearization techniques to reformulate the
problem into a convex MINLP problem that can be globally solved by conventional
MINLP methods. Much research has proposed variable transformation techniques to
solve optimization problems including signomial functions to global optimality 19–22.
For convexifying positive signomial terms, Lundell and Westerlund 23 proved that the
exponential transformation always results in a tighter underestimator than the negative
power transformation. This study applies the exponential transformation to convexify a
positive signomial function ni1 xiαi by the following remark 19, 24.

Remark 4.1. If αj > 0 for some j, j∈ / I, I  {k | αk < 0, k  1, 2, . . . , n}, then we convert ni1 xiαi
into another function  i∈I xiαi e j ∈/I αj yj , where yj  Lln xj  and Lln xj , is a piecewise linear
function of ln xj . Then  i∈I xiαi e j ∈/I αj yj where xi > 0, i ∈ I, yj ∈ , j ∈
/ I is a convex function.

For convexifying negative signomial terms, we apply the power transformation to

reformulate a negative signomial function − ni1 xiαi by the following remark 19–22, 24.

Remark 4.2. If 0 ≤ α1 ≤ α2 ≤ · · · ≤ αp , 0 ≥ αp 1 ≥ αp 2 ≥ · · · ≥ αn , and ri1 αi < 1 for some
largest integer r, such that r ≤ p, I  {k | k  1, 2, . . . , p}, then we convert − ni1 xiαi into
β  αj /β αj /β
another function − i∈I xiαi j ∈/I yj , β  1 − ri1 αi /n − r, where yj  Lxj  and Lxj 
αj /β αi β
is a piecewise linear function of xj . Then − i∈I xi /I yj ,
j∈ where xi > 0, i ∈ I, yj ∈ , j ∈
/ I,
is a convex function.

Herein the concept of special ordered set of type 2 SOS-2 constraints can be utilized to
formulate the piecewise linear function 25, 26. This study adopts the piecewise linearization
technique introduced by Vielma and Nemhauser 27 that uses a logarithmic number of
binary variables and extra constraints. The computational results in 27 show that their
piecewise linearization technique outperforms other piecewise linearization formulations.
Tsai and Lin 28 applied the piecewise linearization technique developed by Vielma and
Nemhauser 27 to efficiently solve posynomial geometric programming problems.
The original model has one nonconvex objective function, one constraint, and n
variables, where n is the number of intermediate nodes providing relaying services. The
reformulated model has one convex objective function, one constraint, n variables, and
several piecewise linear functions. The number of piecewise linear functions depends on
convexification process in reformulating the problem. For each piecewise linear function,
log2 m binary variables, m 1 continuous variables, and 3 2log2 m constraints are required
to express a piecewise linear function with m line segments.
The following example is used to illustrate how the proposed method discussed
previously determines the incentive price on relaying services provided by each mobile node.

Example 4.3. Consider an example taken from Lo and Lin 2 with twelve mobile nodes
distributed in the multihop cellular networks indicated in Figure 2. Nine nodes nodes 2,
3, 4, 5, 7, 8, 9, 11, 12 require hop-by-hop connections to reach the central base station.
8 Mathematical Problems in Engineering

11
12

10

8 9
7

1
5
2 3

Base station

Mobile node

Figure 2: Relaying topology of Example 4.3 2.

Assume each mobile node has identical traffic load u units, and the fixed-rate pricing
scheme uses 0.5Pmax as the incentive price for relaying per unit of data, that is, Pfixed  0.5Pmax .
A mathematical programming model can be constructed for the connection availability
maximization problem as follows:

CA2 CA3 CA4 CA5 CA7 CA8 CA9 CA11 CA12 

Maximize
9
p1
subject to CA2  CA3  ,
Pmax
p1 p3
CA4  CA5  · ,
Pmax Pmax
p6
CA7  ,
Pmax
p6 p7
CA8  · ,
Pmax Pmax
p6 p7 p8
CA9  · · ,
Pmax Pmax Pmax
p10
CA11  CA12  ,
Pmax
Mathematical Problems in Engineering 9
         
2u · p1 2u · p1 p3 u · p6 u · p6 p7 u · p6 p7 p8 2u · p10

≤ 2u · 0.5Pmax  2u · 0.5Pmax 0.5Pmax  u · 0.5Pmax 

u · 0.5Pmax 0.5Pmax  u · 0.5Pmax 0.5Pmax 0.5Pmax  2u · 0.5Pmax ,

0 ≤ pi ≤ Pmax , i  1, 3, 6, 7, 8, 10,

4.1

where CAi , i  2, 3, 4, 5, 7, 8, 9, 11, 12, represents the connection availability of mobile node
i, and Pmax and u are constants. This program is a nonconvex SGP problem. Applying the
method mentioned previously, the connection maximization problem of Example 4.3 can be
converted into a convex MINLP problem as follows:

p1 y0.5 y0.5 p6 y1/3 y1/3 y1/3 y1/3 y1/3 p10

Minimize −2 −2 1 · 3 − − 6 · 7 − 6 · 7 · 8 −2 /9
Pmax Pmax Pmax Pmax Pmax Pmax Pmax Pmax Pmax Pmax

4.2
         
subject to 2u · p1 2u · p1 p3 u · p6 u · p6 p7 u · p6 p7 p8 2u · p10

≤ 7uPmax ,
    
y1  L p12 , y3  L p32 , y6  L p63 , y7  L p73 , y8  L p83 ,

0 ≤ pi ≤ Pmax , i  1, 3, 6, 7, 8, 10,
4.3

where Lp12 , Lp32 , Lp63 , Lp73 , and Lp83  are piecewise linear functions of p12 , p32 , p63 , p73 ,
and p83 , respectively. By using the efficient piecewise linearization technique introduced by
Vielma and Nemhauser 27, this program is reformulated as a convex MINLP problem that
can be solved on LINGO 29 to obtain a global solution p1 , p3 , p6 , p7 , p8 , p10   0.8763Pmax ,
0.7474Pmax , 0, 0, 0, Pmax . Table 1 compares the incentive price on relaying services and
connection availability of the networks under different pricing schemes. Herein the fixed-
rate pricing scheme rewards each mobile node 0.5Pmax for relaying per unit of data. From
the data listed in Table 1, we find the proposed pricing scheme provides higher connection
availability of the networks than the fixed-rate pricing scheme and the location-based pricing
scheme do. We also observe that the three methods use approximately the same relaying
costs.
From Table 1, we find out that although the proposed method has better connection
availability of the networks than the other two methods, the connection availabilities of
some mobile nodes CA7 , CA8 , CA9  are zero; that is, these nodes cannot connect to the
base station. This study adds the QoS constraints CAi ≥ 0.026, i  2, 3, 4, 5, 7, 8, 9, 11, 12,
to guarantee each mobile node with a minimum successful connection probability. The
required QoS level 0.026 is the minimal individual connection availability obtained from
10 Mathematical Problems in Engineering

Table 1: Comparison between the fixed-rate pricing scheme, the location-based pricing scheme, and the
proposed pricing scheme of Example 4.3.

Fixed-rate pricing scheme Location-based pricing scheme Proposed pricing scheme

Incentive p1  0.625Pmax p1  0.8763Pmax
price on p1  p3  p6  p7  p8  p10  p6  0.567Pmax p3  0.7474Pmax
relaying 0.5Pmax p3  p7  p10  0.45Pmax p6  p7  p8  0
services
p8  0.1Pmax p10  Pmax
CA2  CA3  Sp1  
CA2  CA3  Sp1   0.5 CA2  CA3  Sp1   0.625
0.8763
Connection CA  CA  Sp Sp   CA4  CA5  Sp1 Sp3   CA4  CA5  Sp1 Sp3  
4 5 1 3
availability 0.25 0.281 0.6549
of each
node CA7  Sp6   0.5 CA7  Sp6   0.567 CA7  Sp6   0
CA8  Sp6 Sp7   0.25 CA8  Sp6 Sp7   0.255 CA8  Sp6 Sp7   0
CA9  Sp6 Sp7 Sp8   CA9  Sp6 Sp7 Sp8  
CA9  Sp6 Sp7 Sp8   0
0.125 0.026
CA11  CA12  Sp10   0.5 CA11  CA12  Sp10   0.45 CA11  CA12  Sp10   1
Connection 0.5 0.5 0.25 0.25
0.625 0.625 0.281 0.281 0.8763 0.8763 0.6549
availability
0.5 0.25 0.125 0.5 0.567 0.255 0.026 0.45 0.6549 0 0 0 1 1/9 
of the
0.45/9  0.3956 0.5625
networks 0.5/9  0.375
2u0.625Pmax  2u0.625Pmax
2u0.5Pmax  2u0.5Pmax
0.45Pmax  u0.567Pmax  2u0.8763Pmax 
0.5Pmax  u0.5Pmax 
Relaying u0.45Pmax 0.567Pmax  2u0.8763Pmax
u0.5Pmax 0.5Pmax 
costs u0.1Pmax 0.45Pmax 0.7474Pmax  2uPmax  
u0.5Pmax 0.5Pmax 0.5Pmax 
0.567Pmax  2u0.45Pmax   7uPmax
2u0.5Pmax   7uPmax
7.001uPmax

the location-based pricing scheme. The proposed model with QoS requirements becomes as
follows:

Minimize 4.2

subject to 4.3

p1 y10.5 y30.5 p6
− < −0.026, − · < −0.026, − < −0.026,
Pmax Pmax Pmax Pmax

y61/3 y71/3 y61/3 y71/3 y81/3 p10

− · < −0.026, − · · < −0.026, < −0.026.
Pmax Pmax Pmax Pmax Pmax Pmax
4.4

Solving this problem can obtain a globally optimal solution p1 , p3 , p6 , p7 , p8 , p10  
0.6539Pmax , 0.3085Pmax , 0.3165Pmax , 0.2313Pmax , 0.3550Pmax , Pmax . Table 2 shows comparison
between the location-based pricing scheme and the proposed pricing scheme with QoS
requirements of Example 4.3. We find the minimal individual connection availability from
the proposed pricing scheme is equal to that from the location-based pricing scheme, and the
Mathematical Problems in Engineering 11

Table 2: Comparison between the location-based pricing scheme and the proposed pricing scheme with
QoS requirements of Example 4.3.

Proposed pricing scheme with QoS

Location-based pricing scheme
requirements
p1  0.625Pmax p1  0.6539Pmax
p6  0.567Pmax p3  0.3085Pmax
Incentive price on p3  p7  p10  0.45Pmax p6  0.3165Pmax
relaying services
p8  0.1Pmax p7  0.2313Pmax
p8  0.3550Pmax
p10  Pmax
CA2  CA3  Sp1   0.625 CA2  CA3  Sp1   0.6539
CA4  CA5  Sp1 Sp3   0.281 CA4  CA5  Sp1 Sp3   0.2017
Connection
availability of each CA7  Sp6   0.567 CA7  Sp6   0.3165
node CA8  Sp6 Sp7   0.255 CA8  Sp6 Sp7   0.0732
CA9  Sp6 Sp7 Sp8   0.026 CA9  Sp6 Sp7 Sp8   0.0260
CA11  CA12  Sp10   0.45 CA11  CA12  Sp10   1
Connection
0.625 0.625 0.281 0.281 0.567 0.6539 0.6539 0.2017 0.2017
availability of the
0.255 0.026 0.45 0.45/9  0.3956 0.3165 0.0732 0.0260 1 1/9  0.4585
networks
2u0.6539Pmax  2u0.6539Pmax
2u0.625Pmax  2u0.625Pmax
0.3085Pmax  u0.3165Pmax 
0.45Pmax  u0.567Pmax  u0.45Pmax
Relaying costs u0.3165Pmax 0.2313Pmax  Pmax
0.567Pmax  u0.1Pmax 0.45Pmax
u0.3165Pmax 0.2313Pmax
0.567Pmax  2u0.45Pmax   7.001Pmax
0.3550Pmax  2uPmax   6.9997u

connection availability of the networks from the proposed pricing scheme is still higher than
that from the location-based pricing scheme.

5. Numerical Experiments
5.1. Fixed-Rate Method versus Location-Based Method versus
Proposed Method
This section describes the simulation results for verifying the advantages of the proposed
pricing scheme. We design our simulation tests by C language. All simulations are run
on a Notebook with an Intel CPU P8700 and 4 GB RAM. The simulation environment is a
rectangular region of 100 units width and 100 units height with a single base station of 30
units radius located in the central point. The radius of each mobile node is 20 units. In this
study, a shortest path tree is built such that each mobile node connects to the base station
with a minimum number of hops.
In the experiments 32, 64, and 128, mobile nodes, respectively, are randomly
distributed in the rectangular region. 10 simulations are run for each set of parameter
settings. Table 3 compares average connection availability of the networks of 10 simulations
by different incentive pricing schemes. Figure 3 indicates that the proposed pricing scheme
obtains higher average connection availability than the fixed-rate pricing scheme and the
12 Mathematical Problems in Engineering

Table 3: Comparison of connection availability of the networks by three methods in the simulation space
of width, height  100 units, 100 units.

Number of CAP − CAP − Average

CAFR CALB CAP
mobile nodes CAFR /CAFR CALB /CALB path length
32 0.47898643 0.48730129 0.53038439 10.82% 8.88% 1.0840542
64 0.48652063 0.49130662 0.51966696 6.87% 5.81% 1.0539176
128 0.49012412 0.49131695 0.51875024 5.88% 5.62% 1.0395036
CAFR : connection availability of the networks from the fixed-rate pricing scheme.
CALB : connection availability of the networks from the location-based pricing scheme.
CAP : connection availability of the networks from the proposed pricing scheme.

0.6
Connection availability of networks

0.55
0.5
0.45
0.4
0.35
0.3
0.25
0.2
32 64 128
Number of mobile nodes

Fixed-rate pricing
Location-based pricing
Proposed pricing

Figure 3: Comparison of connection availability of the networks by three methods in the simulation space
of width, height  100 units, 100 units.

location-based pricing scheme under different number of mobile nodes in the simulation
environment. As the number of mobile nodes in the networks increases, the mobile nodes
are easier to find a shorter hop-by-hop path for connecting to the base station. Therefore
the average path length decreases when the number of mobile nodes increases. The effect
on improving connection availability of the networks by the proposed method is more
significant when the average path is longer.

5.2. Larger Simulation Space

To investigate the advantages of the proposed pricing scheme under a longer path, in this
section we change the simulation space to a rectangular region of 200 units width and 200
units height. If the simulation area becomes larger, the path of the hop-by-hop connection
to the base station required by a mobile node will be longer. Then the impact of the path
length on the performance of the proposed pricing method can be observed. Table 4 shows
the average connection availability of the networks of 10 simulations in the rectangular
region of 200 units width and 200 units height. The average connection availability of the
networks obtained by the proposed pricing scheme is higher than the other two pricing
Mathematical Problems in Engineering 13

Table 4: Comparison of connection availability of the networks by three methods in the simulation space
of width, height  200 units, 200 units.

Number of CAP − CAP − Average

CAFR CALB CAP
mobile nodes CAFR /CAFR CALB /CALB path length
32 0.22764841 0.23610142 0.53722796 138.12% 130.04% 2.6502985
64 0.23798218 0.24306587 0.53669912 125.83% 121.06% 2.5031434
128 0.24686002 0.24986204 0.51335212 108.03% 105.54% 2.3962481
CAFR : connection availability of the networks from the fixed-rate pricing scheme.
CALB : connection availability of the networks from the location-based pricing scheme.
CAP : connection availability of the networks from the proposed pricing scheme.

0.6
Connection availability of networks

0.55
0.5
0.45
0.4
0.35
0.3
0.25
0.2
32 64 128
Number of mobile nodes

Fixed-rate pricing
Location-based pricing
Proposed pricing

Figure 4: Comparison of connection availability of the networks by three methods in the simulation space
of width, height  200 units, 200 units.

models. Figure 4 indicates that in the simulation space of 200 units width and 200 units
height, the difference in the connection availability of the networks obtained by the fixed-
rate pricing scheme and the location-based pricing scheme is not obvious. However, the
connection availability of the networks by the proposed method is much higher than that
by the other two methods if a longer path is required to reach the base station.

5.3. Location-Based Method versus Proposed Method with QoS Requirements

Section 4 gives an example that indicates the proposed pricing scheme results in some
unfairness, and some of the node’s connection availabilities are zero. This section performs
several simulations to verify that adding QoS constraints on the connection availability of
each mobile node can mitigate the unfairness situation. Each mobile node is guaranteed to
obtain the minimum connection availability by taking the minimum connection availability
from the location-based pricing scheme. If the minimum connection availability from the
location-based pricing scheme is zero, then we move the required level of individual
connection availability to 0.01.
Tables 5 and 6 show the average connection availability of the networks of 10
simulations in the simulation space of width, height  100 units, 100 units and width,
14 Mathematical Problems in Engineering

Table 5: Comparison of connection availability by two methods in the simulation space of width, height
 100 units, 100 units.

Number of mobile nodes CALB CAP QoS CAP QoS − CALB /CALB
32 0.48730129 0.49575548 1.74%
64 0.49130662 0.49617013 1.00%
128 0.49131695 0.49246111 0.24%
CALB : connection availability of the networks from the location-based pricing scheme.
CAP QoS : connection availability of the networks from the proposed pricing scheme with QoS requirements.

0.6
Connection availability of networks

0.55
0.5
0.45
0.4
0.35
0.3
0.25
0.2
32 64 128
Number of mobile nodes

Location-based pricing
Proposed pricing with QoS

Figure 5: Comparison of connection availability of the networks by two methods in the simulation space
of width, height  100 units, 100 units.

height  200 units, 200 units, respectively. The comparisons are also indicated in Figures 5
and 6. Compared to the results from the proposed pricing method without QoS constraints in
Tables 3 and 4, although the connection availability of the networks decreases, the proposed
pricing method with QoS requirements still performs better than the location-based pricing
method. Since the minimum individual node’s connection availability in the proposed
pricing method is greater than or equal to that in the location-based pricing method, adding
QoS constraints makes the proposed pricing method consider both connection availability of
the networks and fairness between individual node’s connection availabilities.

6. Conclusions
Cost savings and connection availability are two crucial issues of a network provider
adopting multihop cellular networking technology. This paper determines the optimal
incentive price on relaying services for each mobile node by constructing a mathematical
programming model that maximizes connection availability without extra relaying costs.
A deterministic optimization approach based on variable transformations and piecewise
linearization techniques is utilized to solve the formulated problem. Simulation results
demonstrate that the proposed pricing model results in higher connection availability
than the fixed-rate pricing scheme and the location-based pricing scheme. In addition, a
mathematical programming model involving QoS requirements in connection availability of
Mathematical Problems in Engineering 15

Table 6: Comparison of connection availability of the networks by two methods in the simulation space of
width, height  200 units, 200 units.

Number of mobile nodes CALB CAP QoS CAP QoS− CALB /CALB
32 0.23610142 0.3183623 34.84%
64 0.24306587 0.31280795 28.69%
128 0.24986204 0.29797671 19.26%
CALB : connection availability of the networks from the location-based pricing scheme.
CAP QoS : connection availability of the networks from the proposed pricing scheme with QoS requirements.

0.6
Connection availability of networks

0.55
0.5
0.45
0.4
0.35
0.3
0.25
0.2
32 64 128
Number of mobile nodes

Location-based pricing
Proposed pricing with QoS

Figure 6: Comparison of connection availability of the networks by two methods in simulation space of
width, height  200 units, 200 units.

each individual mobile node is developed to eliminate the unfairness situation in the original
model.

Acknowledgments
The authors thank the anonymous referees for contributing their valuable comments
regarding this paper and thus significantly improving the quality of this paper. The research
is supported by Taiwan NSC Grant NSC 99-2410-H-158-010-MY2.

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