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A multiobjective metaheuristic for a mean-risk multistage capacity investment problem

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Abstract

We propose a multiobjective local search metaheuristic for a mean-risk multistage capacity investment problem with irreversibility, lumpiness and economies of scale in capacity costs. Conditional value-at-risk is considered as a risk measure. Results of a computational study are presented and indicate that the approach is capable of producing high-quality approximations to the efficient sets with a modest computational effort. The best results are achieved with a new hybrid approach, combining Tabu Search and Variable Neighbourhood Search.

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  1. Faculdade de Engenharia da Universidade do Porto, INESC Porto—Instituto de Engenharia de Sistemas e Computadores do Porto, Rua Dr. Roberto Frias, 4200-465, Porto, Portugal

    João Claro & Jorge Pinho de Sousa

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  1. João Claro
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  2. Jorge Pinho de Sousa
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Correspondence to João Claro.

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The work reported in this paper has been partially supported by FCT project POCI/EGE/61362/2004.

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Claro, J., de Sousa, J.P. A multiobjective metaheuristic for a mean-risk multistage capacity investment problem. J Heuristics 16, 85–115 (2010). https://doi.org/10.1007/s10732-008-9090-2

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