Multistage stochastic programming model and solution algorithm for the capacity expansion of railway network

Abstract

We consider a capacity expansion problem for a railway network under uncertainty. In our approach, integer and stochastic programming provide a basic framework. We develop a multistage stochastic programming model in which some of the variables are restricted to integer values. Given the distribution of the number of customers in a scenario, the problem of minimizing the expected value of the total investment cost is considered. The problem is reformulated as a problem with first stage integer variables and continuous second stage variables. An L-shaped algorithm is proposed to solve this problem.

Keywords

• railway planning
• capacity expansion
• optimization
• multistage stochastic programming
• l-shaped method