Journal
NETWORKS
Volume 74, Issue 1, Pages 79-106Publisher
WILEY
DOI: 10.1002/net.21880
Keywords
distributionally robust optimization; makespan; moments; project networks; projection and contraction algorithm; saddle point
Funding
- Ministry of Education - Singapore [T2MOE1706]
- SUTD-MIT International Design Center [IDG21700101]
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Crashing is shortening the project makespan by reducing activity times in a project network by allocating resources to them. Activity durations are often uncertain and an exact probability distribution itself might be ambiguous. We study a class of distributionally robust project crashing problems where the objective is to optimize the first two marginal moments (means and SDs) of the activity durations to minimize the worst-case expected makespan. Under partial correlation information and no correlation information, the problem is solvable in polynomial time as a semidefinite program and a second-order cone program, respectively. However, solving semidefinite programs is challenging for large project networks. We exploit the structure of the distributionally robust formulation to reformulate a convex-concave saddle point problem over the first two marginal moment variables and the arc criticality index variables. We then use a projection and contraction algorithm for monotone variational inequalities in conjunction with a gradient method to solve the saddle point problem enabling us to tackle large instances. Numerical results indicate that a manager who is faced with ambiguity in the distribution of activity durations has a greater incentive to invest resources in decreasing the variations rather than the means of the activity durations.
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