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European Journal of Operational Research 80 (1995) 404-409

Bicriterion Stochastic S c h e d u l i n g on o n e or m o r e m a c h i n e s
Frank G. Forst
Management Science Department, Loyola University of Chicago, 820 N. MichiganAvenue, Chicago, IL 60611, USA

Received January 1992; revised July 1993

Abstract

This paper is concerned with two types of bicriterion stochastic scheduling problems, the first involving a single
machine, and the second involving the m-machine flow shop. In both problem types, a set of n jobs is to be
processed on one or more machines, and the objective is to find a job sequence which minimizes the sum of the
expected total weighted tardiness and the expected total weighted flowtime. The job processing times are
independent random variables and the jobs have a common, random due date. For both problem types, an optimal
job sequence is obtained by processing the jobs in increasing stochastic order of their processing times.
Keywords: Stochastic scheduling; Flow shop; Tardiness; Flowtime; Bicriterion; Stochastic ordering

1. Introduction
We analyze two types of bicriterion stochastic scheduling problems, the first involving a single
machine, and the second involving a flow shop with an arbitrary n u m b e r of machines m. A set of n jobs,
J - - ( 1 , 2 . . . . . n), is to be processed on either the single machine or all m machines. All the jobs are
available at time zero, and the job order is the same on all the machines in the flow shop case. The job
processing times X k ( k -- 1, 2 . . . . . n ) are independent r a n d o m variables. For the m-machine flow shop, a
job k is to be processed on each one of the m machines for the s a m e r a n d o m time X k. This would be
the case if, for example, the m machines were identical. The n jobs have a common due date D, which is
a r a n d o m variable. The job processing times and the due date are also independent.
L e t C k denote the completion time (or flowtime) of job k on the last machine, and T k represent the
job's tardiness (k -- 1, 2 . . . . . n). By definition, T k = max(0, C k - D ) . Let:
E [ T ( S ) ] = The expected total weighted tardiness for job sequence S.
E [ C ( S ) ] = T h e expected total weighted flowtime for job sequence S.
The decision-maker selects the weight a > 0 for the total tardiness criterion and the weight/3 > 0 for the
total flowtime criterion.
Then the composite objective function for a job sequence S can be written as R ( S ) , where
R(S)=E[T(S)]

+E[C(S)]=E

[k I l k
Tk(S ) + E

0377-2217/95/$09.50 1995 Elsevier Science B.V. All rights reserved

SSDI 0377-2217(93)E0284-5

/3

Ck(S ) .
1

(1)

F.G. ~brst /European Journal of Operational Research 80 (1995) 404-409

405

That is, the objective is to obtain a job sequence S = (Jl, J2,'.-, Jn ), which is a permutation of J, that
minimizes the sum of the expected total weighted tardiness and the expected total weighted flowtime. A
random variable X 1 is said to be stochastically smaller than random variable X2, denoted by X l < s-rX2,
if Pr(X 1 < t) > Pr(X 2 < t) for all t. Note that X 1 < sTX2 implies E[X~] < E[X2].
Based on a survey conducted in industry, Panwalker and Iskandar (1977) concluded that flowtime
related measures and tardiness related measures are the most prominent among scheduling objectives in
industrial applications. Total flowtime is a measure of work-in-process inventory, whereas total tardiness
is a measure of customer satisfaction. A fairly recent study by Melnyk et al. (1986) indicated that
production managers consider multiple objectives when making scheduling decisions. In light of the
above statements, it is logical to consider R(S) as a composite objective.
The usual assumptions for flow shop job scheduling problems are made, including nonpreemption of
jobs, unlimited storage between the machines, a machine cannot process more than one job at a time, a
job cannot be processed on more than one machine at a time, machine and labor capacity are fixed, and
the n jobs must be put in a sequence before processing of the jobs begins.
This paper is organized as follows. In Section 2, we briefly review the literature relating to the
bicriterion job scheduling problem with a composite objective function. We derive in Section 3 results for
the one-machine case. In Section 4, we obtain results for the m-machine flow shop. Finally, in Section 5
we discuss our results and provide several suggestions for further research.

2. Literature review

The deterministic version of the bicriterion job scheduling problem with a composite objective and a
single machine has been examined by many researchers, under many circumstances. A recent, comprehensive review of this literature is given in Fry et al. (1989). We will limit our comments to several
selected articles in the area.
Van Wassenhove and Gelders (1980) considered the joint minimization of mean flowtime and
maximum job tardiness. They developed a procedure to generate the set of all efficient job sequences. A
job sequence S is efficient if it yields a solution R(S) such that no other solution for the problem has
lower values for both criteria at the same time. Sen and Gupta (1983) used a linear combination of total
flowtime and maximum job tardiness as the objective function to be minimized, and developed a
branch-and-bound procedure to obtain an optimal job sequence.
Nelson et al. (1986) presented optimal algorithms for determining all the efficient solutions of three
separate bicriterion problems involving mean flow time, maximum job tardiness, and number of tardy
jobs. They also provided computational results which suggested that the number of efficient solutions is
very small compared to the number of permutation job schedules. Lin (1983) analyzed the joint
minimization of mean flowtime and mean job tardiness. Lin developed a rather complex dynamic
programming approach to generate the set of efficient solutions. Bagchi (1989) provided a straightforward and efficient algorithm to obtain a job sequence which minimizes a linear combination of the total
flowtime and the total absolute pairwise differences in completion times.
Recently Daniels and Chambers (1990) studied bicriterion deterministic job scheduling in flow shops.
They considered the joint minimization of makespan and maximum job tardiness. For the two-machine
flow shop, Daniels and Chambers developed an algorithm that identifies the exact set of efficient job
sequences. For larger flow shops, they provided a heuristic procedure to approximate the set of efficient
job sequences. Computational results indicate that both the number of efficient job sequences and the
error incurred by the heuristic are quite small.
To our knowledge, no results have yet appeared in the literature on the bicriterion stochastic job

F.G. Forst / European Journal of Operational Research 80 (1995) 404-409

406

scheduling problem. Rothkopf (1966) considered minimizing the expected total weighted flowtime alone
on one machine, where the job processing times are independent random variables and the weights w k
are positive constants (k = 1, 2,..., n). He proved that the optimal job sequence is obtained by
sequencing the jobs in decreasing W k / E [ X k] order, where E [ X k] is the expected processing time of job
k. Pinedo (1983) studied minimizing the expected total weighted job tardiness alone on one machine,
where the job processing times are independent, exponentially distributed random variables with rates
Ak, and the due dates D k (k = 1, 2 , . . . , n) are independent, identically distributed random variables. The
weights w k are positive constants. For this case, Pinedo proved that the jobs should be sequenced in
decreasing order of W k A k .
Pinedo and Wie (1986) analyzed the m-machine flow shop, with the processing time X k of job k being
the same random variable on each one of the m machines. They demonstrated that when the job weights
are an increasing convex function g, then the expected total weighted flowtime alone is minimized by
sequencing the jobs in increasing order of the variability of the job processing times. A random variable
X 1 is defined to be less variable than a random variable X 2 when E[g(X1)] <_E[g(X2)] for all functions
g which are increasing convex.

3. Results for the one-machine case

Throughout this section we assume the following:

(i) The job processing times X k (k = 1, 2 .... , n) on the single machine are independent random
variables. The n jobs have a common, random due date D, which is independent of the job
processing times.
The strategy is to examine the effect on the composite objective function R ( S ) when two adjacent jobs
are interchanged. Consider the two job sequences S1: Jl, J2 . . . . , J i - 1 , Ji, J i + l , Ji+z . . . . . Jn, 52: J l ,
J2 . . . . . Ji-1, Ji+ 1, Ji, Ji+2 . . . . , j,,, where S z is obtained from $1 by interchanging jobs Ji and Ji + 1 for some
l<i<n-1.
Let:
E[T(SI)] = Expected total weighted job tardiness for Sr
E[T(S2)] = Expected total weighted job tardiness for $2.
E[C(S1)] = Expected total weighted flowtime for S 1.
E[C(S2)] = Expected total weighted flowtime for S 2.
X

Xl+g2+

" ' " "+g i _ 1.

Then
R(S1) =E[T(S1)] +E[C(Sl)],

R(S2) =E[T(S2)] +E[C(S2)].

Since all the job processing times are independent random variables, it is clear that the expected total
weighted job tardiness in the collections (J1, J2 .... ,Ji-1) and (Ji+2,...,J,,) is the same for S~ and S 2.
Likewise for the expected total weighted flowtime. Therefore, we need only consider the sum of the
expected total weighted job tardiness and the expected total weighted flowtime in the collection {ji, j~+ 1},
for S 1 and S 2. Then, with C i and Ci+ 1 (C* and C*+1) the completion times of job Ji and job J i + l ,
respectively, for $1 ($2), we may write
R( S1) - R ( Sz) = aE[max(O, C i - - D)] + orE[max(O, Ci+ 1 - D)] + flE[ Ci] + flE[ Ci+ , ]
- a E [ m a x ( 0 , C* - D)] - aE[max(0, C*+1 - D)] - fiE[C*] - flE[C*+l ].

(2)

F.G. Forst~European Journalof OperationalResearch80 (1995) 404-409

407

Theorem 1. Under circumstance (i), an optimal job sequence is obtained if the jobs can be sequenced in
increasing stochastic order of their processing times.

Proof. We must demonstrate that R(S 0 - R ( S 2 ) < 0 when Xi < ST)t,+ r From (2) we obtain

R(S,) -R(S2)
= a E [ m a x ( D , Ci) ] - a E [ D ] + aE[max(D, C i + l ) ] - a E [ D ] + flE[Ci] -t- flE[Ci+ 1]

-orE[max(D, C/*)] + aE[ D] - aE[max( D, Ct+,) ] + aE[ D] - fiE[C*] - fiE[C/*+ 1]

=aE[max( D, X + Xi) ] + aE[max( D, X + Xi + Xi+l) ] + flE[ X + Xi]
.-[-[~E[ X -JcXi -[-Xi +l ] - a E [max( D , X -[-Xi -[-Xi +l ) ] -orE[max(D, X + X / + , ) ]
+ x, + x,+,] -

= aE[max( D, X-[- Xi) ] -[- [~E[ X-}- Xi] - aE[max( D, X-]- Xi+ l) ] -~E[Xq-X/+l].
We observe that job Ji should be processed before job Ji+l if and only if R(S I) - R ( S 2) < 0, that is,

R( S1) - R( S2) =a{E[max( D, X + Xi) ] - E [ m a x ( D , X - ~ Xi+l)]} + fl{E[ Xi] - E[ Xi+l] } <_0.

(3)
For independent random variables, Foley and Suresh (1984) have shown that
E[max(D, X+X,)] -E[max(D, X+X,+I) ] <0
Thus, inequality (3) holds when X i <_~ST X i+ 1.

if

X,<sTX,+,.

[]

Theorem 1 implies that under circumstance (i), sequencing the 'fastest' jobs first minimizes the sum of
the expected total weighted job tardiness and the expected total weighted flowtime.

4. Results for the m-machine flow shop

Throughout this section we assume the following:

(ii) The processing time X k of job k (k = 1, 2 . . . . , n) is the same random variable on each one of the m
machines. The n jobs have a common, random due date D, which is independent of the job
processing times. The job order is the same on all m machines.
Define S~ and S 2 as in Section 3. Now we develop a sufficient condition for job sequence S 1 to be
preferred to job sequence $2; that is, for R(S1) < R(S2).
Theorem 2. Under circumstance (ii), an optimal job sequence is obtained if the jobs can be sequenced in
increasing stochastic order of their processing times.

Proof. We must show that R(S 1) - R(S 2) ~ 0 when X i <_S T X i + I .

Pinedo and Wie (1986) have stated that under circumstance (ii),
c, =

c,_, = c*_,,

c,+, = c*,

ci+

= c% .....

c, = c*.

Thus, we need only consider the sum of the expected total weighted job tardiness and the expected total
weighted flowtime in the set [Ji, Ji+l], for S I and S 2, keeping in mind that C* = Ci+ v

408

"F.G.Forst/ European Journal of OperationalResearch80 (1995) 404-409

Then we may write

R ( S , ) - R ( S 2 ) = aE[max(0, Ci - D ) ] + ~E[max(0, C,-+I-D)] + ~E[C,.] + BE[C;+,]

-.E[max(0, C , + I

D)] -

~E[max(0, C*+1 - D)] - flE[Ci+l] -/3E[C*+ 1]

= a E [ m a x ( D , Ci) ] + ~E[Ci] - a E [ m a x ( D , C*+1)] - fiE[C*+1 ].

We note that job Ji should be processed before job Jil if and only if R(SO - R(S2) < 0; that is,
R(S1) - R ( S 2 ) = a { E [ m a x ( D , Ci) ] - E [ m a x ( D , C*+1)] } +/3{E[C~] -E[C*+I]} <0.

(4)

As Pinedo and Wie (1986) have indicated, under circumstance (ii)

C i = A + ( m - 1) max(B, Xi) + X i and C*+l = A + ( m - 1) max(B, Xi+l) +Xi+I,

where A = X 1 + X 2 + . . . + X i_ 1 and B = max(X l, X 2. . . . . X i - 1)Thus we may rewrite condition (4) as

a { E [ m a x ( O , A + ( m - 1) max(B, Xi)
+fl{E[A+(m-1)

+Xi) ] -

E[max(D, A + (m - 1) max(B, Xi+l) +Xi+,]}

max(B, Xi)+Xi]-E[A+(m-1)max(B,

Xi+l)+Xi+l]}<O.

(5)

Note that D, B, X i, and X~+ 1 are all independent random variables.

Then by Lemma 2 in Foley and Suresh (1984),
E[ A + ( m - 1) max(B, Xi) + Xi] - E[ A + ( m - 1) max(B, Xi+,) +Xi+l]

= E [ ( m - 1) max(B, Xi] +E[X~] - E [ ( m

- 1) max(B, X i + , ) ] - E [ X i + I ] <0,

if X / < STXi+ x" Also,

E[max(D, A +Xi)] - E [ m a x ( D , A +Xi+,)] < 0
and
E [ ( m - 1) max(B, Xi) ] - E [ ( m

- 1) max(B,

Xi+l) ] _~<0

if X i < STXi+ 1" Thus,

E[max(D, A + ( m - 1) max(B, Xi) +Xi) ] - E [ m a x ( D , A + ( m - 1) max(B, Xi+l) +Xi+l) ] _<0
when X i < sTXi+l, and inequality (5) holds.

[]

Thus under circumstance (ii), we may again conclude that processing the 'fastest' jobs first yields the
job sequence that minimizes R(S).

5. Discussion

Since the year 1980, an increasing number of results have appeared in the literature concerning the
deterministic bicriterion job scheduling problem with a composite objective function. However, as far as
we can determine, Theorem 1 in Section 3 and Theorem 2 in Section 4 represent the first results to
appear in the literature on the stochastic bicriterion job scheduling problem.
There are many other cases of the latter problem remaining to be analyzed. For example, different
measures of expected weighted fiowtime (such as expected variation in flowtimes) and expected weighted
job tardiness (such as expected weighted number of tardy jobs) could be considered as the two criteria.

E G. Forst ~European Journal of Operational Research 80 (1995) 404-409

409

Another interesting situation that might be studied is the case in which one criterion is minimized subject
to a constraint on the maximum value of the other criterion, under stochastic conditions.
An important issue that we have not considered in this paper is the determination of the set of
efficient job sequences for stochastic bicriterion job scheduling problems. Finally, the distinct random
due dates case should be studied. In general, job sequencing problems involving distinct due dates are
much more difficult to solve than those in which the due dates are identical.
The author has begun analyzing some of these stochastic bicriterion job scheduling problems, an
important yet uncharted area.

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