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    講座:Supermodularity in Two-Stage Distributionally Robust Optimization --- Theory and Applications

    發布者:人力資源辦公室    發布時間:2020-05-26

    題  目Supermodularity in Two-Stage Distributionally Robust Optimization --- Theory  and Applications

    嘉  賓Zhuoyu Long, Associate Professor, The Chinese University of Hong Kong

    主  持 人李成璋  助理教授  上海交通大學安泰經濟與管理學院

    時  間2020年6月17日(周三)13:30-14:00 交流討論,14:00-15:30 學術講座

    會議方式ZOOM會議 (校內師生如需會議號和密碼,請于6月16日中午12點前發送電郵至mliu18@sjtu.edu.cn獲?。?/p>


      Driven by several classic operations management problems (e.g., appointment scheduling), we solve a class of two-stage distributionally robust optimization problems which have the property of supermodularity.  We exploit the explicit upper bounds on the expectation of supermodular functions and derive the worst-case distribution for the robust counterpart. This enables us to develop an efficient method to derive an exact optimal solution of these two-stage problems. Further, we provide a necessary and sufficient condition to check whether any given two-stage optimization problem has supermodularity.  We apply this framework to classic problems, including the multi-item newsvendor problem, the appointment scheduling problem and general assemble-to-order (ATO) systems.  While these problems are typically computationally challenging, they can be solved efficiently using our approach.


      Zhuoyu Long is an associate professor in the Department of Systems Engineering & Engineering Management at The Chinese University of Hong Kong. He earned his PhD in the Department of Analytics and Operation, National University of Singapore in 2013. Before that, Long received his bachelor degree from Tsinghua University, and master degree from Chinese Academy of Science. His research interests are in inventory control, project management, risk management, and robust optimization.