管理科学与工程系学术讲座

题目: 基于鲁棒时间序列模型的预算驱动型多期选址问题

Budget-Driven Multi-Period Hub Location:

A Robust Time-Series Approach

演讲人: 陈植，助理教授，香港中文大学

时间: 2023年11月23日下午15：00

地点: 同济大厦A楼308教室

讲座摘要:

We study the multi-period hub location problem with uncertain periodic demands. In particular, we construct a nested ambiguity set that characterizes uncertain periodic demands via a general multivariate time series model, and to ensure stable periodic cost flows, we propose to constrain each expected periodic cost within a budget while maximizing the robustness level (i.e., the size) of the ambiguity set. Statistically, the nested ambiguity set ensures the model’s solution to enjoy finite-sample performance guarantees under certain regularity conditions on the underlying process of the stochastic demand. Computationally, the uncapacitated model can be efficiently solved via a bisection search algorithm that solves (in each iteration) a mixed-integer conic program. Numerical experiments demonstrate the attractiveness and competitiveness of our proposed modeling and solution approaches.

演讲嘉宾简介:

Zhi Chen is an Associate Research Fellow at CUHK Shenzhen Research Institute and an Assistant Professor in the CUHK Business School, the Chinese University of Hong Kong. His research interests include (1) developing models and designing algorithms for decision-making under uncertainty with different levels of data availability as well as applications in business, economics, finance, and operations; (2) how to compete or cooperate in joint activities such as resource allocation and risk management. He worked in the City University of Hong Kong and received a Research Excellence Award from the College of Business.