數據價值:一種魯棒線性規劃方法



活動地點:校本部東區管理學院467室

活動時間:2019-09-25 13:30:00

上海管理論壇第400期(范薇薇教授,同濟大學

 

    目:數據價值:一種魯棒線性規劃方法Value of Data: A Robust Linear Programming Approach

人:范薇薇安徽快3走势图,同濟大學副教授

人:  璐,上海大學管理學院教授

    間:2019925日(周三),下午1:30

    點:校本部東區管理學院467

主辦單位:上海大學管理學院、上海大學管理學院青年教師聯誼會

                    

演講人簡介:

范薇薇,同濟大學管理高等研究院副教授。之前曾任中國科學技術大學助理教授安徽快3走势图。2015年畢業于香港科技大學,獲得博士學位安徽快3走势图;2011年本科畢業于中科大數學系。主要研究方向包括:仿真優化安徽快3走势图,魯棒優化,以及它們在醫療方面的應用。主持國家青年科學基金項目,在《Operations Research》,《Management Science》等國際頂級期刊上發表多篇學術論文安徽快3走势图。

 

演講內容簡介:

Linear programming (LP) is a widely used tool in the decision-making processes. In practice, the associated parameters are often unknown and the key issue becomes how to interpret these parameters with the real-world data. There are two commonly used approaches. When the unknown parameters only appear in the objective, the point estimation approach is often adopted. This approach estimates the parameters by using statistical methods and then plugs the estimated parameters into the original problem. Consequently, the estimated LP is solved as a surrogate. When the unknown parameters appear in the constraints, the robust optimization approach is often adopted. This approach constructs an uncertainty set for the parameters and then optimizes the objective over the uncertainty set. However, both approaches may yield a large discrepancy from the nominal optimal objective and we call this discrepancy the regret. It is easy to see that both the regret mainly hinges on the data set used to estimate the parameters or construct the uncertainty set. To study the impact of data set, we propose a novel framework that is able to construct the con?dence intervals for both types of regrets as a function of data set, respectively. We ?nd that the regrets (or the widths of con?dence interval) shrink to zero at an order of n-1/2, where n refers to the volume of data set. Furthermore, we design a two-stage procedure to determine the minimal volume of data set required for a prescribed level of regrets.

 

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