管理科学系学术讲座暨复旦大学2023年校庆报告会

时间：2023年5月18日（周四） 9:00-10:30

地点：管理学院史带楼403室

主题：The Analytics of Robust Satisficing: Predict, Optimize, Satisfice, then Fortify

主讲人：Melvyn Sim 新加坡国立大学商学院教授

主持人：周明龙复旦大学管理学院青年副研究员

摘要：We introduce a novel approach to prescriptive analytics that leverages robust satisficing techniques to determine optimal decisions in situations of risk ambiguity and prediction uncertainty. Our decision model relies on a reward function that incorporates uncertain parameters, which can be partially predicted using available side information. However, the accuracy of the linear prediction model depends on the quality of regression coefficient estimates derived from the available data. To achieve a desired level of fragility, we begin by establishing a target relative to the predict-then-optimize objective and solve a residual-based robust satisficing model. Next, we solve a new estimation-fortified robust satisficing model that minimizes the influence of estimation uncertainty while ensuring that the estimated fragility of the solution in achieving a less ambitious guarding target falls below the level for the desired target. Our approach is supported by statistical justifications, and we propose tractable models for various scenarios, such as saddle functions, two-stage linear optimization problems, and decision-dependent predictions. We demonstrate the effectiveness of our approach through case studies involving a wine portfolio investment problem and a multi-product pricing problem using real-world data. Our numerical studies show that our approach outperforms the predict-then-optimize approach in achieving higher expected rewards and at lower risks when evaluated on the actual distribution. Notably, we observe significant improvements over the benchmarks, particularly in cases of limited data availability.

主讲人简介：Dr. Melvyn Sim is Professor and Provost’s Chair at the Department of Analytics & Operations, NUS Business school. His research interests fall broadly under the categories of decision making and optimization under uncertainty with applications ranging from finance, supply chain management, healthcare to engineered systems. He is one of the active proponents of Robust Optimization. Dr. Sim serves as a department editor of MSOM, and an associate editor for Operations Research, Management Science and INFORMS Journal on Optimization.