Optimization under moment, robust, and data-driven models of uncertainty
Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2010.
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| Format: | Thesis |
| Language: | eng |
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Massachusetts Institute of Technology
2010
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| Online Access: | http://hdl.handle.net/1721.1/57538 |
| _version_ | 1826202463850463232 |
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| author | Doan, Xuan Vinh |
| author2 | Dimitris J. Bertsimas. |
| author_facet | Dimitris J. Bertsimas. Doan, Xuan Vinh |
| author_sort | Doan, Xuan Vinh |
| collection | MIT |
| description | Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2010. |
| first_indexed | 2024-09-23T12:07:52Z |
| format | Thesis |
| id | mit-1721.1/57538 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T12:07:52Z |
| publishDate | 2010 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/575382019-04-13T00:05:13Z Optimization under moment, robust, and data-driven models of uncertainty Doan, Xuan Vinh Dimitris J. Bertsimas. Massachusetts Institute of Technology. Operations Research Center. Massachusetts Institute of Technology. Operations Research Center. Operations Research Center. Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2010. This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections. Cataloged from student submitted PDF version of thesis. Includes bibliographical references (p. 151-156). We study the problem of moments and present two diverse applications that apply both the hierarchy of moment relaxation and the moment duality theory. We then propose a moment-based uncertainty model for stochastic optimization problems, which addresses the ambiguity of probability distributions of random parameters with a minimax decision rule. We establish the model tractability and are able to construct explicitly the extremal distributions. The quality of minimax solutions is compared with that of solutions obtained from other approaches such as data-driven and robust optimization approach. Our approach shows that minimax solutions hedge against worst-case distributions and usually provide low cost variability. We also extend the moment-based framework for multi-stage stochastic optimization problems, which yields a tractable model for exogenous random parameters and affine decision rules. Finally, we investigate the application of data-driven approach with risk aversion and robust optimization approach to solve staffing and routing problem for large-scale call centers. Computational results with real data of a call center show that a simple robust optimization approach can be more efficient than the data-driven approach with risk aversion. by Xuan Vinh Doan. Ph.D. 2010-08-26T15:20:16Z 2010-08-26T15:20:16Z 2010 2010 Thesis http://hdl.handle.net/1721.1/57538 635510942 eng M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. http://dspace.mit.edu/handle/1721.1/7582 156 p. application/pdf Massachusetts Institute of Technology |
| spellingShingle | Operations Research Center. Doan, Xuan Vinh Optimization under moment, robust, and data-driven models of uncertainty |
| title | Optimization under moment, robust, and data-driven models of uncertainty |
| title_full | Optimization under moment, robust, and data-driven models of uncertainty |
| title_fullStr | Optimization under moment, robust, and data-driven models of uncertainty |
| title_full_unstemmed | Optimization under moment, robust, and data-driven models of uncertainty |
| title_short | Optimization under moment, robust, and data-driven models of uncertainty |
| title_sort | optimization under moment robust and data driven models of uncertainty |
| topic | Operations Research Center. |
| url | http://hdl.handle.net/1721.1/57538 |
| work_keys_str_mv | AT doanxuanvinh optimizationundermomentrobustanddatadrivenmodelsofuncertainty |