Ningyuan Chen

Decision-making with Side Information: A Causal Transport Robust Approach

  • Jincheng Yang
  • Luhao Zhang
  • Ningyuan Chen
  • Rui Gao
  • Ming Hu
    • Categories Optimization in Data Science, Robust Optimization, Stochastic Programming Tags , , ,

    We consider stochastic optimization with side information where, prior to decision making, covariate data are available to inform better decisions. In particular, we propose to consider a distributionally robust formulation based on causal transport distance. Compared with divergence and Wasserstein metric, the causal transport distance is better at capturing the information structure revealed from the conditional distribution … Read more

    Using Neural Networks to Guide Data-Driven Operational Decisions

  • Ningyuan Chen
  • Saman Lagzi
    • Categories Applications - OR and Management Sciences, Supply Chain Management, Yield Management Tags , , ,

    We propose to use Deep Neural Networks to solve data-driven stochastic optimization problems. Given the historical data of the observed covariate, taken decision, and the realized cost in past periods, we train a neural network to predict the objective value as a function of the decision and the covariate. Once trained, for a given covariate, … Read more

    Model-Free Assortment Pricing with Transaction Data

  • Ningyuan Chen
  • Andre Augusto Cire
  • Ming Hu
  • Saman Lagzi
    • Categories Applications - OR and Management Sciences, Approximation Algorithms, Robust Optimization

    We study a problem in which a firm sets prices for products based on the transaction data, i.e., which product past customers chose from an assortment and what were the historical prices that they observed. Our approach does not impose a model on the distribution of the customers’ valuations and only assumes, instead, that purchase … Read more