Li Chen

Robust Actionable Prescriptive Analytics

  • Li Chen
  • Melvyn Sim
  • Xun Zhang
  • Minglong Zhou
  • Long Zhao
    • Categories Linear Programming, Robust Optimization, Stochastic Programming Tags , , , , ,

    We propose a new robust actionable prescriptive analytics framework that leverages past data and side information to minimize a risk-based objective function under distributional ambiguity. Our framework aims to find a policy that directly transforms the side information into implementable decisions. Specifically, we focus on developing actionable response policies that offer the benefits of interpretability … Read more

    Robust CARA Optimization

  • Li Chen
  • Melvyn Sim
    • Categories Applications - OR and Management Sciences, Robust Optimization, Stochastic Programming Tags , ,

    We propose robust optimization models and their tractable approximations that cater for ambiguity-averse decision makers whose underlying risk preferences are consistent with constant absolute risk aversion (CARA). Specifically, we focus on maximizing the worst-case expected exponential utility where the underlying uncertainty is generated from a set of stochastically independent factors with ambiguous marginals. To obtain … Read more