Jiajun Xu

Compromise Policy for Multi-stage Stochastic Linear Programming: Variance and Bias Reduction

  • Jiajun Xu
  • Suvrajeet Sen
    • Categories Applications - Science and Engineering, Dynamic Programming, Stochastic Programming Tags , , , , ,

    This paper focuses on algorithms for multi-stage stochastic linear programming (MSLP). We propose an ensemble method named the “compromise policy”, which not only reduces the variance of the function approximation but also reduces the bias of the estimated optimal value. It provides a tight lower bound estimate with a confidence interval. By exploiting parallel computing, … Read more

    Decision Intelligence for Nationwide Ventilator Allocation

  • Jiajun Xu
  • Suvrajeet Sen
    • Categories Applications - OR and Management Sciences, Basic Sciences Applications, Optimization of Simulated Systems Tags , , , ,

    Many states in the U.S. have faced shortages of medical resources because of the surge in the number of patients suffering from COVID-19. As many projections indicate, the situation will be far worse in coming months. The upcoming challenge is not only due to the exponential growth in cases but also because of inherent uncertainty … Read more