Xiaobo Li

Fourth-order Marginal Moment Model: Reformulations and Applications

  • Mingyang FU
  • Xiaobo Li
    • Categories Applications - OR and Management Sciences, Combinatorial Optimization, Robust Optimization Tags , , , , ,

    This paper investigates the bounds on the expectation of combinatorial optimization given moment information for each individual random variable. A popular approach to solving this problem, known as the marginal moment model (MMM), is to reformulate it as a semidefinite program (SDP). In this paper, we investigate the structure of MMM with up to fourth-order … Read more

    A Convex Optimization Approach for Computing Correlated Choice Probabilities with Many Alternatives

  • Selin Damla Ahipasaoglu
  • Karthik Natarajan
  • Xiaobo Li
    • Categories Applications - OR and Management Sciences, Robust Optimization, Semi-definite Programming Tags , ,

    A popular discrete choice model that incorporates correlation information is the Multinomial Probit (MNP) model where the random utilities of the alternatives are chosen from a multivariate normal distribution. Computing the choice probabilities is challenging in the MNP model when the number of alternatives is large and simulation is used to approximate the choice probabilities. … Read more