Merve Merakli

Risk Aversion to Parameter Uncertainty in Markov Decision Processes with an Application to Slow-Onset Disaster Relief

  • Simge Küçükyavuz
  • Merve Merakli
    • Categories Integer Programming, Stochastic Programming, Supply Chain Management Tags , , , , ,

    In classical Markov Decision Processes (MDPs), action costs and transition probabilities are assumed to be known, although an accurate estimation of these parameters is often not possible in practice. This study addresses MDPs under cost and transition probability uncertainty and aims to provide a mathematical framework to obtain policies minimizing the risk of high long-term … Read more

    Two-stage Stochastic Programming under Multivariate Risk Constraints with an Application to Humanitarian Relief Network Design

  • Simge Küçükyavuz
  • Merve Merakli
  • Nilay Noyan
    • Categories Stochastic Programming

    In this study, we consider two classes of multicriteria two-stage stochastic programs in finite probability spaces with multivariate risk constraints. The first-stage problem features a multivariate stochastic benchmarking constraint based on a vector-valued random variable representing multiple and possibly conflicting stochastic performance measures associated with the second-stage decisions. In particular, the aim is to ensure … Read more