Qi Jin

Distributionally Robust Discrete Optimization with Entropic Value-at-Risk

  • Qi Jin
  • Daniel Zhuoyu Long
    • Categories 0-1 Programming, Robust Optimization

    We study the discrete optimization problem under the distributionally robust framework. We optimize the Entropic Value-at-Risk, which is a coherent risk measure and is also known as Bernstein approximation for the chance constraint. We propose an efficient approximation algorithm to resolve the problem via solving a sequence of nominal problems. The computational results show that … Read more

    Preferences for Travel Time under Risk and Ambiguity: Implications in Path Selection and Network Equilibrium

  • Qi Jin
  • Defeng Sun
  • Xiao-Ming Yuan
  • Melvyn Sim
    • Categories Transportation Tags , , , ,

    In this paper, we study the preferences for uncertain travel time in which the probability distribution may not be fully characterized. In evaluating an uncertain travel time, we explicitly distinguish between risk, where probability distribution is precisely known, and ambiguity, where it is not. In particular, we propose a new criterion called ambiguity-aware CARA travel … Read more