Robust Concave Utility Maximization over a Chance-Constraint

This paper, for the first time, studies an expected utility problem with a chance constraint with incomplete information on a decision maker’s utility function. The model maximizes the worst-case expected utility of random outcome over a set of concave functions within a novel ambiguity set while satisfying a chance constraint with a given probability. To … Read more

A Column Generation Scheme for Distributionally Robust Multi-Item Newsvendor Problems

In this paper, we study a distributionally robust multi-item newsvendor problem, where the demand distribution is unknown but specified with a general event-wise ambiguity set. Using the event-wise affine decision rules, we can obtain a conservative approximation formulation of the problem, which can typically be further reformulated as a linear program. In order to efficiently … Read more

Two-Stage Robust Telemedicine Assignment Problem with Uncertain Service Duration and No-Show Behaviours

The current pandemic of COVID-19 has caused significant strain on medical center resources, which are the main places to provide the rapid response to COVID-19 through the adoption of telemedicine. Thus healthcare managers must make an effective assignment plan for the patients and telemedical doctors when providing telemedicine services. Motivated by this, we present the … Read more