We propose robust and distributionally robust formulations of the risk budgeting problem under the mean absolute deviation (MAD) risk measure. The proposed models address uncertainty in asset returns and their distribution while allocating portfolio risk according to prescribed risk budgets. We first develop a robust model in which historical return observations are perturbed within a … Read more
Large language models improve test-time accuracy by generating multiple rollouts and aggregating these answers. As generating additional rollouts consumes more tokens, test-time compute faces a fundamental cost accuracy trade-off, naturally raising the question: given a fixed token budget, how to allocate the budget to maximize accuracy? Existing approaches typically adapt the number of rollouts for … Read more
Deep hedging learns trading policies from historical or simulated market trajectories, yet under nonstationarity these training paths may not represent future market conditions. We propose WRAP (Wasserstein-Reweighting Adversarial Perturbation), a drift-aware adversarial training framework derived from a two-budget distributionally robust optimization (DRO) formulation. The formulation is anchored to a weighted empirical reference distribution whose fixed … Read more
We propose a data-driven linear programming model to compute energy-optimal timetables for networks operating under communications-based train control (CBTC); the model was developed in collaboration with Hitachi Rail Canada, the largest provider of CBTC systems worldwide. Our model minimizes the network’s effective energy consumption, defined as the total traction energy consumed by the trains minus … Read more
This paper studies the single-machine problem of minimizing the weighted completion time variance (WCTV) and proposes a polynomially computable lower-bounding framework that generalizes the benchmark introduced by Nessah and Chu (2010). We first develop a generalized augmented-sequence decomposition that mathematically connects the weighted problem with the classical unweighted variance setting. Using this decomposition, we derive … Read more
We study the problem of learning revenue-maximizing bundle prices when customer valuations and market composition are unknown and the firm observes only customer choices. This problem is challenging because the number of bundle-price decisions grows exponentially with the number of items offered. We develop BLMP (Bundle Pricing via Learning the Market from Customer Preferences), a … Read more
Dynamic Discretisation Discovery (DDD) is a framework for solving a problem by iteratively solving and refining a relaxed version of the problem. DDD is the basis for state-of-the-art algorithms for various problems, including the continuous-time service network design problem (CTSNDP), which we study here. In the refinement step, such algorithms must identify conflicts in the … Read more
Large police departments usually operate by assigning regular patrol units to pre-defined regions, with backup units covering multiple regions to handle periods of high demand or replace unavailable regular units. We develop a data-driven approach to determine the optimal number and deployment of these backup units across different shifts, minimizing the expected travel time to … Read more
For integer activities, conditioning on the support makes a fixed-charge objective affine. If every support-conditioned cell is integral, an optimal solution is a vertex of its cell for arbitrary fixed charges and marginal rates. A totally unimodular constraint matrix with integral data guarantees this condition. This surviving property is weaker than the classical conclusions. A … Read more
Modern supply chains differ in lead times, bottlenecks, and demand volatility. Advanced Planning Systems conventionally decouple Master Planning (MP) and Demand Fulfillment (DF) hierarchically, which improves tractability but ignores critical interdependencies between material availability, capacity utilization, and delivery promising. We propose an integrated MP‑DF model, formulate it as a Minimum‑Cost Multicommodity Flow (MCMCF) on a … Read more