predictive analytics

The Analytics of Robust Satisficing

  • Melvyn Sim
  • Qinshen Tang
  • Minglong Zhou
  • Taozeng Zhu
    • Categories Robust Optimization Tags , , ,

    We propose a new prescriptive analytics model based on robust satisficing that incorporates a prediction model to determine the here-and-now decision that would achieve a target expected reward as well as possible under both risk ambiguity and estimation uncertainty. The reward function of the decision model depends on some observable parameters whose future realizations are … Read more

    Robust Explainable Prescriptive Analytics

  • Li Chen
  • Melvyn Sim
  • Xun Zhang
  • Minglong Zhou
    • Categories Linear Programming, Robust Optimization, Stochastic Programming Tags , , , , ,

    We propose a new robust explainable prescriptive analytics framework that minimizes a risk-based objective function under distributional ambiguity by leveraging the data collected on the past realizations of the uncertain parameters affecting the decision model and the side information that have some predictive power on those uncertainties. The framework solves for an explainable response policy … Read more