CAREER: Risk Management via Stochastic Programming: Models, Computation, and Applications

职业：通过随机规划进行风险管理：模型、计算和应用

• 批准号: 0952907
• 负责人: James Luedtke
• 金额: $ 40万
• 依托单位: University of Wisconsin-Madison
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2010
• 资助国家: 美国
• 起止时间: 2010-02-01 至 2016-01-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0952907&HistoricalAwards=false
• 关键词: CAREER; Risk; Management; via; Stochastic

The research objective of this Faculty Early Career Development (CAREER) project is to investigate new optimization models and algorithms that enable decision-makers to manage risk when making complex decisions in the face of uncertainty. Specific research activities include: explore new decomposition-based methods for stochastic programs having constraints limiting the probability of a bad outcome; study new stochastic dominance constrained models that allow decision-makers to set a minimally acceptable risk profile in an adjustable manner; and prove the usability and impact of these models by using them to solve problems in application areas such as supply chain management, workforce staffing, finance, and medical treatment planning. The overarching educational objective of this CAREER project is to increase the population of individuals who use quantitative tools to make decisions in the face of uncertainty. Specific educational activities include: work with a campus precollege outreach organization to incorporate optimization-related topics into their programs; develop and teach a decision-making under uncertainty module for an introductory engineering course; and design and implement a graduate course on optimization under uncertainty.This project will lead to a new set of computationally practical tools that decision-makers can use to find plans that balance risk and efficiency. For example, these tools could be used by businesses to meet customer service targets at lower cost, by government agencies to choose cost-effective disease control policies, or by physicians to design radiation treatment plans. The educational aspect of the proposal will facilitate adoption of the methods by giving graduate students the skills needed to apply them, and by exposing a wide range of undergraduate students to the use of optimization. Precollege educational activities will promote diversity in the mathematical sciences by reaching an economically diverse range of precollege students across Wisconsin.

该项目的研究目标是研究新的优化模型和算法，使决策者在面对不确定性时做出复杂决策时能够管理风险。具体的研究活动包括：探索新的分解为基础的随机程序的方法，限制了一个坏的结果的概率的限制;研究新的随机优势约束模型，使决策者能够设置一个最低限度的可接受的风险配置文件在一个可调整的方式;并通过使用这些模型来解决供应链管理，劳动力配备，财务和医疗计划。这个CAREER项目的总体教育目标是增加在面对不确定性时使用定量工具做出决策的个人数量。具体的教育活动包括：与校园预科外展组织合作，将优化相关的主题纳入他们的计划;开发和教授不确定性模块下的决策介绍工程课程;设计并实施了一个关于不确定性下优化的研究生课程。这个项目将导致一套新的计算实用工具，决策者可以利用它来找到平衡风险和效率的计划。例如，这些工具可以被企业用来以较低的成本满足客户服务目标，被政府机构用来选择具有成本效益的疾病控制政策，或者被医生用来设计放射治疗计划。该提案的教育方面将通过为研究生提供应用这些方法所需的技能，并通过使广泛的本科生接触优化的使用，来促进这些方法的采用。学前教育活动将促进数学科学的多样性，达到整个威斯康星州的学前学生的经济多样化的范围。