Tractable Approximation of Dynamic Decision Making Models Under Uncertainty

该奖项的目的是为不确定性下的广泛的动态决策模型提出一个实用，高效，健壮和可扩展的建模框架。凸逼近方法将被提出来解决有限数据分布信息的多阶段随机规划问题。将制定机制，从理论和计算两方面衡量所得近似值的质量。他们与强大的优化方法的关系也将被探讨。所提出的易于处理的近似方法将被应用于建模和解决各种重要的大规模的实际问题，从供应链管理，医疗保健，金融工程和水资源管理。如果成功，这个项目将大大提高我们的能力，建模动态决策问题下的不确定性，并提供计算工具，解决大规模随机规划问题。它将允许随机规划的应用，以大规模的实际动态决策模型，以前是遥不可及的，由于其计算复杂性。该项目还将展示将不确定性纳入企业面临的实际决策问题的潜力，并促进企业利用模型和计算工具开发急需的决策支持系统，以有效地处理不确定性。

The objective of this award is to propose a practical, efficient, robust and scalable modeling framework to a broad class of dynamic decision making models under uncertainty. Convex approximation approaches will be proposed to solve multi-stage stochastic program problems with limited data distributional information. Mechanisms to measure the quality of the resulting approximations, both theoretically and computationally, will be developed. Their relationship with robust optimization methodology will also be explored. The proposed tractable approximation approach will be applied to model and solve a variety of important large scale practical problems ranging from supply chain management, healthcare, financial engineering and water resource management. If successful, this project would greatly enhance our capabilities to modeling dynamic decision making problems under uncertainty and provide computational tools to solving large scale stochastic programming problems. It would allow the application of stochastic programming to large scale practical dynamic decision making models which were previously out of reach due to their computational complexity. The project would also demonstrate the potential of incorporating uncertainty into practical decision making problems faced by enterprises and facilitate firms with models and computational tools to develop much-needed decision support systems that can handle uncertainty efficiently and effectively.