ACO/OR Colloquium - Advances in multistage optimization

Series: 
Other Talks
Tuesday, September 14, 2010 - 11:00
1 hour (actually 50 minutes)
Location: 
ISyE Executive Classroom
,  
Operations Research/Statistics, Sloan School of Management, MIT
In this presentation, we show a significant role that symmetry, a fundamental concept in convex geometry, plays in determining the power of robust and finitely adaptable solutions in multi-stage stochastic and adaptive optimization problems. We consider a fairly general class of multi-stage mixed integer stochastic and adaptive optimization problems and propose a good approximate solution policy with performance guarantees that depend on the geometric properties such as symmetry of the uncertainty sets. In particular, we show that a class of finitely adaptable solutions is a good approximation for both the multi-stage stochastic as well as the adaptive optimization problem. A finitely adaptable solution specifies a small set of solutions for each stage and the solution policy implements the best solution from the given set depending on the realization of the uncertain parameters in the past stages. To the best of our knowledge, these are the first approximation results for the multi-stage problem in such generality. (Joint work with Vineet Goyal, Columbia University and Andy Sun, MIT.)