2023年5月15日下午，现代供应链管理研究院第81期学术论坛在明哲楼326如期举行。论坛主讲人是新加坡国立大学商学院分析与运营系Melvyn Sim教授，其报告题目为“The Analytics of Robust Satisficing: Predict, Optimize, Satisfice, then Fortify”。
Melvyn教授在分享过程中与观众进行了细致交流，学术氛围浓厚。本次学术论坛的召开为相关领域内师生提供了学习交流的机会，拓展研究思路，拓宽研究视野，将进一步提升我院科学研究工作水平。未来，我院会继续加强高质量科研交流平台建设，促进领域内学者间的交流讨论，从而推动相关研究的发展。
【摘要】
We introduce a novel approach to prescriptive analytics that leverages robust satisficing techniques to determine optimal decisions in situations of risk ambiguity and prediction uncertainty. Our decision model relies on a reward function that incorporates uncertain parameters, which can be partially predicted using available side information. However, the accuracy of the linear prediction model depends on the quality of regression coefficient estimates derived from the available data. To achieve a desired level of fragility, we begin by establishing a target relative to the predict-then-optimize objective and solve a residual-based robust satisficing model. Next, we solve a new estimation-fortified robust satisficing model that minimizes the influence of estimation uncertainty while ensuring that the estimated fragility of the solution in achieving a less ambitious guarding target falls below the level for the desired target. Our approach is supported by statistical justifications, and we propose tractable models for various scenarios, such as saddle functions, two-stage linear optimization problems, and decision-dependent predictions. We demonstrate the effectiveness of our approach through case studies involving a wine portfolio investment problem and a multi-product pricing problem using real-world data. Our numerical studies show that our approach outperforms the predict-then-optimize approach in achieving higher expected rewards when evaluated on the actual distribution. Notably, we observe significant improvements over the benchmarks, particularly in cases of limited data availability.
【个人简介】
Dr. Melvyn Sim is Professor and Provost's Chair at the Department of Analytics & Operations, NUS Business school. His research interests fall broadly under the categories of decision making and optimization under uncertainty with applications ranging from finance, supply chain management, healthcare to engineered systems. He is one of the active proponents of Robust Optimization and Satisficing, and has given keynote seminars at international conferences. Dr. Sim is currently serving as a Department Editior of MSOM, and as an associate editor for Operations Research, Management Science and INFORMS Journal on Optimization.
撰稿人：刘昱含
审核人：张颖
