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Cluster :  Tutorials

Session Information  : Monday Nov 06, 10:00 - 11:30

Title:  Tutorial: Robust and Data-Driven Optimization: Modern Decision-Making underUncertainty

Abstract Details

Title: Robust and Data-Driven Optimization: Modern Decision-Making Under Uncertainty
 Presenting Author: Dimitris Bertsimas,Boeing Professor of Operations Research, Massachusetts Institute of Technology, Sloan School of Management Room E53-363, 77 Massachusetts Avenue, Cambridge MA 02139, United States, dbertsim@mit.edu
 Co-Author: Aurelie Thiele,P.C. Rossin Assistant Professor, Lehigh University, 200 W. Packer Avenue, Bethlehem PA 18015, United States, aut204@lehigh.edu
 
Abstract: We present a mathematical approach to decision-making under uncertainty incorporating limited information on the sources of randomness and decision-makers’ risk attitudes. We review recent developments in robust and data-driven optimization, where random variables represent uncertain parameters in a convex uncertainty set and the decision-maker protects the system against their worst-case values. We also address construction of sets using historical data and connections with coherent risk measures.