Session Detail Information
Add this session to your itinerary

Cluster :  Tutorials

Session Information  : Sunday Nov 05, 13:30 - 15:00

Title:  Tutorial: Model Uncertainty, Robust Optimization and Learning

Abstract Details

Title: Model Uncertainty, Robust Optimization and Learning
 Presenting Author: Andew Lim,Professor, University of California, Department of IEOR, Berkeley CA 94720, United States, lim@ieor.berkeley.edu
 Co-Author: George Shanthikumar,Professor, University of California at Berkeley, Department of IEOR, Berkeley CA 94720, United States, shanthikumar@ieor.berkeley.edu
 Z.-J. Max Shen,1shen@ieor.berkeley.edu
 
Abstract: We discuss different models of model uncertainty with variable, parameter and measure uncertainty sets, and present different approaches to robust optimization with and without bench-marking. Two alternative learning approaches, Objective Bayesian Learning and Operational Learning will be discussed. Applications considered for illustration are the classical inventory control problem, the inventory control problem with censored demand data and the portfolio selection problem.