A Data-Driven Approach to Multi-Stage Linear Optimization

9/26/19 | 4:15pm | E51-335
Reception to follow.





Brad Sturt

PhD Student

Abstract: We present a data-driven approach for solving multi-stage stochastic linear optimization problems in which uncertainty is correlated across stages. The proposed approach chooses decision rules which perform best when averaging over sample paths of a stochastic process; however, to avoid overfitting, we allow an adversary to slightly perturb each sample path. We show that this robust approach converges to the underlying stochastic problem as more data is obtained, even when the uncertainty is arbitrarily correlated across stages. Furthermore, we develop scalable approximation algorithms, which apply to problems with both continuous and integer decisions, by leveraging techniques from robust optimization. In computational experiments on stochastic inventory management problems, the proposed methods are practically tractable and produce decisions with near-optimal average performance. As a by-product of the aforementioned contributions, we also present new results in machine learning and distributionally robust optimization with Wasserstein ambiguity sets. 

Bio: Bradley Sturt is a PhD candidate at the MIT Operations Research Center, advised by Dimitris Bertsimas. His research focuses on the intersection of dynamic optimization and statistical machine learning, with applications in operations, risk management, and business analytics. His work has been recognized in the 2017 INFORMS George Nicholson Student Paper Competition (2nd Place) and the MIT Sloan Outstanding Teaching Assistant Award.

Event Time: 

2019 - 16:15