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2021江苏省大规模复杂系统数值模拟实验室最优化论坛:Utility Preference Robust Optimization with Moment-Type Information Structure
报告人:徐慧福教授,香港中文大学 时间:2021年1月29日下午4:00 字号:

报告地点:线上 腾讯会议 ID 915 246 062

邀请人:孙海琳教授


报告摘要:Utility preference robust optimization (PRO) models are recently proposed to deal with decision making problems where the decision maker's utility preference is ambiguous and the optimal decision is based on the worst case utility function from an ambiguity set of utility functions. In this talk, we consider the case where the ambiguity set is constructed through some moment-type conditions and develop a numerical scheme for approximating the ambiguity set so that the resulting maximin optimization problem can be solved for nonconcave utility functions. To justify the approximation scheme, we derive an error bound for the approximated ambiguity set, the optimal value and optimal solutions of the resulting maximin problem. To address the data perturbation/contamination issues in the construction of the ambiguity set, we derive some stability results which quantify the variation of the ambiguity set against perturbation of the elicitation data and its propagation to the optimal value and optimal solutions of the PRO model. Finally, we extend the discussions to the case where the ambiguity set depends on the decision variables and the domain of the utility functions is unbounded. Some preliminary numerical results show that the proposed approximation schemes work very well.

 

报告人简介:Professor Huifu Xu is a Professor of the Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong. Prior to joining CUHK, he was a professor of Operational Research in the School of Mathematical Sciences, University of Southampton and the Director of the Centre of Operational Research, Management Science and Information Technology. Professor Huifu Xu's current research is on optimal decision making under uncertainty such as preference robust optimization and distributionally robust optimization which are associated with ambiguity in decision maker's utility preference or risk attitude and distribution of exogenous uncertainty data. His focus is on developing robust models and computational methods for these problems and applying them in finance, engineering and management sciences. He has published more than 70 papers in the international journals of operational research and optimization.

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