Invited Session Wed.1.MA 004

Wednesday, 10:30 - 12:00 h, Room: MA 004

Cluster 20: Robust optimization [...]

Applications of robust optimization III

 

Chair: Aurelie Thiele

 

 

Wednesday, 10:30 - 10:55 h, Room: MA 004, Talk 1

Elcin Cetinkaya
Robust customized pricing

Coauthor: Aurelie Thiele

 

Abstract:
We study robust revenue management problems when companies request bids for services but their price-response function is not known precisely. The company bidding for these contracts only knows the previous bids it submitted to those businesses and whether they were accepted or not. We show how to derive tractable mathematical models for this problem and provide insights into the optimal solution. We also document the performance of the approach in numerical experiments

 

 

Wednesday, 11:00 - 11:25 h, Room: MA 004, Talk 2

Ban Kawas
A robust optimization approach to enhancing reliability in production planning under non-compliance risks

Coauthors: Marco Laumanns, Eleni Pratsini

 

Abstract:
We investigate a game-theoretic setup of a production planning problem under uncertainty in which a company is exposed to the risk of failing authoritative inspections due to non-compliance with enforced regulations. The outcome of an inspection is uncertain and is modeled as a Bernoulli distributed random variable whose parameter is a function of production decisions. We model non-compliance probabilities as uncertain parameters belonging to polyhedral uncertainty sets and maximize the worst-case expected profit over these sets. We derive convex tractable formulations, in the form of MIPs, that offer the flexibility of matching solutions to the level of conservatism of decision makers via two intuitive parameters. Varying these parameters when solving for the optimal product allocation provides different risk-return tradeoffs. We give strong empirical evidence that exhibits the superior performance of the devised model. We believe the robust approach holds much potential in enhancing reliability in production planning and other frameworks in which probabilities of random events depend on decision variables and in which parameter uncertainty is prevalent and difficult to handle.

 

 

Wednesday, 11:30 - 11:55 h, Room: MA 004, Talk 3

Slawomir Pietrasz
Strategically robust investments on gas transmission networks

 

Abstract:
Looping regional gas transmission networks to increase their capacity involves considerable costs. Thus the corresponding investment decision occurs only after thoroughly weighing both the industrial and economic pros and cons. Wouldn’t it be profitable to encompass those uncertainties from the top to deliver several equivalent investment alternatives that no decision maker would regret?
Hence, we have focused on the evolving context of investment studies and identified uncertain technical, economic and strategic parameters who play a significant role in the out coming investment proposition. Analyzing what is at stake when it comes to robustness and flexibility has led us to introduce a mathematical risk measure which is interpretable in operational terms. We eventually offer a set of R&D approaches, that we hope, will contribute to shift present optimization models into future robust decision rules.

 

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