Stochastic optimization with decisions truncated by random variables and its applications in operations

Stochastic optimization;Convexity;Supply capacity uncertainty;Revenue management

Gao, Xiangyu

关键词: Stochastic optimization;    Convexity;    Supply capacity uncertainty;    Revenue management;   

Others  :  https://www.ideals.illinois.edu/bitstream/handle/2142/98234/GAO-DISSERTATION-2017.pdf?sequence=1&isAllowed=y

美国|英语

来源: The Illinois Digital Environment for Access to Learning and Scholarship

【 摘 要 】

We study stochastic optimization problems with decisions truncated by random variables and its applications in operations management. The technical difficulty of these problems is that the optimization problem is not convex due to the truncation. We develop a transformation technique to convert the original non-convex optimization problems to convex ones while preservation some desired structural properties, which are useful for characterizing optimal decision policies and conducting comparative statics. Our transformation technique provides a unified approach to analyze a broad class of models in inventory control and revenue management. In additional, we develop efficient algorithms to solve the transformed stochastic optimization problem.