Events Calendar

Epstein Institute / ISE 651 Seminar Series

Speaker: Simge Küçükyavuz, Associate Professor, Integrated Systems Engineering Department, Ohio State University

Talk Title: "Valid Inequalities and Formulations for a Dynamic Optimization Problem under a Chance Constraint"

Series: Epstein Institute Seminar Series

Abstract: We consider a finite-horizon stochastic mixed-integer program involving dynamic decisions under a constraint on the overall performance or reliability of the system. We formulate this problem as a multi-stage (dynamic) chance-constrained program, whose deterministic equivalent is a large-scale mixed-integer program. We study the structure of the formulation, and develop a branch-and-cut method for its solution. We illustrate the efficacy of the proposed model and method on a dynamic inventory control problem with stochastic demand in which a specific service level must be met over the entire planning horizon. We compare our dynamic model with a static chance-constrained model, a dynamic risk-averse optimization model, a robust optimization model, and a rolling horizon method, and show that significant cost savings can be achieved at high service levels using our model.

This is joint work with Minjiao Zhang and Saumya Goel.

Biography: Simge Küçükyavuz is an associate professor in the Integrated Systems Engineering Department at the Ohio State University. Prior to joining the faculty at Ohio State, Dr. Küçükyavuz was an assistant professor at the University of Arizona and a research associate at Hewlett-Packard Laboratories. She received her MSc and PhD degrees from the University of California, Berkeley, and BS degree from the Middle East Technical University in Turkey. Her interests are in mixed-integer programming, large-scale optimization, optimization under uncertainty, and their applications. Her research is supported by grants from the National Science Foundation, including the 2011 CAREER Award. She serves on the editorial boards of Computational Optimization and Applications, and Wiley Encyclopedia of Operations Research and Management Science. She is the treasurer and secretary of the INFORMS Computing Society.

Host: Daniel J. Epstein Department of Industrial and Systems Engineering

More Information: Seminar-Küçükyavuz.doc

Location: Von Kleinsmid Center For International & Public Affairs (VKC) - Room 100

Audiences: Everyone Is Invited

Contact: Georgia Lum