报告题目：Managing Inventory and Pricing with Contextual Robust Optimization
报告时间：5月29日上午9:30
报告地点：阅江楼325
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报告摘要：Multiproduct inventory and pricing problems are traditionally approached by estimating parameters for a presumed ``sufficiently accurate" demand model and then optimizing with this specified demand model to determine optimal inventory and pricing decisions. However, obtaining an accurate demand model is nearly impossible due to unobservable parameters, resulting in parameter uncertainty; meanwhile, the unknown distribution of the error term in the stochastic demand model raises residual ambiguity. Additionally, the predicted demand is endogenously affected by pricing, leading to decision-dependent prediction that often brings about intractable bilinear optimization problems.We introduce a contextual robust optimization model that simultaneously addresses these challenges.Extensive numerical studies demonstrate the effectiveness of our approach. Notably, our proposed model exhibits greater resilience when contextual information is disregarded, reflecting practical situations where collecting such information might be impossible or costly.
个人简介：Zhi Chen is an Assistant Professor in the CUHK Business Schooland an Research Associate in CUHK Shenzhen Research Institute,the Chinese University of Hong Kong. His research interests include (1) developing models and designing algorithms for decision-making under uncertainty with different levels of data availability as well as applications inbusiness, economics, finance, and operations; (2) how to compete or cooperate in joint activities such as resource allocation and risk management.His research has been funded by NSFC and RGC.
Homepage: https://www.bschool.cuhk.edu.hk/staff/chen-zhi/
管理工程学院
2025年5月21
