Speaker: Merve Bodur (University of Edinburgh, School of Mathematics)
Title: “Markov Chain-based Policies for Multi-stage Stochastic Integer Linear Programming with an Application to Disaster Relief Logistics”
Date: March 29, 2024 (Friday)
Time: 13:30 – 14:30
Place: Zoom
This is an online seminar. To obtain event details please send a message to department.
Abstract: Multi-stage stochastic integer linear programs (MSILPs) arise in many practical applications, including logistics planning. We introduce a novel aggregation framework to address MSILPs with mixed-integer state variables and continuous local variables. Our framework imposes additional structure to the integer state variables by leveraging the information of the underlying stochastic process, which is modelled as a Markov chain (MC). We present an exact solution method to the aggregated MSILP, which can also be used in an approximation form to obtain dual bounds and implementable feasible solutions. Moreover, we apply two-stage linear decision rule approximations to obtain high-quality decision policies with significantly reduced computational effort. We test the proposed methodologies in a novel MSILP for hurricane disaster relief logistics planning. We illustrate the effectiveness of the proposed approaches, analyze the trade-offs between various MC-based policies, and extract problem-specific insights from the solution behaviours.
Bio: Merve Bodur is an Associate Professor in the School of Mathematics at the University of Edinburgh. She obtained her Ph.D. from the University of Wisconsin-Madison, her B.S. in Industrial Engineering and her B.A. in Mathematics from Bogazici University, Turkey. Her main research area is optimization under uncertainty, primarily for discrete optimization problems, with applications in a variety of areas such as scheduling, transportation, healthcare, telecommunications, and power systems. She serves on the editorial boards of Operations Research Letters, Omega, and INFOR. She is currently the Vice Chair/Chair-Elect of the INFORMS Computing Society, serves on the Committee on Stochastic Programming, and is a former Vice Chair of the INFORMS Optimization Society.
(Personal website link: https://mervebodur.github.io)