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[Lecture, Mar 21] Budget-Driven Multi-Period Hub Location: A Robust Time Series Approach

time: 2024-03-18

Title: Budget-Driven Multi-Period Hub Location: A Robust Time Series Approach

Speaker: CHEN Zhi, Assistant Professor, Chinese University of Hong Kong

Time: 9:00 am, March 21, 2024

Venue:  Room 109Building No.12, Wushan Campus

Introduction to the speaker:

CHEN Zhi is an Assistant Professor at CUHK Business School, Chinese University of Hong Kong, and an Associate Research Fellow at the Shenzhen Institute of Research of CUHK. His primary research involves developing models and designing algorithms for analytics under uncertainty with different levels of data availability as well as applications in business, economics, finance, and operations. He is also interested in how to compete or cooperate in joint activities such as resource allocation and risk management. He previously worked at City University of Hong Kong and was awarded the College Research Excellent Award.

Abstract:

We study the multi-period hub location problem with uncertain periodic demands. In particular, we construct a nested ambiguity set that characterizes uncertain periodic demands via a general multivariate time series model, and to ensure stable periodic cost flows, we propose to constrain each expected periodic cost within a budget while maximizing the robustness level (i.e., the size) of the ambiguity set. Statistically, the nested ambiguity set ensures the model's solution to enjoy finite-sample performance guarantees under certain regularity conditions on the underlying process of the stochastic demand. Computationally, the uncapacitated model can be efficiently solved via a bisection search algorithm that solves (in each iteration) a mixed-integer conic program. Numerical experiments demonstrate the attractiveness and competitiveness of our proposed modeling and solution approaches.