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 109,Building 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.