Tentative Agenda Introduction to Prescriptive

Transcript:Tentative Agenda Introduction to Prescriptive:
Tentative Agenda Introduction to Prescriptive Analytics Examples of Optimization Problems and Formulations Linear programming, Duality, Integer Programming, Nonlinear Optimization, Tools and resources Advanced Prescriptive Analytics Applications Supply chain management, Robust portfolio optimization, Dynamic programming and reinforcement learning Causal Prescriptive Analytics Framework Application Examples Using the Framework Useful References Prior to Tutorial (Optimization Formulations and Prescriptive Analytics) Berk, L., & Bertsimas, D. (2019). Certifiably optimal sparse principal component analysis. Mathematical Programming Computation, 11(3), 381-420. Bertsekas, D. P. (2019). Reinforcement learning and optimal control. Belmont, MA: Athena Scientific. Bertsekas, D. P., & Tsitsiklis, J. N. (1995, December). Neuro-dynamic programming: an overview. In Proceedings of 1995 34th IEEE conference on decision and control (Vol. 1, pp. 560-564). IEEE. Bertsimas, D., Brown, D. B., & Caramanis, C. (2011). Theory and applications of robust optimization. SIAM review, 53(3), 464-501. Bertsimas, D., Delarue, A., Eger, W., Hanlon, J., & Martin, S. (2020). Bus routing optimization helps Boston public schools design better policies. INFORMS Journal on Applied Analytics, 50(1), 37-49. Bertsimas, D., King, A., & Mazumder, R. (2016). Best subset selection via a modern optimization lens. Annals of statistics, 44(2), 813-852. Bertsimas, D., & Tsitsiklis, J. N. (1997). Introduction to linear optimization (Vol. 6, p. 196). Belmont, MA: Athena Scientific. Dwyer‐Matzky, K., Pachamanova, D., & Tilson, V. (2020). Accounting for capacity: A real‐time optimization approach to managing observation unit utilization. Naval Research Logistics (NRL). Fabozzi, F. J., Kolm, P. N., Pachamanova, D. A., & Focardi, S. M. (2007). Robust portfolio optimization and management. John Wiley & Sons. Feillet, D. (2010). A tutorial on column generation and branch-and-price for vehicle routing problems. 4OR, 8(4), 407-424. Goldfarb, D., & Iyengar, G. (2003). Robust portfolio selection problems. Mathematics of operations research, 28(1), 1-38. Hart, W. E., Laird, C. D., Watson, J. P., Woodruff, D. L., Hackebeil, G. A., Nicholson, B. L., & Siirola, J. D. (2017). Pyomo-optimization modeling in python (Vol. 67). Berlin: Springer. Haugen, K. K., Løkketangen, A., & Woodruff, D. L. (2001). Progressive hedging as a meta-heuristic applied to stochastic lot-sizing. European Journal of Operational Research, 132(1), 116-122. Kopcso, D., & Pachamanova, D. (2017). Case article—Business value in integrating predictive and prescriptive analytics models. INFORMS Transactions on Education. Lo, V. S., & Pachamanova, D. A. (2015). From predictive uplift modeling to prescriptive uplift analytics: A practical approach to treatment optimization while accounting for estimation risk. Journal of Marketing Analytics, 3(2), 79-95. Nesterov, Y. (2003). Introductory lectures on convex