Optimizing decisions in situations with unresolved ambiguity

在不确定性未解决的情况下优化决策

• 批准号: RGPIN-2016-05208
• 负责人: Delage, Erick
• 金额: $ 2.26万
• 依托单位: HEC Montréal
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2019
• 资助国家: 加拿大
• 起止时间: 2019-01-01 至 2020-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=684010
• 关键词: Optimizing; decisions; situations; unresolved; ambiguity

Decisions often need to be made in situations where one has incomplete knowledge about some of the parameters of the problem being addressed. This is for example the case in an inventory management problem where the future market demand for a product might be subject to change, or in a problem of portfolio selection where the future value of assets is uncertain. While there are many situations in which the nature of uncertainty can be fully characterized using distribution models, there is now a growing amount of evidence that indicates that such models are in most situation impossible to identify precisely and unequivocally. Indeed, in the era of “Big data”, it is now common practice for decision maker to extract distribution information from immense collection of historical data, yet such procedures necessarily leave one with an imprecise characterization of the distribution and of how much this distribution actually resembles the distribution of future outcomes. One might also evoke the debates and controversy that have emerged following the recent financial crisis regarding how to model the likelihood of joint realization of events (e.g. in the pricing of collateralized debt obligations) and even regarding how to quantify risk (e.g. the use of value at risk or expected shortfall in banking regulations as proposed by the Basel III accords). Both debates have serious implications for industrial engineering problems where risk needs to be mitigated.****The objective of this research program is to shed some light on how to properly and efficiently handle the unresolvable ambiguity that plagues a great number of important decision problems emerging from a wide range of engineering, management and governance contexts. In particular, this program will instigate theoretical and algorithmic discoveries that are expected to have serious impact for applications such as:*** Hydro-Québec's long-term planning of hydroelectric production in an environment where it is difficult to determine future water flows and yet where one cannot afford accidental flooding of neighbouring territories;*** Data routing over the Internet of packets by telecommunication companies like Videotron or Rogers, given the uncertainty of transmission times and pre-established agreements about quality of service;*** Development of efficient environmental policies to protect against global warming when sensitive variables of climate systems cannot be measured;*** Supply chain management for big retailers like Walmart or Sears, when some suppliers are located offshores and cannot yet be considered reliable;*** Design of recommendation systems for online commerce like Amazon in a market where clients are faced with a plethora of choices and where market manipulators thrive;*** Portfolio management and pricing of financial derivatives by Canadian banks in a context where one cannot rely on a distribution model for future asset values.***

通常需要在人们对要解决的问题的某些参数有不完整的了解的情况下做出决定。例如，在库存管理问题中，对产品的未来市场需求可能会发生变化，或者在资产的未来价值不确定的情况下可能会发生变化。尽管在许多情况下，使用分布模型可以充分表征不确定性的性质，但现在有越来越多的证据表明这种模型在大多数情况下都无法精确和明确地识别。的确，在“大数据”时代，决策者现在通常的做法是从巨大的历史数据收集中提取分销信息，但是这样的程序一定会使分布的表征以及这种分布实际上与未来结果的分布相似。在最近的金融危机中，人们可能还会引起辩论和争议，这些危机在最近的金融危机中，如何建模事件联合实现的可能性（例如，对抵押债务义务的定价），甚至在如何量化风险方面（例如，根据基本基础III的提议，在银行的风险或预期短缺法规中使用价值或预期的短缺）。两项辩论对需要减轻风险的工业工程问题都有严重的影响。特别是，该计划将激发理论和算法的发现，这些发现将对诸如：*** Hydro-Québec在一个环境中对水力发电生产的长期计划产生严重影响。 times and pre-established agreements about quality of service;*** Development of efficient environmental policies to protect against global warming when sensitive variables of climate systems cannot be measured;*** Supply chain management for big retailers like Walmart or Sears, when some suppliers are located offshores and cannot yet be considered reliable;*** Design of recommendation systems for online commerce like Amazon in a market where clients are faced with a plethora of choices and where market操纵者蓬勃发展； ***投资组合管理和加拿大银行对金融衍生品的定价，在某种情况下，人们不能依靠分销模型来获得未来的资产价值。***