Forecasting and Stochastic Optimization: Applications to Capacity, Inventory and Revenue Management Problems.

预测和随机优化：在容量、库存和收入管理问题中的应用。

• 批准号: RGPIN-2019-04972
• 负责人: Nagarajan, Mahesh
• 金额: $ 3.79万
• 依托单位: University of British Columbia
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2021
• 资助国家: 加拿大
• 起止时间: 2021-01-01 至 2022-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=737984
• 关键词: Forecasting; Stochastic; Optimization; Applications; Capacity

Inventory, capacity and revenue management are some of the fundamental areas of research and practice in operations management. The main research questions of interest in this field are about determining optimal inventory and capacity related decisions as well as polices to increase the revenue of a profit maximizing entity in a wide set of instances which are of great significance to the Canadian economy. Examples include Health care, manufacturing, retail and financial service organizations such as banks and other investment firms. The settings of the above problems have certain common themes. These include uncertainty of some kind , limited capacity, information evolving over time and the need for dynamic decisions made over time with the overall objective of maximizing/minimizing certain returns on investment (profits, costs, throughput for certain service classes etc.). Dealing with these problems naturally involve at least two mathematical tasks, i.e., forecasting of the uncertainty and optimizing a suitable objective. These two tasks are distinct, but are related to each other. Despite the prevalence of these problems, we find that repeatedly firms and decision makers resort to simple sub-optimal rules of thumb to perform the above two tasks which often result in mediocre outputs. This is costly to the economy and our society. That is, often there is ample room to improve the solutions used by practitioners. The reasons for this are manifold. First of all, often, these are extremely hard mathematical optimization problems for which optimal or near optimal solutions that are easy to implement in practice are not easily found. The forecasting problem (i.e., resolving the uncertainty) is often not an easy task. Despite the availability of large amounts of data, complex systems which are intrinsically highly non linear often yield forecasts with large errors. Often there is little theoretical or practical guidance on how much to forecast and what heuristics to use in the optimization. We find this as a common phenomenon with our work with several partner firms spanning industries such as various hospitals, agriculture, retail, and other services. This leads to the potential of deriving solutions and techniques that perform well in practice as well as have attractive theoretical properties. In the last several years, we have made some progress in this front.  Our understanding of these problems has moved forward from a theoretical sense and has also yielded solution procedures that are somewhat easy to implement and outperform existing heuristics. There is still significant potential to combine, extend and develop new techniques and theory to combine heuristics to stochastic optimization with forecasting.  Expected outcomes will be research publications in top tier research journals in my field as well as solution procedures that will be implemented in practice.

库存、产能和收入管理是运营管理研究和实践的一些基本领域，该领域感兴趣的主要研究问题是确定最佳库存和产能相关决策以及增加利润最大化的收入的政策。对加拿大经济具有重要意义的广泛实例包括医疗保健、制造、零售和金融服务组织，例如银行和其他投资公司。某种不确定性、能力有限、信息不断变化时间以及随着时间的推移做出动态决策的需求，总体目标是最大化/最小化某些投资回报（利润、成本、某些服务类别的吞吐量等）。处理这些问题自然涉及至少两个数学任务，即预测不确定性和优化合适的目标这两项任务是截然不同的，但彼此相关，尽管这些问题普遍存在，但我们发现企业和决策者反复诉诸简单的次优经验法则来执行任务。以上两项任务经常这对经济和社会来说都是代价高昂的。也就是说，通常有足够的空间来改进从业者使用的解决方案。首先，这些都是极其困难的数学优化。在实践中不容易找到易于实施的最优或接近最优解决方案的问题，尽管有大量数据，但预测问题（即解决不确定性）通常不是一件容易的事。本质上通常是高度非线性的通常，对于预测多少以及在优化中使用哪些启发式方法，几乎​​没有理论或实践指导。我们发现，在与各个医院、农业等行业的多家合作伙伴公司合作时，这是一种常见现象。这带来了在实践中表现良好并且具有有吸引力的理论特性的解决方案和技术的潜力，我们在这方面取得了一些进展。问题已经从理论意义上向前推进了所产生的解决方案在某种程度上易于实施并且优于现有的启发式方法。将启发式方法与随机优化与预测相结合的新技术和理论仍然具有巨大的潜力。​预期结果将在顶级研究期刊上发表研究论文。在我的领域以及将在实践中实施的解决方案程序。