CSE DSI Machine Learning Seminar with Bo Zeng (Industrial Engineering, Pitt)

Investigating Two-Stage Distributionally Robust Optimization from the Primal Perspective: A Complete and Intuitive Solution Framework

Robust optimization (RO) and distributionally robust optimization (DRO), as relatively new optimization schemes, havebeen adopted in many practical systems (e.g., power, logistics and healthcare systems) to support their design, operations, and reliabilities. Especially, due to the sophisticated and nested min-max structure, two-stage DRO is often studied using duality-based techniques, aiming to simplify its structure and obtain monolithic reformulations. Nevertheless, research developed from such dual perspective is rather abstract and technically demanding, which is less friendly to build intuitive understanding. 

In this talk, unlike existing research, we take the primal perspective to analyze RO and DRO, and directly make use of their primal structures to develop computational algorithms. The resulting column-and-constraint generation algorithm and its variants are, overall, simple, intuitive, and application-friendly. A couple of unsolved issues are also investigated under this solution framework. Demonstrations in logistics and production systems, along with computational results and managerial insights, are presented to help us appreciate DRO and those solution methods in practice.

Dr. Zeng is an Associate Professor of Industrial Engineering in the Swanson School of Engineering at the University of Pittsburgh where he teaches and conducts research on discrete and robust optimization, with applications in logistics, energy, and healthcare systems. Prior to that, he worked as an assistant professor of Industrial and Management Systems Engineering at the University of South Florida. Through his research, Dr. Zeng has developed several analytical operational models and algorithms (e.g., the basic column-and-constraint generation method and its variants) that have been extensively applied in energy, logistics and other critical infrastructure systems, to address real design and operational issues and to hedge against risks and to achieve better reliability and security.  He is a professional member of IISE, INFORMS and IEEE.