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math.OC2024
On the ReLU Lagrangian Cuts for Stochastic Mixed Integer Programming
Haoyun Deng, Weijun Xie
We study stochastic mixed integer programs with both first-stage and recourse decisions involving mixed integer variables. A new family of Lagrangian cuts, termed ``ReLU Lagrangian…
math.OC2024
The Blessing of Strategic Customers in Personalized Pricing
Zhi Chen, Bradley Sturt, Weijun Xie
We consider a feature-based personalized pricing problem in which the buyer is strategic: given the seller's pricing policy, the buyer can augment the features that they reveal to…