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math.OC2024
Robust Confidence Bands for Stochastic Processes Using Simulation
Timothy Chan, Jangwon Park, Vahid Sarhangian
We propose a robust optimization approach for constructing confidence bands for stochastic processes using a finite number of simulated sample paths. Our approach can be used to qu…
math.OC2024
Dynamic Transfer Policies for Parallel Queues
Timothy C. Y. Chan, Jangwon Park, Vahid Sarhangian
We consider the problem of load balancing in parallel queues by transferring customers between them at discrete points in time. Holding costs accrue as customers wait in the queue,…
math.OC2024
Network Flow Models for Robust Binary Optimization with Selective Adaptability
Merve Bodur, Timothy C. Y. Chan, Ian Yihang Zhu
Adaptive robust optimization problems have received significant attention in recent years, but remain notoriously difficult to solve when recourse decisions are discrete in nature.…