Risk management often plays an important role in decision making un-der uncertainty.In quantitative risk management,assessing and optimizing risk metrics requires eficient computing techniques and reliable theoretical...Risk management often plays an important role in decision making un-der uncertainty.In quantitative risk management,assessing and optimizing risk metrics requires eficient computing techniques and reliable theoretical guarantees.In this pa-per,we introduce several topics on quantitative risk management and review some of the recent studies and advancements on the topics.We consider several risk metrics and study decision models that involve the metrics,with a main focus on the related com-puting techniques and theoretical properties.We show that stochastic optimization,as a powerful tool,can be leveraged to effectively address these problems.展开更多
The goal of this research is to develop an emergency disaster relief mobilization tool that determines the mobilization levels of commodities, medical service and helicopters （which will be utilized as the primary me...The goal of this research is to develop an emergency disaster relief mobilization tool that determines the mobilization levels of commodities, medical service and helicopters （which will be utilized as the primary means of transport in a mountain region struck by a devastating earthquake） at pointed temporary facilities, including helicopter-based delivery plans for commodities and evacuation plans for critical population, in which relief demands are considered as uncertain. The proposed mobilization model is a two-stage stochastic mixed integer program with two objectives： maximizing the expected fill rate and minimizing the total expenditure of the mobilization campaign. Scenario decomposition based heuristic algorithms are also developed according to the structure of the proposed model. The computational results of a numerical example, which is constructed from the scenarios of the Great Wenchuan Earthquake, indicate that the model can provide valuable decision support for the mobilization of post-earthquake relief, and the proposed algorithms also have high efficiency in computation.展开更多
A theoretical study was conducted on finding optimal paths in transportation networks where link travel times were stochastic and time-dependent(STD). The methodology of relative robust optimization was applied as mea...A theoretical study was conducted on finding optimal paths in transportation networks where link travel times were stochastic and time-dependent(STD). The methodology of relative robust optimization was applied as measures for comparing time-varying, random path travel times for a priori optimization. In accordance with the situation in real world, a stochastic consistent condition was provided for the STD networks and under this condition, a mathematical proof was given that the STD robust optimal path problem can be simplified into a minimum problem in specific time-dependent networks. A label setting algorithm was designed and tested to find travelers' robust optimal path in a sampled STD network with computation complexity of O(n2+n·m). The validity of the robust approach and the designed algorithm were confirmed in the computational tests. Compared with conventional probability approach, the proposed approach is simple and efficient, and also has a good application prospect in navigation system.展开更多
文摘Risk management often plays an important role in decision making un-der uncertainty.In quantitative risk management,assessing and optimizing risk metrics requires eficient computing techniques and reliable theoretical guarantees.In this pa-per,we introduce several topics on quantitative risk management and review some of the recent studies and advancements on the topics.We consider several risk metrics and study decision models that involve the metrics,with a main focus on the related com-puting techniques and theoretical properties.We show that stochastic optimization,as a powerful tool,can be leveraged to effectively address these problems.
基金supported by the National Natural Science Foundation of China 71371181 91024006China Postdoctoral Science Foundation (2012M521918)
文摘The goal of this research is to develop an emergency disaster relief mobilization tool that determines the mobilization levels of commodities, medical service and helicopters （which will be utilized as the primary means of transport in a mountain region struck by a devastating earthquake） at pointed temporary facilities, including helicopter-based delivery plans for commodities and evacuation plans for critical population, in which relief demands are considered as uncertain. The proposed mobilization model is a two-stage stochastic mixed integer program with two objectives： maximizing the expected fill rate and minimizing the total expenditure of the mobilization campaign. Scenario decomposition based heuristic algorithms are also developed according to the structure of the proposed model. The computational results of a numerical example, which is constructed from the scenarios of the Great Wenchuan Earthquake, indicate that the model can provide valuable decision support for the mobilization of post-earthquake relief, and the proposed algorithms also have high efficiency in computation.
基金Project(71001079)supported by the National Natural Science Foundation of China
文摘A theoretical study was conducted on finding optimal paths in transportation networks where link travel times were stochastic and time-dependent(STD). The methodology of relative robust optimization was applied as measures for comparing time-varying, random path travel times for a priori optimization. In accordance with the situation in real world, a stochastic consistent condition was provided for the STD networks and under this condition, a mathematical proof was given that the STD robust optimal path problem can be simplified into a minimum problem in specific time-dependent networks. A label setting algorithm was designed and tested to find travelers' robust optimal path in a sampled STD network with computation complexity of O(n2+n·m). The validity of the robust approach and the designed algorithm were confirmed in the computational tests. Compared with conventional probability approach, the proposed approach is simple and efficient, and also has a good application prospect in navigation system.
