<thead id="r2s8r"></thead>

<mark id="r2s8r"><u id="r2s8r"></u></mark>
<tt id="r2s8r"><button id="r2s8r"><td id="r2s8r"></td></button></tt>
<listing id="r2s8r"></listing>
<label id="r2s8r"></label>
  • 新聞中心NEWS

    返回首頁

    講座:Stochastic Optimization Forests

    發布者:人力資源辦公室    發布時間:2020-12-01

    題 目:Stochastic Optimization Forests 

    演講人:毛小介    博士生    美國康奈爾大學

    主持人:李成璋    助理教授  上海交通大學安泰經濟與管理學院

    時 間:2020年12月17日(周四)9:00-10:30

    會議方式:ZOOM會議(校內師生如需會議號和密碼,請于12月16日中午12點前發送電郵至managementscience@www.ymzxw.cn獲?。?/p>

    內容簡介

    We study contextual stochastic optimization problems, where we leverage rich auxiliary observations (e.g., product characteristics) to improve decision making with uncertain variables (e.g., demand). We show how to train forest decision policies for this problem by growing trees that choose splits to directly optimize the downstream decision quality, rather than splitting to improve prediction accuracy as in the standard random forest algorithm. We realize this seemingly computationally intractable problem by developing approximate splitting criteria that utilize optimization perturbation analysis to eschew burdensome re-optimization for every candidate split, so that our method scales to large-scale problems. We prove that our method achieves asymptotic optimality in decision making. We validate our method empirically in portfolio optimization and inventory management problems, demonstrating the value of optimization-aware construction of forests and the success of our efficient approximations. We show that our approximate splitting criteria can reduce running time hundredfold, while preserving superb decision-making performance.  

    演講人簡介

    Xiaojie Mao is a fifth-year PhD student in the Department of Statistics and Data Science at Cornell University. He works on data-driven decision making and causal inference, with a particular focus on developing flexible machine learning methods for problems arising in these areas. He has published in Management Science and top machine learning conferences, and his research work is in the finalists for the Applied Probability Society Best Student Paper Competition 2020. Prior to his graduate study, he was an undergraduate student majoring in Mathematical Economics at Wuhan University. See more details at https://xiaojiemao.github.io/.  

    歡迎廣大師生參加!

    网络赚钱方法