Georgia Institute of Technology College of Sciences

Demand forecasting plays an important role in many inventory control problems. To mitigate the potential harms of model misspecification, various forms of distributionally robust optimization have been applied. Although many of these methodologies suffer from the problem of time-inconsistency, the work of Klabjan et al. established a general time-consistent framework for such problems by connecting to the literature on robust Markov decision processes. Motivated by the fact that many forecasting models exhibit very special structure, as well as a desire to understand the impact of positing different dependency structures, in this talk we formulate and solve a time-consistent distributionally robust multi-stage newsvendor model which naturally unifies and robustifies several inventory models with demand forecasting. In particular, many simple models of demand forecasting have the feature that demand evolves as a martingale (i.e. expected demand tomorrow equals realized demand today). We consider a robust variant of such models, in which the sequence of future demands may be any martingale with given mean and support. Under such a model, past realizations of demand are naturally incorporated into the structure of the uncertainty set going forwards. We explicitly compute the minimax optimal policy (and worst-case distribution) in closed form, by combining ideas from convex analysis, probability, and dynamic programming. We prove that at optimality the worst-case demand distribution corresponds to the setting in which inventory may become obsolete at a random time, a scenario of practical interest. To gain further insight, we prove weak convergence (as the time horizon grows large) to a simple and intuitive process. We also compare to the analogous setting in which demand is independent across periods (analyzed previously by Shapiro), and identify interesting differences between these models, in the spirit of the price of correlations studied by Agrawal et al. This is joint work with Linwei Xin, and the paper is available on arxiv at https://arxiv.org/abs/1511.09437v1

Exact oracle inequalities for regression have been extensively studied in statistics and learning theory over the past decade. In the case of a misspecified model, the focus has been on either parametric or convex classes. We present a new estimator that steps outside of the model in the non-convex case and reduces to least squares in the convex case. To analyze the estimator for general non-parametric classes, we prove a generalized Pythagorean theorem and study the supremum of a negative-mean stochastic process (which we term the offset Rademacher complexity) via the chaining technique.(joint work with T. Liang and K. Sridharan)

We consider a Gibbs distribution over random walk paths on the square lattice, proportional to a random weight of the path’s boundary. We show that in the zero temperature limit, the paths condensate around an asymptotic shape. This limit shape is characterized as the minimizer of the functional, mapping open connected subsets of the plane to the sum of their principle eigenvalue and perimeter (with respect to the first passage percolation norm). A prime novel feature of this limit shape is that it is not in the class of Wulff shapes. This is joint work with Marek Biskup.

Form a multiset by including Poisson(1/k) copies of each positive integer k, and consider the sumset---the set of all finite sums from the Poisson multiset. It was shown recently that four such (independent) sumsets have a finite intersection, while three have infinitely many common elements. Uncoincidentally, four uniformly random permutations will invariably generate S_n with asymptotically positive probability, while three will not. What is so special about four? Not much. We show that this result is a special case of the "ubiqituous" Ewens sampling formula. By varying the distribution's parameter we can vary the number of random permutations needed to invariably generate S_n, and, relatedly, the number of Poisson sumsets to have finite intersection. *Joint with Gerandy Brita Montes de Oca, Christopher Fowler, and Avi Levy.