Stochastic simulation and optimization under input uncertainty

Applied and Computational Mathematics Seminar
Monday, November 28, 2016 - 2:05pm for 1 hour (actually 50 minutes)
Skiles 005
Prof. Enlu Zhou – Georgia Tech ISyE
Martin Short
Many real-life systems require simulation techniques to evaluate the system performance and facilitate decision making. Stochastic simulation is driven by input model — a collection of probability distributions that model the system stochasticity. The choice of the input model is crucial for successful modeling and analysis via simulation. When there are past observed data of the system stochasticity, we can utilize these data to construct an input model. However, there is only a finite amount of data in practice, so the input model based on data is always subject to uncertainty, which is the so-called input (model) uncertainty. Therefore, a typical stochastic simulation faces two types of uncertainties: one is the input (model) uncertainty, and the other is the intrinsic stochastic uncertainty. In this talk, I will discuss our recent work on how to assess the risk brought by the two types of uncertainties and how to make decisions under these uncertainties.