[Ml-stat-talks] Fwd: [ORFE-Seminars] Today ORFE Department Colloquium: David Goldberg, Cornell University, Tuesday, October 10th, at 4:30 pm, 101 Sherrerd Hall

Barbara Engelhardt bee at princeton.edu
Tue Oct 10 08:47:08 EDT 2017


* ===== TODAY ORFE Department Colloquium Announcement===== *

DATE:             Tuesday, October 10, 2017



TIME:             4:30pm



LOCATION:   Sherrerd Hall, Room 101



SPEAKER:      David A. Goldberg


*Title:   Beating the Curse of Dimensionality in Inventory Problems with
Lead Times*


*Abstract:*

Many classical inventory models become notoriously challenging to optimize
in the presence of positive lead times, since the state-space blows up and
dynamic programming techniques become intractable. This includes, for
example, lost sales models with positive lead times, and dual-sourcing
models with positive lead time gap between the two suppliers. In this talk,
we present a new algorithmic approach to such problems, which shows that as
the lead time grows large, simple policies become asymptotically optimal.
These results are quite surprising, as this setting had remained an open
algorithmic challenge for over forty years. In particular, we show that a
simple constant-order policy is asymptotically optimal for lost sales
models with large lead times, and provide explicit bounds on the optimality
gap which demonstrate good performance even for small-to-moderate lead
times. We also show that the Tailored-Base Surge heuristic for
dual-sourcing problems is asymptotically optimal as the lead time gap grows
large. In both cases, our results provide a new algorithmic approach to
these problems, as well as a solid theoretical foundation for the good
performance of these algorithms observed numerically by previous
researchers. Our approach combines ideas from the theory of random walks
and queues, convexity, and inventory control.
------------------------------

*Short Bio:* David A. Goldberg is an Associate Professor in Cornell's ORIE
department. Previously, he was the A. Russell Chandler III Associate
Professor in the H. Milton Stewart School of Industrial and Systems
Engineering at Georgia Tech. He received his Ph.D. in Operations Research
at MIT in 2011, and his B.S. in Computer Science (minors in Operations
Research and Applied Math) from Columbia University in 2006. Goldberg’s
research is in applied probability, on topics including inventory and
queueing models, combinatorial optimization, robust optimization, and
multi-arm bandits. His work has been recognized with accolades including an
NSF CAREER award, 2015 Nicholson Competition first place, 2015 JFIG
Competition second place, and 2014 MSOM and 2010 Nicholson Competitions
finalist. He is also an associate editor for the journals Operations
Research and Queueing Systems, a member of the INFORMS Applied Probability
Society Council, and a Georgia Tech Class of 1969 Teaching fellow.
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