|Title||Phase Transitions and Cyclic Phenomena in Bandits with Switching and Knapsack Constraints|
|Speaker||David Simchi-Levi, Professor of Engineering Systems, MIT|
|Abstract||We consider the classical stochastic multi-armed bandit problem with constraints on the total switching cost and total inventory consumption. We prove matching upper and lower bounds on regret and provide near-optimal algorithms for this problem. Surprisingly, we discover phase transitions and cyclic phenomena of the optimal regret. That is, we show that associated with the inventory constrained multi-armed bandit problem, there are phases defined by the number of arms and switching costs, where the regret upper and lower bounds in each phase remains the same and drop significantly between phases. The results enable us to fully characterize the trade-off between regret and incurred switching cost in the stochastic inventory constrained multi-armed bandit problem, contributing new insights to this fundamental problem.|
Editor-in-Chief, Management Science
Professor of Engineering Systems
Massachusetts Institute of Technology
David Simchi-Levi is a Professor of Engineering Systems at MIT. He is considered one of the premier thought leaders in supply chain management and business analytics.
His Ph.D. students have accepted faculty positions in leading academic institutes including U. of California Berkeley, Carnegie Mellon U., Columbia U., Cornell U., Duke U., Georgia Tech, Harvard U., U. of Illinois Urbana-Champaign, U. of Michigan, Purdue U. and Virginia Tech.
Professor Simchi-Levi is the current Editor-in-Chief of Management Science, one of the two flagship journals of INFORMS. He served as the Editor-in-Chief for Operations Research (2006-2012), the other flagship journal of INFORMS and for Naval Research Logistics (2003-2005). He is an INFORMS Fellow, MSOM Distinguished Fellow and the recipient of the 2014 INFORMS Daniel H. Wagner Prize for Excellence in Operations Research Practice; 2014 INFORMS Revenue Management and Pricing Section Practice Award; 2009 INFORMS Revenue Management and Pricing Section Prize and Ford 2015 Engineering Excellence Award.
He was the founder of LogicTools which provided software solutions and professional services for supply chain optimization. LogicTools became part of IBM in 2009. In 2012 he co-founded OPS Rules, an operations analytics consulting company. The company became part of Accenture in 2016.
In 2014, he co-founded Opalytics, a cloud analytics platform company focusing on operations and supply chain intelligence. The company became part of the Accenture Applied Intelligence in 2018.
|Title||Operational Risk Management in Financial Services:
Some of the latest developments and a new Framework
|Speaker||Michael L. Pinedo, Stern School of Business
, New York University
|Abstract||Financial Services firms are subject to various important risk categories, including credit risk, market risk, and operational risk. Operational risk has received up to now little attention from the Operations Management community in spite of its importance to the financial services industry. We first describe the latest developments in industry and then we propose a general modeling framework for operational risk management in financial firms. In this framework, we consider operational risk events as shocks to a financial firm's value process, and then study capital investments in preventive and corrective controls to mitigate risk losses. Optimal decisions are made in three scenarios: (i) assuming only preventive control, (ii) assuming only corrective control, and (iii) assuming joint controls. We characterize the optimal control policies within a general modeling framework that comprises these three scenarios, and then discuss an exponential risk reduction function. We conclude our work with an application of our model to a data set from a commercial bank. We find that through a proper investment strategy, we can achieve a significant performance improvement, especially when the risk severity level is high. Moreover, with controls, the value of the firm tends to increase relative to the value of the firm without controls. Hence the controls are essentially smoothing out the jump losses and increasing the value of the firm. (The second part of this tutorial is based on joint work with Yuqian Xu (Illinois) and Lingjiong Zhu (Florida)).|
Julius Schlesinger Professor of Operations Management
Leonard N. Stern School of Business
New York University
Michael Pinedo is the Julius Schlesinger Professor of Operations Management in the Department of Information, Operations and Management Sciences at New York University Leonard N. Stern School of Business. From 1982 to 1997 he taught in the Industrial Engineering and Operations Research department at Columbia University. He taught at the Instituto Venezolano de Investigaciones Cientificas (Caracas) from 1978 to 1980 and at the Georgia Institute of Technology from 1980 to 1982.
Professor Pinedo's research focuses on the modeling of production and service systems, more specifically, on the planning and scheduling of these systems. Recently, his research has focused on operational risk in financial services. He has both authored and co-authored numerous technical papers on these topics. He is the author of the books Scheduling: Theory, Algorithms, and Systems (Springer), and Planning and Scheduling in Manufacturing and Services (Springer), and the coauthor of Queueing Networks: Customers, Signals and Product Form Solutions (Wiley). He is co-editor of Creating Value in Financial Services: Strategies, Operations, and Technologies (Kluwer), and editor of Operational Control in Asset Management - Processes and Costs (Palgrave/McMillan).
Over the last two decades, Professor Pinedo has been involved in industrial systems development. He supervised the design, development, and implementation of two planning and scheduling systems for the International Paper Company. He also actively participated in the development of systems at Goldman Sachs, Philips Electronics, Siemens, and at Merck.
Professor Pinedo is currently editor of the Journal of Scheduling (Wiley). He is also associate editor of Management Science, associate editor of Naval Research Logistics, department editor of Production and Operations Management, associate editor of Manufacturing and Services Operations Management, and associate editor of the Journal of Operational Risk.
Professor Pinedo received an Ir. degree in Mechanical Engineering from the Delft University of Technology in 1973, and both an M.Sc. and Ph.D. in Operations Research from the University of California at Berkeley in 1978.