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ORIE Colloquium: David Goldberg (Georgia Tech) - Beating the curse of dimensionality in inventory problems with lead times

Tuesday, March 28, 2017 at 3:00pm

Frank H. T. Rhodes Hall, 253

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. 

 

Bio:
David Goldberg is 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.  More information about David and his research can be found on his website at http://www2.isye.gatech.edu/~dgoldberg9/ .

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Event Type

Seminar

Departments

Cornell Engineering, Operations Research and Information Engineering

Tags

engineering, operations research, orie, College of Engineering

Website

http://www.orie.cornell.edu

Speaker

Danid Goldberg

Speaker Affiliation

H. Milton Stewart School of Industrial and Systems Engineering, Georgia Tech

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