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Retsef Levi and Thomas L. Magnanti. Shaposhnik, Yaron Massachusetts Institute of Technology. Operations Research Center. Massachusetts Institute of Technology. Operations Research Center Sloan School of Management 2017-01-30T18:50:22Z 2017-01-30T18:50:22Z 2016 2016 http://hdl.handle.net/1721.1/106681 969768671 Thesis: Ph. D., Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2016. This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections. Cataloged from student-submitted PDF version of thesis. Includes bibliographical references (pages 205-207). Motivated by several core operational applications, we introduce a class of multistage stochastic optimization models that capture a fundamental tradeoff between performing work under uncertainty (exploitation) and investing resources to reduce the uncertainty in the decision making (exploration/testing). Unlike existing models, in which the exploration-exploitation tradeoffs typically relate to learning the underlying distributions, the models we introduce assume a known probabilistic characterization of the uncertainty, and focus on the tradeoff of learning exact realizations. In the first part of the thesis (Chapter 2), we study a class of scheduling problems that capture common settings in service environments in which the service provider must serve a collection of jobs that have a-priori uncertain processing times and priorities (modeled as weights). In addition, the service provider must decide how to dynamically allocate capacity between processing jobs and testing jobs to learn more about their respective processing times and weights. We obtain structural results of optimal policies that provide managerial insights, efficient optimal and near-optimal algorithms, and quantification of the value of testing. In the second part of the thesis (Chapter 3), we generalize the model introduced in the first part by studying how to prioritize testing when jobs have different uncertainties. We model difference in uncertainties using the convex order, a general relation between distributions, which implies that the variance of one distribution is higher than the variance of the other distribution. Using an analysis based on the concept of mean preserving local spread, we show that the structure of the optimal policy generalizes that of the initial model where jobs were homogeneous and had equal weights. Finally, in the third part of the thesis (Chapter 4), we study a broad class of stochastic combinatorial optimization that can be formulated as Linear Programs whose objective coefficients are random variables that can be tested, and whose constraint polyhedron has the structure of a polymatroid. We characterize the optimal policy and show that similar types of policies optimally govern testing decisions in this setting as well. by Yaron Shaposhnik. Ph.D. 207 pages eng Massachusetts Institute of Technology MIT theses are protected by copyright. They may be viewed, downloaded, or printed from this source but further reproduction or distribution in any format is prohibited without written permission. http://dspace.mit.edu/handle/1721.1/7582 Operations Research Center. Exploration vs. exploitation : reducing uncertainty in operational problems Exploration versus exploitation : reducing uncertainty in operational problems Reducing uncertainty in operational problems Thesis application/pdf false Publication unknown unknown <Publication xmlns="https://www.openaire.eu/cerif-profile/1.1/" id="63c06cb4-f882-4288-ad03-c038184b0763"> <Type xmlns="https://www.openaire.eu/cerif-profile/vocab/COAR_Publication_Types">http://purl.org/coar/resource_type/c_1843</Type> <Language>eng</Language> <Title>Exploration vs. exploitation : reducing uncertainty in operational problems</Title> <Subtitle>Exploration versus exploitation : reducing uncertainty in operational problems</Subtitle> <Subtitle>Reducing uncertainty in operational problems</Subtitle> <PublishedIn> <Publication> </Publication> </PublishedIn> <PublicationDate>2016</PublicationDate> <Authors> <Author> <DisplayName>Shaposhnik, Yaron</DisplayName> <Affiliation> <OrgUnit> </OrgUnit> </Affiliation> </Author> </Authors> <Editors> </Editors> <Publishers> <Publisher> <DisplayName>Massachusetts Institute of Technology</DisplayName> <OrgUnit /> </Publisher> </Publishers> <License>http://dspace.mit.edu/handle/1721.1/7582</License> <Keyword>Operations Research Center.</Keyword> <Abstract>Motivated by several core operational applications, we introduce a class of multistage stochastic optimization models that capture a fundamental tradeoff between performing work under uncertainty (exploitation) and investing resources to reduce the uncertainty in the decision making (exploration/testing). Unlike existing models, in which the exploration-exploitation tradeoffs typically relate to learning the underlying distributions, the models we introduce assume a known probabilistic characterization of the uncertainty, and focus on the tradeoff of learning exact realizations. In the first part of the thesis (Chapter 2), we study a class of scheduling problems that capture common settings in service environments in which the service provider must serve a collection of jobs that have a-priori uncertain processing times and priorities (modeled as weights). In addition, the service provider must decide how to dynamically allocate capacity between processing jobs and testing jobs to learn more about their respective processing times and weights. We obtain structural results of optimal policies that provide managerial insights, efficient optimal and near-optimal algorithms, and quantification of the value of testing. In the second part of the thesis (Chapter 3), we generalize the model introduced in the first part by studying how to prioritize testing when jobs have different uncertainties. We model difference in uncertainties using the convex order, a general relation between distributions, which implies that the variance of one distribution is higher than the variance of the other distribution. Using an analysis based on the concept of mean preserving local spread, we show that the structure of the optimal policy generalizes that of the initial model where jobs were homogeneous and had equal weights. Finally, in the third part of the thesis (Chapter 4), we study a broad class of stochastic combinatorial optimization that can be formulated as Linear Programs whose objective coefficients are random variables that can be tested, and whose constraint polyhedron has the structure of a polymatroid. We characterize the optimal policy and show that similar types of policies optimally govern testing decisions in this setting as well.</Abstract> <Access xmlns="http://purl.org/coar/access_right" > </Access> </Publication>