Special Guest Lecture: Tahir Ekin
March 4, 2020 –
Guest Speaker: Tahir Ekin - Associate Professor of Quantitative Methods, McCoy College of Business, Texas State University
Title: Augmented Probability Simulation Methods for Decisions and Games
Talk Abstract: Expectation-based decision and game theoretic models require both computation/estimation of the objective/utility function and its optimization. This can be computationally challenging especially in cases with continuous and multi-modal sources of uncertainty or complex objective function surfaces. We propose augmented simulation approaches, that treat the decision variable(s) as random, and construct an augmented distribution in the space of both decisions and random variables. Simulation from this distribution simultaneously solves for the expectation of the objective function and optimization problem. In doing so, we sample more frequently from the marginal decision space in that the objective function has higher values in a maximization problem. This talk introduces augmented probability simulation and its extensions to solve for stochastic programming problems and game theoretic models. There will be a discussion and illustration on a variety of applications such as news-vendor type models, service systems and cybersecurity.