Department of Industrial Engineering & Decision Analytics [Joint IEDA/ISOM seminar] - Online Resource Allocation with Non-Stationary Customers
A novel algorithm will be presented for online resource allocation under non-stationary customer arrivals and unknown demands. We assume multiple types of customers arrive in a nonstationary stochastic fashion, with unknown arrival rates in each period. It is also assumed that customers' click-through rates are unknown and can only be learned online. By leveraging results from the resourceful contextual bandit and online matching with adversarial arrivals, we develop an online scheme to allocate the resource to nonstationary customers. We prove that under mild conditions, our scheme achieves a “best-of-both-world” result: the scheme has a sublinear regret when the customer arrivals are near-stationary, and enjoys an optimal competitive ratio under general (non-stationary) customer arrival distributions. Finally, we conduct extensive numerical experiments to show our approach generates near-optimal revenues for all different customer scenarios.
This talk is based on a joint work with Mabel Chou and Xiaoyue Zhang at NUS IORA.
Hanzhang Qin is an Assistant Professor at the Department of Industrial Systems Engineering and Management at NUS. He is also an affiliated faculty member at the NUS Institute for Operations Research and Analytics and the NUS AI Institute. His research was recognized by several awards, including INFORMS TSL Intelligent Transportation Systems Best Paper Award and MIT MathWorks Prize for Outstanding CSE Doctoral Research. Before joining NUS, Hanzhang spent one year as a postdoctoral scientist in the Supply Chain Optimization Technologies Group of Amazon NYC. He earned his PhD in Computational Science and Engineering under supervision of Professor David Simchi-Levi, and his research interests span stochastic control, applied probability and statistical learning, with applications in supply chain analytics and transportation systems. He holds two master's, one in EECS and one in Transportation both from MIT. Prior to attending MIT, Hanzhang received two bachelor degrees in Industrial Engineering and Mathematics from Tsinghua University.