STATISTICS COLLOQUIUM
Tahir Ekin, Associate Professor
CIS & Quantitative Methods
Texas State University
Augmented Probability Simulation Methods for Decisions and Games
Abstract
Expectation function-based decision and game theoretic models require both computation of the 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.
Bio: Dr. Tahir Ekin is an Associate Professor of Quantitative Methods in McCoy College of Business, Texas State University. His research interests include analytical applications in health care fraud assessment and decision modeling under uncertainty. His book on health care fraud analytics titled “Statistics and Health Care Fraud: How to Save Billions" has been recently published. His work has appeared in a variety of journals including Journal of the Royal Statistical Society Series C, International Statistical Review, Naval Research Logistics and Decision Analysis among others. Dr. Ekin holds a Ph.D. in Decision Sciences from The George Washington University, and a B.S. in Industrial Engineering from Bilkent University, Turkey. He is an elected member of International Statistical Institute and currently serves as Vice President of the International Society of Business and Industrial Statisticians.
For more information, contact: Tracy Burke at tracy.burke@uconn.edu