TITLE: Infinite Horizon Optimization

SPEAKER: Professor Robert L. Smith

ABSTRACT:

Industry is often accused of being short-sighted in its planning and implementation at both tactical and strategic levels, with one proverbial eye firmly fixed on next quarter's profit margin. However, planning tools themselves are at least partly to blame, almost always incorporating a somewhat arbitrary finite horizon, thus inviting the end-of-study distortions inherent in finite horizon look aheads. The few exceptions that incorporate an unbounded horizon often make the heroic assumption that the future will bring a world exactly like that we confront today (e.g. the repeated plant assumption of the classical engineering economics treatment of equipment replacement). In this talk, we discuss mathematical programming models and algorithms for a general time-varying problem that allow for the finite recursive computation of optimal decisions for an unlimited horizon. The key insight here is that although the decisions made near the end of the horizon maybe seriously distorted by end of study-of-study effects, the near term and in particular the first decision will be least affected. This decoupling of the present and future decisions may be driven by discounting, uncertainty, or artificially through a tie-breaking selection. Applications will be discussed in capacity expansion and equipment replacement. Implications for solving infinite dimensional mathematical programs will be addressed.

Opportunities for NSF funding in Operations Research will be discussed at the end of the talk.

Bio

Robert L. Smith is Director of the Operations Research Program at NSF. Dr. Smith received his Ph.D. in Engineering Science from the University of California at Berkeley where he held an NSF Fellowship. He holds a bachelors degree in Physics from Harvey Mudd College and an MBA from Berkeley. He is on leave while at NSF from the University of Michigan in Ann Arbor where he is the Altarum/ERIM Russell D. O'Neal Professor of Engineering.

He is the recipient of the first Altarum/ERIM Russell D. O'Neal Professorship of Engineering at the University of Michigan. He has also been honored with the Distinguished Faculty Achievement Award from the University of Michigan, the College of Engineering Research Excellence Award, the Industrial and Operations Engineering Award for Outstanding Accomplishment, an Outstanding Teacher Award from the Michigan Student Assembly, and a National Science Foundation Fellowship. He is a Fellow of the Institute for Operations Research and the Management Sciences.

Professor Smith teaches courses in dynamic programming and stochastic processes. He has supervised the doctoral research of over twenty-five students since 1984.

At the University of Michigan, he serves as Director of the Dynamic Systems Optimization Laboratory. The Laboratory research is directed toward the modeling and analysis of dynamical systems over time. Dr. Smith worked earlier at Bell Laboratories in the Network Planning Department where he developed models and algorithms for optimal routing of communications traffic. He is an Associate Editor of Operations Research and past Associate Editor of Management Science, and is the author of nearly one hundred peer reviewed publications.