22 January 2019

Ahti Salo visited ASA, IIASA

Ahti Salo, Director of the Systems Analysis Laboratory, Department of Mathematics and Systems Analysis, Aalto University School of Science, Finland visited the Advanced Systems Analysis program on 22 January 2019 and gave a talk on "Decision Programming for Solving Optimal Strategies in Multi-Stage Problems under Uncertainty". 

Abstract

Many multi-stage decisions under uncertainty can be structured as influence diagrams which consist of decision, chance and value nodes as well as arcs representing dependencies between these nodes. The decision strategy which maximizes the decision maker's (DM) expected utility is typically determined either by carrying local transformations (such as arc reversals and node removals) or by formulating the equivalent decision tree which is then solved with dynamic programming.

 

This presentation describes an approach called Decision Programming (DP) in which such decision models are solved by transforming them into equivalent linear programming problems. In the context of project portfolio optimization, Decision Programming can be viewed as an extension of Contingent Portfolio Programming (CPP) to problems in which project decisions can impact the scenario tree probabilities. More generally, Decision Programming offers enhanced modelling possibilities in that (i) there is no need for the usual ‘no forgetting’ assumption in that earlier decisions need not be known when making later ones, (ii) both deterministic and chance constraints can be handled, and (iii) different risk preferences can be accounted for by modifying the objective function. We present illustrative examples and provide evidence on computational performance.


Ahti Salo has worked extensively on the development of decision analytic methods and their uses in resource allocation, innovation management, risk management, technology foresight, and efficiency analysis. He has published widely in leading international journals (including Management Science and Operations Research) and received awards for his research from the Decision Analysis Society of the Institute for Operations Research and the Management Sciences (INFORMS). He serves on the Editorial Boards of several refereed journals. Professor Salo has directed a broad range of basic and applied research projects funded by leading industrial firms, industrial federations, and funding agencies. He has been visiting professor at the London Business School, Université Paris-Dauphine and the University of Vienna. He has been the President of the Finnish Operations Research Society (FORS) for two biennial terms. In 2010-11, he served as the European and Middle East representative of the International Activities Committee of INFORMS. In 2010-16, he was jury member of the EDDA Doctoral Dissertation Award of the Association of European Operational Research Societies (EURO), and chaired this jury in 2016. He has been on the Board of the Association of Parliament Members and Researchers (Tutkas) since 1999.


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Last edited: 22 January 2019

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Elena Rovenskaya

Program Director

Advancing Systems Analysis Program

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PUBLICATIONS

Vilkkumaa, E., Liesiö, J., Salo, A., & Ilmola-Sheppard, L. (2018). Scenario-based portfolio model for building robust and proactive strategies. European Journal of Operational Research 266 (1), 205-220. 10.1016/j.ejor.2017.09.012.

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