Clark School Home UMD
ECE

ECE News Story

Marcus, Fu receive NSF grant for optimization research

Marcus, Fu receive NSF grant for optimization research

Professor Steve Marcus (ECE/ISR) is principal investigator and Professor Michael Fu (BGMT/ISR) is co-principal investigator on a three-year, $340K NSF Operations Research grant, A New Approach to Nonconvex Risk-Sensitive Stochastic Optimization.

The research will develop a new framework for incorporating risk into sequential decision making under uncertainty. The two pillars of the approach are cumulative prospect theory and dynamic risk measures. The framework builds on both of these research streams to formulate a single theory that integrates subjective preferences in human behavior with normative decision-making objectives. Existing utility-based dynamic models cannot handle the nonconvexity implied by the behavioral models of prospect theory, whereas the framework allows the probability weighting found in cumulative prospect theory to be combined with the usual outcome weighting of traditional expected utility formulations in a sequential decision-making model that incorporates both types of risk sensitivity. The framework will be used to develop efficient dynamic programming sampling and simulation-based methods for risk-sensitive optimization and control problems, and to investigate how the new modeling of risk-sensitivity affects the behavior of decision makers.

The research will provide an alternative framework for decision making under risk to currently existing approaches. The framework unifies the predominantly descriptive research stream of prospect theory coming primarily from psychology and behavioral economics with the normative approaches generally associated with the microeconomics and operations research communities. From this new approach arise a host of challenges, both theoretical and computational. Algorithms will be developed that can be used to address practical operational and tactical decision-making problems arising in a wide variety of application areas, from manufacturing and supply chain management to service systems, including health care, transportation, and financial engineering.

Related Articles:
Alumna Enlu Zhou wins NSF CAREER Award for optimization and sampling in stochastic simulation
Maryland research contributes to Google’s AlphaGo AI system
Alumna Enlu Zhou earns tenure at Georgia Tech
Wang wins best student paper award at Winter Simulation Conference
Cleaveland, Marcus win NSF grant to develop models for cyber-physical systems
Alum Serban Sabau joins Stevens Institute as assistant professor
Alumna Enlu Zhou wins AFOSR Young Investigators award
Alumna Ermin Wei featured in MIT publication
Ephremides is PI for NSF grant on energy-efficient cognitive networking
Marcus, Fu receive NSF grant for particle filtering for stochastic control and global optimization

March 14, 2014


Prev   Next

Current Headlines

Alumnus Iyad Tarazi Presents “Managing your Destiny” at IEEE Leadership Seminar

Alumnus Aswin Sankaranarayanan wins NSF CAREER Award

UMD Pushes Beyond Line of Sight to Map Impacts of Traditional Farming in Belize

TRX Systems to Exhibit at NSF's The Arc of Science in Washington, DC

Alumnus Serban Sabau wins NSF CAREER Award for network research

Alumnus David Van Wie Elected to the National Academy of Engineering

UMD Researchers Make Strides in Schizophrenia Diagnosis Research

Cheaper, Faster and Longer Lasting: What Magnesium Iodine Chemistry Can Offer

News Resources

Return to Newsroom

Search News

Archived News

Events Resources

Events Calendar

Additional Resources

UM Newsdesk

Faculty Experts