Online Planning with Offline Forecasting

29 Pages Posted: 12 Jun 2019 Last revised: 13 Oct 2020

See all articles by Wang Chi Cheung

Wang Chi Cheung

National University of Singapore (NUS)

Guodong Lyu

National University of Singapore (NUS) - NUS Business School

Chung-Piaw Teo

NUS Business School - Department of Decision Sciences

Hai Wang

Carnegie Mellon University - Heinz College of Information Systems and Public Policy; Singapore Management University - School of Information Systems

Date Written: May 29, 2019

Abstract

One of the central issues in online planning is to incorporate forecast information in real time decision making. This often leads to intractable dynamic programming problems. In this work, we study a general class of online planning problems with concave objective functions and global feasibility constraints under non-stationary environments. Leveraging on offline forecast information, we develop an offline-to-online allocation mechanism to facilitate online planning for this class of problems. With perfect forecast, our proposed mechanism is shown to be near-optimal in terms of regret, and satisfies the feasibility constraints with high probability. With imperfect forecast, the optimality gap of the mechanism scales naturally with the discrepancy between actual and forecast models. Our algorithmic framework provides a theoretical justification for the efficacy of "randomized bid price" approach, which is often used in the airlines for network revenue management.

Keywords: Online Planning, Non-Stationary Environment, Forecast Information

Suggested Citation

Cheung, Wang Chi and Lyu, Guodong and Teo, Chung-Piaw and Wang, Hai, Online Planning with Offline Forecasting (May 29, 2019). Available at SSRN: https://ssrn.com/abstract=3395781 or http://dx.doi.org/10.2139/ssrn.3395781

Wang Chi Cheung

National University of Singapore (NUS) ( email )

1E Kent Ridge Road
NUHS Tower Block Level 7
Singapore, 119228
Singapore

Guodong Lyu

National University of Singapore (NUS) - NUS Business School ( email )

15 Kent Ridge Drive
Singapore, 119245
Singapore

Chung-Piaw Teo

NUS Business School - Department of Decision Sciences ( email )

15 Kent Ridge Drive
Mochtar Riady Building, BIZ 1 8-69
119245
Singapore

Hai Wang (Contact Author)

Carnegie Mellon University - Heinz College of Information Systems and Public Policy ( email )

5000 Forbes Avenue
Pittsburgh, PA 15213-3890
United States

Singapore Management University - School of Information Systems ( email )

School of Information Systems
80 Stamford Road
Singapore 178902, 178899
Singapore

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