Research

"...nothing at all takes place in the universe in which some rule of maximum or minimum does not appear." — Leonhard Euler

Working Papers 

• Jie Hu, Zhi Chen, Shuming Wang. 2022. Budget-Driven Multi-Period Hub Location: A Robust Time Series Approach.

• Haolin Ruan, Zhi Chen, Chin Pang Ho. 2023. Risk-Averse MDPs under Reward Ambiguity.

• Zhi Chen, Zhenyu Hu, Guangwu Liu, Ruiqin Wang. 2023. Range Value-at-Risk under Distributional Ambiguity: Tight Bounds with Support Information.

• Zhi Chen, Yonzheng Jerry Chua, Melvyn Sim, Peng Xiong. 2023. The Occam's Razor of Robustness. 

• Kai Tu, Zhi Chen, Man-Chung Yue. 2024. A Max-Min-Max Algorithm for Large-Scale Robust Optimization.

• Feng Liu, Zhi Chen, Ruodu Wang, Shuming Wang. 2024. Newsvendor under Mean-Variance Ambiguity and Misspecification.

Publications

• Jie Hu, Tianqi Liu, Zhi Chen, Shuming Wang. 2024. Optimal-Transport Satisficing with Applications to Capacitated Hub Location. Computers & Operations Research, 165: 106566. 

• Zhi Chen, Zhenyu Hu, Ruiqin Wang. 2023. Screening with Limited Information: A Dual Perspective. Forthcoming in Operations Research. [Slide]

• Yue Zhao, Zhi Chen, Zhenzhen Zhang. 2023. Distributionally Robust Chance Constrained p-Hub Center Problem. INFORMS Journal on Computing, 35(6): 1361-1382. [Slide]

• Yuanguang Zhong, Yibo Lan, Zhi Chen, Jiazi Yang. 2023. On-Demand Ride-Hailing Platforms with Heterogeneous Quality-Sensitive Customers: Dedicated System or Pooling System. Transportation Research Part B: Methodological, 173: 247-266.

• Feng Liu, Zhi Chen, Shuming Wang. 2023. Globalized Distributionally Robust Counterpart. INFORMS Journal on Computing, 35(5): 1120-1142. 

• Haolin Ruan, Zhi Chen, Chin Pang Ho. 2023. Adjustable Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets. INFORMS Journal on Computing, 35(5): 1002-1023.

• Zhi Chen, Daniel Kuhn, Wolfram Wiesemann. 2023. On Approximations of Data-Driven Chance Constrained Programs over Wasserstein Balls. Operations Research Letters, 51(3): 226-233.

• Zhi Chen, Peng Xiong. 2023. RSOME in Python: An Open-Source Package for Robust Stochastic Optimization Made Easy. INFORMS Journal on Computing, 35(4): 717-724. (Featured Article) [Slide] [Website]

• Guomin Xing, Zhi Chen, Yuanguang Zhong, Yong-Wu Zhou. 2022. Mitigating Supply Risk with Limited Information: Emergency Supply and Responsive Pricing. Forthcoming in Production and Operations Management. [Slide]

• Zhi Chen, Daniel Kuhn, Wolfram Wiesemann. 2022. Data-Driven Chance Constrained Programs over Wasserstein Balls. Operations Research, 72(1): 410–424. [Slide]

• Yue Zhao, Zhi Chen, Andrew Lim, Zhenzhen Zhang. 2022. Vessel Deployment with Limited Information: Distributionally Robust Chance Constrained Models. Transportation Research Part B: Methodological, 161: 197-217.

• Zhi Chen, Weijun Xie. 2021. Regret in the Newsvendor Model with Demand and Yield Randomness. Production and Operations Management, 30(11): 4176-4197. [Slide]

• Zhi Chen, Weijun Xie. 2021. Sharing the Value-at-Risk under Distributional Ambiguity. Mathematical Finance, 31(1): 531-559. [Slide]

• Zhi Chen, Zhenyu Hu, Qinshen Tang. 2020. Allocation Inequality in Cost Sharing Problem. Journal of Mathematical Economics, 91: 111-120. [Slide]

• Zhi Chen, Melvyn Sim, Peng Xiong. 2020. Robust Stochastic Optimization Made Easy with RSOME. Management Science, 66(8): 3329-3339. [Website]

• Shuming Wang, Zhi Chen, Tianqi Liu. 2020. Distributionally Robust Hub Location. Transportation Science, 54(5): 1189-1210.

• Zhi Chen, Pengqian Yu, William Haskell. 2019. Distributionally Robust Optimization for Sequential Decision-Making. Optimization, 68(12): 2393-2422.

• Zhi Chen, Melvyn Sim, Huan Xu. 2019. Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets. Operations Research, 67(5): 1328-1344.

Referred Conferences

• Haolin Ruan, Siyu Zhou, Zhi Chen, Chin Pang Ho. Robust Satisficing MDPs. 40th International Conference on Machine Learning (ICML), 2023.

• Zhi Chen, Zhenyu Hu, Ruiqin Wang. Screening with Limited Information: The Minimax Theorem and A Geometric Approach. 17th Conference on Web and Internet Economics (WINE), 2021.

Grants

• Principal Investigator, A Distribution-Free Model of Time Series. Hong Kong Research Grants Council, General Research Fund, HKD 414,059, 01/2024-12/2025.

• Principal Investigator, CUHK 'Improvement on Competitiveness in Hiring New Faculties' Funding Scheme. The Chinese University of Hong Kong, HKD 1,500,000.

• Principal Investigator, Robust Mechanism Design with Limited Information. Hong Kong Research Grants Council, General Research Fund, HKD 925,120, 01/2023-12/2025.

• Co-Investigator, Financial Systemic Risk Measures based on Monte Carlo Simulation: Theory and Methods. National Natural Science Foundation of China & Hong Kong Research Grants Council, NSFC/RGC Joint Research Scheme, 01/2022-12/2025.

• Principal Investigator, A Python Algebraic Modeling Package for Robust Optimization. City University of Hong Kong, Strategic Research Grant, HKD 100,000, 09/2021-08/2023.

• Principal Investigator, The Hurwicz Criterion for Data-Driven Decision-Making under Uncertainty. Hong Kong Research Grants Council, Early Career Scheme, HKD 628,950, 09/2020-08/2023.

• Principal Investigator, Risk Sharing under Distributional Ambiguity: Stability, Inequality, and Monotonicity. City University of Hong Kong, Start-Up Grant, HKD 300,000, 10/2019-09/2022.