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Multiobjective Stochastic Optimization: A Case Of Real-Time Matching In Ride-Sourcing Markets, Guodong Lyu, Wang Chi Cheung, Chung-Piaw Teo, Hai Wang

Research Collection School Of Computing and Information Systems

Problem Definition: The job of any marketplace is to facilitate the matching of supply with demand in real-time. Success is often measured using various metrics. The challenge is to design matching algorithms to balance the trade-offs among multiple objectives in a stochastic environment, to arrive at a “compromise” solution, which minimizes say the ℓp-norm-based distance function (for some 1 ≤p ≤∞) between the attained performance metrics and the target performances.Methodology/Results: We observe that the sample-average-approximation formulation of this multi-objective stochastic optimization problem can be solved by an online algorithm that uses only gradient information from “historical” (i.e., past) sample information, …