Optimization Tradecraft: Hard-Won Insights from Real-World Decision Support

Abstract

This paper honors the memory of deceased coauthor Richard E. RosenthalPractitioners of optimization-based decision support advise commerce and government on how to coordinate the activities of millions of people who employ assets worth trillions of dollars. The contributions of these practitioners substantially improve planning methods that benefit our security and welfare. The success of realworld optimization applications depends on a few trade secrets that are essential, but that rarely, if at all, appear in textbooks. This paper summarizes a set of these secrets and uses examples to discuss each."Thou shalt never get such a secret from me but by a parable."Shakespeare, The Two Gentlemen of Verona

A Survey of Linear and Mixed-Integer Optimization Tutorials

“…It is our hope that advanced undergraduate and graduate students can use our paper and the references contained herein in order to fill the gaps between course work and their own research. (2011) Application RSA public key cryptosystem Tutorial I Brown and Rosenthal (2008) Applications Secrets for success Tutorial B…”

“…Finally, Brown and Rosenthal (2008) discuss "secrets" for success in applied optimization modeling, which include guidance on: (i) writing and model formulation, (ii) the realization of a fine line between what classifies as an objective function and what classifies as a constraint, (iii) the necessity of running a variety of model instances, (iv) the benefits of modeling robustly, (v) the insights available from the dual model, (vi) the recognition of the benefits and drawbacks of modeling languages and spreadsheets, (vii) the strengths and weaknesses of sensitivity analysis and heuristics, and (viii) the importance of clearly conveying model results.…”

Optimizing Cash Management for Large Scale Bank Operations

“…They provide guidance on the use of a custodial inventory facility. Brown and Rosenthal (2008) provide an excellent guide for using optimization to solve real-world problems such as the one described in this investigation.…”