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Chemotherapy drug administration is a complex problem that often requires expensive clinical trials to evaluate potential regimens; one way to alleviate this burden and better inform future trials is to build reliable models for drug administration. This paper presents a mixed-integer program for combination chemotherapy (utilization of multiple drugs) optimization that incorporates various important operational constraints and, besides dose and concentration limits, controls treatment toxicity based on its effect on the count of white blood cells. To address the uncertainty of tumor heterogeneity, we also propose chance constraints that guarantee reaching an operable tumor size with a high probability in a neoadjuvant setting. We present analytical results pertinent to the accuracy of the model in representing biological processes of chemotherapy and establish its potential for clinical applications through a numerical study of breast cancer. History: Accepted by Paul Brooks, Area Editor for Applications in Biology, Medicine, & Healthcare. Funding: This work was supported by the National Science Foundation [Grants CMMI-1933369 and CMMI-1933373]. Supplemental Material: The software that supports the findings of this study is available within the paper and its Supplemental Information (https://pubsonline.informs.org/doi/suppl/10.1287/ijoc.2022.0207) as well as from the IJOC GitHub software repository (https://github.com/INFORMSJoC/2022.0207). The complete IJOC Software and Data Repository is available at https://informsjoc.github.io/. [ABSTRACT FROM AUTHOR]

We study two-stage stochastic optimization problems with random recourse, where the coefficients of the adaptive decisions involve uncertain parameters. To deal with the infinite-dimensional recourse decisions, we propose a scalable approximation scheme via piecewise linear and piecewise quadratic decision rules. We develop a data-driven distributionally robust framework with two layers of robustness to address distributional uncertainty. We also establish out-of-sample performance guarantees for the proposed scheme. Applying known ideas, the resulting optimization problem can be reformulated as an exact copositive program that admits semidefinite programming approximations. We design an iterative decomposition algorithm, which converges under some regularity conditions, to reduce the runtime needed to solve this program. Through numerical examples for various known operations management applications, we demonstrate that our method produces significantly better solutions than the traditional sample-average approximation scheme especially when the data are limited. For the problem instances for which only the recourse cost coefficients are random, our method exhibits slightly inferior out-of-sample performance but shorter runtimes compared with a competing approach. History: Accepted by Nicola Secomandi, Area Editor for Stochastic Models & Reinforcement Learning. Funding: This work was supported by the National Science Foundation [Grants 2342505 and 2343869]. Supplemental Material: The software that supports the findings of this study is available within the paper and its Supplemental Information (https://pubsonline.informs.org/doi/suppl/10.1287/ijoc.2021.0306) as well as from the IJOC GitHub software repository (https://github.com/INFORMSJoC/2021.0306). The complete IJOC Software and Data Repository is available at https://informsjoc.github.io/. [ABSTRACT FROM AUTHOR]

Program coverage customization selectively adds instrumentation to a compiled computer program so that a limited amount of directly observed data can be used to infer other program coverage information after a run. A good instrumentation plan can reduce run-time overheads while still giving software developers the information they need. Unfortunately, optimal coverage planning is NP-hard, limiting either the quality of heuristic plans or the sizes of programs that can be instrumented optimally. We exploit the monotonicity property of feasible instrumentations to formulate this problem as an intraprocedural set covering problem. Our formulation has an exponential number of constraints, and we design a polynomial-time separation algorithm to incrementally add the necessary subset of these inequalities. Our approach reduces expected run-time probing costs compared with existing methods, offers a guarantee of the optimality of the instrumentation, and has compilation-time overhead suitable for wide practical use. History: Accepted by Pascal Van Hentenryck, Area Editor for Computational Modeling: Methods & Analysis. Funding: This work was supported by the National Science Foundation [Grants CCF-1318489, CCF-1420866, and CCF-1423237] and the Air Force Research Laboratory [Grant FA8750-14-2-0270]. Supplemental Material: The software that supports the findings of this study is available within the paper and its Supplemental Information (https://pubsonline.informs.org/doi/suppl/10.1287/ijoc.2021.0349) as well as from the IJOC GitHub software repository (https://github.com/INFORMSJoC/2021.0349). The complete IJOC Software and Data Repository is available at https://informsjoc.github.io/. [ABSTRACT FROM AUTHOR]

Economic capital (EC) is a risk measure used by financial firms to specify capital levels to protect (with high probability) against large unforeseen losses. Defined as the difference between an (extreme) quantile and the mean of the loss distribution, the EC is often estimated via Monte Carlo methods. Although simple random sampling (SRS) may be effective in estimating the mean, it can be inefficient for the extreme quantile in the EC. Applying importance sampling (IS) may lead to an efficient quantile estimator but can do poorly for the mean. Measure-specific IS (MSIS) instead uses IS to estimate only the quantile, and the mean is independently handled via SRS. We analyze large-sample properties of EC estimators obtained via SRS only, IS only, MSIS, IS using a defensive mixture, and a double estimator using both SRS and IS to estimate both the quantile and the mean, establishing Bahadur-type representations for the EC estimators and proving they obey central limit theorems. We provide asymptotic theory comparing the estimators when the loss is the sum of a large number of independent and identically distributed random variables. Numerical and simulation results, including for a large portfolio credit risk model with dependent obligors, complement the theory. History: Accepted by Bruno Tuffin, Area Editor for Simulation. Funding: This work was supported by the National Science Foundation [Grant CMMI-1537322]. Supplemental Material: The software that supports the findings of this study is available within the paper and its Supplemental Information (https://pubsonline.informs.org/doi/suppl/10.1287/ijoc.2021.0261) as well as from the IJOC GitHub software repository (https://github.com/INFORMSJoC/2021.0261). The complete IJOC Software and Data Repository is available at https://informsjoc.github.io/. [ABSTRACT FROM AUTHOR]