Title: Complexity and heuristics in stochastic optimization
Speaker: Prof. Teemu Pennanen – Professor of Mathematical Finance Probability and Statistics
Affiliation: King’s College London
Location: Room 218 Huxley Building
Time: 2:00pm

Abstract. Combining recent results on numerical integration and convex optimization, we derive a polynomial bound on the worst case complexity of a class of static stochastic optimization problems. We then describe a technique for reducing dynamic problems to static ones. The reduction technique is only a heuristic but it can effectively employ good guesses for good solutions. This is illustrated on an 82-period problem coming from pension insurance industry.

About the speaker. Teemu Pennanen is the Professor of Mathematical Finance, Probability and Statistics at King’s College, London. Before joining KCL, Professor Pennanen worked as Managing Director at QSA Quantitative Solvency Analysts Ltd, with a joint appointment as Professor of Stochastics at University of Jyvaskyla, Finland. His earlier appointments include a research fellowship of the Finnish Academy and several visiting positions in universities abroad.