Title: Modeling and Solution Methods for Stochastic Programming Problems Under Endogenous Observation of Uncertainty
Speaker: Dr. Christos Maravelias
Affiliation: Department of Chemical and Biological Engineering at the University of Wisconsin-
Location: Room 219A William Penny
Time: 2:00pm
Abstract. We first present an overview of optimization problems under uncertainty and multi-stage stochastic programming methods. We then discuss applications where the decision maker alters the underlying stochastic process by affecting the timing of uncertainty observation, i.e. problems under endogenous observation of uncertainty. We discuss how this important but less studied class of problems can be formulated as a large-scale multi-stage stochastic programming model. To address this challenging problem, we develop a number of theoretical results, modeling methods and computational techniques. First, we show how the structure of the problem can be exploited to formulate substantially smaller yet tighter models. Second, we discuss a number of approximations (e.g. finite-horizon approximation for rolling-horizon approaches) that can be used to obtain solutions of high quality. Third, we present a novel branch-and-cut algorithm where we start from a reduced model and add essential constraints only if they are violated. The presented methods are applied to the planning of clinical trials in the pharmaceutical research and development pipeline.
About the speaker. Christos obtained his Diploma in Chemical Engineering from the National Technical University of Athens. He then moved to the London School of Economics (London, UK), where he received an MSc in Operational Research. After completing his military service in Greece, he went to Carnegie Mellon University where he worked towards his PhD under the supervision of Professor Grossmann. In the fall of 2004 he joined the faculty of the Department of Chemical and Biological Engineering at the University of Wisconsin - Madison. He is a recipient of the Inaugural Olaf A. Hougen Fellowship, an NSF CAREER award, and the 2008 W. David Smith Jr. Award from the CAST division of ACIChE. Christos' primary research interests are in the areas of a) chemical production planning and scheduling, b) process synthesis, with an emphasis on biofuels, c) optimization under uncertainty, and d) the development of computational tools for the design of chemical and biological catalysts.