Title: Applications and BeyondSpeaker: Amit M. ManthanwarAffiliation: On Industrial Process Automation and Control TheoryLocation: CPSE seminar room (C615 Roderic Hill)Time: 3:00pmAbstract. At the end of second millennia advent of the technology of Model Predictive Control (MPC) has revolutionized the way process industry is controlled and operated. This technological breakthrough for industrial process automation asks the... Read more »

Title: OR and Optimization under Uncertainty using RSpeaker: Dr. Ronald Hochreiter Affiliation: WU Vienna University of Economics and Business Location: Room 218 Huxley BuildingTime: 3:00pmAbstract. The statistical computing package R is well-known in the Statistics community as well as in the Data Science and Business Analytics community, however Operations Researchers usually use MatLab and Python... Read more »

Title: Practical Portfolio OptimizationSpeaker: Prof. Victor DeMiguelAffiliation: London Business SchoolLocation: CPSE seminar room (C615 Roderic Hill)Time: 2:00pmAbstract. The Nobel laureate Harry Markowitz showed that an investor who cares only about the mean and variance of portfolio returns should hold a portfolio on the efficient frontier. To implement these portfolios in practice, one needs to estimate... Read more »

Title: On the Relation between Forecast Precision and Trading Profitability of Financial AnalystsSpeaker: Prof. Alex WeissensteinerAffiliation: DTU Management EngineeringLocation: Room 217 Huxley BuildingTime: 5:00pmAbstract. We analyze the relation between earning forecast accuracy and expected profitability of financial analysts. Modeling forecast errors with a multivariate Gaussian distribution, a complete characterization of the payoff of each analyst... Read more »

Title: Alternating Maximization: Unifying Framework for 8 Sparse PCA FormulationsSpeaker: Dr. Selin AhipasaogluAffiliation: Singapore University of Technology and DesignLocation: CPSE seminar room (C615 Roderic Hill)Time: 2:00pmAbstract. Given a multivariate data set, sparse principal component analysis (SPCA) aims to extract several linear combinations of the variables that together explain the variance in the data as much... Read more »

Title: Hard-to-Solve Bimatrix GamesSpeaker: Prof. Bernhard von StengelAffiliation: Depatment of Mathematics - London School of Economics and Political ScienceLocation: CPSE seminar room (C615 Roderic Hill)Time: 2:00pmAbstract. A bimatrix game is a two-player game in strategic form, a basic model in game theory. A Nash equilibrium is a pair of (possibly randomized) strategies, one for each... Read more »

Title: CVaR Approximations for Minimax and Robust Convex OptimizationSpeaker: Prof. Huifu XuAffiliation: School of Engineering and Mathematical Sciences at City University of LondonLocation: Room 218 Huxley BuildingTime: 2:00pmAbstract. Conditional value at risk (CVaR) has been widely used as a risk measure in finance. In this work, we propose to randomize decision variables of a deterministic... Read more »

Title: Distributionally robust control of constrained stochastic systemsSpeaker: Bart Van ParysAffiliation: Automatic Control Laboratory at Swiss Federal Institute of TechnologyLocation: Room 217-218 Huxley BuildingTime: 2:00pmAbstract. We investigate the control of constrained stochastic linear systems when faced with limited information regarding the disturbance process, that is, when only the first and second-order moments of the disturbance... Read more »

Title: Performance-based regularization in mean-CVaR portfolio optimizationSpeaker: Prof. Gah-Yi VahnAffiliation: Management Science and Operations - London Business SchoolLocation: Room 145 HuxleyTime: 2:00pmAbstract. Regularization is a technique widely used to improve the stability of solutions to statistical problems. We propose a new regularization concept, performance-based regularization (PBR), for data-driven stochastic optimization. The goal is to improve... Read more »

Title: Parallel block coordinate descent methods for huge-scale partially separable problemsSpeaker: Martin TakacAffiliation: School of Mathematics - University of EdinburghLocation: CPSE Seminar roomTime: 2:00pmAbstract. In this work we show that randomized block coordinate descent methods can be accelerated by parallelization when applied to the problem of minimizing the sum of a partially block separable smooth... Read more »