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 »

Title: Robust Data-Driven Approach in Decision Making Under UncertaintySpeaker: Grani Adiwena HanasusantoAffiliation: Department of Computing - Imperial College LondonLocation: Room 301 William PenneyTime: 4:00pmAbstract. We investigate robust data-driven approach in stochastic optimization problems where partial knowledge on the exogenous uncertainties is available to the decision maker. In contrast to the traditional model-based approach, a data-driven... Read more »

Title: Interdiction Games on Markovian PERT NetworksSpeaker: Eli GutinAffiliation: School of Industrial and Systems Engineering - Georgia Institute of TechnologyLocation: Room 218 Huxley BuildingTime: 3:00pmAbstract. In a stochastic interdiction game a proliferator aims to minimize the expected duration of a nuclear weapons development project, while an interdictor endeavors to maximize the project duration by delaying... Read more »

Title: Risk neutral and risk averse approaches to multistage stochastic programming with applications to hydrothermal operation planning problemsSpeaker: Dr. Wajdi TekayaAffiliation: Decision Trees GmbHLocation: Room 217 Huxley BuildingTime: 2:00pmAbstract. This talk gives an overview of risk neutral and risk averse approaches to multistage stochastic programming with applications to hydrothermal operation planning problems. In the first... Read more »

Title: Managing with Incomplete Inventory Information Speaker: Prof. Suresh P. SethiAffiliation: Center for Intelligent Supply Networks - University of Texas at DallasLocation: Room 217-218 Huxley BuildingTime: 2:00pmAbstract. A critical assumption in the vast literature on inventory management has been that the current level of inventory is known to the decision maker. Some of the most... Read more »

Title: Added value of scenario tree based stochastic optimization in long and medium term planning of hydro power systemsSpeaker: Dr. Georg OstermaierAffiliation: Location: Room 217 Huxley BuildingTime: 11:00amAbstract. The changes in the dynamics of power prices in Germany within the last few years have implied significant decreases of revenues of pumped storage hydro systems. The... Read more »

Title: Risk measures and time consistencySpeaker: Prof. Alexander ShapiroAffiliation: School of Industrial and Systems Engineering - Georgia Institute of TechnologyLocation: Room 145 Huxley BuildingTime: 2:00pmAbstract. In this talk we discuss basic theory of risk measures and risk averse optimization. Starting with the pioneering paper by Artzner et al, "Coherent measures of risk" (1999), this theory... Read more »