Title: Matrix Learning Problems and First-Order OptimizationSpeaker: Dr. Andreas Argyriou Affiliation: Toyota Technological Institute at ChicagoLocation: Room 217 Huxley BuildingTime: 2:00pmAbstract. In the past few years, there has been significant interest in nonsmooth convex optimization problems involving matrices, especially in the areas of machine learning, statistics and control. Instances of such problems are multitask learning... Read more »

Title: The Branch-and-Sandwich Algorithm for Mixed-Integer Nonlinear Bilevel Programming ProblemsSpeaker: Dr. Polyxeni-Margarita KleniatiAffiliation: Centre for Process Systems Engineering at Imperial College LondonLocation: Room 144 HuxleyTime: 3:00pmAbstract. We extend our recently introduced algorithm for general bilevel programming problems, Branch-and-Sandwich (Kleniati and Adjiman, J. Global Optim., 2012), to the class of mixed-integer nonlinear bilevel problems. As in... Read more »

Title: Optimal control of Weakly Connected Markov Decision ProcessesSpeaker: Dr. Panos ParpasAffiliation: Department of Computing - Imperial College LondonLocation: Room 140 HuxleyTime: 4:00pmAbstract. Weakly connected Markov processes are used to model stochastic dynamics across different scales. They are widely used in electrical engineering, finance and molecular dynamics simulations. In many of these applications it is... Read more »

Title: Time Consistency in Multistage Stochastic OptimizationSpeaker: Prof. Georg PflugAffiliation: Department of Statistics and Operations Research - University of Vienna Location: CPSE seminar room (C615 Roderic Hill)Time: 11:00amAbstract. A fundamental principle for dynamic optimization is Bellman's priciple, stating that at any initially optimal decision sequence is also optimal at later stages. This time-consistency principle is... Read more »

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 »