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 »