MASSACHUSETTS INSTITUTE OF TECHNOLOGY
OPERATIONS RESEARCH CENTER
FALL 2004 SEMINAR SERIES

DATE

Thursday, September 16, 2004

LOCATION: Room E40-298           TIME: 4:15pm

Reception immediately following in the
Philip M. Morse Reading Room, E40-106

SPEAKER

Professor Robert L. Smith
Altarum/ERIM Russell D. O'Neal Professor of Engineering
Department of Industrial and Operations Engineering
The University of Michigan

TITLE

A Fictitious Play Approach to Complex Systems Optimization

ABSTRACT

     Complex systems consisting of a large number of interacting components are in practice increasingly modeled through computer simulations rather than via traditional equation based approaches. The resulting model typically allows for little or no structural assumptions on the form of the objective function or constraints, thus posing a challenging optimization problem.

     We explore in this talk a novel optimization paradigm inherited from game theory that animates the components of the system within a non-cooperative game of identical interest. The optimizations take place though individual best replies of the players, thus vastly reducing the dimensionality of the optimization problems solved (the components joint interactions are reflected indirectly through their shared objective function). We will illustrate the approach by discussing an application to a joint production systems optimization project within the GM Collaborative Research Laboratory at the University of Michigan.