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Fall 2005 Seminar Series
MASSACHUSETTS INSTITUTE OF TECHNOLOGY
OPERATIONS RESEARCH CENTER
FALL 2005 SEMINAR SERIES
DATE: Thursday, November 10, 2005
LOCATION: E40-298
TIME: 4:15pm
Reception immediately following in the Philip M. Morse Reading Room, E40-106
SPEAKER:
Dimitris Bertsimas
Boeing Professor of Operations Research
Sloan School of Management and the Operations Research Center
MIT
TITLE
Robust and Adaptive Optimization: A Tractable Approach to Optimization
Under Uncertainty
ABSTRACT
For almost all its history, the predominant model in Operations
Research to describe uncertainty is probability theory. Optimization
under uncertainty, however, when the primitive elements are probability
distributions suffers from the curse of dimensionality, and thus
it does not have a tractable theory.
We show that when the primitive elements to describe uncertainty
are polyhedral or conic uncertainty sets, the central models of
optimization (linear, mixed integer, conic) under uncertainty,
models known as robust optimization, can be reformulated as optimization
problems of the same structure and a mild increase in the dimension,
and thus are tractably solvable both practically and theoretically.
We also show how to construct uncertainty sets from data and risk
preferences.
We further describe adaptive optimization, a tractable theory
for optimization under uncertainty with recourse when uncertainty
is described via uncertainty sets.
We finally present applications of these methods to: optimal control,
inventory theory and multiperiod asset allocation.
Back to Seminar Series schedule page
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