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Seminar
Department of Systems Engineering and Engineering Management
The Chinese
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Title |
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Semidefinite programming
models for minimax stochastic programs |
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Speaker |
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Dr. Karthik Natarajan |
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Department of
Management Sciences |
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City University of
Hong Kong |
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Date |
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March 12th, 2010 (Friday) |
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Time |
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4:30 p.m. - 5:30 p.m. |
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Venue |
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Room 513 |
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William M.W. Mong Engineering Building |
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(Engineering Building Complex Phase 2) |
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CUHK |
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Abstract:
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In this work, we
develop semidefinite progamming (SDP) based models for the class of minimax
stochastic linear optimization problems. The distribution of the random
variables is ambiguous and chosen from a set of multivariate distributions
with known mean and covariance matrix. For the problem with random objective,
we provide a polynomial-sized SDP formulation. For the problem with random
right-hand side, the problem is shown to be NP-hard. Using a recent
representation result of completely positive programs, we develop SDP
relaxations for this problem. The approach guarantees to hedge against the
worst possible distribution while providing natural distributions to stress
test stochastic optimization problems. |
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Biography:
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Dr Karthik
received his PhD under the Singapore-MIT Alliance program and spent the first
five years of his career at the Department of Mathematics, NUS. He is
presently with the Department of Management Sciences, City University of Hong
Kong. |
************************* ALL ARE WELCOME ************************
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Host |
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Prof. Zhou Xiang, Sean |
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Tel |
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(852) 2609-8336 |
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Enquiries |
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Prof. Nan Chen or Prof. Sean X. Zhou |
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Department of Systems Engineering and Engineering
Management |
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CUHK |
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Website |
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