Department of Systems Engineering and Engineering Management,
The Chinese University of Hong Kong
Dynamic Optimization with Model Uncertainty and Benchmarked Objectives
J. George Shanthikumar
Department of Industrial Engineering and Operations Research
University of California
Date : January 18, 2006 (Wednesday)
Time : 11:00 a.m. - 12:00 p.m.
Venue : Room 513, William M.W. Mong Engineering Building
(Engineering Building Complex Phase 2), CUHK
We consider dynamic optimization problems where the full probabilistic
characterization is unknown. We use a collection of probability measures to
model this scenario and consider objectives that are benchmarked against the
best values for each of these probability measures. It is well known that
dynamic optimization with a min-max objective can be formulated as a
stochastic differential game and solved using backwards recursion when there
is no benchmarking. However, such a simple representation need not exist under
the benchmarked objectives.
In this talk we will discuss classes of dynamic optimization problems in
Inventory control and Portfolio optimization where one can find simple
representation for dynamic optimization.
This is a joint work with Andrew Lim and Thaisiri Watewai.
J. George Shanthikumar is Professor of Industrial Engineering and
Operations Research at the University of California, Berkeley. He received
the B. Sc. degree in mechanical engineering from the University of Sri Lanka,
Peradeniya, and the M. A. Sc. and Ph. D. degrees in industrial engineering
from the University of Toronto, Canada. His research interests are in
integrated inter-disciplinary decision making, model uncertainty & learning,
production systems modeling and analysis, queueing theory, reliability,
scheduling, semiconductor yield management, simulation, stochastic processes,
and supply chain management. He has written or written jointly over 250 papers
on these topics. He is a coauthor (with John A. Buzacott) of the book
Stochastic Models of Manufacturing Systems and a coauthor (with Moshe Shaked)
of the book Stochastic Orders and Their Applications.
Dr. Shanthikumar received the E. O. E. Pereira Gold Medal as the outstanding
student graduating from the College of Engineering, University of Sri Lanka.
He was granted the Canadian Commonwealth Scholarship during 1975--1979 for his
studies towards the M. A. Sc. and Ph. D. degrees at the University of Toronto.
His book with John Buzacott is the runner up for the 1993 ORSA Lanchester
Price (received an honorable mention).
He is (or was) a member of the editorial boards of the Asia-Pacific Journal of
Operations Research, IEEE Transactions on Automation Sciences and Engineering,
IIE Transactions, International Journal of Flexible Manufacturing Systems,
Journal of Discrete Event Dynamic Systems, Journal of Production and
Operations Management, Operations Research, Operations Research Letters,
OPSEARCH, Probability in the Engineering and Informational Sciences, and
Queueing Systems: Theory and Applications.
Dr. Shanthikumar has extensively consulted for various companies like Applied
Materials (AMAT), Bellcore, IBM, KLA-Tencor, NTT (Japan), Safeway, and
Southern Pacific and through KLA-Tencor worked on Joint Development Projects
for AMD, IBM, Intel, LSI, Motorola, TI, Toshiba, Fujitsu, TSMC and UMC.
Note : Cookies and drinks will be available at 10:45 am.
***** ALL ARE WELCOME *****
Host : Prof. Xunyu Zhou
Tel : 2609 8320
Email : email@example.com
For more information please
refer to http://www.se.cuhk.edu.hk/~seg5810/