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                                                     Seminar

             Department of Systems Engineering and Engineering Management
The Chinese University of Hong Kong

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Title	:	A  Second-Order Cone Programming  approach for Linear Programs with Joint Probabilistic Constraints
Speaker	:	Prof. Abdel Lisser
		University of Paris 11
Date	:	Jul. 25, 2012 (Wednesday)
Time	:	4:30 a.m. - 5:30 p.m.
Venue	:	Room 513
		William M.W. Mong Engineering Building
		(Engineering Building Complex Phase 2)
		CUHK

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Abstract:

This talk deals with a special case of Linear Programs with joint Probabilistic Constraints

(LPPC), where the left-hand side of probabilistic constraints is normally distributed stochastic

coefficients and the vector rows of the matrix are assumed to be independent. Through the

piecewise linear approximation and the piecewise tangent approximation, we approximate

the stochastic linear programs with two second-order cone programming (SOCP for short)

problems. Furthermore, the optimal values of the two SOCP problems are a lower bound

and an upper bound of the original problem respectively. An application of this approach to

Maximum Probability problems is given. Finally, numerical experiments are presented to

evaluate the two approximations.
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Biography:

Abdel Lisser graduated in Applied Mathematics and Econometrics at the University of Paris 1 jointly with University of Paris 7 in 1984. He got his PhD degree in 1987 at the University of Paris Dauphine (Paris 9) on Interior Point Methods (IPM). After a Postdoc at the research center of France Telecom on IPM for solving multicommodity flow Problems, he joined France Telecom Research Center as Research Engineer in 1990. He had been working on network design problems, survivability optimization problems, and semidefinite programming problems applied to clustering problems. He headed a research group from 1996 up to 2000 on Transmission and Infrastructure Network Optimization Problems. He got his Habilitation Thesis at the University of Paris 13 in 2000 on Multicommodity Flow Problems. He joined the University of Paris 11 as a full Professor in 2001 at the Faculty of Sciences, Department of Computer Science (LRI). Since 2006, he is heading the Graph Theory and Combinatorial Optimization group composed of 20 members (professors, researchers, PhD students). His main research topic is Combinatorial and stochastic optimization problems with applications to network design problems and recently to energy management problems.

He has published many papers in different international journals and conferences. He has several international collaborations including a fruitful one with Professors Janny Leung and C.H. Cheng from CUHK.

************************* ALL ARE WELCOME ************************

Host	:	Prof. Leung May Yee, Janny
Tel	:	(852) 3943-8238
Email	:	janny@se.cuhk.edu.hk
Enquiries	:	Prof. Nan Chen or Prof. Sean X. Zhou
	:	Department of Systems Engineering and Engineering Management
		CUHK
Website	:	http://www.se.cuhk.edu.hk/~seem5201
Email	:	seem5201@se.cuhk.edu.hk

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