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Seminar
Department of Systems Engineering and Engineering Management
The Chinese
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Title |
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A Second-Order Cone Programming approach
for Linear Programs with Joint Probabilistic Constraints |
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Speaker |
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Prof. Abdel Lisser |
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Date |
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Jul. 25, 2012 (Wednesday) |
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Time |
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4:30 a.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:
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
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************************* ALL ARE WELCOME ************************
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Host |
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Prof. Leung May Yee, Janny |
Tel |
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(852) 3943-8238 |
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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 |
Website |
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