September 26, 2012: Seminar Annoucement - John R. Birge: "Optimization and estimation in large-scale models"

Seminar Annoucement


Optimization and estimation in large-scale models

John R. Birge
Wednesday, September 26 2012
11:00 a.m., 1000 SEO Building


Abstract:

Optimization software enables the solution of problems with millions of variables and associated parameters. These parameters are, however, often uncertain and represented with an analytical description of the parameter's distribution or with some form of sample. ?With large numbers of such parameters, optimization of the resulting model is often driven by mis-specifications or extreme sample characteristics, resulting in solutions that are far from a true optimum. This talk will describe how asymptotic convergence results may not be useful in large-scale problems and how the optimization of problems based on sub-sample estimates and the use of additional information may achieve improved results over models using full-sample solution estimates. A motivating example and numerical results from a portfolio optimization problem demonstrate the potential improvement. A theoretical analysis will also be presented to provide insight into the structure of problems where sub-sample optimization may be most beneficial.

Bio:

John R. Birge studies mathematical modeling of systems under uncertainty, especially for maximizing operational and financial goals using the methodologies of stochastic programming and large-scale optimization. He was first drawn to this area by a need to use mathematics in a useful and practical way. "My research has shown how special problem structure can allow for efficient solution of complex problems of decision making under uncertainty," Birge explains. This research has been supported by the National Science Foundation, the Ford Motor Company, General Motors Corporation, the National Institute of Justice, the Office of Naval Research, the Electric Power Research Institute, and Volkswagen of America. He has published widely and is the recipient of the Best Paper Award from the Japan Society for Industrial and Applied Mathematics, the Institute for Operations Research and the Management Sciences Fellows Award, the Institute of Industrial Engineers Medallion Award and was elected to the National Academy of Engineering.

Host: Bhaskar DasGupta












































 
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