BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Memento EPFL//
BEGIN:VEVENT
SUMMARY:Seminar by Prof. Dick den Hertog\, Tilburg University
DTSTART:20160922T160000
DTEND:20160922T173000
DTSTAMP:20260427T195247Z
UID:1274ef7bdf8a4796694c9a72f08b0142ab84ce737172b6c390d44d11
CATEGORIES:Conferences - Seminars
DESCRIPTION:Prof. Dick den Hertog\, Tilburg University\n"Robust optimizati
 on with ambiguous stochastic constraints under mean and dispersion informa
 tion"\n\n  Abstract\n\nWe consider ambiguous stochastic constraints under
  partial information consisting of means and dispersion measures of the un
 derlying random parameters. Whereas the past literature used the variance 
 as the dispersion measure\, here we use the mean absolute deviation from t
 he mean (MAD). This makes it possible to use the 1972 result of Ben-Tal an
 d Hochman (BH) in which tight upper and lower bounds on the expectation of
  a convex function of a random variable are given. First\, we use these re
 sults to treat ambiguous expected feasibility constraints. This approach r
 equires\, however\, the independence of the random variables and\, moreove
 r\, may lead to an exponential number of terms in the resulting robust cou
 nterparts. We then show how upper bounds can be constructed that alleviate
  the independence restriction and require only a linear number of terms\, 
 by exploiting models in which random variables are linearly aggregated. Mo
 reover\, using the BH bounds we derive new safe tractable approximations o
 f chance constraints. In a numerical study\, we demonstrate the efficiency
  of our methods in solving stochastic optimization problems under mean-MAD
  ambiguity\n\nCo-authors: Krzysztof Postek (Tilburg University)\, Aharon B
 en-Tal (Technion) & Bertrand Melenberg (Tilburg University)\n 
LOCATION:EPFL\, ODY 4.03\, VIP Room http://plan.epfl.ch/?zoom=19&recenter_
 y=5863800.12869&recenter_x=731560.22521&layerNodes=fonds\,batiments\,label
 s\,information\,parkings_publics\,arrets_metro\,transports_publics&floor=4
 &q=ODY_4.03
STATUS:CONFIRMED
END:VEVENT
END:VCALENDAR