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SUMMARY:Seminar by Prof. Melvyn Sim\, Nationale University of Singapore
DTSTART:20170615T120000
DTEND:20170615T133000
DTSTAMP:20260928T211558Z
UID:291006e5b46b010576f84d352c09618e9de181a2f564210bbd44059b
CATEGORIES:Conferences - Seminars
DESCRIPTION:Prof. Melvyn Sim\, Nationale University of Singapore\n"Tractab
 le Distributionally Robust Optimization with Data"\n\nAbstract :\nWe prese
 nt a unified and tractable framework for distributionally robust optimizat
 ion that could encompass a variety of statistical information including\, 
 among others things\, constraints on expectation\, conditional expectation
 \, and disjoint confidence sets with uncertain probabilities defined by ph
 i-divergence. In particular\, we also show that the Wasserstein-based ambi
 guity set has an equivalent formulation via our proposed ambiguity set\, w
 hich would enable us to tractably approximate a Wasserstein-based distribu
 tionally robust optimization problem with recourse. To address a distribut
 ional robust optimization problem with recourse\, we introduce the tractab
 le adaptive recourse scheme (TARS)\, which is based on the classical linea
 r decision rule and can also be applied in situations where the recourse d
 ecisions are discrete. We demonstrate the effectiveness of the TARS in our
  computational study on a multi-item newsvendor problem.\n \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
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