报告人：Andrzej Ruszczynski教授

Rutgers University, Piscataway, NJ 08854, USA

题目：Introduction to Risk-Averse Optimization

时间：2018年5月26日下午14:30

地点：海韵实验楼105

摘要：We shall discuss several issues associated with modeling risk aversion in stochastic optimization. The first part of the talk will be devoted to the mean-risk models and general risk functionals. We present duality theory for such functionals and investigate their consistency with stochastic orders. Next, we develop optimality conditions and duality theory for optimization problems involving risk functionals. The concept of risk value of perfect information will be introduced as well. Then we pass to constructing risk functionals for random reward sequences. For this purpose we introduce the concept of a conditional risk mapping, analyze its properties, and develop duality relations. Finally we mention dynamic optimization problems involving such functionals and we present optimality conditions of dynamic programming type.

报告人简介：Andrzej Ruszczynski received his PhD and habilitation degrees in control engineering from Warsaw University of Technology in 1976 and 1983, respectively. He has been with Warsaw University of Technology (Poland), University of Zurich (Switzerland), International Institute of Applied Systems Analysis (Laxenburg, Austria), Princeton University, University of Wisconsin-Madison, and Rutgers University.

  Dr. Ruszczynski is one of the creators of and main contributors to the field of risk-averse optimization, author of "Nonlinear Optimization" (Princeton University Press, 2006), co-author of "Lectures on Stochastic Programming" (Society of Industrial and Applied Mathematics, 2009), "Stochastic Programming" (Elsevier, 2003), and author of more than 100 articles in the area of optimization.

联系人:教授、林建华助理教授

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