AQFC2015

SOCP approach for elliptically distributed joint probabilistic constraints with dependent rows

 


Department of Systems Engineering and Engineering Management
The Chinese University of Hong Kong

Title: SOCP approach for elliptically distributed joint probabilistic constraints with dependent rows
 
Speaker: Abdel Lisser,
LRI, University of Paris 11
 
Date: July 25, 2014 (Friday)
 
Time: 4:30 PM to 5:30 PM
 
Venue: Room 513
       William M.W. Mong Engineering Building (ERB)
       (Engineering Building Complex Phase 2)
       The Chinese University of Hong Kong.

Short Biography of the speaker:
Abdel Lisser graduated in Applied Mathematics and Econometrics from the University of Paris 1 in 1984. He got his PhD degree in 1987 at the University of Paris Dauphine (Paris 9) on Interior Point Methods (IPM). After a Postdoc at the research center of France Telecom on IPM for solving multi-commodity flow Problems, he joined France Telecom Research Center as Research Engineer in 1990. He had been working on network design problems, survivability optimization problems, and semi-definite programming problems applied to clustering problems. He headed a research group from 1996 up to 2000 on Transmission and Infrastructure Network Optimization Problems. He got his Habilitation Thesis at the University of Paris 13 in 2000 on Multi-commodity Flow Problems. He joined the University of Paris 11 as a full Professor in 2001 at the Faculty of Sciences, Department of Computer Science (LRI).
From 2006 to 2013, he was heading the Graph Theory and Combinatorial Optimization group composed of 20 members (professors, researchers, PhD students). His main research topic is stochastic and combinatorial optimization, with applications to network design problems and recently to energy management problems. Prof. Lisser has published many papers in different international journals and conferences. He has several international collaborations including a fruitful one with Professors Janny Leung and CH Cheng from CUHK.
 
Abstract:
In this talk, we investigate the problem of linear joint probabilistic constraints. We assume that the rows of the constraint matrix are dependent and the dependence is driven by a convenient Archimedean copula. Further we assume the distribution of the constraint rows to be elliptically distributed, covering normal, t, or Laplace distributions. Under these and some additional conditions, we prove the convexity of the investigated set of feasible solutions. We also develop two approximation schemes for this class of stochastic programming problems based on second-order cone programming, which provides lower and upper bounds. Finally, a computational study on randomly generated data is given to illustrate the tightness of these bounds.
 
                      Everyone is invited to attend the talk.
 
The talk will be hosted by:
       Prof. Janny Leung,
       Department of Systems Engineering and Engineering Management,
       The Chinese University of Hong Kong,
       E-mail: janny@se.cuhk.edu.hk
       Telephone Number: (852) 3943-8238
 
For general enquiries, please contact the student coordinator:
       Andy Chung,
       Department of Systems Engineering and Engineering Management,
       The Chinese University of Hong Kong,
       E-mail: oychung@se.cuhk.edu.hk
 
SEEM-5202 Website: http://seminar.se.cuhk.edu.hk
Date: 
Friday, July 25, 2014 - 08:30 to 09:30