AQFC2015

Sample complexity analysis for low-order optimization algorithms

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                                   Seminar

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

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Date: Friday, March 29, 2019, 16:30 to 17:30
 
Title: Sample complexity analysis for low-order optimization algorithms
 
Speaker: Shuzhong Zhang
Institute for Data and Decision Analytics
The Chinese University of Hong Kong, Shenzhen
 
Venue: Room 513 William M.Mong Engineering Building (Engineering Building II), the Chinese University of Hong Kong.
 
 
Abstract: In this talk we shall present a study on sample complexities for various zeroth-order algorithms for (stochastic) convex optimization. Essentially, the analysis is meant to understand how many times one will need to call the (stochastic) zeroth-order oracle in order to get an $\epsilon$ optimal solution in expectation. Such algorithms and analysis are important for various Bayesian optimization models and applications arising from revenue management. We shall also extend our discussion to include certain non-convex models.
 
Biography: Shuzhong Zhang holds a Presidential Chair Professorship at the Institute for Data and Decision Analytics, the Chinese University of Hong Kong (Shenzhen), and is the founding department head of Department of Industrial and System Engineering, University of Minnesota, where he holds a joint appointment. He received BS degree in Applied Mathematics from Fudan University in 1984, and Ph.D degree in Operations Research and Econometrics from the Tinbergen Institute, Erasmus University, in 1991. He had held faculty positions at Department of Econometrics, University of Groningen (1991-1993), and Econometric Institute, Erasmus University (1993-1999), and Department of Systems Engineering & Engineering Management, The Chinese University of Hong Kong (1999-2010). He received the Erasmus University Research Prize in 1999, the CUHK Vice-Chancellor Exemplary Teaching Award in 2001, the SIAM Outstanding Paper Prize in 2003, the IEEE Signal Processing Society Best Paper Award in 2010, and the 2015 SPS Signal Processing Magazine Best Paper Award. Dr. Zhang was an elected Council Member at Large of the MOS (Mathematical Optimization Society) (2006-2009), and served as Vice-President of the Operations Research Society of China (ORSC) (2008-2012). He serves on the Editorial Board of several academic journals, including Operations Research, and Management Science.
 
 

-------------------------Everyone is welcome to attend the talk!-----------------------------------------------
 
The talk will be hosted by: Prof. Nan Chen,
Department of Systems Engineering and Engineering Management,
The Chinese University of Hong Kong
 
 
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Date: 
Friday, March 29, 2019 - 16:30 to 17:30