----------------------------------------------------------------------------------------------------------------------------

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

----------------------------------------------------------------------------------------------------------------------------

Date: Tuesday, 11:00am - 12:30pm, March 10, 2015

Title: Multilevel Optimization Modeling for Stochastic Programming with Coherent Risk Measures

Speaker: Jonathan Eckstein, Professor in the Department of Management Science and Information Systems at Rutgers University

(Computational work joint with Deniz Seyed-Eskandani and Jingnan Fan, Rutgers University)

Abstract:

Although there is only one decision maker, we propose a multilevel optimization modeling scheme that allows simple, law-invariant coherent risk measures such as AVaR/CVaR to be used in stochastic programs with more than two stages without running afoul of time inconsistency. This approach has modeling advantages over the more common technique for enforcing time consistency, which involves forcing the objective function to have particular nested form which is known not to simplify and can violate the law-invariance principle, assigning different objective values to two plans with identical distributions of returns. We unfortunately show that the alternative multilevel models we advocate are NP-hard even in the simplest cases. On the other hand, we also present empirical evidence that some nontrivial practical instances may not be difficult to solve.

Biography:

Jonathan Eckstein is a Professor in the department of Management Science and Information Systems at Rutgers University. His principal research interests are in numerical optimization algorithms, both continuous and discrete, and especially their implementation on parallel computing platforms. Areas of particular focus include augmented Lagrangian/proximal methods, branch-and-bound algorithms, and stochastic programming. He has also worked on risk-averse optimization modeling and on applying O.R. techniques to managing information systems. He completed his Ph.D. in Operations Research at M.I.T. in 1989, and then taught at Harvard Business School for two years. He then spent four years in the Mathematical Sciences Research Group of Thinking Machines, Inc. before joining Rutgers. At Rutgers, he led an effort establishing a new undergraduate major in Business Analytics and Information Technology ("BAIT"). In 2014, he was elected a fellow of INFORMS (the Institute for Operations Research and Management Science).

Everyone is welcome to attend the talk!

Venue: Room 513,
      William M.W. Mong Engineering Building (ERB),
      (Engineering Building Complex Phase 2)
      The Chinese University of Hong Kong.

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
Homepage: http://www.se.cuhk.edu.hk/people/janny.html

SEEM-5202 Website: http://seminar.se.cuhk.edu.hk
Email: seem5202@se.cuhk.edu.hk