Seminar: A Second-Order Cone Programming approach for Linear Programs with Joint Probabilistic Constraints


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

Title : A  Second-Order Cone Programming  approach for Linear Programs with Joint Probabilistic Constraints

Speaker : Prof. Abdel Lisser
                University of Paris 11

Date:  Jul. 25, 2012 (Wednesday)

Time:  4:30 a.m. - 5:30 p.m.

Venue : Room 513
             William M.W. Mong Engineering Building


This talk deals with a special case of Linear Programs with joint Probabilistic Constraints (LPPC), where the left-hand side of probabilistic constraints is normally distributed stochastic coefficients and the vector rows of the matrix are assumed to be independent. Through the piecewise linear approximation and the piecewise tangent approximation, we approximate the stochastic linear programs with two second-order cone programming (SOCP for short) problems. Furthermore, the optimal values of the two SOCP problems are a lower bound and an upper bound of the original problem respectively. An application of this approach to Maximum Probability problems is given. Finally, numerical experiments are presented to evaluate the two approximations.


Abdel Lisser graduated in Applied Mathematics and Econometrics at the University of Paris 1 jointly with University of Paris 7 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 multicommodity 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 semidefinite 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 Multicommodity 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). Since 2006, he is heading the Graph Theory and Combinatorial Optimization group composed of 20 members (professors, researchers, PhD students). His main research topic is Combinatorial and stochastic optimization problems with applications to network design problems and recently to energy management problems.

He has published many papers in different international journals and conferences. He has several international collaborations including a fruitful one with Professors Janny Leung and C.H. Cheng from CUHK.


************************* ALL ARE WELCOME ************************

Host: Prof. Leung May Yee, Janny

Tel : (852) 3943-8238

Email :

Enquiries: Prof. Nan Chen or Prof. Sean X. Zhou
                 Department of Systems Engineering and Engineering Management





Wednesday, January 25, 2012 - 08:30 to 09:30