Thursday, April 4, 2019
Bahen Centre, Room 1170
40 St. George Street
This event is open to the public and registration is not required. Part of the Operations Research Seminar Series coordinated by Merve Bodur.
We consider two classes of multi-stage stochastic linear programs (MSLPs) that lend themselves to solution by stochastic dual dynamic programming (SDDP). First, we consider a distributionally robust MSLP. Here, the specific realizations in each stage are fixed, and distributional robustness is with respect to the probability mass function governing those realizations. Second, we consider a class of partially observable MSLPs. In both cases, we describe a computationally tractable variant of SDDP to approximately solve the model. This is joint work with Oscar Dowson, Daniel Duque, and Bernardo Pagnoncelli.
David Morton is the David A. and Karen Richards Sachs Professor and Department Chair of Industrial Engineering & Management Sciences at Northwestern University. He received his PhD in Operations Research from Stanford University. He was a Fulbright Research Scholar at Charles University in Prague, a National Research Council Postdoctoral Fellow in the Operations Research Department at the Naval Postgraduate School, and is an INFORMS Fellow.
The Operations Research (OR) seminar series brings together graduate students, faculty and researchers from the University of Toronto community to interact with prominent scholars in the field of OR. Seminars feature visiting scholars from around the world as well as professors and post-docs. Topics include all variants of OR theory and their applications. Questions? Contact Merve Bodur at email@example.com