ISE Seminar 3-2

INDUSTRIAL AND SYSTEMS ENGINEERING DEPARTMENT
SPRING 2011 SEMINAR SERIES

TITLE:                  Mixed-Integer Programming Models and Methods for Optimization under Joint Chance Constraints

SPEAKER:          Dr. Simge Küçükyavuz, Assistant Professor in the Integrated Systems Engineering Department, Ohio State University.

DATE / TIME:       Wednesday, March 2, 2011
                                2:30 – 3:30 p.m.

LOCATION:         Room 453 Mohler Lab, 200 W. Packer Avenue

ABSTRACT: In this talk, we consider a class of stochastic optimization problems with quality of service or reliability constraints. These problems occur frequently in practice; and they are dynamic, contain uncertain data, and involve discrete decisions. The resulting multi-stage stochastic mixed-integer programs are challenging both theoretically and computationally. The service level restrictions are modeled with joint chance constraints, which are non-convex. In addition, the deterministic equivalents of these chance-constrained optimization problems are very large-scale mixed-integer programs. We first review two formulations for chance constrained linear programs. One is based on the so-called mixing set reformulation, and another is based on disjunctive programming. We give valid inequalities that strengthen the mixing set reformulation. We also prove that the disjunctive programming formulation is compact and tight under certain conditions. We summarize our computational experiments with both the static and the dynamic probabilistic lot-sizing problems to illustrate the effectiveness of a branch-and-cut method using the proposed inequalities.


BIOGRAPHY: Simge Küçükyavuz is an Assistant Professor in the Integrated Systems Engineering Department at the Ohio State University. Her research interests are in mixed-integer and combinatorial optimization, optimization under uncertainty and their applications. She received a PhD and MS in Operations Research from the University of California at Berkeley, and a BS in Industrial Engineering from Middle East Technical University, Turkey. Prior to joining Ohio State in 2009, she was an Assistant Professor at the University of Arizona and a Research Associate at Hewlett-Packard Laboratories. Her research has been supported by the National Science Foundation
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