TITLE: Robust Optimization with Multiple Ranges and Chance Constraints

TITLE:                      Robust Optimization with Multiple Ranges and Chance Constraints

SPEAKER :                Ruken Duzgun, Ph.D. Candidate
                                    Department of Industrial and Systems Engineering

DATE :                        Tuesday, December 6, 2011 at 3:00 p.m.

LOCATION :             Room 453 Mohler, 200 W. Packer Avenue

ABSTRACT:  The first part of the dissertation focuses on the case when the uncertain parameters come from multiple ranges.  This arises when the uncertain parameters, such as cash flows, depend on underlying discrete random variables, such as the success level of a new project.  Using multiple ranges has the same tractability as the traditional robust optimization approach but leads to less conservative results, while providing better representation of underlying random factors.  The second part of the dissertation briefly introduces how robust optimization can be connected with chance constraints.  We show that the Bernstein approximation of robust binary optimization problems leads to robust counterparts of the same structure as the deterministic models, but with modified objective coefficients that depend on a single new parameter introduced in the approximation.
 
BIOGRAPHY:  Ruken Duzgun is currently a doctoral candidate in Industrial Engineering at Lehigh University.  She received her B.S. degree in Industrial Engineering from Middle East Technical University in Ankara, Turkey, in 2007 and her M.S. degree in Management Science from Lehigh University, in 2010.  Her research introduced new methods in robust optimization, with applications to investment planning and project selection.  She is a Rossin Doctoral Fellow since 2010, and a member of INFORMS and Women in OR/MS (WORMS) Society.