INDUSTRIAL AND SYSTEMS ENGINEERING DEPARTMENT
SPRING 2012 SEMINAR SERIES
TITLE: Chance Constrained Optimization Problems
SPEAKER: Dr. Shabbir Ahmed,
Georgia Institute of Technology
DATE / TIME: Monday, January 30, 2012
2:30 pm – 3:30 pm
LOCATION: Room 453 Mohler Lab, 200 W. Packer Avenue
ABSTRACT: Chance constrained optimization problems involve constraints with random data that are required to be satisfied with a given reliability. Such problems arise in many
interesting application and are extremely challenging due to the stochastic and nonconvex nature of the feasible region.
In the first part of the talk we review a sampling and integer programming based approach for generating good approximate solutions to chance constrained optimization problems.
In the second part of the talk, we present recent developments in certifying solution quality for this problem class. In particular, we construct convex relaxations of chance constrained
optimization problems in order to obtain lower bounds on the optimal value. Unlike existing statistical lower bounding techniques, our approach is designed to provide deterministic lower
bounds. We show that a version of the proposed scheme leads to a tractable convex relaxation when the chance constraint function is affine with respect to the underlying uncertain
parameters. We also propose an iterative improvement scheme for refining the bounds.
BIOGRAPHY: Shabbir Ahmed is a Professor in the H. Milton Stewart School of Industrial & Systems Engineering at the Georgia Institute of Technology. He received his PhD from the University of
Illinois at Urbana-Champaign in 2000. His research interests are in optimization, specifically stochastic and integer programming. Dr. Ahmed served as the Chair of the Community of Stochastic
Programming (COSP) (2007-2010), and as a Vice-chair (Stochastic Programming) of the INFORMS Optimization Society (2006-2008). He is an Associate Editor for Mathematical Programming A,
Mathematical Programming C, Operations Research, and Operations Research Letters, an Area Editor for Surveys in Operations Research and Management Science and a Department Editor for
IIE Transactions (Operations Engineering and Analysis). Dr. Ahmed's honors include the National Science Foundation CAREER award, two IBM Faculty Awards, the Coca-Cola Junior Professorship from ISyE,
and the INFORMS Dantzig Dissertation award.
ALL FULL-TIME ISE PHD STUDENTS ARE REQUIRED TO ATTEND AND
ALL ISE GRADUATE STUDENTS ARE ENCOURAGED TO ATTEND
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