ISE seminar2-13-12

INDUSTRIAL AND SYSTEMS ENGINEERING DEPARTMENT
SPRING 2012 SEMINAR SERIES

TITLE: Risk Neutral and Risk Averse Approaches to Multistage Stochastic Programming 
SPEAKER: Dr. Alexander Shapiro, School of Industrial and Systems Engineering

Georgia Institute of Technology

DATE / TIME:           Monday, February 13, 2012

3:00 pm – 4:00 pm

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

ABSTRACT: In many practical situations one has to make decisions sequentially based on data available at the time of the decision and facing uncertainty of the future.  This leads to optimization problems which can be formulated in a framework of multistage stochastic programming.  In this talk we consider risk neutral and risk averse approaches to multistage stochastic programming.  We discuss conceptual and computational issues involved in formulation and solving such problems.  As an example we give numerical results based on the Stochastic Dual Dynamic Programming method applied to planning of the Brazilian interconnected power system.

BIOGRAPHY: Alexander Shapiro is a Professor in the School of Industrial and Systems Engineering at Georgia Institute of Technology.  He has published more than 120 research articles in peer review journals and is a coauthor of several books (see below).  His research is widely cited and he was listed as an ISI Highly Cited Researcher in 2004 (ISI = Institute for Scientific Information) http://isihighlycited.com/, links to his research ID:
http://www2.isye.gatech.edu/_ashapiro/research.html

Dr. Shapiro is on the editorial board of several professional journals, such as Mathematics of Operations Research, Mathematical Programming, ESAIM: Control, Optimization and Calculus of Variations, Computational Management Science.  For 2009 - 2011 he was an area editor (Optimization) of Operations Research.  He gave numerous invited keynote and plenary talks, including invited section talk (section Control Theory & Optimization) at the International Congress of Mathematicians 2010, Hyderabad, India http://www.icm2010.in/scientific-program/invited-speakers

Published Books

1.  Rubinstein, R.Y. and Shapiro, A., Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method, John Wiley and Sons, New York, 1993.
2.  Bonnans, J. F. and Shapiro, A., Perturbation Analysis of Optimization Problems, Springer, New York, 2000.
3.  Handbook on Stochastic Programming, edited by: A. Ruszczynski and A. Shapiro, North-Holland Publishing Company, Amsterdam, 2003.
4.  Shapiro, A., Dentcheva, D. and Ruszczynski, A., Lectures on Stochastic Programming: Modeling and Theory, SIAM, Philadelphia, 2009.