讲座题目:Dynamic Stochastic Approximation for Multi-Stage Stochastic Optimization with Applications in Asset Allocation
报告人:Prof. Guanghui (George) Lan, H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology
讲座时间:2019年6月25日(星期二)上午10:00-11:30
讲座地点:米兰网页版,米兰(中国),米兰(中国)3楼313教室
讲座内容:In this talk, we first review some basic modeling techniques and solution methods for multi-stage stochastic optimization which has wide applications in operations management, such as inventory control and asset allocation. We then present a new stochastic first-order method, namely the dynamic stochastic approximation (DSA) algorithm, for solving these types of stochastic optimization problems. In particular, we show that DSA will be efficient in solving problems with a large number of decision variables, but a relatively small number of stages. We illustrate the advantages of this method over existing ones for solving a classic multi-stage asset allocation problem.
学者介绍:Guanghui (George) Lan博士毕业于佐治亚理工学院(Georgia Institute of Technology),现为佐治亚理工学院副教授。主要研究方向为非线性规划、随机优化以及机器学习。他的研究成果在SIAM Journal on Optimization, Mathematical Programming, Journal of Computation Mathematics, Mathematical Programming等高水平期刊上发表。此外,Guanghui (George) Lan博士担任Mathematical Programming, SIAM Journal on Optimization and Computational Optimization and Applications的副主编。