Department of Computer Science | Institute of Theoretical Computer Science | CADMO

Theory of Combinatorial Algorithms

Prof. Emo Welzl and Prof. Bernd Gärtner

Mittagsseminar (in cooperation with M. Ghaffari, A. Steger and B. Sudakov)

Mittagsseminar Talk Information

Date and Time: Tuesday, November 29, 2005, 12:15 pm

Duration: This information is not available in the database

Location: This information is not available in the database

Speaker: Rüdiger Schultz (Univ. Duisburg)

Risk Aversion in Stochastic Integer Programming: Models and Algorithms

Stochastic programming models aim at optimizing nonanticipative decisions in the presence of uncertainty. Traditional models are risk neutral, meaning that expected values of relevant decision dependent random variables constitute the objectives. In a risk averse setting these expected values are replaced or supplemented by statistical dispersion parameters. Examples for the latter are (semi-)variance, central or semi-deviation, expected excess, value-at-risk, or conditional value-at-risk. Incorporating these parameters into stochastic programs has structural and algorithmic consequences. With emphasis on stochastic integer programs we will discuss these consequences.

In particular, we will analyze the block structures that arise in the equivalent mixed-integer linear programs if the underlying probability distributions are discrete. We will discuss decomposition and approximation approaches for solving these problems, including illustrations at practical examples from the chemical process and power industries. Most of the talk will be in a two-stage setting where a first-stage decision is followed by an observation of the uncertain data and a second-stage recourse action. We will conclude with an outlook to multi-stage models where this scheme of alternating decision and observation is expanded to a finite number of steps.

Upcoming talks     |     All previous talks     |     Talks by speaker     |     Upcoming talks in iCal format (beta version!)

Previous talks by year:   2018  2017  2016  2015  2014  2013  2012  2011  2010  2009  2008  2007  2006  2005  2004  2003  2002  2001  2000  1999  1998  1997  1996  

Information for students and suggested topics for student talks

Automatic MiSe System Software Version 1.4803M   |   admin login