About the Lecturer

Aharon Ben-Tal is a Professor of Operations Research and Optimization at the Faculty of Industrial Engineering and Management at the Technion – Israel Institute of Technology.

He received his Ph.D. in Applied Mathematics from Northwestern University in 1973. His interests are in Continuous Optimization, particularly non-smooth and large-scale problems, conic and robust optimization, as well as convex and non-smooth analysis.

Recently the focus of his research is on optimization problems affected by uncertainty. In the last 15 years, he has devoted much effort to engineering applications of optimization methodology and computational schemes.

He has published more than 120 papers in professional journals and co-authored three books: Optimality in Nonlinear Programming: A Feasible Direction Approach (Wiley-Interscience, 1981), Lectures on Modern Convex Optimization: Analysis, Algorithms and Engineering Applications (SIAM-MPS series on optimization, 2001) and Robust Optimization (Princeton University press, 2009).

Professor Ben-Tal was awarded in 2007 the EURO Gold Medal and was named INFORMS Fellow in 2010.

Course Description

Robust optimization is designed to meet some major challenges associated with uncertainty-affected optimization problems:

• to operate under lack of full information on the nature of uncertainty
• to model the problem in a form that can be solved efficiently
• to provide guarantees about the performance of the solution

This course starts with a relatively simple treatment of uncertain linear programming, proceeding with a deep analysis of the interconnections between the construction of appropriate uncertainty sets and the classical chance constraints (probabilistic) approach.

This course also introduces various essential topics in this area, including:

• Robust conic quadratic problems
• Robust semi-definite optimization
• A guide to deriving robust counterparts
• Globalized robust optimization
• The price of robustness

Finally, some interesting examples and applications will be mentioned, including:

• Retailer-supplier flexible commitments contracts
• Recovery of signals from noisy outputs

Time

May 17 – May 19, 2016

10:00-12:00am

14:00-16:00pm

Venue

Wudong Ladder Classroom No.7, SHUFE

No.100 Wudong Road, Yangpu District, Shanghai

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