Robust optimization: application in finance

讲座通知

 

2017年5月29日

下午 5:00

 

信息管理与工程学院102报告厅

上海财经大学(第三教学楼西侧)

上海市杨浦区武东路100号

主题

Robust optimization: application in finance


主讲人

Aharon Ben-Tal

Technion - Israel Institute of Technology

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.


讲座简介

在现实的金融,商业,生产决策中,我们经常面临数据不确定性带来的压力。鲁棒优化是一套方法论,用以处理数据不确定,只能用一个大致集合刻画的优化决策问题。20世纪末,Ben-Tal, Nemirovski等人奠基性的工作以及计算技术的发展,尤其是半定优化和凸优化内点算法的发展,使得鲁棒优化成为高效的不确定性决策工具。

讲座介绍了鲁棒优化的基本思想和技巧,重点介绍鲁棒优化在多个行业产生的重要应用。特别在金融行业,量化投资,资产管理,乃至近期热点机器人智能投顾,都有着鲁棒优化的思想和应用。讲座还将讨论怎样从历史数据中去构造不确定性集合,并运用锥优化和对偶理论对问题进行求解。