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Transcript
The University of Chicago Department of Statistics Seminar Series ALEXANDER SHAPIRO School of Industrial and Systems Engineering Georgia Institute of Technology Computational Complexity of Two and Multistage Stochastic Programming Problems MONDAY, October 29, 2007 at 4:00 PM 133 Eckhart Hall, 5734 S. University Avenue Refreshments following the seminar in Eckhart 110. ABSTRACT A standard approach to solving stochastic programming problems is by discretization of the involved probability distributions and consequently solving the obtained (large scale) optimization problem. With increase of the number of random parameters, this typically results in an exponential growth of the size of the optimization problem which has to be solved. In this talk we give an overview of an approach to computational complexity analysis of stochastic programming based on Monte Carlo randomization methods. Please send email to Mathias Drton ([email protected]) for further information. Information about building access for persons with disabilities may be obtained in advance by calling Karen Gonzalez (Department Administrator and Assistant to Chair) at 773.702.8335 or by email ([email protected]).
