At a time when many conferences and workshops are cancelled due to the COVID-19 pandemic, the Committee of Stochastic Programming (COSP) is pleased to announce a new Virtual Seminar series organized by the Stochastic Programming Society (https://stoprog.org/). 

The seminar series is called “Decision Making in an Uncertain World” and it aims to bring together researchers and practitioners around the world working on decision making under uncertainty. The seminars will take place biweekly on Fridays 7-8 AM PT (10-11 AM ET,  2-3 PM GMT, 4-5 PM CEST, 10-11 PM Singapore Time). With the permission of the presenters, we will also post recordings of the seminars on the Stochastic Programming Society YouTube channel.

Please mark your calendars for the following upcoming talk in the series:

When: June 26, 7-8 AM Pacific Time   
Speaker: Alexander Shapiro
Title: Computational and theoretical aspects of  Solving Multistage Stochastic Programs

 

Abstract: In this talk we discuss computational approaches to solving convex stochastic programming problems.  We start with a discussion of sample complexity of solving static problems and argue that this is essentially different from sample complexity of solving multistage programs. In some applications the considered multistage stochastic programs have a periodical behavior. We demonstrate that in such cases it is possible to drastically reduce the number of stages by introducing a periodical analog of the so-called Bellman equations, used in Markov Decision Processes and Stochastic Optimal Control. Furthermore, we describe primal and dual  variants of the cutting plane type algorithm   applied to the constructed periodical Bellman equations, and show numerical experiments for the Brazilian interconnected power system problem.

Bio: Alexander Shapiro is Russell Chandler III Chair and Professor in the School of Industrial and Systems Engineering at Georgia Institute of Technology, Atlanta, USA. He has published more than 140 research articles in peer review journals and is a coauthor of several books. He was on the editorial board of several professional journals. He was an area editor (Optimization) of {\em Operations Research}, and the Editor-in-Chief of the {\em Mathematical Programming, Series A,} 2012-2017, flagship journal of the Mathematical Optimization Society. He gave numerous invited keynote and plenary talks, including invited section talk (section Control Theory \& Optimization) at the International Congress of Mathematicians 2010, Hyderabad, India. In 2013 he was a recipient of Khachiyan prize awarded by the INFORMS Optimization Society, and in 2018 he was a recipient of the Dantzig Prize awarded by the Mathematical Optimization Society and Society for Industrial and Applied Mathematics. In 2020 he was elected to the National Academy of Engineering.

We are also looking forward to the following upcoming talks:

  • July 10: Alejandro Jofre
  • July 24: Daniel Kuhn
  • August 7: David Morton
  • August 21: Katya Scheinberg

More information on those talks will be provided in due course.

The Webinars will be delivered and recorded via Zoom.  A few days before the webinar we will send you the Zoom-link. If you are interested in participating to the Webinars, please sign up here: https://stoprog.org/mailman/listinfo/webinars.