报告主题：Scenario decomposition method for two stage stochastic programming with convex risk measures

时间：2023年12月8日13:00-13:45

地点：上川路校区二教105/腾讯会议  会议号：984 1292 8754 密码：6666

报告人：俞昊东

报告内容简介：

Stochastic programming focuses on mathematical programming problems involving random parameters. During the past several decades, this area has undergone major advances. In this talk, I will first make a brief introduction on this area, including the models, algorithms and some theoretical aspects.

In the second part, we focus on a two-stage convex stochastic program model, which only requires the involved risk measure to be convex and monotonic. We propose a scenario decomposition framework for this problem. The scenario decomposition is realized through a subgradient-incremental constraint projection technique. The global and local convergence analysis is established under mild conditions. Numerical results of a multi-product assembly model are reported to demonstrate the effectiveness of the proposed method. Finally, I list some issues worthy to be studied in future work.

主讲人简介：

俞昊东，上海立信会计金融学院统计与数学学院副教授。2011年毕业于同济大学数学系，获理学博士学位。2015年澳大利亚科廷大学访问学者。中国运筹学会会员。研究方向包括：统计与随机优化、变分不等式与互补问题等。在Comput Optim Appl，J. Appl. Math. Comput等重要刊物上发表论文二十余篇。主持并完成国家自然科学基金青年项目一项。