Speaker: Mr Jeffrey Christiansen
Time and Location: Thursday, August 31 at 11:30 AM–12:30 PM, T121, T Building, Mt Helen Campus
Title: Decomposition and duality for Stochastic Integer Programs
Abstract: Stochastic Integer Programming is a powerful modelling tool for representing decision problems which incorporate elements of uncertainty. As compared to ordinary Integer Programs their scenario-based structure readily lends itself to decomposition and parallel computation techniques. One interesting avenue of exploration is the application of Lagrangian duality, and the augmented Lagrangian dual, to the non-anticipativity constraints which prevent decisions being made based on information which is not yet known.
In this talk, we will discuss theoretical and algorithmic developments in the area of applying Lagrangian duality to Stochastic Integer Linear Programs. In particular, we will consider under what conditions strong duality may be achieved in theory, and algorithms which obtain at least high-quality dual bounds.
Bio: Jeffrey completed a BSc Adv. with Honours at Monash University in 2013, with an honours thesis on feature analysis for the Knapsack Problem. He is currently working towards a PhD at RMIT University on decomposition and duality-based approaches to Stochastic Integer Programs.
RMIT members please note that I booked the AGR 8.9.66 for the Visimeet connection to CIAO.