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数学学科离散数学研究所学术报告(张立卫 大连理工大学)

发布者:付慧娟   发布时间:2020-06-08  浏览次数:128

报告题目:Sequential Convex Approximation Methods for Joint Chance Constrained Optimization Problems

报 张立卫教授 大连理工大学




会议 ID499 758 096

摘要:When there is parameter uncertainty in the constraints of a convex optimization problem, it is natural to formulate the problem as a joint chance constrained program (JCCP) which requires all constraints are satisfied simultaneously with a given large probability. We propose to solve the problem by a sequence of convex approximations. We show that the solutions of the sequence of approximations converge to a Karush-Kuhn-Tucker (KKT) point of the JCCP under a certain asymptotic regime. Furthermore, we propose to use a gradient-based Monte Carlo method to solve the sequence of convex approximation problems. This talk focuses on the convergence analysis of the sequential convex approximation approach to JCCPs.  And two smoothing approaches are presented for overcoming the nonsmooth difficulty encountered in the DC approximations.




      他于1989年,1992年,1998年分别在大连理工大学获得理学学士,硕士,博士学位,1999-2001在中科院计算数学所从事博士后工作。目前的研究兴趣是矩阵优化随机规划。他完成和主持自然科学基金面上基金多项,重点基金子课题两项。发表SCI检索论文120多篇,在国际顶级期刊Math. Programming, Operations Research, SIAM J. Optimization, Mathematics of Operations Research, Mathematics of Computation 发表论文10余篇。现任中国运筹学会常务理事,中国运筹学会数学规划分会理事,中国运筹学会金融工程与金融风险管理分会副理事长,JAPOR》和《运筹学学报》编委。



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