ISE Seminar Series

Date/Time

04/12/2019
11:45 am-12:35 pm
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Location

234 Weil Hall
1949 Stadium Road
Gainesville, FL 32611

Details

David Morton, Ph.D.
David A. & Karen Richards Sachs Professor & Department Chair
Department of Industrial Engineering & Management Sciences, Northwestern University

Abstract: Models and Algorithms for Multi-stage Stochastic Programming

We consider two classes of multi-stage stochastic linear programs (MSLPs) that lend themselves to solution by stochastic dual dynamic programming (SDDP). First, we consider a distributionally robust MSLP. Here, the specific realizations in each stage are fixed, and distributional robustness is with respect to the probability mass function governing those realizations. Second, we consider a class of partially observable MSLPs. In both cases, we describe a computationally tractable variant of SDDP to solve the model. This is joint work with Oscar Dowson, Daniel Duque, and Bernardo Pagnoncelli.

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Department of Industrial and Systems Engineering at the University of Florida