ALOP Colloquium with Prof. Dr. Georg Pflug

On October 24, 2016,  Prof. Dr. Georg Pflug  from the University of Vienna 

will join the ALOP-Colloquium and present his recent work:

Multistage Stochastic Optimization:
Approximation, bounds and ambiguity

Abstract

Multistage stochastic programs are – in contrast to two-stage programs – difficult variational problems for which solutions can be found only in exceptional cases. For this reason, we have to approximate them by easier programs. We show how a distance between these problems can be found by a variant of a transportation distance, which we call nested distance. It allows to quantify the approximation error. Alternatively, one may find upper and lower programs, that is simple stochastic programs, the optimal values of which give guaranteed upper and lower bounds. A refinement strategy allows to push the bound as close as we want it together. In a second part, we use the nested distance to describe the model uncertainty. This allows us to find distributionally robust solutions by some minimax approach.

At 15:45 there will be a coffee hour in E10. At 16:15 the presentation will take place in HS9.