大连理工大学数学科学学院
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【西安交通大学】Stability Analysis of Optimization Problems with $k$-th Order Stochastic and Distributionally Robust Dominance Constraints Induced by Full Random Recourse

2019年07月15日 10:07  点击:[]

报告题目Stability Analysis of Optimization Problems with $k$-th Order Stochastic and Distributionally Robust Dominance Constraints Induced by Full Random Recourse

 

报告时间:2019719日(周五)下午17:00-1800

 

报告地点:创新园大厦A1101

 

报告人:陈志平教授  西安交通大学

 

校内报告联系人: 张立卫 刘永朝                 联系电话:84708351-8141

 

报告摘要:In this talk, we consider stochastic optimization problems with $k$-th order dominance constraints induced by full random recourse. We first introduce the optimization model with dominance constraints and its distributionally robust counterpart.  After establishing the closedness and convexity of the feasible solution set, we derive the qualitative stability about the constraint set mapping with respect to the simultaneous perturbations of the random variable and the benchmark. Furthermore, we obtain the quantitative stability results of the constraint set mapping, the optimal value function and the optimal solution set under the Hausdorff metric, which extend the present results to the locally Lipschitz continuity case. Finally, for stochastic optimization problems with $k$-th order distributionally robust dominance constraints, we derive the corresponding quantitative stability results under the appropriate pseudo metric.

 

报告人简介: 剑桥大学博士后,西安交通大学数学与统计学院教授、博士生导师。长期从事随机规划理论及其应用、分布式鲁棒优化、金融风险度量与投资分析等领域的研究,在SIAM Journal on OptimizationJournal of Optimization Theory and Applications, European Journal of Operational ResearchAnnals of Operations Research, Journal of Banking Finance, Journal of Economic Dynamics and Control, Insurance: Mathematics and Economics, Economic Modelling, Quantitative Finance等运筹学、经济与金融期刊发表SCISSCI)检索论文60余篇。所主持批准号为70971109的国家自然科学基金项目在结题项目绩效评估中被评为特优。现为《OR Spectrum》编委,《Big Data and Information Analytics》编委、《工程数学学报》编委、编辑部主任;现任中国运筹学会金融工程与金融风险管理分会副会长、常务理事,中国管理科学与工程学会金融计量与风险管理研究会常务理事。现任西安交通大学西安数学与数学技术研究院常务副院长、国家天元数学西北中心副主任。

 

                                                    数学科学学院

                                              2019715

 

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