大连理工大学数学科学学院
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【英国南安普顿大学】Preference Robust Optimization with Multi-Attribute Quasi-Concave Choice Functions

2019年09月24日 09:51  点击:[]

报告题目Preference Robust Optimization with Multi-Attribute Quasi-Concave Choice Functions

报告人徐慧福 教授(英国南安普顿大学)


报告时间:2019925日(星期16:00 -17:00


报告地点:创新园大厦A1101


报告校内联系人:张立 教授      联系电话84708351-8097


报告摘要: Decision maker's preferences are captured by choice functions which are used to rank prospects. In this talk, we study ambiguity in choice functions over a multi-attribute prospect space. Our main result is a robust preference model where the optimal decision is based on the worst-case choice function from an ambiguity set constructed through preference elicitation from pairwise comparisons of prospects. Differing from existing works, we focus on quasi-concave choice functions rather than concave functions enabling us to cover a wide range of utility/risk preference problems. Our robust choice function is non-decreasing and quasi-concave but not necessarily translation invariant, which is a key property of monetary risk measures. Our computational scheme is based on the support functions for the class of quasi-concave functions. We apply our technique to a security budget allocation problem and report preliminary experimental results.

 

报告人简介:徐慧福(Huifu Xu)博士现为南安普顿大学数学科学学院教授。他于1989年在南京大学获得计算数学硕士学位,1999年在澳大利亚 Ballarat大学获得博士学位。徐教授是国际著名优化专家,他从事连续优化研究20余年,先后对带均衡约束的数学规划问题、具有随机占优约束的优化问题等随机规划和分布鲁棒优化问题进行了系统研究,取得了一系列创新性成果。徐教授已在Mathematical ProgrammingMathematics of Operations ResearchSIAM Journal on Optimization等运筹学国际期刊发表论文70余篇,多次受邀在国际高水平学术会议上做大会报告,现为Computational Management Science等国际期刊的编委。

 

 

大连理工大学数学科学学院

2019923

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