海天学者学术报告
报告题目：CONVERGENCE ANALYSIS FOR MATHEMATICAL PROGRAMS WITH D
ISTRIBUTIONALLY ROBUST CHANCE CONSTRAINT
报告人: 徐慧福
( School of Mathematical Sciences, University of Southampton, UK)
报告时间: 2016年7月29日上午10:00-11:00
报告地点: 创新园大厦A1101
报告校内联系人：张立卫教授 (联系电话：84708351-8118)
报告摘要: Convergence analysis for optimization problems with chance constraints concerns impact
of variation of probability measure in the chance constraints on the optimal value and the optimal solutions
and research on this topic has been well documented in the literature of stochastic programming. In this
paper, we extend such analysis to optimization problems with distributionally robust chance constraints
where the true probability is unknown, but it is possible to construct an ambiguity set of distributions and
the chance constraint is based on the most conservative selection of probability distribution from the
ambiguity set. The convergence analysis focuses on impact of the variation of the ambiguity set on the
optimal value and the optimal solutions. We start by deriving general convergence results under abstract
conditions such as continuity of the robust probability function and uniform convergence of robust
probability functions and followed with detailed analysis of these conditions. Two sufficient conditions
have been derived with one applicable to both continuous and discrete probability distribution and the
other to continuous distribution but different from the well known traditional boundary condition in the
literature. Case studies are carried out for ambiguity sets being constructed through moments and samples.
报告人简介: 徐慧福博士是南安普顿大学数学科学学院教授，大连理工大学数学科学学院海天学者。徐教授是国际著名的优化专家，他从事连续优化研究26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 Research、SIAM J. Optimization、JOTA等国际顶级期刊发表论文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。
