13 septiembre, 2018
12:30 pma1:30 pm

Speaker: René Henrion (Weierstrass Institute for Applied Analysis and Stochastics).

Title: “Probabilistic Programming with Applications”.

Date: jueves 13 de septiembre, 12:30 horas.

Localication: Aula 0.2 del CIO (Edificio Torretamarit).

Abstract. Optimization problems with probabilistic constraints (or chance constraints) represent a major model of stochastic programming with numerous applications in engineering. Basically, in the presence of random parameters, a decision is declared to be feasible if it satisfies a given system of random inequalities with a prescribed high probability (e.g., 90%). The mathematical challenge of such problems is the absence of explicit formulae for the probability as a function of the decision. This makes the structural analysis (e.g., (semi-) continuity, differentiability, convexity etc.) and the algorithmic solution much more difficult than in a conventional setting. The talk provides some ideas in this direction along with applications to energy management.