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Upcoming Events

Monday, November 20, 2017

Fatma Kilinc-Karzan — Online First-Order Framework for Robust Convex Optimization

Colloquium | November 20 | 3:30-5 p.m. | 3108 Etcheverry Hall


Fatma Kilinc-Karzan, Carnegie Mellon University

Industrial Engineering & Operations Research


Robust optimization (RO) has emerged as one of the leading paradigms to efficiently model parameter uncertainty. The recent connections between RO and problems in statistics and machine learning domains demand for solving RO problems in ever more larger scale. However, the traditional approaches for solving RO formulations based on building and solving robust counterparts or the iterative...   More >

Monday, November 27, 2017

Agostino Capponi - Bail-Ins And Bail-Outs: Incentives, Connectivity, And Systemic Stability

Seminar | November 27 | 3:30-5 p.m. | 3108 Etcheverry Hall


Agostino Capponi, Columbia University

Industrial Engineering & Operations Research


We develop a framework to analyze the consequences of alternative designs for interbank networks, in which a failure of one bank may lead to others. Earlier work had suggested that, provided shocks were not too large (or too correlated), denser networks were preferred to more sparsely connected networks because they were better able to absorb shocks. With large shocks, especially when systems are...   More >



Jon Lee — Comparing relaxations via volume for nonconvex optimization

Colloquium | November 27 | 3:30-5 p.m. | 3108 Etcheverry Hall


Jon Lee, University of Michigan

Industrial Engineering & Operations Research


Abstract: Practical exact methods for global optimization of mixed-integer nonlinear optimization formulations rely on convex relaxation. Then, one way or another (via refinement and/or disjunction), global optimality is sought. Success of this paradigm depends on balancing tightness and lightness of relaxations. We will investigate this from a mathematical viewpoint, comparing polyhedral...   More >