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UID:www.tcs.tifr.res.in/event/516
DTSTAMP:20230914T125927Z
SUMMARY:Recent Developments in Simulation-based Stochastic Optimization
DESCRIPTION:Speaker: Peter W. Glynn (Thomas W. Ford Professor in the School
of Engineering\nStanford University\nHuang Engineering Center 357\nStanfo
rd\, CA 94305\nUnited States of America)\n\nAbstract: \nABSTRACT: In many
different applications settings\, it is of interest to numerically optimiz
e a system over a set of decision variables. When the system contains unce
rtainty\, it often is the case that either the objective function to be mi
nimized and/or the constraints on the set of feasible decision variables w
ill involve expectations of random variables. One possible approach to num
erical optimization is to generate a random sample from which one can effe
ctively create a global approximation to the objective function and constr
aints\, and to numerically optimize the approximating surface using conven
tional optimization methods. This approach is known as "sample-average app
roximation" (SAA). Another alternative is to randomly sample points in the
space of feasible decision variables\, to conduct simulations at these po
ints\, and to approximate the optimal value on the basis of the best sampl
e mean observed at these points. This "random search" approach has propert
ies quite different from those associated with SAA. In this talk\, we will
discuss and contrast the performance of these two different families of a
lgorithms\, in the setting in which the sample size and/or the number of p
oints sampled is large. Our discussion will point out the key role that sm
oothness of the objective function in the decision variable plays in these
algorithms.\nABOUT THE SPEAKER : Peter W. Glynn also holds a courtesy app
ointment in the Department of Electrical Engineering. He was Director of S
tanford's Institute for Computational and Mathematical Engineering from 20
06 until 2010. He is a Fellow of INFORMS and a Fellow of the Institute of
Mathematical Statistics\, has been co-winner ofÂ the John von Neumann The
ory Prize from INFORMS in 2010. In 2012\, he was elected to the National A
cademy of Engineering. His research interests lie in simulation\, computat
ional probability\, queueing theory\, statistical inference for stochastic
processes\, and stochastic modeling.\n
URL:https://www.tcs.tifr.res.in/web/events/516
DTSTART;TZID=Asia/Kolkata:20140702T160000
DTEND;TZID=Asia/Kolkata:20140702T170000
LOCATION:AG-66 (Lecture Theatre)
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