[Ml-stat-talks] Princeton Optimization Seminar, Thu. Oct 22, 3 PM: Alexander Shapiro, Georgia Tech
Amir Ali Ahmadi
a_a_a at princeton.edu
Sun Oct 18 15:49:36 EDT 2015
----- Princeton Optimization Seminar -----
DATE: Thursday, October 22, 2015
TIME: 3:00 PM (Note the unusual time)
LOCATION: Sherrerd Hall 125 (Note the unusual location)
SPEAKER: Alexander Shapiro, Georgia Tech
TITLE: Statistical Inference of Empirical Estimates of Stochastic Programs<https://orfe.princeton.edu/abstracts/optimization-seminar/statistical-inference-empirical-estimates-stochastic-programs>
In this talk we discuss statistical properties of empirical (sample) estimates of the optimal value and optimal solutions of stochastic programs. Examples include the classical Maximum Likelihood method, Sample Average Approximation (SAA) approach to two and multistage stochastic programming and risk averse stochastic optimization. We give a survey of consistency (Law of Large Numbers), asymptotics (Central Limit Theorem) and Large Deviations type results. In particular, this has an application to investigation of sample complexity of two and multistage stochastic programming.
Alexander Shapiro is a Professor in the School of Industrial and Systems Engineering at Georgia Institute of Technology. He has published more than 130 research articles in peer review journals and is a coauthor of several books. His research is widely cited and he was listed as an ISI Highly Cited Researcher in 2004 (ISI = Institute for Scientific Information). He is on the editorial board of several professional journals, such as Mathematics of Operations Research, ESAIM: Control, Optimization and Calculus of Variations, Computational Management Science. He was an area editor (Optimization) of Operations Research, currently he is the Editor-in-Chief of the Mathematical Programming, Series A, journal. He gave numerous invited keynote and plenary talks, including invited section talk (section Control Theory & Optimization) at the International Congress of Mathematicians 2010, Hyderabad, India. In 2013 he was a recipient of Khachiyan prize awarded by the INFORMS Optimization Society.
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