Risk-averse Stochastic Vector Optimization <\/p>\n
Yrd. Do\u00e7. Dr. \u00c7a\u011f\u0131n Ararat, IE, Bilkent
\nMarch 30, Friday 13:30
\nEA-409 <\/p>\n
Abstract <\/strong> Short Bio of the speaker <\/strong> Risk-averse Stochastic Vector Optimization Yrd. Do\u00e7. Dr. \u00c7a\u011f\u0131n Ararat, IE, Bilkent March 30, Friday 13:30 EA-409 Abstract Two-stage risk-averse stochastic optimization is concerned with the minimization of a risk measure of a random cost function over the feasible choices of a deterministic (first stage) and a random (second stage) decision [\u2026] <\/p>\n
\nTwo-stage risk-averse stochastic optimization is concerned with the minimization of a risk measure of a random cost function over the feasible choices of a deterministic (first stage) and a random (second stage) decision variable. We study the multi-objective version of this problem in which case the cost function is vector-valued and its risk is quantified via a set-valued risk measure. The proposed formulation is a convex vector optimization problem with set-valued constraints. To approximate the set of all Pareto efficient solutions of this problem, we propose customized versions of Benson’s algorithm. In particular, by randomizing the first-stage decision variable, we develop convex duality-based decomposition methods to find dual solutions to the scalar subproblems appearing in Benson’s algorithm and a final procedure to recover primal solutions from the dual ones. The computational methods are tested on a multi-asset portfolio optimization problem with transaction costs. <\/p>\n
\n\u00c7a\u011f\u0131n Ararat is an Assistant Professor in the Department of Industrial Engineering at Bilkent University. He received his BS degree in 2010 from the same department, followed by a PhD degree in 2015 from the Department of Operations Research and Financial Engineering at Princeton University. His research interests include vector- and set-valued functions in financial mathematics, multivariate risk, systemic risk and stochastic optimization. He is a member of SIAM, INFORMS and AMS. <\/p>\n","protected":false},"excerpt":{"rendered":"