Stability and Continuity in Robust Linear and Linear Semi-Infinite Optimization

SEMINARIO DEL DOCTORADO DE ESTADÍSTICA, OPTIMIZACIÓN Y MATEMÁTICA APLICADA. CURSO 2015-2016

Título: Stability and Continuity in Robust Linear and Linear Semi-Infinite Optimization

Ponentes: Ph.D. Student Philip Allen Mar (University of Toronto, Canada)

Fecha: viernes 20 de noviembre de 2015 a las 13:00 horas

Lugar: Sala de Seminarios del  Instituto Universitario de Investigación CIO, Edificio Torretamarit

Resumen:

Robust optimization (RO) is an important mathematical optimization methodology to handle uncertainty. However, unlike Stochastic Optimization, little work has been done to study stability properties of robust optimization problems with respect to the uncertainty set. We discuss the stability properties of robust problems satisfying the Strong Slater condition, with respect to their uncertainty sets. We show, by way of results in Linear Semi-Infinite Optimization, that the optimal values of the robust optimization problem are Lipschitz continuous with respect to the Hausdorff distance between their respective uncertainty sets.

Breve Bio:

Philip Allen Mar finished his master studies (M.Sc.) in Mathematics at the University of Toronto (Canada) in 2012 and currently is teaching (as assistant) and developing his Ph.D. thesis on Industrial Engineering in the same university. His research interests and first publications concern operations research, robust optimization, and applications to healthcare problems. He has also obtained several awards from different Canadian institutions.