講座題目：Dynamic Stochastic Approximation for Multi-Stage Stochastic Optimization with Applications in Asset Allocation 2019-06-14

講座題目：Dynamic Stochastic Approximation for Multi-Stage Stochastic Optimization with Applications in Asset Allocation

報告人：Prof. Guanghui (George) Lan, H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology

講座時間：2019年6月25日（星期二）上午10:00-11:30

講座地點：bwin必贏唯一官網(wǎng)3樓313教室

講座內(nèi)容：In this talk, we first review some basic modeling techniques and solution methods for multi-stage stochastic optimization which has wide applications in operations management, such as inventory control and asset allocation. We then present a new stochastic first-order method, namely the dynamic stochastic approximation (DSA) algorithm, for solving these types of stochastic optimization problems. In particular, we show that DSA will be efficient in solving problems with a large number of decision variables, but a relatively small number of stages. We illustrate the advantages of this method over existing ones for solving a classic multi-stage asset allocation problem.

學(xué)者介紹：Guanghui (George) Lan博士畢業(yè)于佐治亞理工學(xué)院（Georgia Institute of Technology），現(xiàn)為佐治亞理工學(xué)院副教授。主要研究方向為非線性規(guī)劃、隨機(jī)優(yōu)化以及機(jī)器學(xué)習(xí)。他的研究成果在SIAM Journal on Optimization, Mathematical Programming, Journal of Computation Mathematics, Mathematical Programming等高水平期刊上發(fā)表。此外，Guanghui (George) Lan博士擔(dān)任Mathematical Programming, SIAM Journal on Optimization and Computational Optimization and Applications的副主編。