讲座题目：Dynamic Stochastic Approximation for Multi-Stage Stochastic Optimization with Applications in Asset Allocation 2019-06-14

讲座题目：Dynamic Stochastic Approximation for Multi-Stage Stochastic Optimization with Applications in Asset Allocation

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

讲座时间：2019年6月25日（星期二）上午10:00-11:30

讲座地点：管理学院3楼313教室

讲座内容：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.

学者介绍：Guanghui (George) Lan博士毕业于佐治亚理工学院（Georgia Institute of Technology），现为佐治亚理工学院副教授。主要研究方向为非线性规划、随机优化以及机器学习。他的研究成果在SIAM Journal on Optimization, Mathematical Programming, Journal of Computation Mathematics, Mathematical Programming等高水平期刊上发表。此外，Guanghui (George) Lan博士担任Mathematical Programming, SIAM Journal on Optimization and Computational Optimization and Applications的副主编。