Management Science and Information Systems' Seminar

Topic:Data-Driven Optimization

Speaker:Yinyu Ye

Affiliation:Stanford University

Time:Wednesday, 14 May. 14:00-16:00pm

Location:Room K01 Guanghua Building 2

Abstract：

We present several optimization models and algorithms dealing with uncertain, massive and/or structured data. Specifically, we discuss

? Distributionally Robust Optimization Models, where many problems can be efficiently solved when the associated uncertain data possess no priori distributions;

? Near-Optimal Online Linear Programming, where the constraint matrix is revealed column by column along with the objective function and a decision has to be made as soon as a variable arrives;

? Least-squares with Nonconvex Regularization, where a sparse or low-rank solution is sought;

? Alternating Direction Method of Multipliers (ADMM), where an example is given to show that the direct extension of ADMM for three-block convex minimization problems is not necessarily convergent, and possible convergent variants are proposed.

http://www.gsm.pku.edu.cn/resource/uploadfiles/docs/20140507/201405070959016882.pdf

Your participation is warmly welcomed!

Attached CV and paper.