【2019年6月4日】【管理科学与工程系学术讲座】Variational Inequalities, Optimization, and Nash Equilibria under Uncertainty
发布时间:05-21-19

题  目:Variational Inequalities, Optimization, and Nash Equilibria under Uncertainty

主讲人:Professor Sun Jie, Curtin University, Australia

时  间:2019年6月4日10:00-11:00

地  点:同济大厦A楼309教室

报告内容摘要

The concept of a stochastic variational inequality has recently beenextended to a format that covers, in particular, the optimality conditions for multistage stochastic programming and Nash equilibrium problems. This extension may have great impact on solving stochastic optimization and equilibrium problems in operations research.  One of the long-standing methods for solving such optimization problems is the progressive hedging algorithm.  That approach is demonstrated here to be applicable also to solving multistage stochastic variational inequality problems under monotonicity.  Stochastic complementarity problems are presented as a special case and explored numerically in a linear two-stage formulation.

Keywords: variational inequality; Optimization; Nash Equilibria

报告人简介

Professor Jie Sun is a world-renowned researcher and educator in optimization. He made outstanding contributions in the areas of interior point algorithms and semismooth Newton’ s methods. His recent research interest focuses on stochastic variational inequality and decision under uncertainty.  He has published more than 150 papers in optimization, business and mathematics journals. He was listed by Institute of Scientific Information as one of highly cited mathematicians 2003-2012 and has been a winner of Outstanding University Researcher Award at National University of Singapore.

Professor Sun was the chair of Pacific Optimization Research Activity Group 2011-2014, has been editors/associate editors of flagship journals such as Mathematical Programming, Mathematics of Operations Research, and Pacific Journal of Optimization. He has been a chair professor at National University of Singapore and a fellow of Singapore-MIT Alliance. Currently, he is a distinguished research emeritus professor at Curtin University, Australia.

 

 

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