Seminars Fall 2010
We have two Seminar Series: Brown Bag Seminars and RUTCOR Colloquia.
Brown Bag Seminars are usually held on Thursdays, 12:00-1:00 PM, in the RUTCOR lounge. Pizza is served but feel free to bring your own lunch. The Brown Bag Seminar Series usually hosts speakers from the RUTCOR community. Unless otherwise noted, all the brown bag seminars listed below will be held at 12:00 Noon in the RUTCOR lounge.
RUTCOR Colloquia are usually held on Thursdays, 1:30-2:30 PM, in the Seminar Room or Room 139. The RUTCOR Colloquia Series features speakers from outside the RUTCOR community. Unless otherwise noted, all the RUTCOR colloquia listed below will be held at 1:30 PM in Room 139 in the RUTCOR building.
12/16/10 RUTCOR BrownBag:
Speaker: Michael Tortorella
Affiliation: RUTCOR
Title: On cumulative jump random variables
Abstract: Stochastic processes with discontinuous sample paths are ubiquitous, with major applications in mathematical finance, the mathematical theory of reliability, and many other fields. Sometimes, the modeling focus is on the jumps themselves, such as the case of counting the number of transitions in a semi-Markov process in a given time interval. This talk describes some analytical tools for studying cumulative jump random variables (CJRV). The primary approach is via an integral representation for a CJRV that is based on the Friedrich mollifier theory. We show some results concerning the expected value of a CJRV. In sufficiently regular cases, we obtain a representation that resembles the fundamental theorem of calculus even though there are discontinuities present. We present an example showing how to compute the expected number of occurrences of a regenerative event in a given time interval.
12/9/10 RUTCOR Colloquium:
Speaker: Martin Anthony
Affiliation: London School of Economics
Title: Robust Cutpoints in the Logical Analysis of
Numerical Data
Abstract: Techniques for the logical analysis of binary data have successfully been applied to non-binary data which has been `binarized' by means of cutpoints. We analyse the predictive performance of such techniques and, in particular, we derive generalization error bounds that depend on how `robust' or `definitive' the cutpoints are.
12/2/10 RUTCOR BrownBag:
Speakers: Amr El-Bakry and Jin-Hwa Song
Affiliation: Corporate Strategic Research
ExxonMobil Researach and Engineering Co.
Titles:
Optimization Challenges in the Oil and Gas Industry
Abstract: The talk is a high-level overview of the journey that a hydrocarbon molecule takes from the reservoir to the consumer. Throughout the talk, the speaker will point out where optimization opportunities arise and discuss the challenges optimization technology faces in addressing those problems.
A Practical Approach to a Maritime Inventory Routing Problem
Abstract: ExxonMobil transports significant volumes of vacuum gas oil (VGO) on an annual basis from supply points in Northwest Europe to U.S. refineries. Optimizing these transportation costs via modern mathematical programming technology allows for significant cost savings. We introduce a practical problem for simultaneous optimization of ship routing and inventory management of a bulk refinery product. Even though this ship inventory routing problem and the conventional Inventory Routing Problem (IRP) have similar structures, differences arise in various characteristics such as complex routing and time dependent costs, cargo draft limits at ports and allowing routes with multiple pick-ups and drop-offs. We develop discrete time optimization models and practical heuristic algorithms which address these various real-world issues.
11/18/10 RUTCOR BrownBag:
Speaker: Ondrej Cepek
Affiliation: Charles University, Prague, Czech Republic
Title: Properties of Single Lookahead Unit Resolution
(SLUR) formulae
Abstract: Horn formulae constitute an important subclass of Boolean formulae for which the satisfiability problem (SAT) is solvable in polynomial time. There are several generalizations of Horn formulae which maintain polynomial time solvability of SAT, e.g. hidden Horn formulae, q-Horn formulae, extended Horn formulae, and SLUR formulae. In this talk we will concentrate on the last class: the class of SLUR formulae. We will present its definition (based on a non-deterministic algorithm) and summarize its known properties. In the main part of the talk we will concentrate on two recently discovered (and perhaps somewhat suprising) facts about SLUR CNFs: (1) every Boolean function permits a SLUR CNF representation, and (2) given a CNF it is co-NP-complete to decide, wheter it belongs to the SLUR class or not.
11/11/10 RUTCOR BrownBag:
Speaker: Anh Ninh
Affiliation: RUTCOR
Title: Proof of logconcavity of some compound Poisson
and related distributions
Abstract: Compound Poisson distributions play important role in many applications (telecommunication, hydrology, insurance, etc.). In this paper, we prove that some of the compound Poisson distributions have the logconcavity property that makes them applicable in stochastic programming problems. The proofs are based on classical Turan types theorem and orthogonal polynomials.
9/30/10 RUTCOR BrownBag:
Speaker: Andrzej Ruszczynski
Affiliation: RUTCOR and Business School
Title: Dynamic Risk-Averse Optimization
Abstract: We present the concept of a dynamic risk measure and discuss its important properties. In particular, we focus on time-consistency of risk measures and their local property. Next, we focus on dynamic optimization problems for Markov models. We introduce the concept of a Markov risk measure and we use it to formulate risk-averse control problems for two Markov decision models: a finite horizon model and a discounted infinite horizon model. For both models we derive risk-averse dynamic programming equations and a value iteration method. For the infinite horizon problem we also develop a risk-averse policy iteration method and we prove its convergence. We propose a version of the Newton method to solve a non-smooth equation arising in the policy iteration method and we prove its global convergence. Finally, we discuss relations to Markov games.