ISyE Seminar Series - Henry Lam

Event Details
  • Date/Time:
    • Wednesday September 30, 2015
      3:00 pm
  • Location: Advisory Board Room, GC 402
  • Phone:
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  • Fee(s):
    N/A
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Summaries

Summary Sentence: ISyE Seminar Series - Henry Lam

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TITLE:  Model Uncertainty and Robust Stochastic Modeling

ABSTRACT:

Virtually any performance analysis in stochastic modeling relies on input model assumptions that, to some extent, deviate from the truth. This talk will investigate a robust framework to quantify these model errors, by positing worst-case optimizations over the input probability distributions subject to the modeler's partial, nonparametric information. We illustrate these optimization formulations in several stylized contexts in stochastic modeling, describe their computational challenges, and present some simulation-based machinery in approximating their solutions. We also illustrate their statistical connections with conventional input modeling in the stochastic simulation literature.

Additional Information

In Campus Calendar
No
Groups

School of Industrial and Systems Engineering (ISYE)

Invited Audience
Undergraduate students, Faculty/Staff, Graduate students
Categories
Seminar/Lecture/Colloquium
Keywords
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Status
  • Created By: Anita Race
  • Workflow Status: Published
  • Created On: Sep 28, 2015 - 3:37am
  • Last Updated: Apr 13, 2017 - 5:18pm