{"597838":{"#nid":"597838","#data":{"type":"event","title":"DOS Seminar - Regan Baucke","body":[{"value":"\u003Cp\u003E\u003Cstrong\u003ETITLE: A Deterministic Decomposition Algorithm to Solve Multistage Stochastic Programs\u003C\/strong\u003E\u003C\/p\u003E\r\n\r\n\u003Cp\u003E\u0026nbsp;\u003C\/p\u003E\r\n\r\n\u003Cp\u003E\u003Cstrong\u003EABSTRACT\u003C\/strong\u003E:\u0026nbsp;\u003C\/p\u003E\r\n\r\n\u003Cp\u003EMultistage stochastic programming problems are an important class of optimisation problems, especially\u0026nbsp;in energy planning and scheduling. These problems and their solution methods have been\u0026nbsp;of particular interest to researchers in stochastic programming recently.\u0026nbsp;Because of the large scenario trees that these problems induce, current solution methods require\u0026nbsp;random sampling of the tree in order to build a candidate policy. Candidate policies are then evaluated using Monte Carlo simulation.\u0026nbsp; Under certain sampling assumptions, theoretical convergence is obtained almost surely.\u0026nbsp;In practice, the\u0026nbsp;convergence of a given policy requires a statistical test and is only guaranteed\u0026nbsp;at a given level of confidence.\u0026nbsp; \u0026nbsp;\u0026nbsp;\u003Cbr \/\u003E\r\nIn this talk, I will present a deterministic algorithm to solve these problems. The\u0026nbsp;main feature of this algorithm is a deterministic path sampling scheme during the\u0026nbsp;forward pass phase of the algorithm which is guaranteed to reduce the bound gap at\u0026nbsp;all the nodes visited. Because policy simulation is no longer required, there\u0026nbsp;is an improvement in performance over traditional methods for problems\u0026nbsp;in which a high level of confidence is sought.\u003C\/p\u003E\r\n\r\n\u003Cp\u003E\u0026nbsp;\u003C\/p\u003E\r\n\r\n\u003Cp\u003E\u003Cstrong\u003EBIO: \u003C\/strong\u003ERegan\u0026nbsp;Baucke\u0026nbsp;is a PhD Student at the University of Auckland working under the supervisors Golbon Zakeri and Anthony Downward.\u0026nbsp; His work focuses on multistage stochastic programming and risk aversion. He is a member of the EPOC research group at the University of\u0026nbsp;Auckland, which focuses on mathematical modeling and optimisation with the view of analyzing and improving the New Zealand electricity market.\u003C\/p\u003E\r\n","summary":null,"format":"limited_html"}],"field_subtitle":"","field_summary":"","field_summary_sentence":[{"value":"DOS Seminar - Regan Baucke"}],"uid":"34547","created_gmt":"2017-10-25 11:45:25","changed_gmt":"2018-02-13 22:14:31","author":"nhendricks6","boilerplate_text":"","field_publication":"","field_article_url":"","field_event_time":{"event_time_start":"2017-10-27T12:00:00-04:00","event_time_end":"2017-10-27T13:00:00-04:00","event_time_end_last":"2017-10-27T13:00:00-04:00","gmt_time_start":"2017-10-27 16:00:00","gmt_time_end":"2017-10-27 17:00:00","gmt_time_end_last":"2017-10-27 17:00:00","rrule":null,"timezone":"America\/New_York"},"extras":[],"groups":[{"id":"1242","name":"School of Industrial and Systems Engineering (ISYE)"}],"categories":[],"keywords":[],"core_research_areas":[],"news_room_topics":[],"event_categories":[],"invited_audience":[{"id":"78761","name":"Faculty\/Staff"},{"id":"78771","name":"Public"},{"id":"78751","name":"Undergraduate students"}],"affiliations":[],"classification":[],"areas_of_expertise":[],"news_and_recent_appearances":[],"phone":[],"contact":[],"email":[],"slides":[],"orientation":[],"userdata":""}}}