讲座题目：Dynamic Stochastic Approximation for Multi-Stage Stochastic Optimization with Applications in Asset Allocation

报告人：Prof. Guanghui (George) Lan, H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology

讲座时间：2019年6月25日（星期二）上午10:00-11:30

讲座地点：性爱直播 3楼313教室

讲座内容：In this talk, we first review some basic modeling techniques and solution methods for multi-stage stochastic optimization which has wide applications in operations management, such as inventory control and asset allocation. We then present a new stochastic first-order method, namely the dynamic stochastic approximation (DSA) algorithm, for solving these types of stochastic optimization problems. In particular, we show that DSA will be efficient in solving problems with a large number of decision variables, but a relatively small number of stages. We illustrate the advantages of this method over existing ones for solving a classic multi-stage asset allocation problem.

学者介绍：Guanghui (George) Lan博士毕业于佐治亚理工性爱直播 （Georgia Institute of Technology），现为佐治亚理工性爱直播 副教授。主要研究方向为非线性规划、随机优化以及机器学习。他的研究成果在SIAM Journal on Optimization, Mathematical Programming, Journal of Computation Mathematics, Mathematical Programming等高水平期刊上发表。此外，Guanghui (George) Lan博士担任Mathematical Programming, SIAM Journal on Optimization and Computational Optimization and Applications的副主编。