Events Calendar

Epstein Institute / ISE 651 Seminar Series

Speaker: Uday V. Shanbhag, Associate Professor, Department of Industrial and Manufacturing Engineering (IME), Pennsylvania State University

Talk Title: On the Solution of Optimization and Variational Problems in Misspecified Regimes

Series: Epstein Institute Seminar Series

Abstract: We consider a class of optimization and variational problems that are misspecified in a parametric sense. Resolving this misspecification is assumed to require the solution of a distinct convex learning problem. Traditional sequential approaches that first solve the learning problem and then solve the correctly specified computational problem require that exact or accurate solutions are available in finite time. We consider an approach where both problems are solved simultaneously in optimization and variational regimes via standard first-order projected gradient, subgradient, and extra gradient methods. We provide global convergence results and rate analysis for the schemes where we quantify the degradation from learning. In the second part of the talk, we consider stochastic generalizations of the problem that require coupled stochastic approximation schemes. We will also mention related efforts to solve problems distributed stochastic optimization problems on time-varying graphs and misspecified MDPs. Finally, time permitting, we may discuss some ongoing research initiatives in the area of power systems and markets.


Biography: Since fall 2012, Uday V. Shanbhag has been an associate professor in the department of Industrial and Manufacturing Engineering (IME) at the Pennsylvania State University. Prior to arriving at Penn. State, from 2006-“2012, he was first an assistant professor, and subsequently a tenured associate professor, in the department of Industrial and Enterprise Systems engineering (ISE) at the University of Illinois at Urbana-Champaign. His research honors include the triennial A.W. Tucker Prize by the mathematical programming society (MPS) in 2006, the Computational Optimization and Applications (COAP) best paper award (with advisor Walter Murray) in 2007, and the best theoretical paper award in the Winter Simulation Conference (WSC) in 2013 (with Angelia Nedi'c and Farzad Yousefian). Additionally, he was a finalist for the Microsoft Faculty fellowship (2008) and was awarded the National Science Foundation (NSF) Faculty Early Career Development (CAREER) award in 2012 from the Operations Research program. Several of his doctoral students have been recognized by a range of honors including Uma Ravat (best student paper prize at the triennial International Conference on Stochastic Programming (2010)), Aswin Kannan (finalist for best student paper prize at the triennial International Conference on Stochastic Programming (2010)) and Huibing Yin (finalist for the best student paper prize at the IEEE Conference on Decision and Control (2009)). Uday V. Shanbhag has a Ph.D. from Stanford University's department of Management Science and Engineering (2006), with a concentration in operations research and was associated with the Systems Optimization Laboratory when at Stanford. He also holds masters and undergraduate degrees from the Massachusetts Institute of Technology (MIT), Cambridge (in Operations Research) and the Indian Institute of Technology (IIT), Bombay, respectively.

Host: Daniel J. Epstein Department of Industrial and Systems Engineering

More Information: Seminar-Shanbhag.docx

Location: Ethel Percy Andrus Gerontology Center (GER) - 206

Audiences: Everyone Is Invited

Contact: Georgia Lum