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  • Epstein Institute Seminar - ISE 651

    Tue, Oct 04, 2016 @ 03:30 PM - 04:50 PM

    Daniel J. Epstein Department of Industrial and Systems Engineering

    Conferences, Lectures, & Seminars

    Speaker: Anton Kleywegt, Ph.D., Associate Professor Georgia Tech

    Talk Title: Distributionally Robust Stochastic Optimization Using Wasserstein Distance

    Abstract: Distributionally robust stochastic optimization is an approach to optimization under uncertainty in which one hedges against a set of probability distributions, possibly taking into account available data. The talk considers a distributionally robust stochastic optimization problem that hedges against all probability distributions that are within a specified Wasserstein distance of a nominal distribution, for example, an empirical distribution obtained with data. We obtain a strong duality result, and we use it to derive a simple characterization of worst-case distributions in the Wasserstein ball. We use the results to study problems, including an on/off stochastic control problem, that would not make sense if one hedged against only an empirical distribution, but for which distributionally robust stochastic optimization formulations result in reasonable solutions.

    Biography: Anton Kleywegt is an associate professor in the Stewart School of Industrial & Systems Engineering at Georgia Tech. Dr. Kleywegt conducts research in optimization and stochastic modeling with applications in transportation, distribution, and logistics, especially in the following areas: vehicle routing and scheduling, inventory routing, distribution operations, fleet assignment, vendor managed inventory, distribution network design, yield management, terminal design and operations, logistics planning and control, multi-modal transportation, and intelligent transportation systems. He has also worked with Praxair, Columbian Chemicals Company, Delta Air Lines, Manhattan Associates, and The Home Depot on SCL projects in addressing logistics research in vendor managed inventory, fleet sizing and allocation, revenue management, scheduling of order picking, and distribution planning. Dr. Kleywegt received a Ph.D. from the School of Industrial Engineering at Purdue University in 1996 and joined the ISyE faculty this same year as an assistant professor.

    Host: Dr. John Gunnar Carlsson

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

    Audiences: Everyone Is Invited

    Contact: Angela Reneau

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