Shen Peng: Chance constrained problem and some applications.
Tid: Fr 2019-10-04 kl 11.00 - 12.00
Föreläsare: Shen Peng
Uncertainty is a natural property of complex systems. Imprecise model parameters and random disturbances are major sources of uncertainties that may have a severe impact on the performance of the system. Chance constrained optimization is a natural and widely used approach to provide profitable and reliable decisions under uncertainty. And the topics around the theory and applications of chance constrained problems are interesting and attractive. In this talk, I will briefly introduce the chance constrained problems both from theoretical and application perspectives, including geometric chance constrained problems, distributionally robust chance constrained problems and applications in game theory and financial market.