High-dimensional Dependent Random Variables in Optimization

Research Seminar Series

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Date

25 Jan 2022
Organiser

Department of Industrial and Systems Engineering, PolyU
Time

16:00 - 17:20
Venue

Online via ZOOM

Speaker

Prof. Stein W. Wallace

Remarks

Meeting link will be sent to successful registrants

Summary

Most important decisions are made under uncertainty – there is always something important and unknown about the future. Stochastic programming is being used more and more to handle this uncertainty and thereby help us obtaining decisions that can face future uncertainty in a robust way. But our ability to handle uncertainty from a numerical perspective is limited. In particular, what can we do if the number of random variables is in the tens or hundreds of thousands and they are clearly dependent? A good example is speed data in a large city. Speed is clearly time dependent (if there is a traffic jam at 8.00 am, there is probably one at 8.10 as well) and space (if there is a traffic jam on one road out of an intersection at a certain time, there probably – or possibly - is one on other roads out of the same intersection at the same time). For larger cities, like Hong Kong, this leads to the kind of random variables just described. Assuming independence is very unreasonable as traffic jams will then come and go without any logic. Furthermore, the number of (road, time period) pairs will be huge.

Keynote Speaker

Prof. Stein W. Wallace

Professor of Operational Research
Leader of the Centre for Shipping and Logistics
Department of Business and Management Science
NHH Norwegian School of Economics
Norway

Stein W. Wallace is a Professor of Operational Research and leader of the Centre for Shipping and Logistics at NHH. He received his Dr. Scient degree in informatics from the University of Bergen in 1984. He has earlier held professorships at for example Lancaster University Management School, The Chinese University of Hong Kong and NTNU, as well as visiting positions at for example IBM Watson Research in NY, Columbia University, ENP Grenoble and The University of Washington. Wallace has published more than 100 papers in internationally leading journals such as Operations Research, Management Science, Transportation Science, Transportation Research B and C, Mathematical Programming and INFORMS Journal on Computing. He is best known for his work in stochastic programming (in particular the two books Stochastic Programming (with Peter Kall from 1994) and Modeling with stochastic programming (with Alan King from 2012), but also for work in logistics and energy systems. He has over 11000 citations. He is on numerous editorial boards. He founded the Norwegian OR Society and has held elected positions in The British OR Society as well as The Society for Transportation and Logistics in INFORMS and The Mathematical Programming Society.