ISyE Seminar Series: Lewis Ntaimo
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 "Expected Conditional Risk Measures for Risk-Averse Multistage Stochastic Programs"Presentation by Professor Lewis Ntaimo Wednesday, February 3 |
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About the seminar: Risk-averse multistage stochastic programming (MSSP) provides a framework for modeling sequential decision-making problems involving uncertainty and risk. It offers the advantage of enabling optimal decisionmaking in the face of unforeseen future outcomes. However, despite having many real-world applications, riskaverse MSSP problems are very challenging to solve due to their large-scale nature and the incorporation of risk measures into the formulation. Therefore, this calls for novel decomposition methods to tackle these problems. In this talk, we introduce the expected conditional risk measure (ECRM) for both deviation and quantile risk measures. ECRMs are attractive because they are time-consistent, which means that a plan made today will not be changed in the future if the problem is re-solved given a realization of the random variables. We show that solving risk-averse problems based on ECRMs is as complex as solving risk-neutral ones and therefore, amenable to the stochastic dual decomposition (SDDP) method. We illustrate our results with extensive numerical computations for problems from hydrothermal scheduling. The results show that ECRMs provide superior performance over the risk-neutral approach in terms of costs. In particular, the new approach shows higher expected costs in the early stages to hedge against cost spikes in later stages. Presentation slides (pdf) |
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Bio: Lewis Ntaimo is a Professor, Department Head, and the Sugar and Mike Barnes Department Head Chair of the Wm Michael Barnes ‘64 Department of Industrial and Systems Engineering at Texas A&M University and has been with the university since 2004. He obtained his PhD in Systems and Industrial Engineering in 2004, MS in Mining and Geological Engineering in 2000, and BS in Mining Engineering in 1998, all from the University of Arizona. Dr. Ntaimo’s primary research interest is in deriving models and solution methods for decision-making problems involving uncertainty and risk, systems modeling and process optimization, and computer simulation. Recent applications include patient and resource management in healthcare, wildfire management, air traffic flow management, aircraft assembly line production optimization, energy reduction in data centers, and wind farm operations and maintenance. His research over the years has been funded by the National Science Foundation, Department of Homeland Security, and industry. Dr. Ntaimo is a member of INFORMS and IISE, and he is the Past-President of the INFORMS Minority Issues Forum. He currently serves as associate editor for INFORMS Journal on Computing, IISE Transactions, IISE Transactions on Healthcare Systems Engineering, SN Operations Research Forum, and is on the Editorial Board of the Journal of Global Optimization and Computational Optimization and Applications Journal. |
Seminar Video: