SysNum Seminar WP1-WP2 - Boris Detienne, Associate Professor Université de Bordeaux - jeudi 17 janvier 11h IMBle Thursday 17 January 2019 to 11h
Boris Detienne, Associate Professor Université de Bordeaux
Introduction to robust optimization
Jeudi 17 janvier à 11h au A33 (IMB) - salle 386 (CHANGEMENT : SALLE 2)
Robust Optimization (RO) covers modeling and solving approaches for mathematical optimization problems where the data is uncertain. While Stochastic Optimization seeks for solutions whose expected objective value is optimized, RO aims at finding solutions that are feasible whatever the data in the so-called uncertainty set. By extension, solutions minimizing the worst-case objective value is minimized.
In this talk, we will present the basic formalism of RO and give an overview of approaches existing to cope with this kind of problems. Some of those will be illustrated on toy examples and a real-life industrial problem in the field of power production.