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Stochastic Decomposition: A Revival

Mathematics of Data and Decisions

Speaker: Suvrajeet Sen, USC
Related Webpage: https://viterbi.usc.edu/directory/faculty/Sen/Suvrajeet
Location: 1147 MSB
Start time: Tue, Mar 19 2019, 4:10PM

Stochastic Decomposition (SD) is a Stochastic Linear Programming algorithm which is experiencing a resurgence after more than 30 years of its invention. This algorithm, which was born around 1987, celebrated its thirtieth anniversary by announcing new results related to variance reduction, and new optimality tests. Subsequently, other new results allowing random costs, as well as convergence rates have been discovered recently. This seminar will discuss both mathematical and computational aspects, and we will also discuss real-scale problems arising in renewable integration for the electricity grid.