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Stochastic Decomposition: A Revival
Mathematics of Data & 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 |
Description
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.