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Event

Seminar@SystemX with Vincent Leclère

Vincent Leclère, researcher at the Ecole des Ponts ParisTech, will host a Seminar @ systemX on March 23 from 2 pm to 3:30 pm at the IRT SystemX (Bâtiment 863, Salle Bienvenüe) :

« Decomposition methods for stochastic optimization problems »

  • Date : 23/03/2017
  • Place : IRT SystemX - Centre d’intégration Nano-INNOV – Bât N3 8, Avenue de la Vauve – CS 90070 91127 PALAISEAU CEDEX

Résumé

A lot of industrial problems consists in managing a dynamic system over time by minimizing costs while satisfying all constraints. Most of the times some parameters are unknown or random and can be represented as stochastic process. Multistage stochastic optimization is the field of mathematics that deals with such problems. Even medium sized multistage stochastic program are numerically challenging. One way of dealing with these problems consists in decomposing them in smaller subproblems that are easier to solve. The subproblem will then send information over the solution to a master program that will adapt them. Iteratively the solution of the subproblem should leads to a solution to the global problem. Decomposition approach for deterministic problems are well-known, but extending them to a stochastic setting can be quite tricky.
In this talk we will present the framework of  multistage stochastic program and show different decomposition methods highlighting the use case conditions of these methods.

Biographie

After studying at the Ecole Polytechnique, Vincent Leclère followed the Master of Optimization, Games and Economic Modeling at the University of Paris VI. He then wrote a thesis on decomposition methods in stochastic optimization, before taking a post-doctoral degree at the University of Berkeley, California. In 2014 he joined the CERMICS, applied mathematics laboratory of the bridge school on subjects at the border in stochastic optimization, operational research and machine learning.

Keywords: Inria Saclay - Île-de-France Vincent Leclère IRT SystemX

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