Séminaire SysNum concernant des thématiques des WP1 et WP2 mais ouvert à tous les membres intéressés de la Communauté.

Boris Detienne - Introduction to robust optimization

Jeudi 17 janvier à 11h au A33 (IMB) - salle 386

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.