Robust Optimization

Lecturer: Aharon Ben-Tal (Technion)

Stieltjes Visitor Professor 2009

March 3-4, 2009

Tilburg University, Tilburg, Seminar Room K 8.34

Aharon Ben-Tal (Technion) will give a workshop on the topic of robust optimization. He is one of the founding fathers of the popular robust optimization techniques. These techniques are more and more used nowadays in many areas: logistics, engineering, finance, marketing, and so on. He will give 4 lectures, spread over 2 days. He will start with an introduction to robust optimization. This workshop is especially meant for your young researchers (Mphil and PhD students, post-docs, and other young researchers).

Contents:

The course will cover the state-of-the-art of Robust Optimization—a modeling approach equipped with computational methods for dealing with conic optimization problems (linear, conic quadratic and semidefinite) affected by uncertainty, both static and dynamic (multi-stage). The various results will be accompanied by illustrative examples from diverse engineering and operations research applications.

Lecture 1 Introduction to Conic Optimization (with emphasis on conic quadratic and

semidefinite optimization).

Lecture 2 Robust solution of uncertain linear optimization problem.

Lecture 3 Robust conic quadratic and semidefinite optimization.

Lecture 4 Robust optimization of uncertainty affected Dynamic problems.

Program

March 3: Lecture 1 and 2

March 4: Lecture 3 and 4

Each lecture takes 2 hours.

Costs:

There are no costs involved for this workshop. Also the lunches are free. Please, contact Christel Smeets (tel: +31 13 466 3679 or e-mail c.smeets@uvt.nl) if you would like to attend this workshop. If needed, she can also help you with hotel arrangements.