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Home | Seminars and Symposia | Past seminars/symposia: Thursday, January 24, 2013

DTC Seminar Series

Optimization Problems with Probabilistic Constraints

by

Gabriela Martinez
Institute for Mathematics and its Applications
University of Minnesota

Thursday, January 24, 2013
3:15 p.m.

402 Walter Library

MartinezA large number of problems arising in engineering, finance, production planning and scheduling require that decision be made in the presence of uncertainty. Problems of optimization under uncertainty are characterized by the necessity of making decision without knowing what their full effects will be. An approach to deal with this difficulty would be to find a decision which is feasible with high probability. Probabilistic constraints offer a way to model reliability in optimization problems, i.e, the system's ability to meet feasibility in an uncertain environment. In this talk, we are going to give a brief review of optimization problems with probabilistic constraints. Our emphasis will be on probabilistic constraints with random right-hand side, we will discuss their structure and numerical solutions methods.

 

Gabriela Martinez is an industrial postdoctoral fellow at the Institute for Mathematics and its Applications of the University of Minnesota. She received a PhD. degree in applied mathematics from Stevens Institute of Technology, Hoboken, NJ. Her research interests are focused on stochastic programming and its applications. In particular, she has experience working on optimization of power systems: unit commitment and optimal dispatch of generating thermal units, smart grid optimization with stochastic demand. She has published her work in Mathematical Programming Series A, Annals of Operations Research and European Journal of Operational Research, and has served as a reviewer for Annals of Operations Research and INFORMS Journal on Computing.