Virtual robust optimization seminar at UC Berkeley Mathematics
05 Mar 2024I gave a seminar to a group of UC Berkeley Mathematics students on robust optimization. Here was the abstract of the talk:
Robust optimization is an approach for deterministic decision making in an uncertain world. It turns stochastic optimization problems that contain uncertain parameters belonging in an uncertainty set, into deterministic optimization problems that are immune to uncertain outcomes. This is achieved through the formulation of a robust counterpart. This interactive talk will demonstrate, both theoretically and practically, that the robust counterpart is useful for addressing a range of problems of interest. The talk will include derivations of some key principles behind robust optimization, provide intuitions about its practice, and discuss the price of robustness! It will also include a live demo of the solution of a facility location problem, using three flavors of robustness.
The slides are available here.
Berk