报告题目：A Smoothing Function Approach to Joint Chance Constrained Programs

报告人：张立卫）（大连理工大学）

时间：2016-05-15

地点：数学与统计学院一楼报告厅

摘要：We develop a smoothing approach to solvingjoint chance constrained optimization problems. A class ofsmoothing functions are proposed to approximate a joint chance constraintfunction, based on which smooth optimization problems are constructed to approximate the joint constrained optimization problem. We show that the solutions of thesequence of smoothing approximations converge to a Karush-Kuhn-Tucker (KKT)point of the JCCP under a certain asymptotic regime. Five examples in the class of smoothing functions are explored, in which the approximation smoothing problems are demonstrated to be DC constrained optimization problems. And the sequential convex approximation approach developed by Hong, Yang and Zhang (2011) are employed to solve the DC constrained optimization problems. Furthermore, wepropose to use a gradient-based Monte Carlo method to solve thesequence of convex approximation problems.quadratic semi-definite programming. (This is a joint work with Feng Shan and Xiantao Xiao)

报告时间：5月15日下午2:30

报告人简介：

张立卫,1966年9月出生,大连理工大学数学科学学院教授，运筹学与控制论专业博士生导师，金融数学与保险专业博士生导师。1989，1992，1998于大连理工大学应用数学系获得学士，硕士和博士学位，1999-2001在中科院计算数学与科学工程计算研究所从事博士后研究工作。1992年留校工作，1999年被评聘为教授。张立卫从1995年起访问过意大利Bergmao大学，新加坡南洋理工大学，新加坡国立学，香港中文，香港理工，香港科技大学，与同行合作。张立卫现任《运筹学学报》编委，中国运筹学会数学规划分会副理事长。张立卫目前的研究兴趣是“随机优化”，“矩阵优化”与“均衡优化”。