Montag, 06. November 2017, 16:45 - 17:45 iCal

ISOR Colloquium

"Probabilistic Constraints in infinite dimensions"

Speaker: René Henrion (WIAS Berlin)

HS 7 OMP1, 1st floor
Oskar-Morgenstern-Platz 1, 1090 Wien


An optimization problem subject to probabilistic (chance) constraints has the general form min?{f(x)|P(g(x,?)?0)?p}, where x is a decision variable, f is an objective function, ? is a random vector, g is a (random) constraint mapping, P refers to a probability measure and p?(0,1) is some probability level. The inequality above (called probabilistic constraint) defines a decision x to be feasible if the random inequality system g(x,?)?0 is satisfied with at least probability p. Applications of such problems are abundant in engineering, namely in power management. Traditionally, they are embedded into the area of operations research, i.e. with finite-dimensional decisions. Recently, there has been growing interest in probabilistic state constraints in PDE constrained optimization. This requires new investigations about continuity, differentiability, convexity of such problems in an infinite dimensional setting. The talk provides some recent results in this direction along with a few applications.

Zur Webseite der Veranstaltung


Institut für Statistik und Operations Research


Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651