Jörg Fliege (University of Southampton)

On robust multiobjective optimisation
Friday 14 March 2014 at 13.00, JCMB 5215

Abstract

Motivated by Markowitz portfolio optimization problems under uncertainty in the problem data, we consider general convex parametric multiobjective optimization problems under data uncertainty. For the first time, this uncertainty is treated by a robust multiobjective formulation in the gist of Ben-Tal and Nemirovski. For this novel formulation, we investigate its relationship to the original multiobjective formulation as well as to its scalarizations. A further reformulation, based on set-valued optimisation, leads to a framework for descent algorithms with semi-infinite direction search programs.

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