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.

Seminars by year

Current 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 1996