SIE Seminar: Suvrajeet Sen
September 29, 2022 - 2:00 p.m. (MST)
Suvrajeet Sen
Professor of Industrial and Systems Engineering
University of Southern California
"Using Stochastic Dual Dynamic Programming (SDDP) to Solve Stochastic LPs?"
ENGR 301 | Zoom link
Abstract: This is an update of a talk Sen gave at Arizona in Fall 2021. The topic he covered then was a generalization of compromise decisions (from Stochastic LPs) to Stochastic MIPs. In the talk this year, Sen will first present some of the pitfalls of using a single sample to solve SAA instances. In general, such decisions can be relatively poor because SDDP can fail to recognize non-optimality. In this talk, he will present another generalization of compromise decisions to compromise policies. Sen shows, both mathematically and computationally, that compromise policies provide far greater accuracy, even in cases where the number of stages (periods) is very large.
Bio: Suvrajeet Sen is a professor at the Daniel J. Epstein Department of Industrial and Systems Engineering at the University of Southern California. Prior to joining USC, he was a professor at Ohio State University (2006-2012), and the University of Arizona (1982-2006). He has also served as the program director of OR, as well as Service Enterprise Systems at the National Science Foundation. Professor Sen’s research is devoted to many categories of optimization models, and he has published over one hundred papers, with the vast majority of them dealing with models, algorithms and applications of Stochastic Programming problems. He has served on several editorial boards, including Operations Research as Area Editor for Optimization and as Associate Editor for INFORMS Journal on Computing, INFORMS Journal on Optimization, Journal of Telecommunications Systems, Mathematical Programming B, Operations Research, SIAM J. on Optimization. He also serves as an advisory editor for several newer journals. Professor Sen was instrumental in founding the INFORMS Optimization Society in 1995, and also served as its chair (2015-16), and led the process culminating in the creation of the new journal, INFORMS Journal on Optimization. He led a team of colleagues who were jointly recognized by the INFORMS Computing Society for their “seminal work” on Stochastic Mixed-Integer Programming. Professor Sen is a Fellow of INFORMS. Except for his years at NSF, he has received continuous extramural research funding from NSF for a stretch of years lasting over 25 years. His work is currently funded by AFOSR, ONR, and DOE.