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LANS Informal Seminar: Stefan Wild
June 13, 2018 @ 10:30 CDT
Seminar Title: Derivative-Free Robust Optimization By Outer Approximations
Speaker: Stefan Wild, Computational Mathematician, MCS/ANL
Date/Time: 2018-06-13 10:30
Location: Bldg. 240. Rm. 1404-1405
Description:
We develop an algorithm for minimax problems that arise in robust optimization in the absence of objective function derivatives. The algorithm utilizes an extension of methods for inexact outer approximation in sampling a potentially infinite-cardinality uncertainty set. Clarke stationarity of the algorithm output is established alongside desirable features of the model-based trust-region subproblems encountered. We demonstrate the practical benefits of the algorithm on a new class of test problems.
Joint work with Matt Menickelly.