Seminar Series 3108 Etcheverry Hall Berkeley Campus November 17, 2014 3:40pm - 5:00pm Simge Kucukyavuz Ohio State University Free Admission Wheelchair accessible. For more information, email [email protected] or call 510.642.5484 Optimization Problems with Multivariate Risk Constraints Abstract We consider a class of multicriteria stochastic optimization problems that features benchmarking constraints based on conditional value-at-risk and second-order stochastic dominance. We develop alternative mixed-integer programming formulations and solution methods for cut generation problems arising in optimization under such multivariate risk constraints. We give the complete linear description of two non-convex substructures appearing in these cut generation problems. We present computational results on a homeland security budget allocation problem that show the effectiveness of our proposed models and methods. Bio Simge Küçükyavuz is an Associate Professor in the Integrated Systems Engineering Department at the Ohio State University. Prior to joining the faculty at Ohio State, Dr. Küçükyavuz was an Assistant Professor at the University of Arizona and a research associate at Hewlett-Packard Laboratories. She received her MSc and PhD degrees in Industrial Engineering and Operations Research from the University of California, Berkeley. She received her BS degree in Industrial Engineering from the Middle East Technical University in Ankara, Turkey. Her interests are in mixed-integer programming, large-scale optimization, optimization under uncertainty, and their applications. Her research is supported by multiple grants from the National Science Foundation, including the 2011 CAREER Award. She serves on the editorial boards of several journals, including Computational Optimization and Applications, Networks, and Journal of Global Optimization. http://ieor.berkeley.edu