Seminar Series

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
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.
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.