Complexity and heuristics in stochastic optimization

Tuesday, October 19, 2010 - 11:00am - 12:00pm
Keller 3-180
Teemu Pennanen (Helsinki University of Technology)

Combining recent results on numerical integration and optimization, we derive a polynomial bound on the worst case complexity of a class of static stochastic optimization problems. We then describe a technique for reducing dynamic problems to static ones. The reduction technique is only a heuristic but it can effectively employ good guesses for good solutions. This is illustrated on an 82-period problem coming from pension insurance industry.

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