Title: On the analysis and solution of stochastic variational inequality problems
Speaker: Uday V. Shanbhag, Penn. State University
Date: 9:30 am, Tuesday August 14, 2012
Venue: Room 217, Mechanical Engineering Building
Abstract:
We consider the stochastic variational inequality problem in which the mappings contain expectations over a possibly general measure space and associated sets may be unbounded. In this talk, we consider two directions. First, we provide tractable verifiable conditions for showing existence that do not necessitate integration. Important such conditions are provided for quasi-variational inequalities and complementarity problems and can further accommodate multivalued maps. Second, we discuss some stochastic approximation schemes for monotone stochastic variational inequalities that incorporate regularization and allow for adaptive modifications of step lengths based on rules that leverage problem parameters.
Speaker profile:
Effective August 2012, Uday V. Shanbhag will be an associate professor in the department of Industrial and Manufacturing engineering (IME) at the Pennsylvania State University. Prior to joining Penn. State, he was an assistant professor in the department of Industrial and Enterprise Systems engineering (ISE) at the University of Illinois at Urbana-Champaign from 2006--2012 and a tenured associate professor in ISE as of summer 2012. His research awards include the triennial A.W. Tucker Prize for his doctoral dissertation by the mathematical programming society (MPS) in 2006, Computational Optimization and Applications (COAP) best paper award (with Walter Murray) in 2007, and the National Science Foundation Faculty Early Career Development (CAREER) award in 2012 from the Operations Research program. Uday V. Shanbhag has a Ph.D. from Stanford University's department of Management Science and Engineering (2006), with a concentration in operations research. He also holds masters and undergraduate degrees from the Massachusetts Institute of Technology (MIT), Cambridge (in Operations Research) and the Indian Institute of Technology (IIT), Bombay (in Aerospace Engg.), respectively. His research interests lie in the development of analytical and computational tools for optimization, variational and equilibrium problems complicated by uncertainty, nonconvexity, competition and dynamics with application interests in the design and operation of power systems and markets.