Title: Distributional Robust Optimization: Applications in Portfolio Optimization and Predictive Choice Analytics
Speaker: Karthik Natarajan, Singapore University of Technology and Design
Time and Date: 10 a.m., Friday, November 8, 2013
Venue: ME 217, Mechanical Engineering Dept
Abstract: In this talk, I will discuss some new applications of distributional robust optimization in (a) Portfolio optimization and (b) Predictive choice analytics. In the portfolio optimization context, we develop a linear programming approach to incorporate robustness across different dependency structures among the random losses. In predictive choice analytics, we develop a first order gradient approach to predict choices and incorporate robustness with covariance information. The overall goal is to introduce some of the models and tools of distributional robust optimization and show its applicability across seemingly unrelated applications.
About the speaker: Karthik Natarajan is an Associate Professor at the newly established Singapore University of Technology and Design in the Engineering Systems and Design Pillar. Before this he spent 5 years at the Department of Mathematics at NUS and 2.5 years at the Department of Management Sciences, Business School, City University of Hong Kong. His research interests lie in the area of operations research and optimization under uncertainty.