El próximo jueves 13 de septiembre a las 12:30 horas en aula 0.2 del edificio Torretamarit, el prof. René Henrion (Weierstrass Institute for Applied Analysis and Stochastics de Berlín), impartirá la conferencia que lleva por título “Probabilistic Programming with Applications”.

­­­Título: Probabilistic Programming with Applications

Ponentes: René Henrion (Weierstrass Institute for Applied Analysis and Stochastics de Berlín)

Fecha: jueves 13 de septiembre a las 12:30

Lugar: Aula 0.2, Edificio Torretamarit, Universidad Miguel Hernández (Campus de Elche)

Investigador organizador: Juan Parra López

Abstract:

Optimization problems with probabilistic constraints (or chance constraints) represent a major model of stochastic programming with numerous applications in engineering. Basically, in the presence of random parameters, a decision is declared to be feasible if it satisfies a given system of random inequalities with a prescribed high probability (e.g., 90%). The mathematical challenge of such problems is the absence of explicit formulae for the probability as a function of the decision. This makes the structural analysis (e.g., (semi-) continuity, differentiability, convexity etc.) and the algorithmic solution much more difficult than in a conventional setting. The talk provides some ideas in this direction along with applications to energy management.