School Seminars and Colloquia

On the Numerical Solution of Non-Linear Optimisation Problems with Probability Constraints

School Seminar

by Andrea Macrae


Institution: The University of Melbourne
Date: Fri 27th June 2008
Time: 10:30 AM
Location: JH Michell Theatre, Richard Berry Bldg, The Uni of Melb

Abstract: Optimisation under a probability constraint is essential in many everyday
workings. Examples include but are not limited to, financial applications, where
the event of bankruptcy if funds have plunged below a particular level may occur; or in
aerospace travel, where it is necessary to determine an alternative route before a collision
with a meteorite may occur. These examples include an element of risk, which in
fact, may be ”fatal”. Thus, while it is impossible to provide a guarantee on these events
not occuring, probabilty constraints instead allow for the knowledge that it won’t occur
with a certain degree of probability.

For More Information: Sanming Zhou s.zhou@ms.unimelb.edu.au