Thursday, 14:15 - 14:40 h, Room: H 3021

 

Zhichao Zheng
Least square regret in stochastic discrete optimization

Coauthor: Chung Piaw Teo

 

Abstract:
We describe an approach to find good solution to combinatorial optimization problem, when the objective function is random. We use the notion of least square regret, i.e., the expected squared deviation from the optimal solution with perfect hindsight, to measure the performance of the proposed solution. This mimics the tracking error minimization approach often used in the portfolio optimization literature

 

Talk 3 of the invited session Thu.2.H 3021
"Combinatorial optimization under uncertainty" [...]
Cluster 2
"Combinatorial optimization" [...]

 

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