Featured event

CVaR

SILO Seminar – Victor Zavala

Event Details

When: January 20, 2016, 12:30 PM

Location: 3rd Floor Orchard View Room , Discovery Building

Contact: 608-316-4401, hstampfli@wisc.edu

Victor Zavala

Victor Zavala, Assistant Professor, CBE, UW-Madison

A Conditional-Value-at-Risk Framework for Multi-Stakeholder Optimization

Video: https://vimeo.com/154897631

We use CVaR to create a general framework for computing compromise solutions in a multi-objective, multi-stakeholder setting. In this setting, we sample the preferences of a population of stakeholders and we observe that the stakeholder dissatisfactions (distance to their utopia points) can be interpreted as random variables. Consequently, we shape the dissatisfaction distribution by solving a CVaR minimization problem parameterized in the probability level. We use the concept of the CVaR norm to give a geometric interpretation to this problem and note that the CVaR formulation includes average and worst-case approaches previously proposed in the literature. We also use the properties of the CVaR norm to prove that the CVaR minimization problem yields Pareto optimal solutions for any choice of the probability level. We discuss the use of the generalized entropy index to compute compromise decisions with fairness guarantees.

This is joint work with Alex Dowling and Luis Fabian Fuentes.

The weekly SILO seminar series is made possible through the generous support of the 3M Company and its Advanced Technology Group

SILO is a lecture series with speakers from the UW faculty, graduate students or invited researchers that discuss mathematical related topics. The seminars are organized by WID’s Optimization research group.

SILO’s purpose is to provide a forum that helps connect and recruit mathematically-minded graduate students. SILO is a lunch-and-listen format, where speakers present interesting math topics while the audience eats lunch.