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Title : Recent Advances in Nonlinear Optimization and its Applications
Date : January 28, 2008
Speaker : Jorge Nocedal, Professor
Affiliation : Department of Electrical Engineering and Computer Science, McCormick School of Engineering and Applied Science, Northwestern University
Abstract
70 years ago, John von Neumann presented at the Vienna Colloquium the fundamentals of duality -- one of the key concepts in optimization and game theory. Today, we continue to find new optimization applications that require extensions of the theory and new algorithms. In this talk I will focus on three classes of applications, the modeling of American options pricing, contact problems in robotics and moral hazard models in economics, and discuss the challenges they pose to contemporary optimization algorithms. These case studies allow us to review progress in nonlinear optimization achieved in the last 5 years. To conclude the talk, I return to the concept of duality and illustrate some key points using pictures.
Biosketch
Jorge Nocedal's research interests are in optimization and scientific computing, and in their application in financial engineering, computer-aided design and machine learning. His work ranges from algorithm design and analysis to software development. He serves in the editorial boards of SIAM J. Optimization, Mathematical Programming and SIAM Review. In 1994 he founded (with S. Wright) the Optimization Technology Center , which is operated by Argonne and Northwestern. He is one of the founders of Ziena Optimization Inc, a company devoted to optimization software.
In 1998 he was appointed Bette and Neison Harris Professor of Teaching Excellence at Northwestern. Jorge Nocedal is listed in the ISI Highly Cited list (mathematics category).
