Prof. Guanghui (George) Lan
Industrial and Systems Engineering
Georgia Institute of Technology
Talk:
Algorithmic Foundations of Risk-averse Optimization
Abstract:
Over the past two decades, stochastic optimization has made remarkable strides, driving its widespread adoption in data-driven decision making. However, most existing models prioritize minimizing expected loss, often leaving decisions vulnerable to costly or catastrophic failures and raising concerns about their trustworthiness in high-stakes applications. Risk-averse optimization provides a principled approach to mitigating such vulnerabilities, yet its adoption remains limited due to the lack of scalable and efficient solution methods. In this talk, I will present the algorithmic foundations of risk-averse optimization, focusing on an important class of L_P risk measures. I will introduce novel lifted reformulations that enhance tractability, develop stochastic approximation algorithms with provable convergence guarantees, and establish fundamental complexity limits. These advances provide a deeper theoretical understanding of risk-aware decision-making, laying the groundwork for more robust and trustworthy systems.
Biography:
George Lan is an A. Russell Chandler III Chair and Professor of Industrial and Systems Engineering at Georgia Institute of Technology. His research and teaching interests lie in theory, algorithms and applications of stochastic optimization and nonlinear programming. Most of his current research concerns the design of efficient algorithms for solving challenging optimization problems, especially those arising from data analytics, machine learning, and reinforcement learning. He actively pursues the applications of these methodologies in healthcare and sustainability areas. Dr. Lan serves as the associate editor for Computational Optimization and Applications (2014 – present), Mathematical Programming (2016 – present), SIAM Journal on Optimization (2016 – present), and Operations Research (2023 – present). Dr. Lan is an associate director for the center of machine learning at Georgia Tech.
