讲座题目：Risk-Averse Stochastic Network Interdiction
讲座时间：2016年6月16日 9：00-10:00

讲座地点：中央财经大学沙河校区西区主教学楼506教室
报告人：Dr. Ricardo A. Collado
史蒂文斯理工学院商学院副教授

研究方向：

Stochastic Networks: Risk-averse network interdiction, development of risk-aware and risk-averse stochastic network optimization theory and methods.

Stochastic Optimization: Risk-averse stochastic optimization, dynamic programming, approximation to dynamic programs, decomposition methods of stochastic programs.

Applications: Homeland security, interdiction problems on networks, energy systems, risk modeling in financial systems, and related fields.

报告摘要：

Network interdiction is the monitoring or halting of an adversary’s activity on a network. The interdiction problem arises naturally in a variety of areas related to Homeland Security such as military logistics, national security, infectious disease control, and counter-terrorism. In our version of the problem we play the role of the interdictor on a network with a given set of sources and destinations where each edge has assigned a probability of blocking and a cost of monitoring. Our objective is to block with high probability an unknown source-destination path traveled by an evader while satisfying budgetary constraints. In this paper we introduce the stochastic path network interdiction problem and show a reformulation in the form of a two-stage stochastic problem. We leverage the theory of coherent and threshold risk measures to develop risk-averse variants of the network interdiction problem. These variants consider the risk introduced by errors in the intelligence data. Furthermore, we show computationally feasible methods to solve the proposed risk-averse models and computational results.

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