Today we were treated to a brilliant lecture by Professor Dimitris Bertsimas of the Sloan School at MIT, who spoke on Advances in Multistage Optimization in our Spring 2010 Speaker Series in Operations Research / Management Science at the Isenberg School at UMass Amherst. Professor Bertsimas is my "academic brother-in-law" since he is married to Professor Georgia Perakis, also a Professor at the Sloan School, whose doctoral dissertation advisor at Brown University was my dissertation advisor, Professor Stella Dafermos. Both Georgia and I have PhDs in Applied Math from Brown (with concentrations in Operations Research (O.R.)), so we are "academic sisters."
Professor Bertsimas began his lecture by recalling his conversations with Professor George Dantzig (now deceased), of Stanford University, when he visited Stanford 16 years ago. He said how much Dantzig (who is considered the Father of our field) had valued and had worked on planning under uncertainty. Above I have a photo from Bertsimas' lecture today that displays a photo of Dantzig. Professor Bertsimas discussed the challenges of stochastic programming (and probability theory) from a practical, computational perspective. He then moved on to adaptive optimization and discussed the advantages of robust optimization and some bounds that he had obtained which were not only powerful, but also surprising. He discussed applications to electric power generation, finance, and inventory management. Robust optimization "takes a deterministic view to protect yourself." The problem class in robust optimization that he focused on in his presentation is tractable and practically solvable.
The audience included faculty from Management Science, Finance, Computer Science, Economics, as well as students from many departments and guests who came even from Boston. We had a splendid lunch afterwards at the University Club with conversations that related wonderful stories about academic adventures, travels, research, and various universities (always fun to compare notes on such topics).
It was an honor to be able to host Professor Bertsimas in our Speaker Series!