Monday, July 13

MS11
Applications of Large-Scale Optimization

2:00 PM-4:00 PM
Room: Sidney Smith 1073

Practical optimization is playing an increasingly important role in engineering, computational science, and industry. This is partially explained by the recent development of optimization methodologies that exploit problem structure and hence can be applied to large-scale problems. The purpose of this minisymposium is to illustrate this trend with recent work on applied optimization, with emphasis on industrial and financial concerns.

2:00 Option Pricing and Linear Complementarity

Jacqueline Huang and Jon-Shi Pang, Johns Hopkins University

2:30 Exploiting Structure of Large QPS Arising in Statistical Learning Theory

Yuying Li and Edoardo Amaldi, Cornell University

3:00 Recent Trends for Optimization in Financial Engineering

John Birge and Vadim Linetsky, University of Michigan, Ann Arbor

3:30 Design Optimization Using Surrogates

Andrew J. Booker, Boeing Shared Service Group; J. E. Dennis, Jr., Rice University; Paul D. Frank, Boeing Shared Service Group; David B. Serafini, Berkeley Laboratory; Virginia Torczon, College of William & Mary; and Michael W. Trosset, University of Arizona