报告时间:2021年1月15日上午10:00-11:30

报告地点:不夜城娱乐会议室(玉衡北302)

报告题目:Distributionally Robust Stochastic Variational Inequalities

报告人:南京师范大学孙海琳教授

邀请人:童小娇校长

报告人简介:孙海琳,南京师范大学数学科学学院教授。研究领域包括随机优化,分布鲁棒优化、随机变分不等式及其在投资组合、风险管理和经济学模型上的应用。2018年获中国运筹学会青年科技奖和江苏省数学成就奖。他在包括Mathematical Programming、SIAM Journal on Optimization、Mathematics of Operations Research等国际权威期刊发表了二十多篇论文。

报告摘要:We propose a formulation of Distributionally Robust Variational Inequalities (DRVI) to deal with uncertainties of distributions of the involved random variables in variational inequalities. Examples of the DRVI are provided, including the optimality conditions for distributionally robust optimization and distributionally robust games. The existence of solutions and monotonicity of the DRVI are discussed. Moreover, we propose a sample average approximation (SAA) approach to the DRVI and study its convergence properties. Numerical examples of distributionally robust games are presented to illustrate solutions of the DRVI and convergence properties of the SAA approach.