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Colloquium- Sara Shashaani North Carolina State University

1 Apr @ 3:30 pm - 4:30 pm

Colloquium- Sara Shashaani North Carolina State University

1 Apr @ 3:30 pm – 4:30 pm

Sara Shashaani

Department of Industrial and Systems Engineering

North Carolina State University

 

Title: Adaptive Sampling with Trust-region Optimization for Nonconvex Stochastic Functions.
Abstract: Simulation Optimization problems are often non-convex, derivative-free, and with stochastic noise that may be notably heteroskedastic. There is emerging evidence that stochastic trust-region methods are very effective at solving such problems, especially due to their natural ability to self-tune step sizes. The ASTRO algorithm is one that uses trust-region methods with adaptive sampling for efficiency. The paradigm of adaptive sampling is one where the simulation effort for estimating the function value at each solution is chosen based on its distance to optimality. In this talk, I explain this class of algorithms and its recent trend in improving sample complexity using variance reduction techniques. Lastly, I describe a future direction towards robustness of solving Simulation Optimization problems that can extend to machine learning applications by incorporating estimation bias stemming from input uncertainty.
Bio: Sara Shashaani is an Assistant Professor in Edward P. Fitts Department of Industrial and Systems Engineering at North Carolina State University. Her research interests lie in the intersection of simulation, analytics, and stochastic optimization with a focus on continuous zeroth-order problems as well as high-dimensional binary decision spaces. Quantifying bias in the model outputs with nonparametric approaches is another direction of her research, seeking to broaden the advantage of Monte Carlo methodology for machine learning. She is an active member and elected treasurer of the INFORMS Simulation Society and the co-creator of SimOpt: the open-source library and benchmarking platform for simulation optimization. Her research has contributed to renewable energy, climate adaptation, advanced manufacturing, and public health application areas.

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Colloquium- Sara Shashaani North Carolina State University

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Details

Date:
1 Apr
Time:
3:30 pm – 4:30 pm

Venue

120 Hanes Hall
Hanes Hall, Chapel Hill, NC, 27599, United States

Organizer

Department of Statistics & Operations Research

Details

Date:
1 Apr
Time:
3:30 pm - 4:30 pm
Event Category:

Venue

120 Hanes Hall
Hanes Hall
Chapel Hill, NC 27599 United States
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