Author: Andrzej Ruszczynski
At first, we shall identify strategic research directions in modern systems engineering. The main part of the talk will focus on one of the key areas: risk. We shall review fundamental approaches to risk quantification in decision problems. We shall discuss their main virtues and the theoretical and numerical challenges associated with their application. Then we shall focus on modeling risk in dynamical systems and discuss the property of time consistency and the resulting interchangeability in risk-averse optimal control models. Special attention will be paid to discrete-time Markov systems and risk-averse dynamic programming equations. During the talk, we shall present specific risk models in engineering, business, and medicine.
Professor Andrzej Ruszczyński received his PhD and Habilitation degrees in control engineering from the Warsaw University of Technology, Poland, in 1976 and 1983, respectively. Since then, he has worked for the Warsaw University of Technology, the University of Zurich, Switzerland, IIASA, Austria, Princeton University, USA, the University of Wisconsin-Madison, USA, and Rutgers University, USA, where he currently holds the rank of distinguished professor. Ruszczyński is one of the creators of and main contributors to the field of risk-averse optimization, author of the book “Nonlinear Optimization”, coauthor of “Lectures on Stochastic Programming” and “Stochastic Programming,” and author of more than 100 articles in the field of optimization. Ruszczyński has been a plenary speaker at several major international conferences and has held positions in influential scientific societies.