### GEORGE MASON
UNIVERSITY

DEPARTMENT OF MATHEMATICAL
SCIENCES

COLLOQUIUM

APRIL 4, 2019

**Speaker: **
Alexander Shapiro, Georgia Institute of Technology

**Title: ***
Computational complexity of stochastic programs
*

**Abstract: **
The traditional approach to solving stochastic programming problems involves discretization of the underlying probability distributions. However, the number of
required discretization points (called scenarios) grows exponentially both with increase
of the number of random parameters and number of stages. In order to deal with this
exponential explosion, randomization approaches based on Monte Carlo sampling techniques were developed. In this talk we discuss computational complexity of some of such methods from theoretical and practical points of view.

**Time:** Thursday, April 4, 2019, 10:50-11:50 a.m.

**Place:** Johnson Center, Room 334 (Meeting Room E) and Room 336 (Meeting Room F)

**Coffee** will be served at 10:20 a.m.

Department of Mathematical Sciences

George Mason University

4400 University Drive, MS 3F2

Fairfax, VA 22030-4444

http://math.gmu.edu/

Tel. 703-993-1460, Fax. 703-993-1491