Dimitris Bertsimas, Ph.D.
Boeing Professor of Operations Research Sloan School of Management; Operations Research Center Massachusetts Institute of Technology
For almost all its history, probability theory has been the predominant model for describing uncertainty in Operations Research. However, optimization under uncertainty suffers from the curse of dimensionality when the primitive elements are probability distributions. Because of this, a tractable theory has not emerged.We show that when the primitive elements for describing uncertainty are polyhderal or conic uncertainty sets, the central models of optimization under uncertainty (linear, mixed integer, conic), models known as robust optimization, can be reformulated as optimization problems of the same structure and a mild increase in dimension, and thus are tractably solvable both practically and theoretically.We also show how to construct uncertainty sets from data and risk preferences.We also describe adaptive optimization, a tractable theory for optimization under uncertainty with recourse when uncertainty is described via uncer- tainty sets. Finally, we present applications of these methods to optimal control, inventory theory and multiperiod asset allocation.
Dimitris Bertsimas received the B.S. in Electrical Engineering and Computer Science from the National Technical University of Athens, Greece in 1985, the M.S. in Operations Research from MIT in 1987, and the Ph.D. in Applied Mathematics and Operations Research from MIT in 1988. Since 1988, he has been with MIT’s Sloan School of Management. His research interests include optimization, stochastic systems, data mining, and their application. He has published widely, and is area editor for Operations Research and associate editor for Mathematics of Operations Research. He has co- authored the following books: Introduction to Linear Optimization (with J. Tsitsiklis, Athena Scientific, 1997), Data, Models and Decisions (with R. Freund, Dynamic Ideas, 2004) and Optimization over Integers (with R.Weismantel, Dynamic Ideas, 2005). He is a member of the National Academy of Engineering, and has received numerous research awards
including the Erlang prize (1996), the SIAM Prize in Optimization (1996), the Bodossaki Prize (1998), and the Presidential Young Investigator Award (1991-1996).