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Khintchine-Type
Inequalities and Their Applications in Optimization
By
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Professor
Man-Cho So, Anthony
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Department
of Systems Engineering & Engineering
Management
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The
Chinese University of Hong Kong
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Date:
Sept 25, 2008 |
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Time:
4:30pm - 5:30 pm |
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Venue:
Rm. 121, Ho Sin Hang Engineering Building, CUHK |
Abstract
:
In this talk we first give a brief introduction to
Khintchine-type inequalities, which are inequalities
that bound the moments of the norm of a certain sum
of independent Banach space-valued random variables.
Then, we will discuss how these inequalities can be
used to obtain the best known bounds for several optimization
problems, including the approximation of a class of
quadratic optimization problems with orthogonality
constraints, the design of so-called safe tractable
approximations for chance constrained linear matrix
inequality systems, and the design of efficient sampling
procedures for certain stochastic optimization problems.
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