PIMS-UCalgary Operations Research and Analytics Series: Dr. Tamás Terlaky

  • Date: 01/20/2017
  • Time: 11:00
Tamás Terlaky, Lehigh University, PA

University of Calgary


Mixed-Integer Second-Order Cone Optimization (MISOCO):Disjunctive Conic Cuts (DCCs) and Portfolio Models


The use of integer variables naturally occurs in Second Order Conic Optimization (SOCO) problems, just as in linear and nonlinear optimization, thus the need for dedicated Mixed Integer SOCO (MISOCO) algorithms and software is evident. This talk gives some insight into the design of Disjunctive Conic Cuts (DCCs) for MISOCO problems, and into the complexity of identifying disjunctive conic cuts. The novel DCCs may be used to develop Branch-and-Conic-Cut algorithms for MISOCO problems. Preliminary computational experiments by solving classes of MISOCO Portfolio Selection problems show the power of the DCC approach.
Finally, we discuss some pathological cases when DCCs are not useful.

Based on joint work with J. Góez, S. Cay, M. Shahabsafa, P. belotti, I. Pólik, and T. Ralphs







Speaker Biography

Prior to his appointment at Lehigh U., Prof. Terlaky has taught at Eötvös U., Budapest, Hungary; Delft University of Technology, Delft, Netherlands; McMaster U., ON, Canada. At McMaster he also served as the founding Director of the School of Computational Engineering and Science.
Prof. Terlaky has published four books, edited over ten books and journal special issues and published over 160 research papers. Topics include theoretical and algorithmic foundations of operations research (e.g., invention of the criss-cross method), design and analysis of large classes of interior point methods, computational optimization, worst case examples of the central path, nuclear reactor core reloading optimization, oil refinery and VLSI design optimization and robust radiation therapy treatment optimization.


Prof. Terlaky is Founding Editor-in-Chief of the journal, Optimization and Engineering. He has served as associate editor of eight journals and has served as conference chair, conference organizer, and distinguished invited speaker at conferences all over the world. He was general Chair of the INFORMS 2015 Annual Meeting, a former Chair of INFORMS' Optimization Society, Chair of the ICCOPT Steering Committee of the Mathematical Optimization Society, he is Fellow of the Fields Institute, Fellow of INFORMS. He received the MITACS Mentorship Award for his distinguished Ph.D. student supervisory record, and the Award of Merit of the Canadian Operations Research Society.

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This lecture is sponsored jointly by PIMS, UC Math Department, Haskayne School of Business and the Schulich School of Engineering.



Evans Room in the Rozsa Centre (University of Calgary).