Lehigh ISE Spencer C. Schantz Distinguished Lecture Series

Time: Thursday, July 28, 2022, 5:00 p.m. - 6:00 p.m.

Location: Via Zoom. The Zoom link can be obtained by sending an email to skd220@lehigh.edu by July 18, 2022.

Lehigh faculty, students, and ICCOPT 2022 participants will be able to see and listen to the lecture in Perella Auditorium (Room 184), Rauch Business Center. 

Speaker: Stephen J. Wright, University of Wisconsin-Madison

Title: Primal-Dual Optimization Methods for Robust Machine Learning and Generalized Linear Programming

 

Abstract:

We consider a convex-concave primal-dual optimization framework in which the coupling between primal and dual variables is bilinear. This framework admits linearly constrained optimization together with a variety of interesting problems in machine learning, including (linear) empirical risk minimization with various regularization terms. It also includes a formulation that we term “generalized linear programming'” (GLP) in which regularization terms and constraints are added to the traditional linear programming formulation, provided they admit efficient prox operations. Problems from differentially robust optimization (DRO), using either f-divergence metrics or Wasserstein metrics, can be formulated as GLPs.

We describe algorithms for our framework that take prox-gradient steps alternately in the primal and dual variables, but incorporate such additional features as coordinate descent, variance reduction, dual averaging, importance sampling, and iterate averaging.  Our methods can also exploit sparsity in the matrix that couples primal and dual variables.  Our methods match or improve on the best-known worst-case complexity bounds in various settings. Computational experiments indicate that our methods also have good practical performance.

The talk represents joint work with Ahmet Alacaoglu, Jelena Diakonikolas, Chaobing Song, Eric Lin, and Volkan Cevher.

 Bio:

Stephen J. Wright holds the George B. Dantzig Professorship, the Sheldon Lubar Chair, and the Amar and Balinder Sohi Professorship of Computer Sciences at the University of Wisconsin-Madison. His research is in computational optimization and its applications to data science and many other areas of science and engineering. Prior to joining UW-Madison in 2001, Wright held positions at North Carolina State University (1986-1990) and Argonne National Laboratory (1990-2001). He has served as Chair of the Mathematical Optimization Society (2007-2010) and as a Trustee of SIAM for the maximum three terms (2005-2014). He is a Fellow of SIAM. In 2014, he won the W.R.G. Baker Award from IEEE for best paper in an IEEE archival publication during 2009-2011. He was awarded the Khachiyan Prize by the INFORMS Optimization Society in 2020 for lifetime achievements in optimization and received the NeurIPS Test of Time Award in 2020 for a paper presented at that conference in 2011. Prof. Wright is the author / coauthor of widely used text and reference books in optimization including “Primal Dual Interior-Point Methods” and “Numerical Optimization” and, most recently, “Optimization for Data Analysis.” He has published widely on optimization theory, algorithms, software, and applications. Prof. Wright served from 2014-2019 as Editor-in-Chief of the SIAM Journal on Optimization and previously served as Editor-in-Chief of Mathematical Programming Series B. He has also served as Associate Editor of Mathematical Programming Series A, SIAM Review, SIAM Journal on Scientific Computing, and several other journals and book series.  

This lecture series is endowed in the name of the late Spencer C. Schantz, who graduated from Lehigh in 1955 with a B.S. in Industrial Engineering. Following progressive responsibilities with several electrical manufacturing companies, in 1969 he founded U.S. Controls Corporation and became its first CEO and President. The Spencer C. Schantz Distinguished Lecture Series was established by his wife Jerelyn as a valuable educational experience for faculty, students and friends of Lehigh’s Industrial and Systems Engineering department.


 

Past Schantz Lectures:
Tais O'Dwyer
Microsoft
Thursday, May 12, 2022
Mohler Laboratory, Room 355
"Technology as the Competitive Differentiator in Financial Services" (postponed)
 
Michael Pinedo
New York University
Wednesday, May 4, 2022
Mohler Laboratory, Room 453
"Scheduling Applications in Industry - Steelmaking and Microelectronics"
 
David Burdakin
President, JBT Aero Tech
Thursday, October 21, 2021
Wood Dining Room, Iacocca Hall
"Great Businesses...How do they do it?" (Public)
 
Jorge Nocedal
Northwestern University
Tuesday, September 14, 2021
Mohler Laboratory, Room 453
"Constrained Optimization in the Presence of Noise" (Technical)
 
Yurii Nesterov
University of Louvain
Monday, August 2, 2021
Zoom Presentation
"Inexact High-Order Proximal-Point Methods with Auxiliary Search Procedure" (Technical)
 
Stacey Cunningham '96
President, NYSE Group
Thursday, May 2, 2019
Neville Auditorium
"Engineering the 21st Century Stock Exchange" (Public)
 
Dr. R. Tyrrell Rockafellar
Professor Emeritus, University of Washington
Wednesday, April 24, 2019
Mohler Laboratory, Room 451
"Risk and Reliability in Optimization Under Uncertainty" (Technical)
 
Mikell Groover
Professor Emeritus, Lehigh University
Thursday, May 3, 2018
Wood Dining Room, Iacocca Hall
“The Evolution of Lehigh University’s Industrial and Systems Engineering Department” (Public)
 
William J. Cook
University of Waterloo
Wednesday, November 29, 2017
Sinclair Laboratory Auditorium
“In Pursuit of the Traveling Salesman: Mathematics at the Limits of Computation” (Public)
 
William J. Cook
University of Waterloo
Thursday, November 30, 2017
Mohler Lab, Room 453
“Guiding the Cutting-Plane Method” (Technical)
 
Sunil A. Misser '88G
CEO, Accountability
Thursday, April 20, 2017
Sinclair Auditorium
“Responsible Business – Rebuilding Trust and Creating Value” (Public)
 
Alain Haurie
Professor Emeritus, University of Geneva, Switzerland
Tuesday, April 18, 2017
Mohler Lab, Room 453
“Modeling Energy Transition to Sustainability in a Smart Grid/Smart City Environment” (Technical)
 
Richard R. Verma '90
U.S. Ambassador to India
Thursday, April 28, 2016
Neville Hall, Room 001
“Technology, Innovation, and American Diplomacy in the 21st Century” (Public)
 
Dr. Ronald G. Askin '75
Professor of Industrial Engineering and Director of the School of Computing, Informatics, and Decision Systems Engineering
Wednesday, April 27, 2016
Mohler Lab, Room 451
"Industrial Engineering: Key Principles and Paradigms Developed to Date and the Opportunities and Challenges for the Future" (Technical)
 
Dr. Robert Bixby
Noah Harding Professor Emeritus of Computational and Applied Mathematics at Rice University and visiting Professor in the Department of Mathematics at Universitat Erlangen
Thursday, September 24, 2015
Sinclair Auditorium
“Computational Progress in Linear and Mixed Integer Programming” (Public)
 
Dr. Radhika Kulkarni
Vice President of Advanced Analytics R&D at SAS Institute Inc
Tuesday, September 30, 2014
Sinclair Auditorium
"Succeeding with Business Analytics - Key Challenges" (Public)
"Big Data and Big Analytics - Opportunities for Interdisciplinary Innovation" (Technical)
 
Brenda Dietrich
IBM Fellow and VP, IBM Watson Group
Thursday, April 17, 2014
Lewis Laboratory, Room 270
"Cognitive Computing: Behind and Beyond Jeopardy!" (Public)
"Business Analytics: Making Operations Research Ubiquitous" (Technical)
 
Ralph E. Gomory
Research Professor, New York University
Thursday, April 18, 2013
Sinclair Auditorium
"New Goals for American Corporations" (Public)
"Problems Create Mathematics" (Technical)
 
Arthur F. Veinott Jr. ’56
Professor Emeritus of Operations Research, Stanford University
Thursday, April 19, 2012
Neville Auditorium 001
"Optimal and Near Optimal Supply Policy for Deterministic Multiperiod Supply Networks" (Public)
"Polytime Computation of Strong and n-Present-Value Optimal Policies in Markov Decision Chains" (Technical)
 
Leon F. McGinnis, Ph.D.
Eugene C. Gwaltney Chair in Manufacturing Systems and Professor, Georgia Institute of Technology
Thursday, April 28, 2011
Sinclair Auditorium
"Industrial Engineering - Quo Vadis? One Man’s Idiosyncratic View of His Profession" (Public)
"Model Based Industrial Engineering" (Technical)
 
Irwin Young ’50
DuArt Films Laboratories
Friday, March 18, 2011
Sinclair Auditorium
"How an Engineering Education Affected My Career" (Public)
 
Dr. Stephen P. Boyd
Stanford University
Tuesday, December 7, 2010
Perella Auditorium, Rauch Business Center
"The Role of Embedded Optimization in Smart Systems and Products" (Public)
"Real-Time Embedded Convex Optimization" (Technical)
 
Dr. John T. Betts
Boeing Company
Friday, April 16, 2010
Perella Auditorium, Rauch Business Center
"What Does a Rocket Scientist Really Do?" (Public)
"Algorithmic Choices When Solving an Optimal Control Problem" (Technical)
 
Dr. Cynthia Barnhart
Massachusetts Institute of Technology (MIT)
Friday, August 8, 2008
Perella Auditorium, Rauch Business Center
“Unraveling the Mysteries of the Airline Industry"