Roger J-B Wets

Last updated

Roger J-B Wets
BornFebruary 1937 (age 83–84)
Belgium [1]
Alma mater Université libre de Bruxelles
University of California, Berkeley
Awards Frederick W. Lanchester Prize (1997)
Scientific career
Fields stochastic programming
Thesis Programming under uncertainty  (1965)
Doctoral advisor George Dantzig
David Blackwell
Website www.math.ucdavis.edu/~rjbw/

Roger Jean-Baptiste Robert Wets (born February 1937) is a "pioneer" in stochastic programming [2] and a leader in variational analysis who publishes as Roger J-B Wets. His research, expositions, graduate students, and his collaboration with R. Tyrrell Rockafellar have had a profound influence on optimization theory, computations, and applications. [2] [3] [4] Since 2009, Wets has been a distinguished research professor at the mathematics department of the University of California, Davis. [5] [6]

Contents

Schooling and positions

Roger Wets attended high school in Belgium, after which he worked for his family while earning his Licence in applied economics from Université de Bruxelles (Brussels, Belgium) in 1961. [7] He was encouraged by Jacques H. Drèze to study optimization with George Dantzig at the program in operations research at the University of California, Berkeley. [8] Dantzig and mathematician–statistician David Blackwell jointly supervised Wets's dissertation. [6] [9] In 1965 Wets befriended R. Tyrrell Rockafellar, whom Wets introduced to stochastic optimization, starting a collaboration of many decades. [10]

Wets helped to lead a project on decision-making under uncertainty at the International Institute for Applied Systems Analysis (pictured). Blauer Hof Laxenburg 3-4.JPG
Wets helped to lead a project on decision-making under uncertainty at the International Institute for Applied Systems Analysis (pictured).

He worked at Boeing Scientific Research Labs, 1964–1970 and was Ford Professor at the University of Chicago, 1970–1972 before being appointed Professor at the Mathematics Department of the University of Kentucky and then University Research Professor (1977–78). [5] While at the International Institute for Applied Systems Analysis (IIASA) in Austria, during 1980–1984, [5] he led research in decision-making in uncertainty, returning as an acting leader in 1985–1987; during that time, Wets and Rockafellar developed the progressive-hedging algorithm for stochastic programming. [2] [4] The University of California, Davis named him Professor (1984–1997), Distinguished Professor, and Distinguished Research Professor of Mathematics (2009–). [5]

Awards and contributions

Since 1965 R. Tyrrell Rockafellar (pictured) and Wets have collaborated in stochastic programming, earning the Dantzig prize for their progressive-hedging algorithm and theory of epigraphic convergence. Rockafellar.jpg
Since 1965 R. Tyrrell Rockafellar (pictured) and Wets have collaborated in stochastic programming, earning the Dantzig prize for their progressive-hedging algorithm and theory of epigraphic convergence.

Wets was awarded a George B. Dantzig Prize for "original research that has had a major impact on the field of mathematical programming" by the Society for Industrial and Applied Mathematics (SIAM) and the Mathematical Programming Society (MPS, now the Mathematical Optimization Society). [4] In 1994, the Dantzig Prize was awarded to Wets and also to the French pioneer in nonsmooth computational-optimization, Claude Lemaréchal. [4]

Wets's contributions included developing set-valued analysis, including metric spaces of sets, which he used to study the convergence of epigraphs; Wets's ideas of epigraphical convergence was used to study the convergence iterative methods of stochastic optimization and has had applications in the approximation theory of statistics. [2] [4] [6] [11] A metric theory of finite-dimensional epigraphical convergence ("cosmic convergence") appears in Variational analysis. [11] Wets and his coauthor R. Tyrrell Rockafellar were awarded the 1997 Frederick W. Lanchester Prize by the Institute for Operations Research and the Management Sciences (INFORMS) for their monograph Variational Analysis, which was published in November 1997 and copyrighted in 1998. [3] [11]

With Rockafellar, Wets proposed, studied, and implemented the progressive-hedging algorithm for stochastic programming. Besides his theoretical and computational contributions, Wets has worked with applications on lake ecology (IIASA), finance (Frank Russel investment system), and developmental economics (World Bank). He also consulted with the development of professional stochastic-optimization software (IBM). [4]

See also

Related Research Articles

George Dantzig American mathematician

George Bernard Dantzig was an American mathematical scientist who made contributions to industrial engineering, operations research, computer science, economics, and statistics.

The John von Neumann Theory Prize of the Institute for Operations Research and the Management Sciences (INFORMS) is awarded annually to an individual who has made fundamental and sustained contributions to theory in operations research and the management sciences.

Mathematical optimization Study of mathematical algorithms for optimization problems

Mathematical optimization or mathematical programming is the selection of a best element from some set of available alternatives. Optimization problems of sorts arise in all quantitative disciplines from computer science and engineering to operations research and economics, and the development of solution methods has been of interest in mathematics for centuries.

Leonid Kantorovich Russian mathematician

Leonid Vitaliyevich Kantorovich was a Soviet mathematician and economist, known for his theory and development of techniques for the optimal allocation of resources. He is regarded as the founder of linear programming. He was the winner of the Stalin Prize in 1949 and the Nobel Memorial Prize in Economic Sciences in 1975.

Peter Whittle is a mathematician and statistician from New Zealand, working in the fields of stochastic nets, optimal control, time series analysis, stochastic optimisation and stochastic dynamics. From 1967 to 1994, he was the Churchill Professor of Mathematics for Operational Research at the University of Cambridge.

The Mathematical Optimization Society (MOS), known as the Mathematical Programming Society until 2010, is an international association of researchers active in optimization. The MOS encourages the research, development, and use of optimization—including mathematical theory, software implementation, and practical applications.

Michael James David Powell was a British mathematician, who worked in the Department of Applied Mathematics and Theoretical Physics (DAMTP) at the University of Cambridge.

Dimitri Bertsekas

Dimitri Panteli Bertsekas is an applied mathematician, electrical engineer, and computer scientist, a McAfee Professor at the Department of Electrical Engineering and Computer Science in School of Engineering at the Massachusetts Institute of Technology (MIT), Cambridge, Massachusetts, and also a Fulton Professor of Computational Decision Making at Arizona State University, Tempe.

R. Tyrrell Rockafellar American mathematician

Ralph Tyrrell Rockafellar is an American mathematician and one of the leading scholars in optimization theory and related fields of analysis and combinatorics. He is the author of four major books including the landmark text “Convex Analysis” (1970), which has been cited more than 27000 times according to Google Scholar and remains the standard reference on the subject, and "Variational Analysis" for which the authors received the Frederick W. Lanchester Prize from the Institute for Operations Research and the Management Sciences (INFORMS).

Claude Lemaréchal

Claude Lemaréchal is a French applied mathematician, and former senior researcher at INRIA near Grenoble, France.

Robert J. Vanderbei is an American mathematician and Professor in the Department of Operations Research and Financial Engineering at Princeton University.

Criss-cross algorithm

In mathematical optimization, the criss-cross algorithm is any of a family of algorithms for linear programming. Variants of the criss-cross algorithm also solve more general problems with linear inequality constraints and nonlinear objective functions; there are criss-cross algorithms for linear-fractional programming problems, quadratic-programming problems, and linear complementarity problems.

Mark Herbert Ainsworth Davis (1945–2020) was Professor of Mathematics at Imperial College London. He made fundamental contributions to the theory of stochastic processes, stochastic control and mathematical finance.

Andrzej Piotr Ruszczyński Polish-American mathematician

Andrzej Piotr Ruszczyński is a Polish-American applied mathematician, noted for his contributions to mathematical optimization, in particular, stochastic programming and risk-averse optimization.

Laurence Wolsey

Laurence Alexander Wolsey is an English mathematician working in the field of integer programming. He is a former president and research director of the Center for Operations Research and Econometrics (CORE) at Université catholique de Louvain in Belgium. He is professor emeritus of applied mathematics at the engineering school of the same university.

In mathematics, the term variational analysis usually denotes the combination and extension of methods from convex optimization and the classical calculus of variations to a more general theory. This includes the more general problems of optimization theory, including topics in set-valued analysis, e.g. generalized derivatives.

Yurii Nesterov Russian mathematician

Yurii Nesterov is a Russian mathematician, an internationally recognized expert in convex optimization, especially in the development of efficient algorithms and numerical optimization analysis. He is currently a professor at the University of Louvain (UCLouvain).

The Dantzig Prize is given every 3 years to one or more individuals for research which, by virtue of its originality, breadth, and depth, has a major impact on the field of mathematical programming. It is named in honor of George B. Dantzig and is awarded jointly by the Society for Industrial and Applied Mathematics (SIAM) and the Mathematical Optimization Society (MOS). The prize fund was established in 1979, and the prize first awarded in 1982.

Frank "Francis" H. Clarke is a Canadian and French mathematician.

Adrian Stephen Lewis is a British-Canadian mathematician, specializing in variational analysis and nonsmooth optimization.

References

  1. ↑ John Simon Guggenheim Memorial Foundation (1981). Reports of the President and the Treasurer - John Simon Guggenheim Memorial Foundation. John Simon Guggenheim Memorial Foundation.
  2. 1 2 3 4 Anonymous (2004 , p. 1)
  3. 1 2 Anonymous (1998 , p. 1)
  4. 1 2 3 4 5 6 Dantzig Prize Committee (1994 , p. 5)
  5. 1 2 3 4 Wets (2011)
  6. 1 2 3 Wets (2011b)
  7. ↑ Aardal (1995 , p.  3 )
  8. ↑ In an interview with Karen Aardal, Wets stated that he believed that he took the only course in operations research available (at that time) in Western Europe. The instructor was Jacques H. Drèze at the Université Catholique de Louvain. Because of Drèze's suggestion to study with Dantzig at Berkeley, Wets credits Drèze as being responsible for getting him into the field of optimization. ( Aardal 1995 , p. 3)
  9. ↑ Programming under uncertainty. (1965) Wets, Roger Jean-Baptiste Robert. Abstract Thesis (PhD in Engineering Science)--Univ. of California, Jan. 1965. Bibliography: l. 81-88. Publisher [Berkeley] Repository OCLC's Experimental Thesis Catalog (United States)
  10. ↑ Vicente (2004 , p. 11)
  11. 1 2 3 Rockafellar & Wets (2005)

Sources

This page is based on this Wikipedia article
Text is available under the CC BY-SA 4.0 license; additional terms may apply.
Images, videos and audio are available under their respective licenses.