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CATEGORIES:Events
SUMMARY:USACM Large-Scale TTA Early-Career Colloquium (virtual)
DESCRIPTION:# USACM Large-Scale TTA Early-Career Colloqui
um (virtual)

## Adaptive Sampling for Cons
trained Optimization Under Uncertainty

Brendan Keith**Brown University**

** **

**Abstract**

**Stochas
tic optimization problems with deterministic constraints commonly appear in
machine learning, finance, and engineering applications. This talk present
s an improved adaptive solution strategy for this important class of proble
ms. The aim is to decrease the computational cost while maintaining an opti
mal convergence rate. The guiding principle is to adjust the batch size (or
sample size) on the fly so that the error in the gradient approximation re
mains proportional to the error in the underlying optimization problem. Aft
er providing motivation and context, I will present new adaptive sampling a
lgorithms that simultaneously maintain optimal sample efficiency and iterat
ion complexity for risk-neutral and risk-averse optimization under uncertai
nty with deterministic constraints. I will then demonstrate the efficacy of
these algorithms in multiple applications, drawing mainly from use cases f
ound in engineering design. This talk will provide an introduction to adapt
ive sampling that aims to be accessible to a broad audience as well as show
case ongoing work in collaboration with Lawrence Livermore National Laborat
ory and UT Austin.**

**Biography**

**<
div style="text-align: center;">**Brendan Keith is an Assistant Professor
in the Division of Applied Mathematics at Brown University in Providence, R
hode Island. His research interests are mainly related to the modeling and
simulation of problems arising in natural sciences and engineering, focusin
g on numerical methods for partial differential equations, scientific machi
ne learning, and PDE-constrained optimization. In 2018, Brendan received hi
s Ph.D. in Computational Science, Engineering, and Mathematics from the Ode
n Institute for Computational Engineering and Sciences at the University of
Texas at Austin. He has held postdoctoral positions at TU Munich, ICERM, a
nd Lawrence Livermore National Laboratory.

Sponsored by USACM Technical Thrust Area on Large Scale Structura
l Systems and Optimal Design.

Contact for information about the semina
r: admin@usacm.org.

DTSTAMP:20221209T133841
DTSTART;TZID=America/Chicago:20221005T130000
DTEND;TZID=America/Chicago:20221005T140000
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