Title: Complexity and heuristics in stochastic optimization Speaker: Teemu Pennanen Aalto University Time: Monday 11 October 2010 16:15-17:15 Place: Room U322 TKK Main Building (Otakaari 1 M, Espoo) Keywords: convex optimization, information based complexity, Galerkin methods Abstact: Combining recent results on numerical integration and optimization, we derive a polynomial bound on the worst case complexity of a class of static stochastic optimization problems. We then describe a technique for reducing dynamic problems to static ones. The reduction technique is only a heuristic but it can effectively employ good guesses for good solutions. This is illustrated on an 82-period problem coming from pension insurance industry.