Plenary: The Parametric Self-Dual Simplex Method – A Modern Perspective
By Amira Hijazi
In his plenary talk, Dr. Robert J. Vanderbei, Professor of Operations Research and Financial Engineering at Princeton University, presents the parametric self-dual simplex method (PSD). With a room full of audience, Dr. Vanderbei starts his talk by defining the method and explaining how different it is from other variants of simplex method. He explained that PSD is a very attractive method from educational and application point of view.
To prove this, he provides two application areas including portfolio selection problems and LAD-LASSO problems that arise in modern machine learning problems. Solving these problems by using PSD is powerful and has significant impacts.