A Fictitious Play Approach to Complex Systems Optimization

Robert L. Smith
Department of Industrial and Operations Engineering
University of Michigan


Wednesday, October 13, 2004
4:30 - 5:45 PM
Terman Engineering Center, Room 453


Abstract:

Complex systems consisting of a large number of interacting components are in practice increasingly modeled through computer simulations rather than via traditional equation based approaches. The resulting model typically allows for little or no structural assumptions on the form of the objective function or constraints, thus posing a challenging optimization problem. We explore in this talk a novel optimization paradigm inherited from game theory that animates the components of the system within a non-cooperative game of identical interest. The optimizations take place though individual best replies of the players, thus vastly reducing the dimensionality of the optimization problems solved (the components' joint interactions are reflected indirectly through their shared objective function). We will illustrate the approach by discussing an application to a joint production systems optimization project within the GM Collaborative Research Laboratory at the University of Michigan.


Bio:

Dr. Smith received his Ph.D. in Engineering Science from the University of California at Berkeley where he held an NSF Fellowship. He holds a bachelors degree in Physics from Harvey Mudd College and an MBA from Berkeley. He is currently the Altarum/ERIM Russell D. O'Neal Professor of Engineering at the University of Michigan, Ann Arbor.

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Operations Research Colloquia: http://or.stanford.edu/oras_seminars.html