Linear programming and large-scale systems, stochastic programming, dynamic programming, and stochastic control
Dr. Gerd Infanger received his Masters degree in electrical engineering and economics at Graz University of Technology in 1983, and his Ph.D. at Vienna University of Technology in energy economics and operations research in 1986 with honors. As an Assistant Professor at Vienna University of Technology, his research involved the formulation and solution of large-scale mathematical models, and the transition of models to actual decision-making. Infanger's formulations for operations planning of electric power systems are still used for the actual operation of a number of Austrian and German electric power companies.
At the beginning of 1989 Gerd Infanger came to visit the Dept of Operations Research at Stanford University, collaborating with George B. Dantzig in the field of optimization under uncertainty. Since then Infanger's research has concentrated on the development of the theory, algorithms and software for solving large-scale stochastic programs. His principal research goal is to make it practical to solve general large-scale stochastic programs and related control systems, with many stages looking into the future. His state-of-the art software system, called DECIS, combines decomposition and Monte Carlo sampling techniques and permits the solution of large-scale problems with numerous stochastic parameters. In 1993 he completed his "Habilitation'' (equivalent to tenure in the U.S.), and obtained the title of Associate Professor at Vienna University of Technology.
Dr. Infanger is currently CEO of Infanger Investment Technology, LLC, an investment advisor company founded in 1998 that has the goal of managing mutual and hedge funds based on its state-of-the-art mathematical techniques. Infanger Investment Technology also provides risk optimization software based on stochastic optimization, asset allocation and equity portfolio optimization software.
As a Consulting Professor at Stanford Infanger teaches and conducts research in the area stochastic optimization and its applications with greatest interest in finance.
Last modified Wed, 25 Jul, 2012 at 17:05