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Cluster: Stochastic optimization

Monday


10:30 - 12:00, room: MA 141

Chair: David Brown
Advances in stochastic optimization

Brown Optimal sequential exploration: Bandits, clairvoyants, and wildcats [...]
Moallemi Pathwise optimization for linear convex systems [...]
Caramanis Optimization at all levels: Probabilistic Envelope Constraints [...]

 

10:30 - 12:00, room: MA 144

Chair: Mihai Anitescu
Optimization of physical systems under uncertainty

Zavala Stochastic optimization: Impacts on electricity markets and operations [...]
Luedtke Branch-and-cut approaches for chance-constrained formulations of reliable network design problems [...]
Pagnoncelli The optimal harvesting problem under risk aversion [...]

 

10:30 - 12:00, room: MA 376

Chair: Fabian Bastin
Decisions policies and estimation techniques in a stochastic environment

Haensel A SP approach for decision-dependent uncertainty in production planning under non-compliance risk [...]
Bastin On the combination of Hessian approximations for data estimation [...]
Yang Approximate dynamic programming with Bézier curves/surfaces for top-percentile traffic routing [...]

 

13:15 - 14:45, room: MA 141

Chair: Ralf Lenz
Applications in natural resources

Danzan Regional economical mathematical models considering ecological factors [...]
Lenz Optimization of water network operation under uncertainties [...]
Piazza The optimal harvesting problem under price uncertainty [...]

 

13:15 - 14:45, room: MA 144

Chair: Takashi Hasuike
Production, inventory and project management

Huang Optimal aggregate production planning with fuzzy data [...]
Randa Static-dynamic uncertainty strategy for a single-item stochastic inventory control problem [...]
Hasuike Risk control approach to critical path method in mathematical programming under uncertainty [...]

 

13:15 - 14:45, room: MA 376

Chair: Maarten H. van der Vlerk
Stochastic mixed-integer programming

Evers The orienteering problem under uncertainty: Robust optimization and stochastic programming compared [...]
Romeijnders On the performance of a class of convex approximations for integer recourse models [...]
Kucukyavuz Decomposition algorithms with Gomory cuts for two-stage stochastic integer programs [...]

 

15:15 - 16:45, room: MA 141

Chair: Sumit M. Kunnumkal
Solution methods for constrained stochastic optimization

Kunnumkal Randomization approaches for network RM with choice behavior [...]
Rudolf Optimization with multivariate conditional-value-at-risk constraints [...]

 

15:15 - 16:45, room: MA 144

Chair: Retsef Levi
Approximation algorithms for stochastic revenue management optimization

Levi Near-optimal algorithms for assortment planning under dynamic substitution and stochastic demand [...]
Ciocan Dynamic allocation problems with volatile demand [...]
Shi Revenue management of reusable resources with advanced reservations [...]

 

15:15 - 16:45, room: MA 376

Chair: Miguel Lejeune
Advances in probabilistically constrained optimization

Lejeune Threshold boolean form for the reformulation of joint probabilistic constraints with random technology matrix [...]
Shabbir Probabilistic set covering with correlations [...]
Krokhmal On polyhedral approximations in p-order conic programming [...]

 

 

Tuesday


10:30 - 12:00, room: MA 141

Chair: Andrzej Ruszczynski
Methods of risk-averse optimization

Fabian Computational aspects of risk-averse optimization [...]
Ruszczynski Methods for solving risk-averse dynamic optimization problems [...]
Dentcheva Decomposition methods for solving two-stage optimization problems with stochastic ordering constraints [...]

 

10:30 - 12:00, room: MA 144

Chair: Erick Delage
Recent advances in risk representation

Delage Decision making under uncertainty when preference information is incomplete [...]
Pachamanova Skewness-aware asset allocation: A new theoretical framework and empirical evidence [...]
Chen An axiomatic approach to systemic risk [...]

 

10:30 - 12:00, room: MA 376

Chair: Laureano Fernando Escudero
Multistage stochastic mixed 0-1 optimization: Algorithms and applications

Unzueta Scenario cluster Lagrangian decomposition [...]
Escudero Stochastic tactical supply chain management under uncertainty [...]
Garín A BFC-MS algorithm for solving multistage mixed 0-1 stochastic problems with risk averse stochastic dominance constraints [...]

 

13:15 - 14:45, room: MA 141

Chair: Petr Lachout
Stochastic optimization - Confidence sets, stability, robustness

Vogel Confidence regions for level sets: Sufficient conditions [...]
Lachout Local information in stochastic optimization program [...]
Kopa Robustness in stochastic programs with risk and probabilistic constraints [...]

 

13:15 - 14:45, room: MA 144

Chair: Guzin Bayraksan
Topics in stochastic programming

Royset Nonparametric estimation using exponential epi-splines [...]
Pasupathy On interior-point based retrospective approximation methods for solving two-stage stochastic linear programs [...]

 

13:15 - 14:45, room: MA 376

Chair: Jörg Rambau
Computational aspects of stochastic integer programming for large-scale and/or real-world problems

Schweiger Multi-scenario topology optimization in gas networks [...]
Kießling ISPO – Integrated size and price optimization for a fashion discounter with many branches [...]
Rambau The stochastic guaranteed service model [...]

 

15:15 - 16:45, room: MA 141

Chair: Daniel Kuhn
Advances in stochastic programming

Georghiou A stochastic capacity expansion model for the UK energy system [...]
Parpas Dimensionality reduction and a maximum principle for multiscale stochastic processes [...]
Kuhn Polyhedrality in distributionally robust optimization [...]

 

15:15 - 16:45, room: MA 144

Chair: Marcus Poggi
Nonlinear stochastic optimization

Klamroth Modeling uncertainties in location-allocation problems: A stochastic programming approach [...]
Mijangos An algorithm for nonlinearly-constrained nonlinear two-stage stochastic problems [...]
Poggi On a class of stochastic programs with endogenous uncertainty: Algorithm and applications [...]

 

15:15 - 16:45, room: MA 376

Chair: Chaitanya Swamy
Approximation algorithms for stochastic combinatorial optimization

Goertz Stochastic vehicle routing with recourse [...]
Ravi Approximation algorithms for correlated knapsacks and non-martingale bandits [...]
Spencer Fragmenting and vaccinating graphs over time and subject to uncertainty: Developing techniques for wildfire and invasive species containment [...]

 

 

Wednesday


10:30 - 12:00, room: MA 141

Chair: Marc C. Steinbach
Algorithms for stochastic optimization and approximation

Kozmik Risk-averse stochastic dual dynamic programming [...]
Hübner Structure-exploiting parallel interior point method for multistage stochastic programs [...]
So Chance-constrained linear matrix inequalities with dependent perturbations: A safe tractable approximation approach [...]

 

10:30 - 12:00, room: MA 144

Chair: Mariya Naumova
Scheduling, control and moment problems

von Haartman Probabilistic realization resource scheduler with active learning [...]
Hildenbrandt Partitions-requirements-matrices as optimal Markov kernels of special stochastic dynamic distance optimal partitioning problems [...]
Naumova Univariate discrete moment problem for new classes of objective function and its applications [...]

 

10:30 - 12:00, room: MA 376

Chair: Evdokia Nikolova
Risk aversion in stochastic combinatorial optimization

Li Maximizing expected utility for stochastic combinatorial optimization problems [...]
Swamy Risk-averse stochastic optimization: Probabilistically-constrained models and algorithms for black-box distributions [...]
Othman Inventory-based versus prior-based options trading agents [...]

 

13:15 - 14:45, room: MA 141

Chair: David Papp
Scenario generation in stochastic optimization

Papp Generating moment matching scenarios using optimization techniques [...]
Pennanen Tractability of stochastic programs [...]
Desai A mathematical programming framework for decision tree analysis [...]

 

13:15 - 14:45, room: MA 144

Chair: Mihai Anitescu
Large-scale stochastic programming

Grothey Multiple-tree interior point method for stochastic programming [...]
Lubin Parallel and distributed solution methods for two-stage stochastic (MI)LPs [...]
Römisch Are quasi-Monte Carlo methods efficient for two-stage stochastic programs? [...]

 

15:15 - 16:45, room: MA 141

Chair: Yongpei Guan
Algorithms and applications for stochastic programming

Zhou A network based model for traffic sensor placement with implications on congestion observation [...]
Jiang Optimization under data-driven chance constraints [...]
Bayraksan A sequential bounding method for a class of two-stage stochastic programs [...]

 

15:15 - 16:45, room: MA 144

Chair: Olga Myndyuk
Network design, reliability, and PDE constraints

Myndyuk Stochastic network design under probabilistic constraint with continuous random variables. [...]
Šabartová Spatial decomposition for differential equation constrained stochastic programs [...]
Tahmasbi Network flow problems with random arc failures [...]

 

 

Thursday


10:30 - 12:00, room: MA 141

Chair: Constantine Caramanis
High dimensional statistics: Techniques from stochastic and robust optimization

Rigollet Deviation optimal model selection using greedy algorithms [...]
Mannor Robust sparse regression and orthogonal matching pursuit [...]
Sanghavi Learning the graph of network cascades [...]

 

10:30 - 12:00, room: MA 144

Chair: Vincent Guigues
Decomposition methods for multistage stochastic programs

Guigues Sampling-based decomposition methods for multistage stochastic programs based on extended polyhedral risk measures [...]
Tekaya Risk neutral and risk averse stochastic dual dynamic programming method [...]
Sen Multi-stage stochastic decomposition [...]

 

13:15 - 14:45, room: MA 141

Chair: Rüdiger Schultz
Two-stage stochastic programming and beyond

Drapkin Decomposition methods for optimization problems with stochastic order constraints induced by linear recourse [...]
Henkel Some remarks on linear stochastic bilevel programs [...]
Wollenberg Stochastic vehicle routing in forwarding agencies [...]

 

13:15 - 14:45, room: MA 144

Chair: Alois Pichler
Large-scale and multi-stage stochastic optimization

Timonina Multi-stage stochastic optimisation and approximations with applications [...]
Nino-Mora Sufficient indexability conditions for real-state restless bandit projects via infinite-dimensional LP-based partial conservation laws [...]
Pichler Approximation of stochastic processes [...]

 

15:15 - 16:45, room: MA 141

Chair: Marida Bertocchi
Measures of uncertainty

Maggioni Measures of information in multistage stochastic programming [...]
Garatti The risk of empirical costs in randomized min-max stochastic optimization [...]
Gaivoronski Stochastic bilevel optimization problems with applications to telecom [...]

 

15:15 - 16:45, room: MA 144

Chair: Yongjia Song
Chance constrained stochastic optimization

Song A branch-and-cut algorithm for the chance-constrained knapsack problem [...]
Birman Overall aircraft design based on chance-constrained programming [...]
Cheng Stochastic linear programming with joint chance constraints [...]

 

 

Friday


10:30 - 12:00, room: MA 141

Chair: David Woodruff
Progressive hedging: Innovations and applications

Woodruff Bundling scenarios in progressive hedging [...]
Kang Parallel solution of structured nonlinear problems using Pyomo and PySP [...]
Watson Asynchronous progressive hedging [...]

 

10:30 - 12:00, room: MA 144

Chair: Nedialko Dimitrov
Stochastic network design and reliability

Kantor Layered screening at public events: Models and challenges [...]
Klaus Increasing network reliability by introducing warehouses [...]
Çelik The post-disaster debris clearance problem with uncertain debris amounts [...]

 

13:15 - 14:45, room: MA 141

Chair: Melvyn Sim and Jin Qi
Target oriented optimization under uncertainity

Long Managing operational and financing decisions to meet consumption targets [...]
Qi Routing optimization with deadlines under uncertainty [...]

 

13:15 - 14:45, room: MA 144

Chair: Nikolaus Hansen
Stochastic algorithms

Luo A nonadaptive probabilistic group testing algorithm for detecting consecutive positives of linear DNA library [...]
Hansen Information-geometric optimization [...]
Theile How crossover helps in pseudo-boolean optimization [...]

 

15:15 - 16:45, room: MA 141

Chair: Mihai Anitescu
Scenario generation in stochastic programming

Mehrotra New results in scenario generation for stochastic optimization problems via the sparse grid method [...]
Homem-De-Mello On scenario generation methods for a hydroelectric power system [...]

 

15:15 - 16:45, room: MA 144

Chair: Rüdiger Schultz
PDE constrained stochastic optimization

Schultz Shape optimization under uncertainty via stochastic optimization [...]
Geihe A two-scale approach for risk averse shape optimization [...]
Huschto Solving stochastic optimal control problems by a polynomial chaos approach [...]

 

 

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