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Workshop 2 on Optimization Under Uncertainty
( 10 - 14 Dec 2012 )

Venue: IMS Auditorium

Organizing Committee · Visitors and Participants · Overview · Activities · Venue · Funding for Participants

 

Monday, 10 Dec 2012

Tutorial Lectures

08:45am - 09:00am

Registration

09:00am - 10:30am

Stochastic programming I (PDF 1 , PDF 2 )

Werner Römisch, Humboldt-Universität zu Berlin, Germany

10:30am - 10:45am

--- Coffee Break ---

10:45am - 12:15pm

Stochastic programming II (PDF 1 , PDF 2 )

Werner Römisch, Humboldt-Universität zu Berlin, Germany

12:15pm - 02:00pm

--- Lunch ---

02:00pm - 04:00pm

Robust convex optimization I (PDF 1, PDF 2)
Arkadii Nemirovski, Georgia Institute of Technology, USA

04:00pm - 04:15pm

--- Coffee Break ---

04:15pm - 05:15pm

Robust convex optimization II (PDF 1, PDF 2)
Arkadii Nemirovski, Georgia Institute of Technology, USA

Tuesday, 11 Dec 2012
Tutorial Lectures

08:45am - 09:00am

Registration

09:00am - 10:30am

Robust convex optimization III (PDF 1, PDF 2)
Arkadii Nemirovski, Georgia Institute of Technology, USA

10:30am - 10:45am

--- Coffee Break ---

10:45am - 12:15pm

Robust convex optimization IV (PDF 1, PDF 2)
Arkadii Nemirovski, Georgia Institute of Technology, USA

12:15pm - 02:00pm

--- Lunch ---

02:00pm - 04:00pm

Stochastic programming III (PDF 1 , PDF 2 )

Werner Römisch, Humboldt-Universität zu Berlin, Germany

04:00pm - 04:15pm

--- Coffee Break ---

04:15pm - 05:15pm

Stochastic programming IV (PDF 1 , PDF 2 )

Werner Römisch, Humboldt-Universität zu Berlin, Germany

Wednesday, 12 Dec 2012

09:00am - 09:20am

Registration

09:20am - 09:30am

Opening remarks

Wing Keung To, Institute for Mathematical Sciences

09:30am - 10:15am

A computationally tractable theory of performance analysis in stochastic systems
Dimitris Bertsimas, Massachusetts Institute of Technology, USA

10:15am - 10:45am

--- Group Photo & Coffee Break ---

10:45am - 11:30am

Aspirational preferences and their representation by risk measures
Melvyn Sim, National University of Singapore

11:30am - 12:15pm

Stochastic otimization for resource allocation with random emergencies
Georgia Perakis, Massachusetts Institute of Technology, USA

12:15pm - 01:45pm

--- Lunch ---

01:45pm - 02:30pm

Risk and regret in stochastic optimization
R. Tyrrell Rockafellar, University of Washington, USA

02:30pm - 03:15pm

Dynamic interdiction games on Markovian PERT networks
Daniel Kuhn, Imperial College London, UK

03:15pm - 03:45pm

--- Coffee Break ---

Thursday, 13 Dec 2012

09:00am - 09:15am

Registration

09:15am - 10:00am

Dynamic risk-averse optimization for Markov models
Andrzej Ruszczynski, Rutgers, The State University of New Jersey, USA

10:00am - 10:45am

Expected utility combinatorial optimization: submodular maximization approaches
Shabbir Ahmed, Georgia Institute of Technology, USA

10:45am - 11:00am

--- Coffee Break ---

11:00am - 11:45am

On safe tractable approximations of chance constrained linear matrix inequalities with partly dependent perturbations
Anthony Man-Cho So, The Chinese University of Hong Kong, Hong Kong

11:45am - 12:30pm

Distributional robust optimization: univariate and multivariate marginal bounds (PDF)
Karthik Natarajan, Singapore University of Technology and Design

12:30pm - 02:30pm

--- Lunch ---

02:30pm - 03:15pm

Quantitative stability analysis of stochastic generalized equations
Werner Römisch, Humboldt-Universität zu Berlin, Germany

03:15pm - 04:00pm

Two-stage stochastic optimization problems with stochastic ordering constraints
Darinka Dentcheva, Stevens Institute of Technology, USA

04:00pm - 04:30pm

--- Coffee Break ---

04:30pm - 05:15pm

Distributionally robust convex optimization (PDF)
Wolfram Wiesemann, Imperial College London, UK

06:30pm - 09:00pm

Dinner and excursion to Night Safari (Volunteer and self-paid)

Friday, 14 Dec 2012

09:00am - 09:15am

Registration

09:15am - 10:00am

Risk and competition in hydro-dominated electricity markets (PDF)
Andrew B. Philpott, The University of Auckland, New Zealand

10:00am - 10:45am

Asymptotic convergence analysis of distributional robust optimization and equilibrium problems
Huifu Xu, University of Southampton, UK

10:45am - 11:00am

--- Coffee Break ---

11:00am - 11:45am

Protection at all levels: probabilistic envelope constraints
Huan Xu, National University of Singapore

11:45am - 12:30pm

Robust portfolio selection via learning with mixture model
Shushang Zhu, Sun Yat-sen University, China

12:30pm - 01:45pm

--- Lunch ---

01:45pm - 02:30pm

Optimization in machine learning
Stephen Wright, University of Wisconsin-Madison, USA

02:30pm - 03:15pm

Pareto efficiency in robust optimization
Dan Iancu, Stanford University, USA

03:15pm - 03:45pm

--- Coffee Break ---

03:45pm - 04:30pm

Efficient computation of weights for lattice rules in high dimensional integration
Hernan Eugenio, Leovey Humboldt-Universität zu Berlin, Germany

04:30pm - 05:15pm

Robust multi-armed bandit problems
Michael Jong Kim, Univeristy of California at Berkeley, USA



Organizing Committee · Visitors and Participants · Overview · Activities · Venue · Funding for Participants

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