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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

National University of Singapore

Institute for Mathematical Sciences Event Archive

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

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