Entrance hall of the ICMS

CARIPLO Workshop on Numerical Linear and Nonlinear Stochastic Programming

Sep 03, 2008 - Sep 05, 2008

Ashworth Building, King's Buildings, University of Edinburgh

Organisers

Name Institution
Cartis, Coralia University of Edinburgh
Colombo, Marco University of Edinburgh
Gondzio, Jacek University of Edinburgh, School of Mathematics
Grothey, Andreas University of Edinburgh, School of Mathematics

 

Keynote Plenary Lectures given by:

Giorgio Consigli, University of Bergamo, Italy
Michael Dempster, University of Cambridge, UK
Gautam Mitra, Brunel University, UK
Georg Pflug, University of Vienna, Austria
Alex McNeil, Heriot-Watt University, UK
Marc Steinbach, University of Hannover, Germany

This workshop aims is to bring together, for training and networking purposes, PhD students, young researchers and experts in these diverse aspects of numerical linear and nonlinear stochastic programming.

Many real-life problems involve uncertainty in their data, such as portfolio optimisation with uncertain future asset prices, utility distribution with uncertain demand, or robust network design with uncertain reliability of links. Stochastic programming is a popular approach to decision making under uncertainty, leading to very large-scale problems with challenging solutions. It is also highly interdisciplinary, involving researchers that work on scenario generation, computational and theoretical linear and nonlinear optimization and modeling. The focus of the workshop is to present and discuss in an accessible manner promising mathematical and computational avenues for tackling the current challenges in this area.

Scientific committee
Giorgio Consigli, University of Bergamo (Italy)
Jacek Gondzio, University of Edinburgh (UK)
Andreas Grothey , University of Edinburgh (UK)
Gautam Mitra, Brunel University (UK)
Georg Pflug, University of Vienna (Austria)
Alexei Gaivoronski, University of Trondheim (Norway)

Programme
The workshop will be structured into plenary lectures (of 1h each) that give an overview over the various aspects of numerical linear and nonlinear stochastic programming and sessions of contributed talks by conference participants (of about 30min each).

Scholarships
25 scholarships for a value of up to EUR300 each, to cover travel, accommodation and registration costs are available from the Cariplo foundation through the University of Bergamo. Participants interested in these scholarships should send an abstract of their talk and a short CV to:

Giorgio Consigli (giorgio.consigli@unibg.it) or
Andreas Grothey (A.Grothey@ed.ac.uk)

Please do not use the application form on this page to apply for a scholarship. Applications will be processed as they arrive. The closing date for sponsorship applications is 15 June 2008. Successful sponsorships will be communicated at the latest 4 weeks after their submission.
The registration fee will be automatically deducted from the award and the remainder will be refunded after the event. Receipts will be required.

Supporting institutions
This workshop is supported by the Cariplo Foundation website, as part of a network of stochastic programming research and training meetings, with the first edition being held at the University of Bergamo (Spring School in Stochastic Programming website).
Other sponsors include:
OptiRisk
CARISMA
Edinburgh Mathematical Society
Glasgow Mathematical Journal Trust
Cariplo Foundation
Maxwell Institute

Arrangements

Venue
Lecture Theatre 3, Ashworth Building, Kings Buildings, University of Edinburgh . Lecture Theatre 3 (Room 1.107) is located on the first floor of the Ashworth Building, accessed via Gateway 2 from West Mains Road. It can seat 88 and contains an XGA data projector, a dedicated PC, facilities for laptop input, DVD/VCR playback facilities, a visualiser, a PA radio mic, a stereo amp, audio record facilities, a 400W OHP, a 35mm slide projector, a laser pointer, an induction loop, two screens and a whiteboard.

Participation
You may register your interest in attending this meeting by completing the application form on this page. Please note that this form will close on 15 August 2008. After you have completed the form you will receive an e-mail with instructions on how to pay the registration fee (see below). You will only be accepted as a participant once payment has been received.

If you do not receive an e-mail please contact Irene Moore.

Financial arrangements
There will be a registration fee of 100.00 GBP, payable by all participants.
Late registration (from 1 August 2008): 150.00 GBP.

Accommodation
You are asked to reserve your own accommodation.
A list of Edinburgh accommodation of various sorts and prices is detailed below:

Edinburgh First, The University of Edinburgh, 18 Holyrood Park Road, Edinburgh EH16 5AY
0800 028 7118 (UK only) - +44 (0)131 651 2189 - edfirst1.ednet.co.uk
Edinburgh First offers a range of accommodation from standard single to twin en-suite rooms.

The Northumberland Hotel, 31-33 Craigmillar Park, Edinburgh EH16 5PE
+44 (0)131 668 3131 website

St Christophers Hostel, 9-13 Market Street, Edinburgh EH1 1DE
+44 (0)20 7407 1856 - www.st-christophers.co.uk - bookings@st-christophers.co.uk

Other accommodation can be found at this link

Meals and refreshments
Coffee will be available during dedicated breaks opposite the Lecture Theatre. Please note that this room will only be available during breaks as it is use at all other times.
Lunch vouchers will be provided at registration. These will allow participants to purchase lunch, on Wednesday, Thursday and Friday, at KB House.
A wine reception and buffet will be held in the Raeburn Room at Old College on Wednesday evening followed by a guided tour of Edinburgh.
The workshop dinner will be held at Blonde, 75 St. Leonard’s Street, Edinburgh on Thursday evening.
Directions to all the above will be included in your registration booklet.

Organising committee
Andreas Grothey (chairman)
Coralia Cartis
Marco Colombo
Jacek Gondzio

 

Programme

Wednesday 3 September

08.30 – 08.55

Registration

08.55 - 09.00

Welcome address

09.00 – 10.00

Plenary talk: Georg Pflug (University of Vienna)
The mathematics of scenario generation

10.00 – 10.30

Coffee/Tea

 

Contributed talks session - Applications

10.30 – 10.55

Cristina Corchero (Universitat Politecnica de Catalunya)
Stochastic optimal day-ahead bid with physical future contracts

10.55 – 11.20

Saverio Giuliani (University of Foggia)
A stochastic programming approach for strategic planning with activity based costing

11.20 – 11.45

Thomas Surowiec (Humboldt University Berlin)
Analysis of M-stationary points and solutions to an SEPEC modeling oligopolistic competition

11.45 – 12.10

Xinan Yang (University of Edinburgh)
Modelling and solving the stochastic top-percentile pricing problem by dynamic technique

12.10 – 12.35

Chris Dent (University of Edinburgh)
The security constrained optimal power flow -- not a stochastic optimisation problem

12.35 – 13.45

Lunch

13.45 – 14.45

Plenary talk: Michael Dempster (University of Cambridge)
Solution techniques for large scale dynamic stochastic programming problems

14.45 – 15.15

Coffee/Tea

15.15 – 16.30

Contributed talks session – Interger and Global

15.15 - 15.40

Uwe Gotzes (University of Duisburg-Essen)
Increasing convex order constraints induced by mixed integer linear recourse

15.40 – 16.05

Thong Nguyen Huu (Ho Chi Minh City University of Pedagogy)
A new stochastic algorithm for optimization problems

16.05 – 16.30

Dimitri Drapkin (University of Duisburg-Essen)
A cutting plane algorithm for optimization problems with stochastic order

17.30 – 19.00

Wine reception and buffet in the Raeburn Room, Old College, University of Edinburgh

19.00 – 20.00

Guided tour of Edinburgh

 

Thursday 4 September

09.00 - 10.00

Plenary talk: Gautam Mitra (Brunel University)
Software tool for decision making under uncertainty: a combined paradigm of SP and simulation

10.00 – 10.30

Coffee/Tea

10.30 – 12.30

Contributed talks session - Finance

10.30 – 10.55

Csaba Fabian (Kecskemet College and Eotvos Lorand University)
An enhanced model for portfolio choice with SSD criteria: a constructive approach

10.55 – 11.20

Sona Kilianova (Comenius University)
On solving some problems of dynamic stochastic programming by means of stochastic dynamic programming

11.20 – 11.45

Anne Marie Boiden Pedersen (University of Copenhagen)
Integrated mortgage loan and pension planning

11.45 - 12.10

Alessandro Staino (University of Palermo)
A stochastic programming approach to the optimal insurance of government bonds

12.10 – 12.35

David Wozabal (University of Vienna)
A new method for Value-at-Risk constrained optimization using the difference of convex algorithm

12.35 – 13.45

Lunch

13.45 – 14.45

Plenary talk: Marc Steinbach (Leibniz Universität Hannover)
Interior point algorithms for nonconvex multistage stochastic programs

14.45 – 15.15

Coffee/Tea

 

Contributed talks session - Algorithms

15.15 – 15.40

Martin Branda (Charles University in Prague)
Software for multistage stochastic linear programming problems

15.40 – 16.05

Kian Ping Chan (Imperial College London)
An iterative primal-dual aggregation algorithm for multi-stage stochastic quadratic programs

16.05 – 16.30

Marco Colombo (University of Edinburgh)
OOPS: A structure-exploiting parallel solver

16.30 – 16.55

Kristian Woodsend (University of Edinburgh)
A structure-conveying modelling language

16.55 – 17.10

Break

 

Contributed talks session – Scenario Generation

17.10 - 1735

Gaetano Iaquinta (University of Bergamo)
A forward method for scenario generation with linear and nonlinear stochastic programs

17.35 – 18.00

Stefan Vigerske (Humboldt University Berlin)
Decomposition of multistage stochastic programs with recombining scenario trees

18.00 – 18.25

Michal Kaut (Molde University College)
Solution methods for a multi-item newsvendor model with substitution

19.30

Workshop dinner at Blonde, 75 St Leonard’s Street, Edinburgh

 

Friday 5 September

09.00 - 10.00

Plenary talk: Giorgio Consigli (University of Bergamo)
SP-based dynamic optimization of a corporate portfolio subject to credit risk

10.00 – 10.30

Coffee/Tea

 

Contributed talks session - Applications

10.30 – 10.55

Francesca Maggioni (Università degli studi di Bergamo)
Stochastic second-order cone programming in mobile ad-hoc networks

10.55 – 11.20

Nicole Nowak (Technische Universität Darmstadt)
Production chains: An application from mechanical engineering

11.20 – 11.45

Eva Zampachova (Brno University of Technology)
Solution of selected engineering problem modeled by PDE constrained stochastic program

11.45 - 12.10

Yu Yu (University of Edinburgh)
Stochastic ship fleet routing with inventory limits

12.10 – 12.35

Natalia Issaeva (University of Edinburgh)
Stochastic programming for a problem of incorporation of wind energy to the electricity generation system

12.35 – 13.45

Lunch

13.45 – 14.45

Plenary talk: Alexander McNeil (Heriot-Watt University)
Financial risk and capital allocation

14.45 – 15.15

Coffee/Tea

 

Contributed talks session – Finance and Algorithm

15.15 – 15.40

Xi Yang (University of Edinburgh)
Portfolio selection models with stochastic dominance constraints solved by OOPS

15.40 – 16.05

Alex Weissensteiner (University of Innsbruck)
ALM models and the absence of arbitrage

16.05 – 16.30

Mohammad Reza Peyghami (KN Toosi University of Technology)
An interior point approach for semidefinite optimization

16.30 – 16.55

Andreas Grothey (University of Edinburgh)
Interior point warmstarts applied to stochastic programming

16.55 – 17.05

Concluding remarks

 

Presentations:

Presentation Details
Branda, Martin
Software for multistage stochastic linear programming problems
View Abstract Down
Chan, Kian Ping
An Iterative Primal-Dual Aggregation Algorithm for Multi-stage Stochastic Quadratic Programs
View Abstract Down
Colombo, Marco
OOPS: A structure-exploiting parallel solver
View Abstract Down
Consigli, Giorgio
SP-based dynamic optimization of a corporate portfolio subject to credit risk
View Abstract Down
Corchero, Cristina
Stochastic optimal day-ahead bid with physical future contracts
View Abstract Down
Dempster, Michael
Solution techniques for large scale dynamic stochastic programming problems
View Abstract Down
Dent, Chris
The security constrained optimal power flow -- not a stochastic optimisation problem
View Abstract Down
Drapkin, Dimitri
A cutting plane algorithm for optimization problems with stochastic order
View Abstract Down
Fabian, Csaba I.
An enhanced model for portfolio choice with SSD criteria: a constructive approach
View Abstract Down
Giuliani, Saverio
A stochastic programming approach for strategic planning with activity based costing
View Abstract Down
Gotzes, Uwe
Increasing convex order constraints induced by mixed integer linear recourse
View Abstract Down
Grothey, Andreas
Interior point warmstarts applied to stochastic programming
View Abstract Down
Iaquinta, Gaetano
A forward method for scenario generation with linear and nonlinear stochastic programs
View Abstract Down
Issaeva, Natalia
Stochastic programming for a problem of incorporation of wind energy to the electricity generation system
View Abstract Down
Kaut, Michal
Solution methods for a multi-item newsvendor model with substitution
View Abstract Down
Kilianova, Sona
On solving some problems of dynamic stochastic programming by means of stochastic dynamic programming
View Abstract Down
Maggioni, Francesca
Stochastic second-order cone programming in mobile ad-hoc networks
View Abstract Down
McNeil, Alexander
Financial risk and capital allocation
View Abstract Down
Mitra, Gautam
Software tool for decision making under uncertainty: a combined paradigm of SP and simulation
View Abstract Down
Nguyen Huu, Thong
A new stochastic algorithm for optimization problems
View Abstract Down
Nowak, Nicole
Production chains: an application from mechanical engineering
View Abstract Down
Pedersen, Anne Marie Boiden
Integrated mortgage loan and pension planning
View Abstract Down
Peyghami, Mohammad Reza
An interior point approach for semidefinite optimization
View Abstract Down
Pflug, Georg
The mathematics of scenario generation
View Abstract Down
Staino, Alessandro
A stochastic programming approach to the optimal issuance of government bonds
View Abstract Down
Steinbach, Marc
Interior point algorithms for nonconvex multistage stochastic programs
View Abstract Down
Surowiec, Thomas
Analysis of M-stationary points and solutions to an SEPEC modeling oligopolistic competition
View Abstract Down
Vigerske, Stefan
Decomposition of multistage stochastic programs with recombining scenario trees
View Abstract Down
Weissensteiner, Alex
ALM models and the absence of arbitrage
View Abstract Down
Woodsend, Kristian
A structure-conveying modelling language
View Abstract Down
Wozabal, David
A new method for Value-at-Risk constrained Optimization using the Difference of Convex Algorithm
View Abstract Down
Yang, Xinan
Modelling and solving the stochastic top-percentile pricing problem by dynamic technique
View Abstract Down
Yu, Yu
Stochastic ship fleet routing with inventory limits
View Abstract Down
Zampachova, Eva
Solution of selected engineering problem modeled by PDE constrained stochastic program
View Abstract Down

Participants

Name Institution
Attard, Natalie University of Malta
Branda, Martin Charles University in Prague
Bustreo, Roberto Brunel University
Cartis, Coralia University of Edinburgh
Chan, Kian Ping Imperial College London
Colombo, Marco University of Edinburgh
Consigli, Giorgio University of Bergamo
Corchero, Cristina Universitat Politecnica de Catalunya
Dempster, Michael University of Cambridge
Dent, Chris Durham University
Drapkin, Dimitri University of Duisburg-Essen
Dunbar, Michelle University of New South Wales
Ejikeme-Ugwu, Edith Cranfield University
Fabian, Csaba I. Kecskemet College and Eotvos Lorand University
Giuliani, Saverio University of Foggia
Gondzio, Jacek University of Edinburgh, School of Mathematics
Gotzes, Uwe University of Duisburg-Essen
Grothey, Andreas University of Edinburgh, School of Mathematics
Iaquinta, Gaetano University of Bergamo
Issaeva, Natalia University of Edinburgh
Kaut, Michal Molde University College
Kilianova, Sona Comenius University
Maggioni, Francesca Università degli studi di Bergamo
Marjani Rasmussen, Kourosh Technische Universität Darmstadt
McNeil, Alexander Heriot-Watt University
Mitra, Gautam Brunel University
Murphy, James Cambridge Systems Associates / University of Cambridge
Myklebust, Jogeir NTNU
Nguyen Huu, Thong Ho Chi Minh City University of Pedagogy
Novotný, Jan Brno University of Technology
Nowak, Nicole Technische Universität Darmstadt
Pedersen, Anne Marie Boiden University of Copenhagen
Peyghami, Mohammad Reza K.N. Toosi University of Technology
Pflug, Georg University of Vienna
Ross, Omri University of Cambridge
Sheikh Hussin, Siti Aida Brunel University
Staino, Alessandro University of Palermo
Steinbach, Marc Leibniz Universität Hannover
Surowiec, Thomas Humboldt University Berlin
Vigerske, Stefan Humboldt University Berlin
Weissensteiner, Alex University of Innsbruck
Woodsend, Kristian University of Edinburgh
Woodside Oriakhi, Maria Brunel University
Wozabal, David University of Vienna
Yang, Xi University of Edinburgh
Yang, Xinan University of Edinburgh
Yu, Yu University of Edinburgh
Zampachova, Eva Brno University of Technology
Zviarovich, Viktar Brunel University