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Program for stream Stochastic and Robust Optimization
Sunday
Monday
Monday, 8:30-10:00
MA-25: Stochastic Optimization in Energy
Stream: Stochastic and Robust Optimization
Room: Virtual Room 25
Chair(s):
Patrizia Beraldi, Francesca Maggioni
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A two-stage stochastic programming approach for the long-term expansion co-planning of electricity and gas systems with bi-directional energy conversion
Giovanni Micheli, Maria Teresa Vespucci, Cinzia Puglisi, Alessia Cortazzi -
Day-ahead and intra-day co-optimization of a power unit under uncertainty
Adrien Le Franc, Michel DE LARA -
The Optimal Design and Operation of a Residential Prosumer System: A Stochastic Programming Approach
Patrizia Beraldi
Monday, 10:30-12:00
MB-25: Stochastic dominance in stochastic optimization
Stream: Stochastic and Robust Optimization
Room: Virtual Room 25
Chair(s):
Milos Kopa
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Multicriteria Crypto Portfolio optimization based on preference rules, expected return and risk measure
Audrius Kabasinskas, Kristina Sutiene, Milos Kopa, Karel Kozmík -
Robust approaches in portfolio optimization with stochastic dominance
Karel Kozmík, Milos Kopa -
Coupled and Decoupled Stochastic Dominance Induced by Multistage Quadratic Optimization
María Merino, Unai Aldasoro -
Multistage stochastic dominance: an application to pension fund management
Milos Kopa, Sebastiano Vitali, Vittorio Moriggia
Monday, 12:30-14:00
MC-25: Novel Methodologies for Energy Trading under Uncertainty
Stream: Stochastic and Robust Optimization
Room: Virtual Room 25
Chair(s):
Bruno Fanzeres, Andrew Rosemberg
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Hedging Price and Volume Risk in Renewable Energy Trading: A Soft Robust Portfolio Allocation based Approach
Bruno Fanzeres, Arthur Brigatto -
A Two-stage Model on Optimal Location and Operation of Waste-to-Energy Plants: Influence of Waste Composition Uncertainty
Dušan Hrabec, Jaroslav Pluskal, Radovan Šomplák, Vlastimír Nevrlý, Lars Magnus Hvattum -
Multistage Scenario Trees Generation for Electricity Markets Optimization
Marlyn Dayana Cuadrado Guevara, F.-Javier Heredia -
Bilevel Optimization And Automatic Dualization Applied To Power Systems
Guilherme Bodin, Joaquim Dias Garcia
Monday, 14:30-16:00
MD-25: Stochastic Optimization for Robust Food-Water-Energy-Environmental Security Nexus Management
Stream: Stochastic and Robust Optimization
Room: Virtual Room 25
Chair(s):
Tatiana ERMOLIEVA, Yurii Ermoliev
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Robust management of systemic risks and food-water-energy-environmental security in interacting natural and anthropogenic systems
Tatiana ERMOLIEVA, Petr Havlik, Yurii Ermoliev, Taher Kahil, Elena Rovenskaya, Michael Obersteiner, Olena Borodina, Vasyl Gorbachuk, Pavel Knopov, Oleksandr Bogdanov -
A two-stage stochastic optimization for a multidisciplinary water resource management problem in the presence of uncertainty and risks
Jose Pablo Ortiz Partida, Taher Kahil, Yoshihide Wada, Yurii Ermoliev, Tatiana ERMOLIEVA, Samuel Sandoval Solis -
Iterative solution procedure for nonsmooth nondifferentiable stochastic optimization: linking distributed models for food, water, energy security nexus management
Yurii Ermoliev, Anatoliy Zagorodniy, Vyacheslav Bogdanov, Tatiana ERMOLIEVA, Petr Havlik, Elena Rovenskaya, Nadejda Komendantova, Michael Obersteiner -
A Financing Mechanism for Food Security in West Africa: A Stochastic Programming Approach
Matthias Wildemeersch, Debbora Leip, Elena Rovenskaya
Monday, 19:30-21:00
MG-25: Stochastic Dual Dynamic Programming
Stream: Stochastic and Robust Optimization
Room: Virtual Room 25
Chair(s):
Christian Füllner, Steffen Rebennack
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Node Aggregation in Stochastic Dual Dynamic Programming
Renata Pedrini, Erlon Finardi, Felipe Beltrán -
A dual SDDP algorithm for risk averse problem
vincent leclere, Bernado Freitas Paulo da Costa -
Aspects of SDDP and practice
Wim van Ackooij, Welington de Oliveira, Yongjia Song -
Non-convex Benders decomposition
Christian Füllner, Steffen Rebennack
Tuesday
Tuesday, 10:30-12:00
TB-25: Advances in Data-driven Decision-making under Uncertainty and its Applications
Stream: Stochastic and Robust Optimization
Room: Virtual Room 25
Chair(s):
Juan Miguel Morales
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Reliable Frequency Regulation through Electricity Storage: An Analytical Solution
Dirk Lauinger, François Vuille, Daniel Kuhn -
Hierarchical clustering for energy systems planning: A two-phase framework based on data classification and time-shifting-sensitive discrepancy measurement
Lucas Condeixa, Fabricio Oliveira, Afzal Siddiqui -
Robust and Distributionally Robust Optimization Models for Support Vector Machine with Medical Applications
Daniel Faccini, Francesca Maggioni, Florian Potra -
Distributionally robust optimization with side information based on probability trimmings and optimal transport
Adrián Esteban-Pérez, Juan Miguel Morales
Tuesday, 12:30-14:00
TC-25: Topics in Stochastic and Robust Optimization
Stream: Stochastic and Robust Optimization
Room: Virtual Room 25
Chair(s):
Steffen Rebennack
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Incremental Maximum Likelihood Estimation of Noisy Gaussian Random Walk
Vytautas Dulskis, Leonidas Sakalauskas -
Chance constrained model predictive control of parabolic PDE systems with random parameters
Ruslan Voropai, Abebe Geletu, Pu Li -
Dual approaches to multistage stochastic linear programs
Yi Cheng, Alexander Shapiro -
Integrating Reinforcement Learning with a Discrete Event Simulation Environment.
Sahil Belsare, Mohammad Dehghani
Tuesday, 14:30-16:00
TD-25: Optimization under Uncertainty for Production and Supply Chain Management
Stream: Stochastic and Robust Optimization
Room: Virtual Room 25
Chair(s):
Francesca Maggioni, Thomas Martin
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Comparison of different approaches to multi-stage lot sizing with uncertain demand
Viktor Bindewald, Fabian Dunke, Stefan Nickel -
Dynamic programming for the management of an oil production network problem
Cyrille Vessaire -
A stochastic dynamic approach to the crude oil procurement problem
Thomas Martin -
A decomposition algorithm for multi-item tactical planning with independent random parameters
Masoumeh Kazemi Zanjani, Shayan Tavakoli Kafiabad, Mustapha Nourelfath
Tuesday, 16:30-18:00
TE-25: Advances in Optimization under Uncertainty
Stream: Stochastic and Robust Optimization
Room: Virtual Room 25
Chair(s):
Francesca Maggioni
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Dynamic Programs with Shared Resources and Signals: Dynamic Fluid Policies and Asymptotic Optimality
Jingwei Zhang, David Brown -
The Polyhedral Structure and Complexity of Multistage Stochastic Linear Problem with General Cost Distribution
Maël Forcier, Stephane Gaubert, vincent leclere -
ALSO-X is Better Than CVaR: Convex Approximations for Chance Constrained Programs Revisited
Weijun Xie -
Sample Average Approximation for Stochastic Nonconvex Mixed Integer Nonlinear Programming via Outer Approximation
Can Li, Ignacio Grossmann, David Bernal, Kevin Furman
Tuesday, 18:30-20:00
TF-25: Advances in Distributionally Robust Optimization and Risk Averse Optimization
Stream: Stochastic and Robust Optimization
Room: Virtual Room 25
Chair(s):
Francesca Maggioni
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Bounds for Multistage Mixed-Integer Distributionally Robust Optimization
Francesca Maggioni, Guzin Bayraksan, Daniel Faccini, Ming Yang -
Designing Interpretable Policies in Two-stage Distributionally Robust Optimization
Eojin Han, Chaitanya Bandi, Omid Nohadani -
Kernel methods for distributionally robustness in optimization and machine learning
Jia-Jie Zhu -
Risk-averse Allocation Indices for Multi-armed Bandit Problem
Ozlem Cavus, Milad Malekipirbazari
Wednesday
Wednesday, 8:30-10:00
WA-25: Applications of Robust and Stochastic Optimization
Stream: Stochastic and Robust Optimization
Room: Virtual Room 25
Chair(s):
Milos Kopa
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Food Banking Network Design under the Risk of Disruption
Suyog Nigudkar, Sachin Jayaswal, Ankur Sinha -
Vehicle Routing Problem with time windows and stochastic travelling times: stochastic programming and simheuristics
Adela Pages Bernaus, VIRNA ORTIZ-ARAYA, Nuria Nievas Viñals -
Multi-objective optimization of multi-microgrid power dispatch under uncertainties using interval optimization
shungen luo -
A Simple Method for Robustness Analysis of Non-degenerate Optimal Basic Solutions in Linear Programming Problems with Fuzzy Objective Coefficients
Zhenzhong Gao, Masahiro Inuiguchi, Carla Margarida Saraiva Oliveira Henriques
Wednesday, 10:30-12:00
WB-05: Novel Methods in Optimization under Uncertainty
Stream: Stochastic and Robust Optimization
Room: Building Δ, Room Δ105
Chair(s):
Martin Smid
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Optimal Design of Controlled Environment Agricultural Systems Under Market Uncertainty
Shaylin Cetegen, Matthew Stuber -
Solving Parametric Systems for Interval Linear Programming
Elif Garajová, Miroslav Rada, Milan Hladík, Jaroslav Horáček -
Approximation of Multistage Financial Problems by Smoothed Quantization
Martin Smid -
Assessing the choice of ambiguity set for distributionally robust portfolio selection in electricity spot markets
Anton Isopoussu, Andrew Rosemberg
Wednesday, 12:30-14:00
WC-05: Optimization under Uncertainty in Energy and Waste Management
Stream: Stochastic and Robust Optimization
Room: Building Δ, Room Δ105
Chair(s):
Eric Perim
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Application of Reinforcement Learning in Waste Incineration Plants
Martin Schlappa, Stefan Spinler, Jonas Hegemann -
Multi-node Bidding Into Electricity Markets using the Transmission Constrained Residual Demand Approach
Abraham Alvarez-Bustos, Andrew Rosemberg, Bruno Fanzeres -
Finding predictable low-dimensional spaces in electricity price data
Eric Perim, Wessel Bruinsma -
Analysing decarbonizing strategies in the European power system applying stochastic dominance constraints
Sebastiano Vitali, Ruth Dominguez
Wednesday, 14:30-16:00
WD-25: Stochastic Programming in Healthcare
Stream: Stochastic and Robust Optimization
Room: Virtual Room 25
Chair(s):
Emilia Grass
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A Stochastic Optimisation Model to Support Cybersecurity within the UK National Health Service
Emilia Grass, Christina Pagel, Sonya Crowe, Saira Ghafur -
Stochastic programming for outpatient scheduling with flexible inpatient exam accommodation
Yifei Sun, Vikrant Vaze -
Optimization Models for Allocating Scarce Medical Drugs during Pandemics
Bismark Singh, Steffen Rebennack, Lauren Meyers -
Mixed 0-1 two-stage optimization: a case study for emergency response after earthquake disasters
Aitziber Unzueta, Isabel Eguia, M. Araceli Garin