Program for stream Stochastic and Robust Optimization

MA-25: Stochastic Optimization in Energy
Stream: Stochastic and Robust Optimization
Room: Virtual Room 25
Chair(s): Patrizia Beraldi, Francesca Maggioni

• 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

MB-25: Stochastic dominance in stochastic optimization
Stream: Stochastic and Robust Optimization
Room: Virtual Room 25
Chair(s): Milos Kopa

• 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

MC-25: Novel Methodologies for Energy Trading under Uncertainty
Stream: Stochastic and Robust Optimization
Room: Virtual Room 25
Chair(s): Bruno Fanzeres, Andrew Rosemberg

• 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

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

• 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

MG-25: Stochastic Dual Dynamic Programming
Stream: Stochastic and Robust Optimization
Room: Virtual Room 25
Chair(s): Christian Füllner, Steffen Rebennack

• 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

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

• 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

TC-25: Topics in Stochastic and Robust Optimization
Stream: Stochastic and Robust Optimization
Room: Virtual Room 25
Chair(s): Steffen Rebennack

• 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

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

• 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

TE-25: Advances in Optimization under Uncertainty
Stream: Stochastic and Robust Optimization
Room: Virtual Room 25
Chair(s): Francesca Maggioni

• 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

TF-25: Advances in Distributionally Robust Optimization and Risk Averse Optimization
Stream: Stochastic and Robust Optimization
Room: Virtual Room 25
Chair(s): Francesca Maggioni

• 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

WA-25: Applications of Robust and Stochastic Optimization
Stream: Stochastic and Robust Optimization
Room: Virtual Room 25
Chair(s): Milos Kopa

• 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

WB-05: Novel Methods in Optimization under Uncertainty
Stream: Stochastic and Robust Optimization
Room: Building Δ, Room Δ105
Chair(s): Martin Smid

• 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

WC-05: Optimization under Uncertainty in Energy and Waste Management
Stream: Stochastic and Robust Optimization
Room: Building Δ, Room Δ105
Chair(s): Eric Perim

• 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

WD-25: Stochastic Programming in Healthcare
Stream: Stochastic and Robust Optimization
Room: Virtual Room 25
Chair(s): Emilia Grass

• 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