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IMA"HOT TOPICS" Workshop:
Decision Making Under Uncertainty:
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| Schedule | Participants | Registration |
| Material from IMA Talks | Audio Recordings | |
Almost all (important) decision problems involve some level of uncertainty either about data measurements, the values to assign to parameters describing future evolution or even about the environment in which one has to operate. The main objective of this workshop is to set up a dialogue between Industry and Academia about modeling issues and the supporting mathematical methodology that would be useful to deal with uncertainty in decision making. This workshop will be centered around problems where the uncertainty is of a technological nature, in particular as it comes up in the production of energy, the extraction of natural resources and (ground) water remediation. Both practitioners and scientific researchers will be involved, and the interaction between these groups will be an important feature of the workshop.
The first day will be devoted mostly to a review of the major issues that must be dealt with when setting up stochastic optimization models. This will be followed by a limited number of invited lectures that will address more specific models and questions as they arise in applications. Other lecturers will provide a description of the numerical procedures and strategies that have been developed for certain classes of stochastic programming problems. To foster interaction, time has been reserved for two panel discussions, for impromptu talks, contributed talks and more informal exchanges between the participants.
Workshop Schedule
All talks are in Lecture Hall EE/CS 3-180 unless otherwise noted.| Tuesday | Wednesday | Thursday | Friday | Saturday |
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SCHEDULE for TUESDAY,
JULY 20
Stochastic Programming Tutorial |
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|---|---|---|
| 8:30 am | Registration and Coffee | Reception Room EE/CS 3-176 |
| 8:45 am | Willard
Miller, Fred Dulles, and Robert Burridge |
Introduction |
| 9:00 am | R.
Terry Rockafellar University of Washington |
Stochastic Programming Models |
| 10:30 am | Coffee Break | Reception Room EE/CS 3-176 |
| 11:00 am - 12:00 pm | R.
Terry Rockafellar University of Washington |
Stochastic Programming Models (Continued) |
| 2:00 pm | R.
Terry Rockafellar University of Washington |
Formulation and Analysis of Dynamic Stochastic Optimization Problems. Duality and Optimality Conditions |
| 3:30 pm | Coffee Break | Reception Room EE/CS 3-176 |
| 4:00 pm | R.
Terry Rockafellar University of Washington |
Formulation and Analysis of Dynamic Stochastic Optimization Problems. Duality and Optimality Conditions (Continued) |
| 5:00 pm | IMA Tea |
IMA East, 400 Lind Hall A variety of appetizers and beverages will be served. |
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SCHEDULE for WEDNESDAY,
JULY 21
Energy Models |
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| 9:00-10:00 am | Jonathan
Jacobs PG&E Energy Services Corp. |
Opportunities for Stochastic and Probabilistic Modeling in the Deregulated Electricity Industry |
| 10:00 am | Coffee Break | Reception Room EE/CS 3-176 |
| 10:30 am - 12:00 pm | Rüdiger
Schultz Universität Duisburg |
Methods for Solving Recourse Stochastic Programs with Integer Requirements |
| 11:15 am | Suvrajeet
Sen University of Arizona |
Strengthening Stochastic Integer Programs with Valid Inequalities |
| 2:00-3:00 pm | Alejandro
Jofre Universidad de Chile |
TBA |
| 3:00 pm | Coffee Break | Reception Room EE/CS 3-176 |
| 3:30 pm | Marc
Paulhus Northern Finacial Technology |
Real Options Software Environment |
| 4:15 - 5:00 pm | Lisa
Korf IBM |
Contingent Claims Analysis from an Optimization Viewpoint and A Numerical Method for Computing the Effective Coefficients of Random Media |
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SCHEDULE for THURSDAY, JULY 22
Geological & Hydrological Models |
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| 9:00 - 10:15 am | François
Auzerais Schlumberger-Doll Research |
Optimal Control of an Oilfield Reservoir under Uncertainty |
| 10:15 am | Coffee Break | Reception Room EE/CS 3-176 |
| 10:45 am - 12:00 pm | Samer
Takriti ENRON |
Coordinating Fuel Inventory and Electric Power Generation Under Uncertainty |
| 2:00 - 3:00 pm | Christine
Shoemaker Cornell University |
Optimization of Uncertain Dynamic Systems: Partial Differential Equation Systems for Groundwater Contamination |
| 3:00 pm | Coffee Break | Reception Room EE/CS 3-176 |
| 3:30 pm | Christine
Shoemaker Cornell University |
Optimization of Uncertain Dynamic Systems: Algorithms and Applications to Hydropower Reservoirs, Inventory Problems |
| 4:15 pm | Sergio
Lucero University of California - Davis |
A Stochastic Programming Model for Groundwater Remediation |
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SCHEDULE for FRIDAY, JULY 23
Panel, Enviromental Models |
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| 9:00 - 10:30 am | Panel
- Problem Identification François Auzerais Schlumberger-Doll Research Werner Roemisch Humboldt Universität Berlin Donna M. Rizzo University of Vermont |
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| 10:30 am | Coffee Break | Reception Room EE/CS 3-176 |
| 11:00 am - 11:45 pm | Lars
Holden Norwegian Computing Center |
Making Decisions Using Stochastic Models |
| 11:45 am - 12:30 pm | Andrew
Philpott University of Auckland |
Optimal Participant Behavior in an Electricity Market |
| 2:00 - 3:00 pm | Alan
King IBM |
Survey of Asymptotics for Empirical Approximations, with Application to Options Pricing |
| 3:00 pm | Coffee Break | Reception Room EE/CS 3-176 |
| 3:30 pm | Chuangyin
Dang City University of Hong Kong |
A Continuous Deformation Descent Direction Method for Approximating a Solution of the Linearly Constrained Concave Quadratic Minimization Problem with Simple Bounds |
| 6:00 pm | Workshop Dinner | Bona
Vietnamese Restaurant Located near the IMA and the Day's Inn at 802 Washington Avenue, the south side of Washington very near the intersection of Washington and Oak St. Phone: 612-331-5011 |
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SCHEDULE for SATURDAY, JULY 24
Energy Models II, Panel |
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| 9:00 - 10:00 am | Chonawee
Supatgiat University of Michigan |
Stochastic Programming Models and Equilibrium Conditions in Deregulated Power Markets |
| 10:00 am | Coffee Break | Reception Room EE/CS 3-176 |
| 10:30 am | Werner
Römisch Humboldt-Universität Berlin |
Power Management in a Hydro-Thermal System under Uncertainty by Lagrangian Relaxation |
| 11:15 am - 12:00 pm | Daniel
Tasende |
Hedging Against Disasters in Competitive Electricity Markets |
| 2:00 - 3:00 pm | Andrzej
Ruszczynski Rutgers University |
Efficient Points of Discrete Distributions in Probabilistic Optimization Models |
| 3:00 pm | Coffee Break | Reception Room EE/CS 3-176 |
| 3:30 - 5:00 pm |
Panel - Where to? William Ziemba (Chair) University of British Columbia Robert Burridge Schlumberger-Doll Research Sergio Lucero UC Davis Andrew Philpot University of Auckland | |
| Tuesday | Wednesday | Thursday | Friday | Saturday |
List of Confirmed Participants
As of 7/16/99| Name | Department | Affiliation |
|---|---|---|
| François Auzerais | Schlumberger-Doll Research | |
| John Birge | Stochastic Programming in Engneering | University of Michigan |
| Robert Burridge | Schlumberger-Doll Research Center | |
| David Chock | Chemistry | Ford Motor Company |
| Benoit Couet | Schlumberger-Doll Research Center | |
| Chuangyin Dang | Manufacturing Eng & Eng. Management | City University of Hong Kong |
| David E. Dougherty | Civil Engineering & Mechanical Engineering | University of Vermont |
| Stefan Feltenmark | Optimization and Systems | Royal Institute of Technology |
| Lars Holden | Norweigan Computer Center | |
| Suzhou Huang | Ford Motor Company | |
| Jonathan Jacobs | P.G. & E. - Energy Services | |
| Alejandro Jofre | Math Engineering | Universidad de Chile |
| Tore W. Jonsbraten | A/S Norske Shell | |
| Daniel Kaplan | Math and Computer Science | Macalester College |
| Alan King | IBM | |
| Lisa Korf | IBM TJ Watson Research Center | |
| Sergio Lucero | Mathematics | University of California - Davis |
| Marc Paulhus | Statistics | Northern Financial Technologies |
| Andrew Philpott | Engineering Science | University of Auckland |
| Alfredo Piria | Matematica y Estadistica | Universidad de la Republica |
| Miro Powojowski | Statistics | Northern Financial Technologies |
| Donna M. Rizzo | Civil and Environmental Engr. | University of Vermont |
| Terry Rockafellar | Mathematics | University of Washington |
| Werner Roemisch | Institut fuer Mathematik | Humboldt-Universitaet Berlin |
| Andrzej Ruszczynski | Management Science and Information Sys. | Rutgers University |
| Ruediger Schultz | Mathematics | Gerhard-Mercator University Duisburg |
| Suvrajeet Sen | Systems and Industrial Engineering | University of Arizona |
| Nikhil Shah | Northern Financial Technologies | |
| Christine A. Shoemaker | Civil & Environmental Engineering | Cornell University |
| Chonawee Supatgiat | University of Michigan | |
| Samer Takriti | IBM | |
| Ing. Daniel Tasende | Sector Planificacion de Inversiones | Administracion Nacional de Usinas y Trasmsiones El |
| Stein Wallace | Industrial Economics & Tech. Mgmt. | The Norwegian Institute of Technology |
| Roger Wets | Mathematics | University of California - Davis |
| William Ziemba | Faculty of Business Administration | University of British Columbia |
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