Program — informations and book of abstracts

Wednesday, March 27, 2019
08:00 Registration
09:00 Opening
Invited talk
Chair: Vladimir Shikhman
09:10 Tomáš Kroupa Continuous games and their applications
Risk aversion
Chair: Vladimir Shikhman
Algorithmic approaches
Chair: Sebastian Maier
10:00 Matthias Claus Structure of risk-averse stochastic linear bilevel programs   Vadim Omelcenko Decomposition Algorithms in Mixed Integer Linear Programming  
10:30 Johanna Burtscheidt Application of Risk-Averse Bilevel Problems under Uncertainty David Müller Pricing in Markets with Differentiated Products
11:00 Tea and Coffee Break
11:15 Oliver Stein On pessimistic bilevel optimization   Martin Branda New solution approaches to nonlinear chance constrained problems
11:45 Martin Gugat Optimal Control of a vibrating string with uncertain initial data and probabilistic terminal constraints   Maria Trnovska Nonlinear DEA models for technologies with undesirable outputs - an application of semidefinite programming
12:15 Kai Arne Spürkel Strong Convexity of Risk Functions in Linear Recourse Models   Regan Baucke A deterministic algorithm for stochastic multistage problems  
12:45 Lunch
Invited talk
Chair: Alois Pichler
13:55 Georg Pflug Stochastic optimization in Hilbert spaces with applications to shape optimization  
Mathematical methods
Chair: Alois Pichler
Dynamic programming
Chair: Stein-Erik Fleten
14:45 Michal Cervinka New verifiable sufficient conditions for metric subregularity of constraint systems with application to disjunctive programs   Sona Kilianova Dynamic portfolio optimization via Hamilton-Jacobi-Bellman equations and their transformation
15:15 Natalia Gulko Wave propagations in full absorption medium Vlasta Kaňková Second Order Stochastic Dominance in Optimization Problems via Empirical Data  
15:45 Tea and Coffee Break
Mathematical methods
Chair: Regan Baucke
Stochastic programming
Chair: Oliver Stein
16:00 Petr Lachout Stochastic optimization shema with timers   Sebastian Maier Risk-averse pathwise dynamic programming: A simple simulation-and-regression approach
16:30 Maximilian Emanuel Klein Almost Sure Convergence for Nested Monte-Carlo Simulations Francesca Maggioni Sampling Methods for Multistage Robust Optimization
19:00 Concert
Thursday, March 28, 2019
Invited talk
Chair: Stein-Erik Fleten
09:10 David Wozabal Dampening the Curse of Dimensionality: Decomposition Methods for Stochastic Optimization Problems  
Energy
Chair: Martin Gugat
Finance
Chair: Sona Kilianova
10:00 Ruediger Schultz Optimization in meshed gas networks   Diana Barro Derivatives-based portfolio management via multistage stochastic programming
10:30 Stein-Erik Fleten Dynamic Hedging of Electricity Storage Operations with Exchange Rate Risks   Tomáš Rusý Maximising Loan Value under Decision Dependent Randomness  
11:00 Tea and Coffee Break
11:15 Andreas Klinkert Workforce Planning in Airport Logistics: A Real-World Business Application Milos Kopa Portfolio selection with DARA constraints
11:45 Raimund M. Kovacevic Fair distribution of random Revenues for joint projects in the electricity sector   Rossella Agliardi Optimal trading strategies with limit orders: a stochastic programming approach  
12:15 Sjur Didrik Flåm Market Equilibrium and Parametric Optimization   Alexander Fromm Evaluation of equity-based debt obligations  
12:45 Lunch
Invited talk
Chair: Georg Pflug
14:00 Michel De Lara Design of Lower Bound Convex Programs for Exact Sparse Optimization  
Nonlinear programming
Chair: Petr Lachout
Statistics
Chair: Martin Smid
14:45 Werner Römisch Problem-based optimal scenario generation in two-stage stochastic programming   Ruben Schlotter Nested Risk Measures and Optimal Control  
15:15 Giovanni Micheli Generation and Transmission Expansion Planning with high Shares of Renewables   Sergio Ortobelli Testing for paremetric orderings efficiency  
15:45 Tea and Coffee Break
16:00 Sebastiano Vitali Multistage stochastic dominance: an application to pension fund management   Muazu Ramat Abujiya Integrating Ranked Set Sampling in Memory Control Charts: A Study on Pepsi Cola  
16:30 Vladimir Shikhman Dual subgradient method with averaging for optimal resource allocation   Mo'tassem Al-arydah Efficiency of Home Radon Mitigation Systems in some Canadian Provinces  
19:00 Conference Dinner
Friday, March 29, 2019
Invited talk
Chair: David Wozabal
09:10 Huifu Xu Utility Preference Robust Optimization: Piecewise Linear Approximation and Statistical Robustness  
Energy
Chair: David Wozabal
Finance
Chair: Milos Kopa
10:00 Adrien Le Franc Stochastic optimization problems from Energy Management Systems   Karel Sladký Separable Utility Functions in Discrete- and Continuous-time Markov Decision Chains  
10:30 Christopher Hofmann Simultaneous Multi-Parameter Choice with Applications in Inverse Option Pricing   Martin Smid Application of Markov SDDP to Financial Modelling  
11:00 Tea and Coffee Break
11:15 Thomas Martin Stochastic Optimization for the Crude oil procurement problem   Martina Nardon Behavioral premium principles  
11:45 Thanh To Stochastic Corrective Risk-Based Optimal Power Flow Hua Jin The impact of tax legislation on inventory and supplier selection models  
12:15 Noureddine Kouaissah XOR-AHP Approach and Its Assessment in the Renewable Energy Sector Mustafa Akan Optimal Investment in Health Care for Patient Satisfaction.
12:45 Lunch