DIMACS/CCICADA Workshop on Risk-Averse Algorithmic Decision Making

May 9 - 11, 2011
DIMACS Center, CoRE Building, Rutgers University

Organizers:

Melike Baykal-Gursoy, Rutgers University, gursoy at rci.rutgers.edu

David Brown, Duke University, dbbrown at duke.edu

Aleksandar Pekec, Duke University, pekec at duke.edu

Andrzej Ruszczynski, Rutgers University, rusz at business.rutgers.edu

Dharmashankar Subramanian, IBM Watson Labs dharmash at us.ibm.com

Workshop Program:

Monday, May 9, 2011

 8:30 -  9:15  Breakfast and Registration

 9:15 -  9:30  Opening Remarks
               Fred Roberts, DIMACS Director

 9:30 - 10:15  Multistage stochastic optimization with generalized polyhedral risk measures
	       Werner Römisch, Humboldt University Berlin

10:15 - 10:30  Coffee Break

10:30 - 11:15  Tight Dynamically Consistent Approximations of Inconsistent Distortion Risk Measures
               Dan Iancu, IBM Research Center Yorktown Heights

11:15 - 12:00  Decomposition Methods for Two-Stage Optimization Problems with
               Stochastic Dominance Constraints
               Darinka Dentcheva, Stevens Institute of Technology

12:00 -  1:15  Lunch Break

 1:15 -  2:00  Risk Averse Dynamic Optimization
               Alexander Shapiro, Georgia Institute of Technology

 2:00 -  2:45  Scenario decomposition of risk-averse multistage stochastic programming problems 
               Ricardo A. Collado, New York University

 2:45 -  3:00  Coffee Break

 3:00 -  3:45  Multi-Period Production Planning Under Non-Compliance Risk
  	       Marco Laumanns, IBM Research Center Zurich

 3:45 -  4:30  Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds
               David B. Brown, Duke University

Tuesday, May 10, 2011
 
 9:00 -  9:30  Breakfast and Registration
 
 9:30 - 10:15  On Variance Minimization for Constrained Discounted Continuous-Time Markov Decision Processes 
               Eugene Feinberg, SUNY Stony Brook

10:15 - 10:30  Coffee Break

10:30 - 11:15  Markov Decision Processes with the Exponential Utility Function
               Anna Jaskiewicz, Wroclaw University

11:15 - 12:00  Risk-Sensitive Markov and Semi-Markov Decision Processes
               Melike Baykal-Gursoy, Rutgers University

12:00 -  1:15  Lunch Break

 1:15 -  2:00  An Integrated Framework for Stochastic Programming, Dynamic Programming, 
               Stochastic Search and Simulation-Optimization
	       Warren B. Powell, Princeton University

 2:00 -  2:45  Extension of Lyapunov's Convexity Theorem to Subranges
               Subranges of Vector Measures and Purification of Transition Probabilities
	       Peng Dai, SUNY Stony Brook

 2:45 -  3:00  Coffee Break

 3:00 -  3:45  Dynamic Risk-Averse Optimization
               Andrzej Ruszczynski, Rutgers University

 3:45 -  4:30  Risk-Averse Optimal Path Problems for Markov Models
               Ozlem Cavus, Rutgers University

 6:00          Workshop Dinner
 
Wednesday, May 11, 2011
 
 9:00 -  9:30  Breakfast and Registration
 
 9:30 - 10:15  A stopping time method for refining the basis in convex approximation schemes	
               Alan J. King, IBM Research Center Yorktown Heights

10:15 - 10:30  Coffee Break

10:30 - 11:15  Regularization Methods for Optimization Problems with Chance Constraints 
               Gabriela Martinez, Stevens Institute of Technology

11:15 - 12:00  Non-Parametric Up-And-Down Experimentation Revisited
               Michael Katehakis, Rutgers University
 
12:00 -  1:15  Lunch Break

 1:15 -  3:15  Discussion in Interest Groups

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