International Colloquium on Stochastic Modeling and Optimization

Dedicated to the 80th birthday of Professor András Prékopa

November 30 - December 1, 2009, RUTCOR, Rutgers University


PROGRAM


Monday, November 30, 2009

8:30 Breakfast

9:00

Opening remarks by Endre Boros (RUTCOR) and András Prékopa (RUTCOR)

Session I (Endre Boros, Chair):

9:20 Stephen Robinson (University of Wisconsin-Madison, Madison, WI): Some issues in stochastic variational problems

10:00

Tamás Szántai (Budapest University of Technology and Economics, Budapest, Hungary): Orthogonal polynomials, hypergeometric functions and multivariate probability distributions

10:40

Coffee Break

Session II (Stephen Robinson, Chair):

11:00

Elliott Lieb (Princeton University, Princeton, NJ): Brascamp-Lieb inequalities for non-commutative integration

11:40

René Henrion (Weierstrass Institute, Berlin, Germany): Answers and questions in selected topics of probabilistic programming

12:20

Lunch at RUTCOR

Session III (Jitka Dupačová, Chair):

1:40

Darinka Dentcheva (Stevens Institute of Technology, Hoboken, NJ): Inverse dominance constraints duality and methods

2:20

István Maros (Imperial College, London, England & University of Pannonia, Vezsprém, Hungary): Planning electricity portfolios: approximate models

3:00

Andrzej Ruszczyński (Rutgers University): Risk-averse dynamic programming for Markov decision processes

3:40

Coffee Break

Session IV (John Birge, Chair):

4:00

Ferenc Friedler (University of Pannonia, Vezsprém, Hungary): Mathematical modeling and optimization for process systems engineering: structural assessment

4:40

Gus Gassmann (Dalhousie University, Halifax, Nova Scotia): Solver and modeling support for stochastic programming

5:20

Tamás Terlaky (Lehigh University, Bethlehem, PA): Bi-parametric convex quadratic optimization


Tuesday, December 1, 2009

8:30 Breakfast

9:00

Opening remarks by Fred Roberts (DIMACS and RUTCOR)

Session V (Andrzej Ruszczyński, Chair):

9:20 Jitka Dupačová (Charles University, Prague, Czech Republic): Minimax stochastic programs and beyond

10:00

John Birge (University of Chicago, Chicago, IL): Parameter estimation in large-scale stochastic optimization problems

10:40

Coffee Break

Session VI (Darinka Dentcheva, Chair):

11:00

Endre Boros (Rutgers University): Polynomially computable sharp probability bounds

11:40

József Bukszár (Virginia Commonwealth University, Richmond, VA): Bounds on the probability of the union of the events

12:20

Miguel Lejeune (George Washington University, Washington D.C.): Linear reformulation of probabilistically constrained optimization problems using combinatorial patterns