Fourth Rutgers-Stevens Workshop
Optimization
of Stochastic Systems
Stevens Institute of Technology, Carnegie
(see driving
directions)
Friday, March 30
9:30 -- 9:45 Opening Session
9:45 --10:30
Terry Rockafellar (
Risk tuning with
generalized linear regression
10:30 – 10:50 Coffee Break
10:50 –
11:35 Andraś Prekopa (
Conditional
mean-conditional variance portfolio selection models
11:35 – 12:20 Darinka Dentcheva (Stevens Institute of Technology)
Optimization under
stochastic ordering constraints
12:20 -- 2:00 Lunch Break
2:00 – 2:45 Shabbir Ahmed (Georgia Institute of Technology)
Cutting planes for stochastic integer programming
2:45 --
3:30
Optimizing container inspection at ports of entry
3:30 –
4:15
Optimal security
inspection with a single-server queue
4:15 -- 4:40 Break
Graduate Students’
Session
4:40 -- 5:00 Bogdan Grechuk (Stevens Institute of Technology)
5:00 -- 5:20 Sungyong Choi (
5:20 -- 5:40 Anton Molyboha (Stevens Institute of Technology)
Quantile-based deviation measures
Saturday, March 31
9:30 --10:15
Ronnie Sircar (
Optimal
static-dynamic hedges for exotic options under convex risk measures
10:15 – 10:30 Coffee Break
10:30 –
11:15 Rudiger Schultz (
Stochastic dominance
constraints induced by mixed-integer linear recourse
11:15 –
12:00 Andrzej Ruszczyński (
Stochastic dynamic optimization with multivariate stochastic dominance constraints
12:00 -- 1:30 Lunch Break
1:30 – 2:15 Ionut Florescu (Stevens Institute of Technology)
Statistical methods in cryptography. An application to the Diffie-Hellman exchange protocol
2:15 – 2:30 Coffee break
Graduate Students’
Session
2:30-- 3:50 Naomi Miller (
Risk-adjusted probabilities in portfolio optimization with
coherent measures of risk
2:50-- 3:10 Antoine Toussaint (
Hedging under L2 convex risk measures
3:10-- 3:30 Sergiy Gorovyy (Stevens Institute of Technology)
Markov chain approach to optimal sensor coverage