Department of Mathematical Sciences

Workshop on Optimization of Stochastic Systems

Wesley J. Howe Center, Fielding Room

April 30, 2004



Peter Hammer (RUTCOR, Rutgers University)

Rene Henrion (Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany)

Ioannis Karatzas (Departments of Mathematics and Statistics, Columbia University)

Andras Prekopa (RUTCOR and Hill Center of Mathematics, Rutgers University)

Andrzej Ruszczynski (RUTCOR and MSIS Department, Rutgers University)

Suvrajeet Sen (NSF Program Director and University of Arizona)

Darinka Dentcheva (Stevens Institute of Technology)




9:009:15    Opening

9:1510:00    Peter Hammer: The Logical Analysis of Data and Application to Biomedical Informatics

10:0010:15 break

10:1511:00 Ioannis Karatzas: Convex Duality in Probability, Mathematical Statistics and Finance

11:0011:45 Andras Prekopa: On the Hungarian Inventory Control Model


12:001:30   lunch break


1:302:15     Suvrajeet Sen: Computational results using the D2 algorithm for some very large scale SMIP Problems

2:153:00     Rene Henrion: Selected Aspects of Structure, Stability and Numerics in Chance-Constrained Optimization Problems

3:003:15     break

3:154:00     Andrzej Ruszczynski: Risk-averse stochastic optimization: stochastic dominance constraints

4:004:45     Darinka Dentcheva: Risk-averse stochastic optimization: semi-infinite chance constrained problems


5:006:00 Poster session and discussions


Refreshments will be available during the breaks.


Travel Directions

About Stevens Institute of Technology

Stevens Professional Masters Program in Stochastic Systems

For additional information contact: Darinka Dentcheva at (201) 216 8640 or