Sixth Rutgers-Stevens Workshop

Optimization of Stochastic Systems

Stevens Institute of Technology

 

 

Friday, November 4, 2011 Babbio Center 110

9:00 – 9:15        Opening remarks by Provost George Korfiatis

9:15 –10:00       Sheldon M. Ross (University of Southern California)

A generalized coupon collecting model as a parsimonious optimal stochastic assignment

10:00 – 10:45     Michael N. Katehakis (Rutgers University)

                        Models, problems and strategies for sequential procurement auctions 

10:45 – 11:00     Coffee Break

11:00 – 11:45     Douglas Jones (Rutgers University)

                        Nonparametric Bayesian updating of a test score distribution with data

from optimal sampling designs

11:45 – 12:30     Ionut Florescu (Stevens Institute of Technology)

                        Estimation of hidden Markov chain parameters and applications

of the model to finance climate and geophysical data

12:30 – 2:00      Lunch Break

2:00 – 2:45        Jianqing Fan (Princeton University)

                        A two-scale method to vast-dimensional space

2:45 – 3:00        Coffee Break

3:00 – 3:45        Spiridon Penev (University of New South Wales, Australia)

                        Improved confidence intervals for quantiles.

3:45 – 4:30        German Creamer (Stevens Institute of Technology)

Using link mining for portfolio optimization: extending the Black-Litterman model

4:30 – 4:45        Coffee Break

Graduate Students’ Session

4:45– 5:05         Minh Pham (Rutgers University)

                        Alternating linearization for structured regularization problems

5:05– 5:25         Nikos Hatzipanagiotis (Stevens Institute of Technology)

Approximate Augmented Lagrangian methods for distributed network optimization

5:25– 5:45         Naoshi Tsuchida (Stony Brook University)

                        Portfolio selection based on fat-tail forecast of returns


 

Saturday, November 5, 2011, E. A. Stevens Hall Room 222

 

9:00 – 9:45        Angelia Nedich (University of Illinois at Urbana Champaign)

                        Optimization in presence of random constraints

9:45 –10:30       Sanjay Mehrotra (Northwestern University)

Models and algorithms for distributionally robust two-stage convex stochastic programs

10:30 – 10:45     Coffee Break

10:45 – 11:30     Xiaodong Lin (Rutgers University)

                        Sparsity via penalized likelihood for time dependent data models

11:30 –12:15      Andrzej Ruszczynski (Rutgers University)

                        Risk-averse dynamic optimization

12:15– 1:45       Lunch Break

1:45 – 2:30        Darinka Dentcheva (Stevens Institute of Technology)

Decomposition methods for solving two-stage optimization problems with stochastic dominance constraints

2:30 – 2:45        Coffee Break

 

Graduate Students’ Session

 

2:45 – 3:05        Ozlem Cavus (Rutgers University)

                        Risk-averse optimal path problems for Markov models

3:05 – 3:25        Dragos Bozdog (Stevens Institute of Technology)

                        Equity and commodity behavior in the proximity of rare events