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