Organizing Committee
Abstract

Designing, planning, and operating many systems is challenging due to the possibility of high-impact rare events. A motivating application is the electricity power grid, whose operation can be significantly disrupted by rare weather events such as a severe storm or a polar vortex. This workshop will explore optimization and simulation approaches to designing, planning, and operating systems impacted by such events. Stochastic optimization is one approach for optimizing such systems, in which the uncertain outcomes are modeled with random variables. Rare and high-impact events provide a challenge for stochastic optimization because (1) it is difficult to estimate the likelihood of rare events, (2) estimates of expected values with outcomes that have very low probability but high cost are inherently unstable, and (3) the actual distribution of the random events is often not known. Alternatively, robust and distributionally robust optimization models attempt to identify a solution that is best in the worst-case over a given set of possible outcomes. While robust optimization may protect against the impact of rare events by including them in the set of possible outcomes, doing so may lead to overly conservative solutions. The goal of this workshop is to bring together researchers with different perspectives on optimization under uncertainty to encourage the investigation of new models and solution approaches that address these and related challenges.

This workshop is partially supported by the DOE-funded MACSER project.

Image for "Mathematical Optimization of Systems Impacted by Rare, High-Impact Random Events"

Confirmed Speakers & Participants

  • Speaker
  • Poster Presenter
  • Attendee
  • Virtual Attendee
  • Mihai Anitescu
    Argonne National Laboratory and the University of Chicago
  • Manish Bansal
    Virginia Tech
  • David Barajas-Solano
    Pacific Northwest National Laboratory
  • Güzin Bayraksan
    Ohio State University
  • Getachew Befekadu
    Morgan State University
  • Jeremiah Birrell
    University of Massachusetts Amherst
  • Jose Blanchet
    Columbia University and Stanford University
  • Esra Büyüktahtakin-Toy
    New Jersey Institute of Technology
  • Thushara De Silva M.
    Vanderbilt University
  • Laurel Dunn
    University of California Berkeley
  • Paul Dupuis
    Brown University
  • Bernardo Freitas Paulo da Costa
    Universidade Federal do Rio de Janeiro
  • Harsha Gangammanavar
    Southern Methodist University
  • Akshay Gupte
    Clemson University
  • René Henrion
    Weierstrass Institute for Applied Analysis and Stochastics
  • Ruiwei Jiang
    University of Michigan
  • Rohit Kannan
    University of Wisconsin-Madison
  • Markos Katsoulakis
    University of Massachusetts Amherst
  • Ioanna Kavvada
    University of California, Berkeley
  • Kibaek Kim
    Argonne National Labratory
  • Colin Klaus
    The Ohio State University
  • Simge Küçükyavuz
    Northwestern University
  • Henry Lam
    Columbia University
  • vincent leclere
    Ecole des Ponts
  • Shu Lu
    UNC Chapel Hill
  • Jim Luedtke
    University of Wisconsin-Madison
  • Rahul Mazumder
    Massachusetts Institute of Technology
  • Merve Merakli
    NORTHWESTERN UNIVERSITY
  • David Morton
    Northwestern University
  • Linda Novak
    Argonne National Lab
  • Nilay Noyan
    SABANCI University
  • Lewis Ntaimo
    Texas A & M University
  • Melkior Ornik
    University of Illinois at Urbana-Champaign
  • Hamed Rahimian
    Northwestern University
  • Line Roald
    University of Wisconsin - Madison
  • Clement Royer
    University of Wisconsin-Madison
  • Alexander Shapiro
    Georgia Institute of Technology
  • Sara Shashaani
    North Carolina State University
  • Bismark Singh
    Sandia National Laboratories
  • Georg Stadler
    CIMS NYU
  • Panos Stinis
    Pacific Northwest National Laboratory
  • Nazanin Takbiri
    University of Massachusetts Amherst
  • Johannes Thürauf
    Friedrich-Alexander Universität Erlangen-Nürnberg
  • Shanyin Tong
    New York University
  • Brian Van Koten
    University of Massachusetts, Amherst
  • Phebe Vayanos
    USC
  • Alexander Vladimirsky
    Cornell University
  • Andreas Waechter
    Northwestern University
  • Homer Walker
    Worcester Polytechnic Institute
  • Jonathan Weare
    Courant Institute, New York University
  • Weijun Xie
    Virginia Tech
  • Hongxia Yin
    Minnesota State University Mankato
  • Jin-Zhu Yu
    Vanderbilt University
  • Victor Zavala
    University of Wisconsin - Madison
  • Benjamin Zhang
    Massachusetts Institute of Technology
  • Lili Zhang
    Kennesaw State University
  • Yu Zhang
    UC Santa Cruz
  • Yiling Zhang
    University of Minnesota

Workshop Schedule

Monday, June 24, 2019
TimeEventLocationMaterials
8:30 - 8:55am EDTRegistration - ICERM 121 South Main Street, Providence RI 0290311th Floor Collaborative Space 
8:55 - 9:00am EDTWelcome - ICERM Director11th Floor Lecture Hall 
9:00 - 9:30am EDTOptimization under Uncertainty Challenges in Energy Systems - Mihai Anitescu, Argonne National Laboratory and the University11th Floor Lecture Hall 
9:45 - 10:15am EDTCoffee/Tea Break11th Floor Collaborative Space 
10:15 - 10:45am EDTScalable Solution of Chance-Constrained Nonlinear Programs - Victor Zavala, University of Wisconsin- Madison11th Floor Lecture Hall
11:00 - 11:30am EDTSolving Chance-Constrained Problems via a Smooth Sample-Based Nonlinear Approximation - Andreas Waechter, Northwestern University11th Floor Lecture Hall
11:45 - 2:00pm EDTBreak for Lunch / Free Time  
2:00 - 2:30pm EDTOn some extended models of chance constraints - René Henrion, Weierstrass Institute Berlin11th Floor Lecture Hall
2:45 - 3:15pm EDTCoffee/Tea Break11th Floor Collaborative Space 
3:15 - 3:45pm EDTOptimizing Wildfire Response Planning under Uncertainty - Lewis Ntaimo, Texas A&M University11th Floor Lecture Hall
4:00 - 4:30pm EDTA Multi-Stage Stochastic Programming Approach to the Optimal Surveillance and Control of Emerald Ash Borer in Cities - Esra Buyuktahtakin Toy, New Jersey Institute of Technology11th Floor Lecture Hall
5:00 - 6:30pm EDTWelcome Reception11th Floor Collaborative Space 
Tuesday, June 25, 2019
TimeEventLocationMaterials
9:00 - 9:30am EDTRobust control of a risk-sensitive performance measure - Paul Dupuis, Division of Applied Mathematics, Brown University11th Floor Lecture Hall
9:45 - 10:15am EDTCoffee/Tea Break11th Floor Collaborative Space 
10:15 - 10:45am EDTLarge Deviation Theory for the Analysis of Power Transmission Systems Subject to Stochastic Forcing - David Barajas-Solano, Pacific Northwest National Laboratory11th Floor Lecture Hall
11:00 - 11:30am EDTStatistical Aspects of Data Driven Distributionally Robust Optimization - Jose Blanchet, Columbia University & Stanford University11th Floor Lecture Hall
11:45 - 2:00pm EDTBreak for Lunch / Free Time  
2:00 - 2:30pm EDTTalks in Honor of Shabbir Ahmed11th Floor Lecture Hall 
2:45 - 3:00pm EDTCall for input on breakout discussion themes - Workshop Organizers11th Floor Lecture Hall 
3:00 - 5:00pm EDTPoster Session11th Floor Collaborative Space 
Wednesday, June 26, 2019
TimeEventLocationMaterials
9:00 - 9:30am EDTTime consistency and optimal stopping of risk averse multistage stochastic programs  - Alexander Shapiro, Georgia Institute of Technology11th Floor Lecture Hall
9:45 - 10:15am EDTCoffee/Tea Break11th Floor Collaborative Space 
10:15 - 10:45am EDTCombating Conservativeness in Data-Driven Optimization under Uncertainty - Henry Lam, Columbia University11th Floor Lecture Hall
11:00 - 11:30am EDTOn Distributionally Robust Chance Constrained Programs with Wasserstein Distance - Weijun Xie, Virginia Tech11th Floor Lecture Hall
11:45 - 12:00pm EDTGroup Photo11th Floor Lecture Hall 
12:00 - 2:00pm EDTBreak for Lunch / Free Time  
2:00 - 2:30pm EDTRobust Optimization with Decision-Dependent Information Discovery - Phebe Vayanos, University of Southern California11th Floor Lecture Hall
2:45 - 3:15pm EDTCoffee/Tea Break11th Floor Collaborative Space 
3:15 - 3:45pm EDTDistributionally Robust Optimization under Decision-Dependent Ambiguity Set - Nilay Noyan, SABANCI University11th Floor Lecture Hall
4:00 - 5:00pm EDTOpen problems discussion breakouts11th Floor Lecture Hall 
Thursday, June 27, 2019
TimeEventLocationMaterials
9:00 - 9:30am EDTExtending SDDP-style algorithms for multi-stage stochastic programming - David Morton, Northwestern University11th Floor Lecture Hall
9:45 - 10:15am EDTCoffee/Tea Break11th Floor Collaborative Space 
10:15 - 10:45am EDTDistributionally Robust Power Distribution Network Configuration - Ruiwei Jiang, University of Michigan11th Floor Lecture Hall
11:00 - 11:30am EDTChance-constrained AC Optimal Power Flow - Modelling and solution approaches - Line Roald, University of Wisconsin- Madison11th Floor Lecture Hall
11:45 - 2:00pm EDTBreak for Lunch / Free Time  
2:00 - 2:30pm EDTLagrangian Dual Approach for Identifying the Worst Contingencies in Power Systems - Kibaek Kim, Argonne National Laboratory11th Floor Lecture Hall
2:45 - 3:15pm EDTCoffee/Tea Break11th Floor Collaborative Space 
3:15 - 3:45pm EDTTwo-Stage Stochastic Programming under Multivariate Risk Constraints with an Application to Humanitarian Relief Network Design - Simge Kucukyavuz, Northwestern University11th Floor Lecture Hall
4:00 - 4:30pm EDTReport back from open problems discussions11th Floor Lecture Hall 
Friday, June 28, 2019
TimeEventLocationMaterials
9:00 - 9:30am EDTOptimal experimental design under uncertainty - Georg Stadler, CIMS NYU11th Floor Lecture Hall
9:45 - 10:15am EDTComputing Rare Event Probabilities by Stratified Markov Chain Monte Carlo - Brian Van Koten, University of Massachusetts- Amherst11th Floor Lecture Hall
10:30 - 11:00am EDTCoffee/Tea Break11th Floor Collaborative Space 
11:00 - 11:30am EDTA Multistage Distributionally Robust Approach to Water Allocation under Climate Uncertainty - Güzin Bayraksan, Ohio State University11th Floor Lecture Hall
11:45 - 12:15pm EDTClosing Remarks - Workshop Organizers11th Floor Lecture Hall 

Lecture Videos

On some extended models of chance constraints

René Henrion
Weierstrass Institute for Applied Analysis and Stochastics
June 24, 2019