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.

Confirmed Speakers & Participants

  • Speaker
  • Poster Presenter
  • Attendee

Workshop Schedule

Monday, June 24, 2019
TimeEventLocationMaterials
8:30 - 8:55Registration - ICERM 121 South Main Street, Providence RI 0290311th Floor Collaborative Space 
8:55 - 9:00Welcome - ICERM Director11th Floor Lecture Hall 
9:45 - 10:15Coffee/Tea Break11th Floor Collaborative Space 
10:15 - 10:45Scalable Solution of Chance-Constrained Nonlinear Programs - Victor Zavala, University of Wisconsin- Madison11th Floor Lecture Hall 
11:00 - 11:30Solving Chance-Constrained Problems via a Smooth Sample-Based Nonlinear Approximation - Andreas Waechter, Northwestern University11th Floor Lecture Hall 
11:45 - 2:00Break for Lunch / Free Time  
2:00 - 2:30On some extended models of chance constraints - René Henrion, Weierstrass Institute Berlin 11th Floor Lecture Hall 
2:45 - 3:15Coffee/Tea Break11th Floor Collaborative Space 
3:15 - 3:45Optimizing Wildfire Response Planning under Uncertainty - Lewis Ntaimo, Texas A&M University11th Floor Lecture Hall 
4:00 - 4:30A 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 - 6:30Welcome Reception11th Floor Collaborative Space 
Tuesday, June 25, 2019
TimeEventLocationMaterials
9:00 - 9:30Robust control of a risk-sensitive performance measure - Paul Dupuis, Division of Applied Mathematics, Brown University11th Floor Lecture Hall 
9:45 - 10:15Coffee/Tea Break11th Floor Collaborative Space 
10:15 - 10:45Large Deviation Theory for the Analysis of Power Tansmission Systems Subject to Stochastic Forcing - David Barajas-Solano, Pacific Northwest National Laboratory11th Floor Lecture Hall 
11:00 - 11:30Statistical Aspects of Data Driven Distributionally Robust Optimization - Jose Blanchet, Columbia University & Stanford University11th Floor Lecture Hall 
11:45 - 2:00Break for Lunch / Free Time  
2:00 - 2:30New computational techniques in stochastic programming for large networked systems - Andy Sun, Georgia Institute of Technology11th Floor Lecture Hall 
2:45 - 3:00Call for input on breakout discussion themes - Workshop Organizers11th Floor Lecture Hall 
3:00 - 5:00Poster Session11th Floor Collaborative Space 
Wednesday, June 26, 2019
TimeEventLocationMaterials
9:00 - 9:30Time consistency and optimal stopping of risk averse multistage stochastic programs  - Alexander Shapiro, Georgia Institute of Technology11th Floor Lecture Hall 
9:45 - 10:15Coffee/Tea Break11th Floor Collaborative Space 
10:15 - 10:45Combating Conservativeness in Data-Driven Optimization under Uncertainty - Henry Lam, Columbia University11th Floor Lecture Hall 
11:00 - 11:30On Distributionally Robust Chance Constrained Programs with Wasserstein Distance - Weijun Xie, Virginia Tech11th Floor Lecture Hall 
11:45 - 12:00Group Photo11th Floor Lecture Hall 
12:00 - 2:00Break for Lunch / Free Time  
2:00 - 2:30Robust Optimization with Decision-Dependent Information Discovery - Phebe Vayanos, University of Southern California11th Floor Lecture Hall 
2:45 - 3:15Coffee/Tea Break11th Floor Collaborative Space 
3:15 - 3:45Distributionally Robust Optimization under Decision-Dependent Ambiguity Set - Nilay Noyan, SABANCI University11th Floor Lecture Hall 
4:00 - 5:00Open problems discussion breakouts11th Floor Lecture Hall 
Thursday, June 27, 2019
TimeEventLocationMaterials
9:00 - 9:30Extending SDDP-style algorithms for multi-stage stochastic programming - David Morton, Northwestern University11th Floor Lecture Hall 
9:45 - 10:15Coffee/Tea Break11th Floor Collaborative Space 
10:15 - 10:45Distributionally Robust Power Distribution Network Configuration - Ruiwei Jiang, University of Michigan11th Floor Lecture Hall 
11:00 - 11:30Chance-constrained AC Optimal Power Flow - Modelling and solution approaches - Line Roald, University of Wisconsin- Madison11th Floor Lecture Hall 
11:45 - 2:00Break for Lunch / Free Time  
2:00 - 2:30Lagrangian Dual Approach for Identifying the Worst Contingencies in Power Systems - Kibaek Kim, Argonne National Laboratory11th Floor Lecture Hall 
2:45 - 3:15Coffee/Tea Break11th Floor Collaborative Space 
3:15 - 3:45Two-Stage Stochastic Programming under Multivariate Risk Constraints with an Application to Humanitarian Relief Network Design - Simge Kucukyavuz, Northwestern University11th Floor Lecture Hall 
4:00 - 4:30Report back from open problems discussions11th Floor Lecture Hall 
Friday, June 28, 2019
TimeEventLocationMaterials
9:00 - 9:30Optimal experimental design under uncertainty - Georg Stadler, CIMS NYU11th Floor Lecture Hall 
9:45 - 10:15Computing Rare Event Probabilities by Stratified Markov Chain Monte Carlo - Brian Van Koten, University of Massachusetts- Amherst11th Floor Lecture Hall 
10:30 - 11:00Coffee/Tea Break11th Floor Collaborative Space 
11:45 - 12:15Closing Remarks - Workshop Organizers11th Floor Lecture Hall 

Application Information

ICERM welcomes applications from faculty, postdocs, graduate students, industry scientists, and other researchers who wish to participate. Some funding may be available for travel and lodging. Graduate students who apply must have their advisor submit a statement of support in order to be considered.

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Your Visit to ICERM

ICERM Facilities
ICERM is located on the 10th & 11th floors of 121 South Main Street in Providence, Rhode Island. ICERM's business hours are 8:00am - 4:00pm during this event. See our facilities page for more info about ICERM and Brown's available facilities.
Traveling to ICERM
ICERM is located at Brown University in Providence, Rhode Island. Providence's T.F. Green Airport (15 minutes south) and Boston's Logan Airport (1 hour north) are the closest airports. Providence is also on Amtrak's Northeast Corridor. In-depth directions and transportation information are available on our travel page.
Lodging
To secure ICERM's preferred hotel rate at the Hampton Inn & Suites Providence Downtown, use this link. ICERM regularly works with two additional area hotels for short visits. The Graduate Hotel and Hilton Garden Inn both have discounted rates available. Contact housing@icerm.brown.edu before booking outside of the preferred rate or if you would like to book alternate accommodations.
The only way ICERM participants should book a room is through the hotel reservation links located on this page or through links emailed to them from an ICERM email address (first_last@icerm.brown.edu). ICERM never works with any conference booking vendors and never collects credit card information.
Childcare/Schools
Those traveling with family who are interested in information about childcare and/or schools should contact housing@icerm.brown.edu.
Technology Resources
Wireless internet access ("Brown-Guest") and wireless printing is available for all ICERM visitors. Eduroam is available for members of participating institutions. Thin clients in all offices and common areas provide open access to a web browser, SSH terminal, and printing capability. See our Technology Resources page for setup instructions and to learn about all available technology.
Discrimination and Harassment Policy
ICERM is committed to creating a safe, professional, and welcoming environment that benefits from the diversity and experiences of all its participants. The Brown University "Discrimination and Workplace Harassment Policy" applies to all ICERM participants and staff. Participants with concerns or requests for assistance on a discrimination or harassment issue should contact the ICERM Director, who is the responsible employee at ICERM under this policy.
Exploring Providence
Providence's world-renowned culinary scene provides ample options for lunch and dinner. Neighborhoods near campus, including College Hill Historic District, have many local attractions. Check out the map on our Explore Providence page to see what's near ICERM.

Visa Information

Contact visa@icerm.brown.edu for assistance.

Reimbursable
B-1 or Visa Waiver Business (WB)
Not Reimbursable
B-2 or Visa Waiver Tourist (WT)
Already in the US?

F-1 and J-1 not sponsored by ICERM: need to obtain a letter approving reimbursement from the International Office of your home institution PRIOR to travel.

H-1B holders do not need letter of approval.

All other visas: alert ICERM staff immediately about your situation.

Financial Support

Acceptable Costs
  • 1 roundtrip between your home institute and ICERM
  • Flights on U.S. or E.U. airlines – economy class to either Providence airport (PVD) or Boston airport (BOS)
  • Ground Transportation to and from airports and ICERM.
Unacceptable Costs
  • Flights on non-U.S. or non-E.U. airlines
  • Flights on U.K. airlines
  • Seats in economy plus, business class, or first class
  • Change ticket fees of any kind
  • Multi-use bus passes
  • Meals or incidentals
Advance Approval Required
  • Personal car travel to ICERM from outside New England
  • Multiple-destination plane ticket; does not include layovers to reach ICERM
  • Arriving or departing from ICERM more than a day before or day after the program
  • Multiple trips to ICERM
  • Rental car to/from ICERM
  • Flights on a Swiss, Japanese, or Australian airlines
  • Arriving or departing from airport other than PVD/BOS or home institution's local airport
  • 2 one-way plane tickets to create a roundtrip (often purchased from Expedia, Orbitz, etc.)
Reimbursement Request Form

https://icerm.brown.edu/money/

Refer to the back of your ID badge for more information. Checklists are available at the front desk.

Reimbursement Tips
  • Scanned original receipts are required for all expenses
  • Airfare receipt must show full itinerary and payment
  • ICERM does not offer per diem or meal reimbursement
  • Allowable mileage is reimbursed at prevailing IRS Business Rate and trip documented via pdf of Google Maps result
  • Keep all documentation until you receive your reimbursement!
Reimbursement Timing

6 - 8 weeks after all documentation is sent to ICERM. All reimbursement requests are reviewed by numerous central offices at Brown who may request additional documentation.

Reimbursement Deadline

Submissions must be received within 30 days of ICERM departure to avoid applicable taxes. Submissions after thirty days will incur applicable taxes. No submissions are accepted more than six months after the program end.