ICERM - Mathematical Optimization of Systems Impacted by Rare, High-Impact Random Events

Workshop Overview
Workshop Participants
Workshop Schedule
Reimburse Me
Lecture Videos

Workshop Overview
Workshop Participants
Workshop Schedule
Reimburse Me
Lecture Videos

Mathematical Optimization of Systems Impacted by Rare, High-Impact Random Events (Jun 24 - 28, 2019)

Organizing Committee

Mihai Anitescu
Argonne National Laboratory and the University of Chicago
Güzin Bayraksan
Ohio State University
Jim Luedtke
University of Wisconsin-Madison
Jonathan Weare
Courant Institute, New York University

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

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

Time	Event	Location
8:30 - 8:55	Registration - ICERM 121 South Main Street, Providence RI 02903	11th Floor Collaborative Space
8:55 - 9:00	Welcome - ICERM Director	11th Floor Lecture Hall
9:00 - 9:30	Optimization under Uncertainty Challenges in Energy Systems - Mihai Anitescu, Argonne National Laboratory and the University	11th Floor Lecture Hall
9:45 - 10:15	Coffee/Tea Break	11th Floor Collaborative Space
10:15 - 10:45	Scalable Solution of Chance-Constrained Nonlinear Programs - Victor Zavala, University of Wisconsin- Madison	11th Floor Lecture Hall
11:00 - 11:30	Solving Chance-Constrained Problems via a Smooth Sample-Based Nonlinear Approximation - Andreas Waechter, Northwestern University	11th Floor Lecture Hall
11:45 - 2:00	Break for Lunch / Free Time
2:00 - 2:30	On some extended models of chance constraints - René Henrion, Weierstrass Institute Berlin	11th Floor Lecture Hall
2:45 - 3:15	Coffee/Tea Break	11th Floor Collaborative Space
3:15 - 3:45	Optimizing Wildfire Response Planning under Uncertainty - Lewis Ntaimo, Texas A&M University	11th Floor Lecture Hall
4:00 - 4:30	A Multi-Stage Stochastic Programming Approach to the Optimal Surveillance and Control of Emerald Ash Borer in Cities - Esra Buyuktahtakin Toy, New Jersey Institute of Technology	11th Floor Lecture Hall
5:00 - 6:30	Welcome Reception	11th Floor Collaborative Space

Tuesday, June 25, 2019

Time	Event	Location
9:00 - 9:30	Robust control of a risk-sensitive performance measure - Paul Dupuis, Division of Applied Mathematics, Brown University	11th Floor Lecture Hall
9:45 - 10:15	Coffee/Tea Break	11th Floor Collaborative Space
10:15 - 10:45	Large Deviation Theory for the Analysis of Power Transmission Systems Subject to Stochastic Forcing - David Barajas-Solano, Pacific Northwest National Laboratory	11th Floor Lecture Hall
11:00 - 11:30	Statistical Aspects of Data Driven Distributionally Robust Optimization - Jose Blanchet, Columbia University & Stanford University	11th Floor Lecture Hall
11:45 - 2:00	Break for Lunch / Free Time
2:00 - 2:30	Talks in Honor of Shabbir Ahmed	11th Floor Lecture Hall
2:45 - 3:00	Call for input on breakout discussion themes - Workshop Organizers	11th Floor Lecture Hall
3:00 - 5:00	Poster Session	11th Floor Collaborative Space

Wednesday, June 26, 2019

Time	Event	Location
9:00 - 9:30	Time consistency and optimal stopping of risk averse multistage stochastic programs - Alexander Shapiro, Georgia Institute of Technology	11th Floor Lecture Hall
9:45 - 10:15	Coffee/Tea Break	11th Floor Collaborative Space
10:15 - 10:45	Combating Conservativeness in Data-Driven Optimization under Uncertainty - Henry Lam, Columbia University	11th Floor Lecture Hall
11:00 - 11:30	On Distributionally Robust Chance Constrained Programs with Wasserstein Distance - Weijun Xie, Virginia Tech	11th Floor Lecture Hall
11:45 - 12:00	Group Photo	11th Floor Lecture Hall
12:00 - 2:00	Break for Lunch / Free Time
2:00 - 2:30	Robust Optimization with Decision-Dependent Information Discovery - Phebe Vayanos, University of Southern California	11th Floor Lecture Hall
2:45 - 3:15	Coffee/Tea Break	11th Floor Collaborative Space
3:15 - 3:45	Distributionally Robust Optimization under Decision-Dependent Ambiguity Set - Nilay Noyan, SABANCI University	11th Floor Lecture Hall
4:00 - 5:00	Open problems discussion breakouts	11th Floor Lecture Hall

Thursday, June 27, 2019

Time	Event	Location
9:00 - 9:30	Extending SDDP-style algorithms for multi-stage stochastic programming - David Morton, Northwestern University	11th Floor Lecture Hall
9:45 - 10:15	Coffee/Tea Break	11th Floor Collaborative Space
10:15 - 10:45	Distributionally Robust Power Distribution Network Configuration - Ruiwei Jiang, University of Michigan	11th Floor Lecture Hall
11:00 - 11:30	Chance-constrained AC Optimal Power Flow - Modelling and solution approaches - Line Roald, University of Wisconsin- Madison	11th Floor Lecture Hall
11:45 - 2:00	Break for Lunch / Free Time
2:00 - 2:30	Lagrangian Dual Approach for Identifying the Worst Contingencies in Power Systems - Kibaek Kim, Argonne National Laboratory	11th Floor Lecture Hall
2:45 - 3:15	Coffee/Tea Break	11th Floor Collaborative Space
3:15 - 3:45	Two-Stage Stochastic Programming under Multivariate Risk Constraints with an Application to Humanitarian Relief Network Design - Simge Kucukyavuz, Northwestern University	11th Floor Lecture Hall
4:00 - 4:30	Report back from open problems discussions	11th Floor Lecture Hall

Friday, June 28, 2019

Time	Event	Location
9:00 - 9:30	Optimal experimental design under uncertainty - Georg Stadler, CIMS NYU	11th Floor Lecture Hall
9:45 - 10:15	Computing Rare Event Probabilities by Stratified Markov Chain Monte Carlo - Brian Van Koten, University of Massachusetts- Amherst	11th Floor Lecture Hall
10:30 - 11:00	Coffee/Tea Break	11th Floor Collaborative Space
11:00 - 11:30	A Multistage Distributionally Robust Approach to Water Allocation under Climate Uncertainty - Güzin Bayraksan, Ohio State University	11th Floor Lecture Hall
11:45 - 12:15	Closing Remarks - Workshop Organizers	11th Floor Lecture Hall

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Reimbursement Deadline

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