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.

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Confirmed Speakers & Participants

Talks will be presented virtually or in-person as indicated in the schedule below.

  • Speaker
  • Poster Presenter
  • Attendee
  • Virtual Attendee

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

Computing Rare Event Probabilities by Stratified Markov Chain Monte Carlo

Brian Van Koten
University of Massachusetts, Amherst
June 28, 2019
Mathematical Optimization of Systems Impacted by Rare, High-Impact Random...
Play     Abstract     Slides

Optimal experimental design under uncertainty

Georg Stadler
CIMS NYU
June 28, 2019
Mathematical Optimization of Systems Impacted by Rare, High-Impact Random...
Play     Abstract

Two-Stage Stochastic Programming under Multivariate Risk Constraints with an Application to Humanitarian Relief Network Design

Simge Küçükyavuz
Northwestern University
June 27, 2019
Mathematical Optimization of Systems Impacted by Rare, High-Impact Random...
Play     Abstract     Slides

Lagrangian Dual Approach for Identifying the Worst Contingencies in Power Systems

Kibaek Kim
Argonne National Labratory
June 27, 2019
Mathematical Optimization of Systems Impacted by Rare, High-Impact Random...
Play     Abstract

Chance-constrained AC Optimal Power Flow - Modelling and solution approaches

Line Roald
University of Wisconsin - Madison
June 27, 2019
Mathematical Optimization of Systems Impacted by Rare, High-Impact Random...
Play     Abstract     Slides

Distributionally Robust Power Distribution Network Configuration

Ruiwei Jiang
University of Michigan
June 27, 2019
Mathematical Optimization of Systems Impacted by Rare, High-Impact Random...
Play     Abstract

Extending SDDP-style algorithms for multi-stage stochastic programming

David Morton
Northwestern University
June 27, 2019
Mathematical Optimization of Systems Impacted by Rare, High-Impact Random...
Play     Abstract     Slides

Distributionally Robust Optimization under Decision-Dependent Ambiguity Set

Nilay Noyan
SABANCI University
June 26, 2019
Mathematical Optimization of Systems Impacted by Rare, High-Impact Random...
Play     Abstract     Slides

Robust Optimization with Decision-Dependent Information Discovery

Phebe Vayanos
USC
June 26, 2019
Mathematical Optimization of Systems Impacted by Rare, High-Impact Random...
Play     Abstract

On Distributionally Robust Chance Constrained Programs with Wasserstein Distance

Weijun Xie
Virginia Tech
June 26, 2019
Mathematical Optimization of Systems Impacted by Rare, High-Impact Random...
Play     Abstract     Slides

Combating Conservativeness in Data-Driven Optimization under Uncertainty

Henry Lam
Columbia University
June 26, 2019
Mathematical Optimization of Systems Impacted by Rare, High-Impact Random...
Play     Abstract

Time consistency and optimal stopping of risk averse multistage stochastic programs

Alexander Shapiro
Georgia Institute of Technology
June 26, 2019
Mathematical Optimization of Systems Impacted by Rare, High-Impact Random...
Play     Abstract     Slides

Statistical Aspects of Data Driven Distributionally Robust Optimization

Jose Blanchet
Columbia University and Stanford University
June 25, 2019
Mathematical Optimization of Systems Impacted by Rare, High-Impact Random...
Play     Abstract

Large Deviation Theory for the Analysis of Power Tansmission Systems Subject to Stochastic Forcing

David Barajas-Solano
Pacific Northwest National Laboratory
June 25, 2019
Mathematical Optimization of Systems Impacted by Rare, High-Impact Random...
Play     Abstract     Slides

Robust control of a risk-sensitive performance measure

Paul Dupuis
Brown University
June 25, 2019
Mathematical Optimization of Systems Impacted by Rare, High-Impact Random...
Play     Abstract     Slides

A Multi-Stage Stochastic Programming Approach to the Optimal Surveillance and Control of Emerald Ash Borer in Cities

Esra Büyüktahtakin-Toy
New Jersey Institute of Technology
June 24, 2019
Mathematical Optimization of Systems Impacted by Rare, High-Impact Random...
Play     Abstract

Optimizing Wildfire Response Planning under Uncertainty

Lewis Ntaimo
Texas A & M University
June 24, 2019
Mathematical Optimization of Systems Impacted by Rare, High-Impact Random...
Play     Abstract

On some extended models of chance constraints

René Henrion
Weierstrass Institute for Applied Analysis and Stochastics
June 24, 2019
Mathematical Optimization of Systems Impacted by Rare, High-Impact Random...
Play     Abstract

Solving Chance-Constrained Problems via a Smooth Sample-Based Nonlinear Approximation

Andreas Waechter
Northwestern University
June 24, 2019
Mathematical Optimization of Systems Impacted by Rare, High-Impact Random...
Play     Abstract