ECSO-CMS

Program

View and download now the program of ECSO-CMS 2022 and the Book of Abstracts.

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8:30-9:00 Registration

9:00-9:30 Aula Magna Guido Cazzavillan
Openings

  • Diana Barro, Martina Nardon, Stein-Erik Fleten
  • Fabrizio Marrella (Vice Rector for International Relations and International Cooperation)
  • Michele Bernasconi (Department of Economics Director)

9:30-10:30 Aula Magna Guido Cazzavillan
Plenary Session 1

Daniel Kuhn (École Polytechnique Fédérale de Lausanne)

On Robust Optimization, Blackouts and the Law

Coffee break

10:50-12:30
Parallel Sessions

Aula Magna Guido Cazzavillan
Organized Session - Chance-constrained games - Chair: A. Lisser

  • "An equivalent mathematical program for general-sum games with random constraints", Vikas Vikram Singh, Abdel Lisser and Monika Arora
  • "Chance constrained game problem with mixture of elliptical distribution", Shen Peng, Vikas Vikram Singh and Abdel Lisser
  • "Random games under elliptically distributed dependent joint chance constraints", Abdel Lisser, Vikas Vikram Singh and Hoang-Nam Nguyen
  • "Joint chance-constrained Markov decision processes", V Varagapriya, Vikas Vikram Singh and Abdel Lisser

Aula 6A
Organized Session - Power systems - Chair: H. Zhang and A. Tomasgard

  • "Trading strategies for battery storages in reserve and spot markets under uncertainty", Emil Kraft, Steffen J. Bakker, Stein-Erik Fleten and Wolf Fichtner
  • "Achieving emission-reduction goals: long-term powersystem expansion under short-term operational uncertainty", Tuomas Rintamaki, Fabricio Oliveira, Afzal S. Siddiqui and Ahti Salo
  • "Investment planning of multi-region power systems with uncertainty using stabilised Benders decomposition with adaptive oracles", Hongyu Zhang, Ken McKinnon, Rodrigo Garcia Nava, Nicolò Mazzi and Asgeir Tomasgard
  • "Stochastic programming approach to electric vehicle charging on a university campus", Pavel Popela, Pavel Charvat, Matous Cabalka, Jan Fiser and Martin Zalesak

Aula 4A
Environmental and climate risk - Chair D. De Giovanni

  • "Stochastic analysis of the performance of national industrial sectors facing the environmental measures", František Zapletal and Markéta Šindlerová
  • "A learning exercise in modelling climate-related risks in insurance industry: exploratory scenarios", Maria Carannante and Valeria D'Amato
  • "Optimization in carbon emissions markets", Jörgen Blomvall
  • "Renewable energy investments, support schemes and the dirty option", Domenico De Giovanni and Elena Yakimova

Aula 5A
Power system planning and operation under uncertainty - Chair: P. Beraldi

  • "Day-ahead and intra-day co-optimization of a power unit under uncertainty", Adrien Le Franc, Michel De Lara, Jean-Philippe Chancelier and Pierre Carpentier
  • "A MIP approach to tackle the Optimal Power Flow problem with probabilistic constraints", Concepción Domínguez, Álvaro Porras Cabrera, Juan Miguel Morales González and Salvador Pineda
  • "A bilevel framework for decision-making under uncertainty with contextual information", Miguel Angel Muñoz, Salvador Pineda and Juan Miguel Morales
  • "A stochastic bi-level approach for dynamic electricity pricing in the retail market", Patrizia Beraldi and Sara Khodaparasti

Lunch

14:00-15:30
Mini-Symposia and Parallel Sessions

Aula Magna Guido Cazzavillan
Mini-Symposium - Solution methods for uncertain decision problems - Chair: F. Maggioni

  • "Guaranteed bounds for pathwise stochastic dynamic programming", Georg Pflug, Martin Glanzer and Sebastian Maier
  • "Adaptive two-stage stochastic programming", Beste Basciftci and Shabbir Ahmed
  • "Extreme value theory-based deterministic equivalent closed-form for special classes of stochastic programs", Lohic Fotio Tiotsop, Michel Bierlaire, Edoardo Fadda and Daniele Manerba
  • "Bounds for multistage mixed-integer distributionally robust optimization", Francesca Maggioni, Guzin Bayraksan, Daniel Faccini and Ming Yang

Aula 6A
Mini-Symposium - Robust optimization - Chair: D. Kuhn and W. Wiesemann

  • "Scenario optimization with relaxation: a new theory for data-driven decision with improved performance", Simone Garatti and Marco Campi
  • "Scaled cuts for two-stage mixed-integer stochastic programs", Ward Romeijnders and Niels van der Laan
  • "Robust conic satisficing", Arjun Ramachandra, Napat Rujeerapaiboon and Melvyn Sim
  • "Data-driven robust optimization with cluster-based anomaly detection", Aakil Caunhye and Douglas Alem

Aula 4A
Advances in stochastic optimization - Chair: A. Basso

  • "Solver SQG for stochastic optimization of complex network models by stochastic gradient methods: optimization of simulation models", Alexei Gaivoronski
  • "Regularized quasi-monotone method for stochastic optimization", Vladimir Shikhman and Vaycheslav Kungurtsev
  • "A tractable class of Partially Observed Markovian Decision Process: det-POMDP", Cyrille Vessaire, Jean-Philippe Chancelier, Michel De Lara, Pierre Carpentier, Alejandro Rodríguez-Martínez and Anna Robert
  • "Rare events, asymptotic analysis and stochastic optimization", Karl Breitung

Aula 5A
Quantitative finance - Chair: R. Baviera

  • "Deep learning algorithm for pricing of highdimensional financial derivatives under default risk", Christian Beck, Sebastian Becker, Patrick Cheridito, Arnulf Jentzen and Ariel Neufeld
  • "A fast Monte Carlo scheme for additive processes and option pricing", Roberto Baviera and Michele Azzone
  • "Optimal stopping problems for multi-dimensional stochastic processes with applications to real option theory", Rossella Agliardi
  • "A scenario-based solution to portfolio optimization in the energy market", Elisa Raspanti and Maria Prandini

Coffee break

16:10-17:10 Aula Magna Guido Cazzavillan

Plenary Session 2

Darinka Dentcheva (Stevens Institute of Technology)

Multi-stage stochastic optimization with time-consistent risk constraints

17:10-18:25
Parallel Sessions

Aula Magna Guido Cazzavillan
Chance-constrained optimization - Chair: A. Lisser

  • "Approximating two-stage chance-constrained programs with classical probability bounds", Bismark Singh
  • "Optimal control based trajectory planning under uncertainty", Shangyuan Zhang, Makhlouf Hadji, Abdel Lisser and Yacine Mezali
  • "A neural network approach for joint chance constrained geometric optimization", Siham Tassouli and Abdel Lisser

Aula 6A
Bio-inspired computing for financial applications - Chair: M. Nardon

  • "A variant of the level-based learning swarm optimizer for solving a portfolio optimization problem maximizing the inner rate of risk adversion", Filippo Piccotto and Massimiliano Kaucic
  • "A financial trading system with optimized signal aggregation, trading rule definition and indicator setting", Marco Corazza, Claudio Pizzi and Andrea Marchioni
  • "Alternative probability weighting functions in behavioral portfolio selection", Diana Barro, Marco Corazza and Martina Nardon

Aula 4A
Decisions making under uncertainty - Chair: A. Basso

  • "Fantasy sports: a game of skill or chance?", Aishvarya, Tirthatanmoy Das and Dinesh Kumar U
  • "Identifying factors that influence the user engagement decision in the NFT Metaverse based on the Theory of Planned Behavior", Hayder Albayati, Jae Jeung Rho and Noor Alistarbadi
  • "A distributionally robust perspective on the extremal queue problem", Wouter van Eekelen

Aula 5A
Innovative OR applications - Chair: K. Talluri

  • "'Buy n times, get one free’ loyalty cards: Are they profitable for competing firms?", Amirhossein Bazargan, Salma Karray and Saeed Zolfaghari
  • "The multinomial logit model with sequential offerings", Jacob Feldman and Danny Segev
  • "Matching Revenue Management using Graphical Processing Units (CUDA)", Kalyan Talluri and Sumit Kunnumkal

18:45 Aula Magna Guido Cazzavillan
Meeting point to go together to the Concert at the "Benedetto Marcello" Conservatory of Venice

8:30-9:45
Parallel Sessions

Aula Magna Guido Cazzavillan
Supply chain problems - Chair: S. Maier

  • "K-adaptable robust pre-allocation of emergency supplies", Paula Weller and Fabricio Oliveira
  • "Optimal cooperative and diversification strategies during recovery from supply disruptions", Nader Azad, Elkafi Hassini and Manish Verma

Aula 6A
Life insurance: products and markets - Chair: D. Barro

  • "An empirical study of the efficiency and influence factor of selected OECD life insurance markets", Biwei Guan
  • "Optimal portfolio choice of couples with tax deferred accounts and survival contingent products", Sanghyeon Bae and Woo Chang Kim
  • "Optimal withdrawal policies for GMWB Variable Annuities under stochastic interest rates", Francesco Rotondi and Claudio Fontana

Aula 4A
Machine learning and Intelligent Methods in Finance - Chair: G. Fasano

  • "Less is more: ranking information, estimation errors and optimal portfolios", Lukas Salcher and Sebastian Stöckl
  • "Diversifying estimation errors with unsupervised machine learning", Merlin Bartel and Sebastian Stöckl
  • "Optimal liquidation through a limit order book: a neural network and simulation approach", Alexandre Roch

Aula 10A
Risk and Dependence in financial markets - Chair: M. Maggi

  • "Market connectedness and systemic risk", Mario Maggi, Mishel Qyrana, Maria-Laura Torrente and Pierpaolo Uberti
  • "Penalty functions in maximum likelihood estimating regime switching matrices and sectoral conditional migration probabilities", Timon Gaertner, Serguei Y. Kaniovski and Yuri M. Kaniovski
  • "Dependency in non-Gaussian settings: The generalized precision matrix and its financial applications", Gabriele Torri, Sandra Paterlini, Emanuele Taufer, Rosella Giacometti and Gyorgy Lunch

9:45-10:45 Aula Magna Guido Cazzavillan
Plenary Session 3

Giorgio Consigli (Khalifa University of Science and Technology)

Optimal distributionally robust liability-driven-investment for pension funds

Coffee break

11:05-12:55
Mini-Symposia and Parallel Sessions

Aula Magna Guido Cazzavillan
Mini-Symposium - Interfaces between Machine Learning and Stochastic Programming - Chair: F. Maggioni

  • "Advances in Risk-Averse Learning", Andrzej Ruszczynski
  • "Integration of machine learning and bayesian optimization for multistage stochastic programming problems", Enza Messina and Bruno Galuzzi
  • "Robust and distributionally robust optimization models for linear support vector machine", Daniel Faccini, Francesca Maggioni and Florian A. Potra
  • "Risk averse dynamic programming", Martin Smid and Miloš Kopa

Aula 6A
Mini-Symposium - Financial risk and optimization - Chair: G. Consigli

  • "Local volatility estimation in the presence of jumps", Jorge P. Zubelli and Vinícius Albani
  • "Recent developments in volatility modelling", Martino Grasselli
  • "Conditionally law-invariant risk measures andapplications", Bruno Costa, Luciano de Castro, Antonio F. Galvao and Jorge P. Zubelli
  • "Multivariate second order stochastic dominance constraints for pension fund multistage stochastic models", Vittorio Moriggia, Sebastiano Vitali and Miloš Kopa

Aula 4A
Distributionally robust optimization and applications- Chair: J. M. Morales

  • "Adjusted distributionally robust bounds on expected loss functions", Yasemin Merzifonluoglu and Joseph Geunes
  • "Distributionally robust chance-constrained optimal power flow with contextual information", Juan Miguel Morales and Adrián Esteban-Pérez
  • "Distributionally robust optimization under stochastic disruptions", Haoxiang Yang
  • "(Distributionally) robust higher order portfolio selection: application to energy modelling", Natalia Sirotko-Sibirskaya

Lunch

14:00-15:00 Aula Magna Guido Cazzavillan
Plenary Session 4

David Morton (Northwestern University)

Design of Covid-19 Staged Alert Systems to Ensure Healthcare Capacity with Minimal Closures

15:00-16:40
Parallel Sessions

Aula Magna Guido Cazzavillan
Best Student Paper Prize - Jury: Stein-Erik Fleten, Miloš Kopa, Francesca Maggioni, Rüdiger Schultz

    • "Distributionally robust stochastic programs with side information based on trimmings", Adrián Esteban-Pérez and Juan Miguel Morales
    • "Exact quantization of multistage stochastic problems", Maël Forcier, Stéphane Gaubert and Vincent Leclère
    • "Semi-discrete optimal transport: hardness,regularization and numerical solution", Bahar Taşkesen, Soroosh Shafieezadeh-Abadeh and Daniel Kuhn
    • "Numerical method for approximately optimal solutions of two-stage distributionally robust optimization with marginal constraints", Ariel Neufeld and Qikun Xiang

    Aula 6A
    Organized Session - Machine Learning and Intelligent Methods in Economics and Finance - Chair M. Corazza

    • "Modelling profile heterogeneity on retirement via deep-rl: intelligent agents working towards retirement", Fatih Ozhamaratli and Paolo Barucca
    • "Moving average options: Machine Learning and Gauss-Hermite quadrature for a double non-Markovian problem", Antonino Zanette, Andrea Molent and Ludovic Goudenège
    • "Machine learning techniques in joint default assessment", Margherita Dorina, Elisa Luciano and Patrizia Semeraro
    • "Quantile Regression Forest for Value-at-Risk forecasting via mixed-frequency data", Mila Andreani, Vincenzo Candila and Lea Petrella

    Aula 4A
    Advances in stochastic optimization- Chair: G. Fasano

    • "Conjugacies for Sparse Optimization", Michel De Lara and Jean-Philippe Chancelier
    • "Using SVD to handle ill-conditioning in optimization problems with applications to portfolio theory", Claudia Fassino, Maria-Laura Torrente and Pierpaolo Uberti
    • "A new framework to generate Lagrangian cuts in multistage stochastic mixed-integer programming", Christian Füllner, Andy X. Sun and Steffen Rebennack
    • "Risk-averse formulation of a bilevel stochastic linear problem with integer variables", Johanna Burtscheidt and Matthias Claus

    Aula 10A
    Organized Session - Mixed-integer distributionally robust optimization - Chair: R. van Beesten

    • "Decomposition algorithms and solver for distributionally robust mixed-integer programming", Kibaek Kim
    • "Selective maintenance strategy under uncertain maintenance duration using distributionally robust chance-constrained programming", Hamzea Al-Jabouri, Ahmed Saif and Claver Diallo
    • "Pragmatic distributionally robust optimization for simple integer recourse models", Ruben van Beesten, David Morton and Ward Romeijnders
    • "On modeling Distributionally two-stage epsilon-Robust Optimization for Multistage Multiscale Stochastic Optimization", Antonio Alonso-Ayuso, Laureano F. Escudero and Juan F. Monge

    Coffee break

    17:00-18:30 EWGSO meeting

    19:00 Boat to S. Servolo

    20:00 Gala Dinner

    9:00-10:40
    Parallel Sessions

    Aula Magna Guido Cazzavillan
    Organized Session - Robust Optimization - Chair: Daniel Kuhn

    • "Robust planning of production routing problem in closed-loop supply chain of glass bottles", Ahmadreza Marandi and Ali Borumand
    • "Multiobjective robust regret", Patrick Groetzner and Ralf Werner
    • "An enhanced column and constraint generation method for adaptive robust optimization", Ricardo Lima, Antonio Conejo and Omar Knio
    • "Robust optimization for the berth allocation and quay crane scheduling problem under uncertainty", Filipe Rodrigues and Agostinho Agra

    Aula 6A
    Organized Session - Optimization and equilibrium models for water and energy - Chair: S.A. Gabriel

    • "Flexibility pre-contracting: A design for short-term markets for electricity", Felipe Van de Sande Araujo, Stein-Erik Fleten, Endre Bjørndal and Steven A. Gabriel
    • "Optimal planning of transmission infrastructure expansion to efficiently integrate renewable energy generation", Nikita Belyak, Steven A. Gabriel, Nikolay Khabarov and Fabricio Oliveira
    • "Generalized Nash equilibrium models for asymmetric river systems", Steven A. Gabriel and Nathan T. Boyd
    • "Tri-level equilibrium modeling for energyenvironmental planning", Steven Gabriel, Fabricio Oliveira, Olli Herrala and Tommi Ekholm

    Aula 4A
    Neural networks with applications - Chair: G. Fasano

    • "Medical Face Mask Detection Using Deep Learning Techniques: Limitations And Perspectives", Pavle Milosevic, Miroslav Minovic, Milos Milovanovic, Arso Vukicevic and Velibor Isailovic
    • "A dynamical neural network approach for solving stochastic two-player zero-sum games", Dawen Wu and Abdel Lisser
    • "Detecting data-driven robust statistical arbitrage strategies with deep neural networks", Ariel Neufeld, Julian Sester and Daiying Yin
    • "Hedonic and neural network models for real estate appraisal", Antonella Basso and Marco Corazza

    Aula 5A
    Stochastic programming - Chair:  M. Kopa

    • "High-dimensional dependent random variables in stochastic programming", Stein W. Wallace, Zhaoxia Guo and Michal Kaut
    • "Solving constrained consumption-investment problems by decomposition algorithms", Bernardo Pagnoncelli, Tito Homem-de-Mello and Guido Lagos
    • "Problem-based scenario generation by decomposing output distributions", Benjamin S. Narum, Jamie Fairbrother and Stein W. Wallace
    • "Contamination in Decision Dependent Randomness Stochastic Programs", Miloš Kopa and Tomáš Rusý

    Coffee break

    11:00-12:50
    Mini-Symposia and Parallel Sessions

    Aula Magna Guido Cazzavillan
    Mini-Symposium - Stochastic ordering in financial decision making - Chair: Miloš Kopa

    • "Robust portfolio dominance for different investors' preferences", Sergio Ortobelli Lozza, Tommaso Lando, Miloš Kopa and Tomas Tichy
    • "Robust approaches in portfolio optimization with stochastic dominance", Karel Kozmík and Miloš Kopa
    • "On the use of return scenario generation techniques in large-scale portfolio optimization framework", David Neděla and Sergio Ortobelli
    • "Multi-stage stochastic portfolio optimization under conditional Value at Risk", Edoardo Fadda, Daniele Manerba and Renata Mansini

    Aula 6A
    Mini-Symposium - Decision under uncertainty - Chair: Daniel Kuhn

    • "Splitting a random pie: Nash-type bargaining with coherent acceptability measures", David Wozabal, Raimund Kovacevic and Walter Gutjahr
    • "The economics of frequency regulation through electricity storage: An analytical solution", Dirk Lauinger, Francois Vuille and Daniel Kuhn
    • "Twenty years of multi-stage scenario generation: learnings and pitfalls from decision science to data science", Ronald Hochreiter
    • "Asymptotic confidence intervals for quantile estimators in nested simulations", Maximilian Klein and Ralf Werner

    Aula 4A
    Energy systems and markets - Chair: A. Basso

    • "ZESOpt: energy-system optimization model using derivative-free solvers", Michal Kaut
    • "Facility location and capacity expansion for hydrogen production under uncertainty", Šárka Štádlerová, Peter Schütz and Asgeir Tomasgard
    • "Extreme dependence in the energy market: a Mixture copula-ARJI-GARCH model", Arianna Agosto, Luciana Dalla Valle and Maria Elena De Giuli
    • "Optimising Italian electricity and gas sectors coupling in a 2030 decarbonized energy system", Giovanni Micheli, Maria Teresa Vespucci, Laura Tagliabue and Dario Siface

    Aula 5A
    SDDP and optimal control - Chair: V. Leclere

    • "Batch Learning in Stochastic Dual Dynamic Programming", Daniel Avila, Anthony Papavasiliou and Nils Löhndorf
    • "A partial decomposition approach to solve the stochastic uncapacitated lot-sizing problem", Franco Quezada, Céline Gicquel and Safia Kedad-Sidhoum
    • "The algorithm OPTCON: optimal control of dynamic stochastic economic models", Dmitri Blueschke, Viktoria Blueschke-Nikolaeva and Reinhard Neck
    • "Stochastic Dual Dynamic Programming algorithms for non-finitely supported distributions", Maël Forcier and Vincent Leclere

    Lunch

      14:00-15:00 Aula Magna Guido Cazzavillan
      Plenary Session 5

      Gah-Yi Ban (Robert H. Smith Business School, University of Maryland)

      Data-driven Optimization: from Theory to Practice

        15:00-16:40
        Parallel Sessions

        Aula Magna Guido Cazzavillan
        Organized Session - New models and algorithms for commodity operations and valuation - Chair: S.-E. Fleten

        • "Quadratic hedging of futures term structure risk in merchant energy trading operations", Nicola Secomandi and Bo Yang
        • "Network-dual reoptimization strategies for managing energy real options with timing decisions", Alessio Trivella, Selvaprabu Nadarajah and Francesco Corman
        • "Scheduling hydropower releases under price and inflow comovements", Stein-Erik Fleten, Andreas Kleiven and Simon Risanger
        • "Renewable energy communities, digitalization and information", Marta Castellini, Michele Moretto, Sergio Vergalli and Dirk Bergemann

        Aula 6A
        Transportation and applications - Chair: M. Nardon

        • "A stochastic program for the planning of recharging and relocation activities in car-sharing systems", Lars C. E. Folkestad, Mathias D. Klev, Kjetil Fagerholt and Giovanni Pantuso
        • "On a two-stage stochastic binary quadratic model for Cross-Dock infrastructure Design problem under uncertainty, S-CDD", Maria Araceli Garin, Laureano F. Escudero and Aitziber Unzueta
        • "A risk and cost based route planning for hazardous materials (hazmat) transportation", Zafer Yılmaz

        Aula 4A
        Inventory problems - Chair: M. Tolotti

        • "Distributionally robust inventory management", Yilin Xue, Yongzhen Li and Napat Rujeerapaiboon
        • "Joint stocking and pricing decisions for distributionally robust inventory problems with decision-dependent demands", Hamed Rahimian and Sanjay Mehrotra
        • "A theoretical validation of the DDMRP reorder policy", Daniela Favaretto, Alessandro Marin and Marco Tolotti

        Aula 5A
        Stochastic optimization with applications - Chair: G. Fasano

        • "Minimax decision rules for planning under uncertainty", Edward Anderson and Stan Zachary
        • "Stochastic sequential decision making in the conversion from conventional to organic farming", Mahboubeh Jahantab, Babak Abbasi and Pierre Le Bodic

        16:15-16:30 Aula Magna Guido Cazzavillan
        Closings

        Coffee break and farewell