VI
INTERNATIONAL CONFERENCE ON STOCHASTIC PROGRAMMING
TENTATIVE PROGRAM
(AS OF AUGUST 26th)
MONDAY (SEPTEMBER
14th, 1992):
8:30 Registration (CISM)
Tutorials (Room D)
9:30 - 11:00. P.KALL (University of Zürich): A
general overview of stochastic programming,
11:30 - 13:00. A.PRÉKOPA
(RUTGERS, New Brunswick): Probabilistic constrained programming,
15:00 - 16:30. J.BIRGE
(University of Michigan, Ann Arbor): Multistage stochastic programming,
17:00 - 18:30. A.KING
(IBM, Yorktown Heights): Statistical approaches to stochastic programming.
TUESDAY (SEPTEMBER
15th, 1992):
8:30 Registration (CISM)
10:00 - 11:15. Opening
session (Room K) G.ANDREATTA, G.SALINETTI and P.SERAFINI: Welcoming
Remarks,
R.WETS: Opening Lecture.
11:45 - 12:30. Tutorial
(K) Chair: K. FRAUENDORFER
A.A.GAIVORONSKI (Italtel, Milano): Software
for stochastic optimization problems.
14:30 - 16:00. Algorithms
1 (D) Chair: Y.ERMOLIEV
S.M.ROBINSON, B.J.CHUN, B.R.FU, R.SURI
(University of Wisconsin, Madison): Bundle-based Methods for Stochastic Optimization,
G.INFANGER (Stanford University): Solving
Large-Scale Multi-Stage Stochastic Linear Programs,
S.D.FLÅM (University of Bergen) and R.SCHULTZ
(Humboldt University, Berlin): A New Approach to Stochastic Linear Programming.
Engineering
Applications (U) Chair:
A.GAIVORONSKI
T.CHAKRABARTI (University College of Science,
Calcutta): Stochastic Transportation Problem,
C.KAO (National Cheng Kung University, Taiwan):
Determination of Optimal Shipping Policy under Stochastic Shipping Time,
E.MESSINA (State University of Milan),
A.A.GAIVORONSKI (Italtel, Milano) and A.SCIOMACHEN (State University of Milan):
A Stochastic Optimization Approach for Robot Scheduling.
16:30 - 18:00. Approximations
1 (D) Chair: S.
SEN
J.BIRGE and D.HOLMES (University of Michigan,
Ann Arbor): The Value of the Approximate Solution in Stochastic
Programming,
S.E.WRIGHT (IBM, Yorktown Heights): Primal-Dual
Aggregation and Disaggregation for Stochastic Linear Programs,
R.LEPP (Estonian Academy of Sciences, Tallinn):
Approximate solution of Stochastic Programs - The discretization
Approach.
Integer
Stochastic Programming 1 (U) Chair: S.W.WALLACE
S.SHIODE (Osaka University) and H.ISHII
(Okayama University): Stochastic Bottleneck Spanning Tree problems,
R.N.SEN (University of Calcutta): On
some Multicommodity Network Flows with Probabilistic Conversions,
R.SCHULTZ (Humboldt University, Berlin): Structure
and Stability in Stochastic Programs with complete Integer Recourse.
18:00 Reception (CISM)
18:30 - 19:00.
COSP Meeting.
WEDNESDAY (SEPTEMBER 16th, 1992):
9:00 - 10:30. Algorithms 2 (D) Chair: J.BIRGE
J.M.MULVEY (Princeton University) and
A.RUSZCZYNSKI (IIASA, Laxenburg): A parallel Diagonal Quadratic Approximation Method for
Large-Scale Stochastic Optimization - Part I,
J.M.MULVEY (Princeton University) and
A.RUSZCZYNSKI (IIASA, Laxenburg): A parallel Diagonal Quadratic Approximation Method for
Large-Scale Stochastic Optimization - Part II,
N.J.BERLAND (University of Trondheim),
J.L.HIGLE (The University of Arizona, Tucson), J.MAI (The University of
Arizona, Tucson), S.SEN (The University of Arizona, Tucson), S.W.WALLACE
(University of Trondheim): Cellular Decomposition: Variance Reduction in Stochastic
Decomposition through Asynchronous Concurrent Computation.
Statistics
and Stochastic Optimization 1 (U) Chair:
G.C.PFLUG
A.FUTSCHIK (University of Wien): Selection
of Optima in Discrete Stochastic Optimization,
P.LACHOUT (Czechoslovak Academy of Sciences,
Prague): Multifunction Transforms of Probability Measures,
S.VOGEL (Technische Hochschule, Ilmenau): A
Stochastic Approach to Stability in Stochastic Programming.
11:00 - 12:30. Algorithms
3 (D) Chair:
G.GASSMAN
S.ZENIOS (University of Pennsylvania,
Philadelphia) and S.NIELSEN (University of Pennsylvania, Philadelphia): Solving
Multi-stage Stochastic Network problems using Massively Parallel Algorithms,
D.BRADFORD (University of California, Davis): A
dual Application of the Aggregation Principle in Decision Making under
Uncertainty,
S.W.WALLACE (University of Trondheim) and
R.J.B.WETS (University of California, Davis): Preprocessing in Stochastic
Programming: The case of capacitated networks.
Statistics
and Stochastic Optimization 2 (U) Chair: S.VOGEL
V.KANKOVA (Czechoslovak Academy of Sciences,
Prague): A note on Stability in Stochastic Programming,
V.BENES (Czech Tecnical University, Prague): Optimal
Solutions in the transhipment problem,
G.C.PFLUG (University of Wien): Asymptotic
Stochastic Programs.
14:30 - 16:00. Software
1 (D) Chair:
T.SZANTAI
A.A.GAIVORONSKI (Italtel, Milano): Stochastic
Optimization Algorithms for Simulation models with applications,
A.KING (IBM, Yorktown Heights) title to be
communicated,
J.MAYER (University of Zürich) and P.KALL
(University of Zürich): Model Management in Stochastic Linear Programming.
Algorithms
4 (U) Chair: A.RUSZCZYNSKI
L.QI (The University of New South Wales,
Kensington, Australia) and R.S.WOMERSLEY (The University of New South Wales,
Kensington, Australia): An SQP Algorithm for Extended Linear-Quadratic
Problems in Stochastic Programming,
V.GIRKO (Kiev University): Linear
Stochastic Programming Problem of Large Dimension,
V.NORKIN (Academy of Sciences of Ukraine,
Kiev): Stochastic Quasi-gradient Methods in Optimization of
nonsmooth Probability Functions.
16:30 - 18:00. Software
2 (D) Chair:
P.KALL
G.GASSMAN (Dalhousie University, Halifax): Towards
a Model Management System for Stochastic Programming,
P.POPELA (Technical University, Brno): A
Contribution to Object Oriented Software for Stochastic Programming,
M.ROCCETTI (University of Bologna), P.CAVINA
(CIDIA, Bologna) and A.G.B.TEOLIS (ENEA, Bologna): A Message-Passing Approach
for updating Probabilities with multiple evidences in multiply connected
Bayesian Network.
Approximations
2 (U) Chair: G.SALINETTI
O.FIEDLER (Humboldt University, Berlin) and
W.RÖMISCH (Humboldt University, Berlin): Stability of multistage
Stochastic Programs,
N.P.C.EDIRISINGHE (University of Tennessee) and
W.T.ZIEMBA (University of British Columbia, Vancouver): Solving
Stochastic Programs: The Case of Unbounded Domains,
C.BOUZA-HERRERA (University of La Habana): Use
of Bootstrap approximations for solving Stochastic Linear Programming Problems.
18:15 - 19:00. Tutorial (D) Chair: A.PRÉKOPA
K.FRAUENDORFER
(University of Zürich): On the Design of a Problembase for Stochastic
Programming.
20:00 Banquet
(Hotel Astoria, Piazza XX
settembre, n. 24)
THURSDAY (SEPTEMBER 17th, 1992):
9:00 - 10:30. Financial Applications 1 (D) Chair: M.A.H.DEMPSTER
L.C.MacLEAN (Dalhousie University, Halifax) and
W.T.ZIEMBA (University of British Columbia, Vancouver): Growth
versus Security in Dynamic Investment Analysis,
S.ZENIOS (University of Pennsylvania,
Philadelphia) and R.McKENDALL (University of Pennsylvania, Philadelphia): Stochastic
Programming Models for the Management of Portfolios of Interest Rate
Contingencies,
M.A.H.DEMPSTER (University of Essex and Dalhousie
University) and H.I.GASSMAN (University of Trondheim and Dalhousie University):
Scenario-based Multistage Dynamic Portfolio Management.
Statistical
Inference 1 (U) Chair: A.SHAPIRO
S.SEN (University of Arizona, Tucson) and
J.L.HIGLE (University of Arizona, Tucson): Applications of Duality
Theory in Developing Termination Criteria for Statistical Algorithms in
Stochastic Programming,
P.KNOPOV (Academy of Sciences of Ukraine,
Kiev): Properties of the empiric estimates in Stochastic
Optimization and Identification Problems,
Y.M.KANIOVSKI (IIASA, Laxenburg), A.KING (IBM,
Yorktown Heights) and R.J.WETS (University of California, Davis): Statistical
Analysis of Stochastic Programs Via Large Deviations.
11:00 - 12:30. Financial
Applications 2 (D) Chair:
S.ZENIOS
J.M.MULVEY (Princeton University) and
A.RUSZCZYNSKI (IIASA, Laxenburg): Integrative Asset-Liability Planning Using Large-Scale
Stochastic Optimization,
HILLER (?) Title to be communicated,
M.A.H.DEMPSTER (University of Essex and
Dalhousie University) Title to be communicated.
Statistical
Inference 2 (U) Chair: Y.M.KANIOVSKI
A.SHAPIRO (Georgia Institute of Technology): Stochastic
Optimization by the Score Function Method,
D.L.McLEISH and S.ROLLANS (University of
Waterloo, Canada): Conditioning for Simulation Variance Reduction in
Sensitivity Analysis and the ‘What-if Problem’,
L.STOUGIE (University of Amsterdam): Two-stage
Stochastic Knapsack Problem.
14:30 - 16:00. Financial
Applications 3 (D) Chair:
W.T.ZIEMBA
D.D.CARINO (Frank Russell Company, Tacoma,
Washington): Formulating the Russell-Yasuda Model,
T.KENT, C.STACY and M.SYLVANUS (Frank Russell
Company, Tacoma, Washington): Computer Solution and Implementation Aspects of the
Russell-Yasuda Model,
D.MYERS (Frank Russell Company, Tacoma,
Washington): Comparison with a Mean-Variance Model.
Approximations
3 (U) Chair: S.WALLACE
T.YAN (Suzhou Railway Teachers’ College): Stable
Policy - A new concept in Stochastic Dynamic Optimization,
K.FRAUENDORFER (University of Zürich): A
Barycentric Approximation Scheme for Stochastic Multistage Programming ,
O.HERNÁNDES-LERMA (CINVESTAV-IPN, Mexico) and
W.J.RUNGGALDIER (University of Padova, Italy): Monotone Approximations for
Convex Stochastic Control Problems.
16:30 - 18:00. Financial
Applications 4 (D) Chair:
J.M.MULVEY
C.VERCELLIS (Politecnico di Milano): Bayesian
Stopping Rules for Monte Carlo Optimization,
R.DEMBO (Algorithmics, Toronto) and A.KING
(IBM, Yorktown Heights): Stochastic Programming Models in Finance:
Immunization, Tracking and Investment,
J.DUPACOVÁ (Charles University, Prague): Portfolio
Optimization under Uncertainty.
Structural
Optimization (U) Chair: K.MARTI
H.O.MADSEN (Det Norske Veritas, Denmark) and
P.F.HANSEN (Technical University, Denmark): Algorithms for Reliability
based Optimization of Structural Systems,
G.I.SCHUËLLER (University of Innsbruck): On
Structural Reliability Analysis Based on Response Surfaces,
K.MARTI (Universität der Bundeswehr, Munich): Stochastic
Approximation Methods in Optimal Structural Design.
18:15 - 19:15. Tutorials (D) Chair: J.DUPACOVÁ
W.KLEIN HANEVELD (University of Groningen): Teaching
Stochastic Programming
P.KALL (University of Zürich): Teaching:
Video Tools.
FRIDAY (SEPTEMBER 18th, 1992):
9:00 - 10:30.
Theory and Models 1 (D) Chair: S.M.ROBINSON
Y.ERMOLIEV (IIASA, Laxenburg) and V.NORKIN
(Academy of Sciences of Ukraine, Kiev): On Optimization of
Discontinuous Functions,
J.L.HIGLE (University of Arizona, Tucson) and
S.SEN (University of Arizona, Tucson): Recourse Constrained
Stochastic Programming,
M.MIKHALEVICH (Kiev State University): The
Application of Stochastic Programming for Utility Function Construction.
Integer
Stochastic Programming 2 (U) Chair: S.SHIODE
P.TLUSTY (University of Ceské Budejovice): Stability
for Stochastic Programs: A Simulation Study,
K.SZKATULA (Polish Academy of Science, Warsaw):
The Growth of M-constraint random Knapsacks with various right-hand
Sides of the Constraints,
M.VAN DER VLERK (University of Groningen): On
the expected value function of a two-stage Stochastic Linear Programming
Problem with simple Recourse.
11:00 - 13:00 Chance
Constraints (D) Chair:
W.RÖMISCH
A.PRÉKOPA (RUTGERS, New Brunswick): Discrete
Programming under Probabilistic Constraint,
A.I.KIBZUN (Moscow Aviation Institute) and
A.V.NAUMOV (Moscow Aviation Institute): An Application of Quantile
Optimization Techniques to the Linear Probabilistic Constraint Programming
Problem,
N.GRÖWE (Delft University of Technology): Logconcave
Spline Approximations for Chance-Constrained Programs,
S.P.URYAS’EV (IIASA, Laxenburg): Derivatives
of Probability Functions and their Applications in Risk Analysis.
Theory
and Models 2 (U) Chair: J.L.HIGLE
T.SZANTAI (Eotvos University, Budapest): Stochastical
Analysis of some Grey Parameter LInear Programming Problems,
T.L.PHAM (Le Quy Don Technical University,
Hanoi): Optimization of Linear Dynamical Systems with
Perturbations under Conditions of Uncertainty,
N.M.NOVIKOVA (Russian Academy of Sciences,
Moscow): Stochastic Programming is a real Tool for
Computational Methods in Mechanics,
A.M.SKULIMOWSKI (Academy of Mining and
Metallurgy, Krakow): Multicriteria Optimal Control with Random Objectives
and a variable Set of Controls.
Lecture Rooms:
(K)
Kechler Palace, Piazza XX settembre, n. 14;
(D)
Downstairs Room at CISM;
(U)
Upstairs Room at CISM.