Rutgers-Stevens Workshop Program

Fifth Rutgers-Stevens Workshop

Optimization of Stochastic Systems

Rutgers Unive= rsity, CoRE Building, Room 101

(driving directions)

F= riday, March 20

9:15 – 9:30 Opening

= 9:30 –10:15 S= tephen M. Robinson (University of Wisconsin-Madison)

Local Analysis of Functions o= n Thin Graphs

10:15 – 10:30 Coffee Break

= 10:30 – 11:15 = András Prékopa (Rutgers University)

Conditional Mean--Conditional Variance Portfolio Selection Models

= 11:15 – 12:00 Jonathan Eckstein<= /b> (Rutgers University)

N-way Projective Operator Spl= itting

12:00 – 1:15 &n= bsp; Lunch Break

1:15 – 2:00      Ionut Fl= orescu (Stevens Institute of Technology)

Theoretical Comparison of Two Projection-Pursuit Clustering Algorithms

= 2:00 – 2:45      Darinka Dentcheva (Stevens Institute of Technology)

Duality between Stochastic Dominance Constraints and Risk Measures

2:45 – 3:00 &n= bsp;   Coffee Break

3:00 – 3:45      Michael Zabara= nkin (Stevens Institute of Technology)

Recent Progress in the Theory= and Applications of Deviation Measures

3:45 – 4:30      Andrzej Ruszczyński (Rutgers University)

Risk-Averse Two Stage Stochastic Optimization

4:30 – 4:45      Coffee Break

Graduate Students’ Session

4:45– 5:05       Ricardo Collado (Rutgers Universi= ty)

Scenario Decomposition of Risk-Averse Stochastic Optimization Probl= ems

5:05– 5:25       Gabriela Martinez (Stevens Instit= ute of Technology)

Dual Regularization Methods for Probabilistic Optimization Problems=

5:25– 5:45       Dragos Bozdog <= /b>(Stevens Institute of Technology)

Analysis of Rare Events Using High Frequency Data

S= aturday, March 21

9:00 – 9:45      Ioannis Karatzas (Columbia University)

Optimal Arbitrage

9:45 –10:30 &n= bsp; Werner Römi= sch (Humboldt University, Berlin)

        &= nbsp;           &nbs= p;   Scenario Reduction and Scenario Trees = in Stochastic Programming

10:30 – 10:45 Coffee Break

= 10:45 – 11:30 Andreas Hamel (Princeton University)

The Hedging Problem in Markets with Proportional Transaction Costs via Duality for Set-Valued Risk Measures

= 11:30 –12:15 Farid Alizade= h (Rutgers University)

Bilinear Optimality Constraints for th= e Cone of Positive Polynomials and Related Cones

12:15– 1:30     Lunch Break

=

Graduate Students’ Session

1:30 – 1:50      Mine Subasi (Rutgers University)

Application of the Discrete Moment Problem to an Insurance Problem<= o:p>

1:50 – 2:10      Dávid Papp (Rutgers University)

Cone Programming Approaches to Shape-Constrained Function Estimation Problems

2:10 – 2:30      Forrest Levin (Stevens Institute of Technology)

Volatility Clustering for a Hidden Markov Chain Model