Program Overview

Book of Abstracts

Thursday, 4 July 2024 
  
8:00 – 9:00Registration and Coffee – Aula Nod Balkong 
9:00 – 9:15Welcome – Aula Nod 
Diana Barro, Stein-Erik Fleten, Francesca Maggioni, Rüdiger Schultz, and Afzal S. Siddiqui
9:15 – 10:15Plenary Session 1 – Aula Nod – Chair: S.-E. Fleten 
Trine K. Boomsma – University of Copenhagen 
Optimization and Equilibrium Problems in Renewable Power Systems and Markets
10:15 – 10:30Coffee Break – Aula Nod Balkong 
10:30 – 12:30Parallel Sessions (5 x 22′) 
TA1 – Aula NodTA2 – L30
Multi-stage and multi-horizon optimization under uncertainty – Chair: F. MaggioniForecasting and hedging – Chair: M. Nardon
“Integrated energy system planning under short-term and long-term uncertainty: Modelling and algorithm,” Hongyu Zhang“Multivariate probabilistic forecasting of electricity prices with trading applications,” Karel Kozmík, Miloš Kopa, Ilyas Agakishiev, Alla Petukhina, and Wolfgang Karl Haerdle
“Solving multi-horizon stochastic facility location problem with capacity expansion: Locating hydrogen facilities in Norway,” Sarka Stadlerova and Peter Schütz“Optimal hedging of the interest rate swap book,” Jörgen Blomvall
“Handling of long-term storage in multi-horizon stochastic programs,” Michal Kaut“Data-driven Inverse Optimization for load forecasting and demand flexibility,” Adrian Esteban Perez
“A Two-Timescale Decision-Hazard-Decision Formulation for Storage Usage Values Calculation in Energy Systems Under Uncertainty,” Camila Martinez Parra, Jean-Marc Janin, Manuel Ruiz, Michel DE LARA, Jean-Philippe Chancelier, and Pierre Carpentier“Tree-Based Learning in RNNs for Power Consumption Forecasting,” Roberto Baviera and Pietro Manzoni
“Sampling methods for multi-stage robust optimization problems,” Francesca Maggioni, Georg Pflug, and Fabrizio Dabbene“Insurance premium implied by rank dependence and probability distortion,” Martina Nardon
12:30 – 14:00Lunch – Wild KitchenMeeting EWGSO Board – L30
14:00 – 15:30Parallel Sessions (4 x 22′) 
TB1 – Aula NodTB2 – L30
Decomposition methods – Chair: S. GabrielRobust optimization – Chair: A. Neufeld
“Optimizing carsharing service prices under endogenous demand uncertainty: A Benders Decomposition Approach,” Jiali Deng and Giovanni Pantuso“Multi-Stage Robust Mixed-Integer Programming,” Ward Romeijnders, Krzysztof Postek, and Wolfram Wiesemann
“Cut-Generation Decomposition Algorithms for Uncertain Unit Commitment,” Vitor Luiz Pinto de Pina Ferreira, Vincent Leclere, Anna Robert, Nouha Dkhili, Marco Marchese, and Sami Gazhouani“A robust approach to an optimal replacement problem in maintenance,” Sina Shahri Majarshin, Ahmadreza Marandi, Claudia  Fecarotti, and Geert-Jan van Houtum
“Numerical and Algorithmic Insights on Difference of Convex Function Algorithms applied to Infrastructure Problems (Part 1),” Steve Gabriel, Dominic Flocco, Trine Boomsma, Martin Schmidt, and Miguel Lejeune“Distributionally Robust Optimization with Multimodal Decision-Dependent Ambiguity Sets,” Xian Yu and Beste Basciftci
“Numerical and Algorithmic Insights on Difference of Convex Function Algorithms applied to Infrastructure Problems (Part 2),” Dominic Flocco, Steve Gabriel, Trine Boomsma, Martin Schmidt, and Miguel Lejeune“Sensitivity of robust optimization problems under drift and volatility uncertainty,” Daniel Bartl, Ariel Neufeld, and Kyunghyun Park
15:30 – 16:00Coffee Break – Aula Nod Balkong 
16:00 – 18:00Parallel Sessions (5 x 22′) 
TC1 – Aula NodTC2 – L30
Risk-averse stochastic programming – Chair: M.F. AnjosArtificial intelligence and machine learning – Chair: A. King
“Navigating Arctic Waters: A Risk-Averse Stochastic Shortest Path Problem,” Gleb Sibul, Peter Schütz, and Kjetil Fagerholt“Reinforcement Learning Methods for Risk-Sensitive Investment Management,” Sebastien Lleo and Wolfgang Runggaldier
“Enhancing Sustainable Energy Systems: A Stochastic Bi-Level Approach for Optimizing Retailer Investments in Green Electricity,” Patrizia Beraldi“Generative Models for Scenario Generation,” Enza Messina, Michele Carbonera, and Michele Ciavotta
“Assessing solution quality in risk-averse stochastic programs,” Ruben van Beesten, Nick Koning, and David Morton“Modeling scenario trees with generative pre-trained models,” Alan King and Stein W. Wallace
“A market-consistent valuation of commodity operations,” Felipe van de Sande Araujo, Stein-Erik Fleten, Mikkel H Sandhaug, Heidi Therese Wiest, and Asgeir Tomasgard
“A multi-stage stochastic optimization model for long-term planning of CO2 transport infrastructure,” Lihan Zhang, Miguel F. Anjos, and Hannah Chalmers
20:00Dinner – Hermans Restaurang
Friday, 5 July 2024  
   
8:00 – 8:30Registration and Coffee – Aula Nod Balkong  
8:30 – 10:00Parallel Sessions (4 x 22′)  
FA1 – Aula NodFA2 – L30FA3 – L50
Best student paper – Jury: J. Blomvall, C. Fábián, S.-E. Fleten, and F. Maggioni (Chair)Environment and natural resources – Chair: P. SchützAdvances in stochastic programming – Chair: S. Maier
“Feasible approximation of matching equilibria for large-scale matching for teams problems,” Qikun Xiang and Ariel Neufeld“The puzzle of Carbon Allowance spread,” Michele Azzone, Roberto Baviera, and Pietro Manzoni“MDP modeling for multistage stochastic programs,” Bernardo Pagnoncelli, David Morton, and Oscar Dowson
“American options with acceleration clauses,” Sara Staffolani and Anna Battauz“Decarbonizing the European energy system in the absence of Russian gas: Hydrogen uptake and carbon capture developments in the power, heat and industry sectors,” Asgeir Tomasgard, Hongyu Zhang, Pedro Crespo del Granado, and Brage Rugstad Knudsen“Growing a stochastic sub-tree for mixed-integer linear programming under uncertainty,” Zoe Fornier, Vincent Leclere, and Bernardo Freitas Paulo Da Costa
“Investigating the price determinants of the European Emission Trading System: a non-parametric approach,” Cristiano Salvagnin, Aldo Glielmo, Maria Elena De Giuli, and Antonietta Mira“Carbon Policy in a Storage-Enabled Renewable-Thermal Power System,” Afzal S. Siddiqui and Ramteen Sioshansi“Guaranteed bounds for optimal stopping problems using kernel-based non-asymptotic uniform confidence bands,” Martin Glanzer, Sebastian Maier, and Georg Pflug
“Distributionally robust standard quadratic optimization with Wasserstein ambiguity,” Daniel de Vicente, Immanuel Bomze, Simge Küçükyavuz, and Abdel Lisser“Production planning under uncertainty in Norwegian aquaculture,” Peter Schütz, Olav Bjørlykke, and Henrik Martin Vassbotten
10:00 – 10:15Coffee Break – Aula Nod Balkong  
10:15 – 11:15Plenary Session 2 – Aula Nod – Chair: Afzal S. Siddiqui  
Ramteen Sioshansi – Carnegie Mellon University  
Technology and Policy Challenges to Decarbonize Electricity Systems 
11:15 – 12:30Parallel Sessions (3 x 22′)  
FB1 – Aula NodFB2 – L30 
Learning-enabled optimal decision making – Chair: G. ConsigliPortfolio optimization – Chair: J. Junová
“Random Forest-based management of simple portfolios,” Marco Corazza and Marco Bruttocao“Mean–trend risk portfolio selection with non-dominated sorting asset preselection,” David Neděla, Sergio Ortobelli Lozza, and Tomáš Tichý
“Input Convex Loss Network for Decision Focused Learning,” Haeun Jeon, Hyunglip Bae, Minsu Park, Chanyeong Kim, and Woo Chang Kim“Portfolio Optimization with Stochastic Non-Dominance Constraints,” Jana Junová, Miloš Kopa, and Sebastiano Vitali
“Reinforcement Learning for complex dynamic portfolio problems,” Giorgio Consigli and Alvaro Gomez“Tracking-based green portfolio optimization,” Diana Barro, Marco Corazza, and Gianni Filograsso
12:30 – 14:00Lunch – Wild KitchenMeeting CMS Editorial Board – L30 
14:00 – 15:00Plenary Session 3 – Aula Nod – Chair: Francesca Maggioni  
Stein W. Wallace – NHH Norwegian School of Economics  
Modeling with Stochastic Programming  
15:00 – 15:15Coffee Break – Aula Nod Balkong  
15:15 – 17:15Parallel Sessions (5 x 22′)  
FC1 – Aula NodFC2 – L30FC3 – L50
Logistics and network optimization – Chair G. PantusoSolution methods for stochastic optimization – Chair C. FábiánDynamic optimization – Chair V. Leclere
“Car packing on an electric ferry,” Vit Prochazka and Stein W. Wallace“Nonlinear cut-sharing in stochastic dual dynamic programming for log-linear autoregressive uncertainty in the right-hand side,” Christian Füllner and Steffen Rebennack“Multistage stochastic optimization of an elementary hydrogen infrastructure,” Raian Noufel LEFGOUM, Jean-Philippe Chancelier, Michel DE LARA, Pierre Carpentier, and Sezin Afsar
“Stochastic MINLP Problems for Network Design,” Miguel Lejeune“Pessimistic bilevel approach for decision-focused learning,” Diego Jiménez, Bernardo PAGNONCELLI, and Hande Yaman“Index policy for multiarmed bandit problem with dynamic risk measures,” Ozlem Cavus and Milad Malekipirbazari
“Optimizing Packaging for an eCommerce Business: a stochastic programming approach,” Jamie Fairbrother“Enhanced Lagrangian Cuts for Stochastic Mixed-Integer Programming,” Haoxiang Yang and Hanbin Yang“The SEIR Filter: A Stochastic Epidemic Model with Partial Observability,” Martin Šmíd
“Facility Location under Decision-Dependent Uncertainty,” Giovanni Pantuso“Projective hedging methods for stochastic programming,” Jonathan Eckstein, Jean-Paul WATSON, and David Woodruff“American Options with Liquidation Penalties,” Anna Battauz, Marzia De Donno, and Alessandro Sbuelz
“Applying random coordinate descent in a probability maximization scheme,” Csaba Fábián, Edit Csizmás, Rajmund Drenyovszki, and Tamás Szántai“Duality of upper bounds in stochastic dynamic programming,” Vincent Leclere and Bernardo Freitas Paulo da Costa
17:15 – 18:30General Assembly EWGSO – Aula Nod  
20:00Farewell Drinks – Mosebacketerrassen