Programme of StoProg-2012
TUESDAY, July 3
Day of arrival
15:00-16:00: Registration at old buidling of Institute of Mathematics and Informatics, Gostauto 12A, Vilnius.
15:00-22:00: Registration in the hotel “Jurate”, Pamario st 3, Neringa.
Cheese party on the arrival, at evening.

WEDNESDAY, July 4
8:00-10:00: Registration in the hotel “Jurate”, Pamario st 3, Neringa
9:30-9:45: Opening
9:45-10:30: Invited lecture (Chair Prof. Leonidas Sakalauskas)
Salution structures stochastic mixed integer programs
Prof. Stein W. Wallace (Lancaster University Management School, UK)
10:30-11:00 Cofee break
11:00-13:00 Parallel Sessions W1-W2
13:00-14:00 Lunch
14:00-15:15 Tutorial (Chair Prof. Stein W.Wallace)
Explored and unexplored stochastic programming territory
Prof. Rudiger Schultz (University of Duisburg-Essen, Germany)
15:15-15:45 Cofee break
15:45-17:45 Parallel Sessions W3-W4
19:00 – 20:00 Reception by Mayor of Neringa in the NTIC “Agila”

Thursday, July 5
9:30-10:15: Invited lecture (Chair Prof. Rudiger Schultz)
Stochastic complementarity models
Prof. Yves Smeers (University of Leuven, Belgium)
10:15-10:45 Cofee break
10:45-12:45 Parallel Sessions T1-T2
12:45-14:00 Lunch
14:00-15:15 Tutorial (Chair Prof. Yves Smeers)
Solution of probabilistic and quantile optimization problems with discrete distributions by mixed-integer programming
Prof. Vladimir Norkin (Institute of Cybernetics, Ukraine)
15:15-15:45 Cofee break
15:45-17:45 Parallel Sessions T3-T4
19:00-22:00 Farewell Party
  
Friday, July 6
9:30 -10:15: Invited lecture (Chair Prof. Asgeir Tomasgard)
Models and algorithms for mixed-integer linear stochastic programs with decision dependent uncertainty
Prof. Ignacio E. Grossmann (Department of Chemical Engineering, Carnegie Mellon University, U.S.A.)
10:15-10:45 Cofee break
10:45-12:45 Parallel Session F1
12:45-14:00 Lunch
14:00-15:15: Tutorial (Chair Prof. Vladimir Norkin)
Fundamental risk quadrangle and applications
Prof. Stan Uryasev (University of Florida and American Optimal Decisions, U.S.A.)
15:15-15:45 Constitutive Sitting Chair Prof. Leonidas Sakalauskas
 Approval of proposal to EURO Executive Committee to create the European Working Group on Stochastic Programming and Stochastic Control (disscussion on by-laws, election of Temporary Managing Board and President).
15:45-16:00 Clossing
16:30-19:00 Excursion via Neringa sights by bus


CONTRIBUTED SESSIONS

Parallel Session W1: RISK MEASURES AND STOCHASTIC DOMINANCE
11:00-13:00, Wednesday, July 4, Chair Prof. Stan Uryasev
Advanced risk measures in estimation and classification
1Stan Uryasev, 2Peter Tsyurmasto, 1,2University of Florida, 1American Optimal Decisions, U.S.A.
Robust risk evaluation
Apostolos Fertis, Edgars Jakobsons, Paul Embrechts, ETH Zurich, Switzerland.
Risk averse production planning
Ban Kawas, Eleni Pratsini, Marco Laumanns, IBM Research, Switzerland
From stochastic dominance to DEA-risk models: portfolio efficiency analysis
Martin Branda, Milos Kopa, Charles University in Prague, Czech Republic.
 
Parallel Session W2: APPLICATIONS IN ENERGY PLANNING, OIL AND GAS INDUSTRY;
11:00-13:00, Wednesday, July 4, 2012. Chair Dr Jonas Schweiger
Risk averse two-stage stochastic optimization model for the electric power generation capacity expansion problem
¹Marida Bertocchi, ¹Maria Teresa Vespucci, ¹Stefano Zigrino, ²Laureano F. Escudero, University of Bergamo, Italy, Universidad Rey Juan Carlos, Portugal.
An electricity market model with generation capacity investment under uncertainty
Andreas Schroeder, Thure Traber, DIW Berlin, Germany.
Stochastic programming in the mid-term operations planning of an oil refinery
1Leonardo Nascimento, 1Helder Venceslau, 1Adilson Xavier, 1Virgílio Ferreira Filho, 2Leonidas Sakalauskas, 3Roger Rocha, 1Federal University of Rio de Janeiro, Brasil, 2VU Institute of Mathematics and Informatics, Lithuania 3Petrobras, Brasil.
Gas network topology extension for multiple scenarios
Jonas Schweiger, Zuse Institute Berlin (ZIB), Germany
    
Parallel Session W3: DATA VIZUALIZATION FOR STOCHASTIC PROGRAMS
15:45-17:45, Wednesday, July 4, 2012. Chair Prof. Vitalij Denisov
On Bayes approach to univariate global optimization
Leonidas Sakalauskas, Jurgis Susinskas, VU Institute of Mathematics and Informatics, Lithuania.
Risk aversion optimization by Monte-Carlo Method
1Valerijonas Dumskis, 2Vincent Guigues, 3Leonidas Sakalauskas, 1,3VU Institute of Mathematics and Informatics, Lithuania, 2Pontific Catholic University of Rio de Janeiro, Brasil.
Non-rigid image recognition algorithms in applied robotics
Gediminas Gricius, Olegas Ramašauskas, Klaipeda University, Lithuania
On stochastic simulation of stock-exchange
Jonas Mockus, Igor Katin, Joana Katina, VU Institute of Mathematics and Informatics
 
Parallel Session W4 STOCHASTIC OPTIMIZATION IN DATA MINING
15:45-17:45, Wednesday, July 4, 2012. Chair Prof. Antanas Zilinskas
A stochastic programming approach to optimization of information retrieval
Vitaliy Vitsentiy, Ternopil National Economic University, Ukraine
Adaptive Monte-Carlo Markov chain method for multivariate statistical estimation
Ingrida Vaiciulyte, VU Institute of Mathematics and Informatics, Lithuania
Gamma and logit models in empirical bayesian estimation of probabilities of rare events
Gintautas Jakimauskas, Leonidas Sakalauskas, VU Institute of Mathematics and Informatics, Lithuania
Heuristic Bayesian method for global optimization
Vaida Bartkute-Norkuniene, Leonidas Sakalauskas, VU Institute of Mathematics and Informatics, Lithuania
 
Parallel Session T1: APPLICATIONS IN TRANSPORTATION AND LOGISTICS
10:45-12:45, Thursday, July 5, 2012. Chair Prof. Marida Bertocci
Modelling to generate alternatives in waste management facility expansion planning via simulation-optimization
Julian Yeomans, Raha Imanirad, Schulich School of Business, York University, Canada.
A two-stage stochastic programming model for product platform customization of engineer-to-order products
Yohanes Kristianto, University of Vaasa, Finland.
Stochastic vehicle routing in forwarding agencies
Nadine Wollenberg, Ralf Gollmer, Rüdiger Schultz, University of Duisburg-Essen, Germany.
Decomposition methods for optimization programs with stochastic order constraints induced by linear recourse Dimitri Drapkin, Ruediger Schultz, University of Duisburg-Essen, Germany.
 
Parallel Session T2: ANALYSIS AND ENGINEERING OF ALGORITHMS
10:45-12:45, Thursday, July 5, 2012. Chair Dr. Jonas Shweiger 
Nonconvex generalized Benders decomposition for stochastic separable mixed-integer nonlinear programs
Asgeir Tomasgard, Paul Barton, Xiang Li, Norwegian Science Technology University, Norway.
Some remarks on two-stage linear semidefinite stochastic programs
Tobias Wollenberg, Rüdiger Schultz, University of Duisburg-Essen, Germany.
Some remarks on linear stochastic bilevel programs
Charlotte Henkel, University Dusburg-Essen, Germany.
On equivalence of the quantile optimization problem with discrete distribution and a mixed integer programming problem
1Andrey Kibzun, 1Andrey Naumov, 2Vladimir Norkin, 1Moscow Aviation Institute, Moscow, Russia, 2Glushkov Institute of Cybernetics, Kyiv, Ukraine.
 
Parallel Session T3: STOCHASTIC OPTIMIZATION IN DATA MINING
15:45-17:45, Thursday, July 5, 2012. Chair Dr. Audrius Kabasinskas
 On the arithmetic of infinity oriented implementation of the multi-objective p-algorithm
Antanas Zilinskas, Vilnius University, Institute of Mathematics and Informatics, Lithuania.
Fermat-Weber location problem solving by the hyperbolic smoothing approach
Vinicius L. Xavier, Felipe M. G. França, Adilson E. Xavier, Priscila M. V. Lima, University Federal Rio de Janeiro, Brasil.
Parallel computing in estimation of parameters of alpha-stable distribution
¹Audrius Kabašinskas, ²Igoris Belovas, ²Leonidas Sakalauskas¹Kaunas University of Technology, ²VU Institute of Mathematics and Informatics, Lithuania.
Law of small numbers (concentration inequalities) for sums of independent random sets and random set valued mappings
1Vladimir Norkin, 2Roger Wets, 1Institute of Cybernetics, Ukraine, 2University of California, U.S.A.  
 
Parallel Session T4: ANALYSIS AND ENGINEERING OF ALGORITHMS
15:45-17:45, Thursday, July 5, 2012. Chair Prof. Tamas Szantai
Dual-level scenario trees
Michal Kaut, Kjetil T. Midthun, Adrian S. Werner, Asgeir Tomasgard, Lars Hellemo, Marte Fodstad, SINTEF, Norway.
Measures of information in multi-stage stochastic programming
Francesca Maggioni, Elisabetta Allevi, Marida Bertocchi, University of Bergamo, Italy.
Weighing criteria of aesthetic attractiveness of layouts of business process diagrams
1Antanas Zilinskas, 2Ausra Mackute-Varoneckiene, 3Audrius Varoneckas, 1VU Institute of Mathematics and Informatics, 2,3Vytautas Magnus University, Lithuania.
Evaluation of risks for the U.S. biotechnology industry companies by self-organized map
Audrius Kabašinskas, Živile Kalsyte, Asta Vasiliauskaite, Kaunas University of Technology, Lithuania.
 
Parallel Session F1: APPLICATIONS IN FINANCE
10:45-12:45, Thursday, July 5, 2012. Chair Prof. Ignacio Grossman
Mean-risk portfolio optimization with AHP-based stock ranking
Cristinca Fulga, Institute of Mathematical Statistics and Applied Mathematics, Romania.
Impact of Res volatility on the Italian power system: a 2020 stochastic programming scenario analysis
Dario Siface, Maria Teresa Vespucci, RSE SpA, Università di Bergamo, Italy
Product portfolio planning by fuzzy multi criteria stochastic 0-1 linear programming
1Bijaya Krushna Mangaraj, 2Ashis Mishra, 3Upali Aparajita, 1XLRI School of Business and Human Resources, 2Indian Institute of Management, 3Utkal University, India.
Dynamic control of goods on hand in a bargain sale
1András Prékopa, 2Tamás Szántai, 2Attila Egri, 1Rutgers University, U.S.A., 2Budapest University of Technology and Economics, Hungary .
Programme in one file is availible here.
 
Institute of Mathematics and Informatics of Vilnius university, Vilnius, Lithuania
Vilnius Gediminas Technical University, Vilnius, Lithuania
Klaipdos universitetas, Klaipda, Lithuania
The Association of European Operational Research Societies