Plenaries

Program - Workshops - Plenaries - Semi-plenaries - Tutorials - Panels

• Equilibrium Analysis and optimal regulation in Electricity Markets

Alejandro Jofre
Center for Mathematical Modeling
Universidad de Chile
www.cmm.uchile.cl

Abstract
In this talk we consider an electricity spot market consisting of a network, a set of producers and a central agent modeled as a noncooperative game. Production is organized by means of an auction. Once firms simultaneously bid cost functions, the central agent decides the quantity each firm produces and the flows through the network lines. The purpose of the central agent is to minimize the overall network cost while respecting network constraints. On the other hand, firms are aware of their ability to manipulate the central agent dispatch procedure and, when bidding, each firm tries to obtain revenues as high as possible. In the first part of this talk we prove existence of (Nash) equilibrium for a wide class of electricity auctions. A notion of Walrasian equilibrium is advanced and efficiency properties are explored. In the second part, by using optimal mechanism design, we derive an optimal regulation mechanism for that type of networks, and compare its performance with the bayesian version of the usual ”price equal to Lagrange multiplier" which in many cases allow the producers to charge significantly more than marginal price. At a methodological level, we generalize standard oligopoly theory tools.

Short biography
Ingeniero Civil Matemático, Universidad De Chile (1984). Doctor en Matemáticas Aplicadas, Universidad de Pau, Francia (1989). Profesor Asociado de la Universidad de Chile

• Applications of Metaheuristics to Optimization Problems in Sports

Celso Ribeiro
Professor at the Department of Computer Science
Universidade Federal Fluminense, Brazil
http://lattes.cnpq.br/3614186131432854

Abstract
Professional sport leagues involve millions of fans and significant investments inplayers, broadcast rights, merchandising, and advertising. Multiple agents, such as the organizers, media, players, fans, security forces, and airlines, play important roles in the leagues and tournaments. Professional sports leagues are therefore part of a major economic activity and face challenging optimization problems. On the other side, amateur leagues usually do not involve impressive amounts of money, but instead the number of tournaments and competitors can be very large, also requiring coordination and logistic efforts. The field of sports scheduling and management has been attracting the attention of an increasing number of researchers in multidisciplinary areas such as operations research, scheduling theory, constraint programming, graph theory, combinatorial optimization, and applied mathematics. Different optimization techniques have been applied to solve problems arising from sports scheduling and management. The hardness of the problems in the field lead to the use of a number of exact and approximate approaches, including integer programming, constraint programming, metaheuristics, and hybrid methods. Problems associated with the scheduling of round robin tournaments are of particular importance, due to their relevance in practice and to their interesting mathematical structure. We review some applications of metaheuristics to different scheduling problems in sports, such as the traveling tournament problem and referee assignment in sports competitions. Recent advances in metaheuristics are also illustrated in the context of these applications.

Short biography
Celso Ribeiro is full Professor at the Department of Computer Science of Universidade Federal Fluminense, Brazil. He chaired the Departments of Electrical Engineering (1983-1987) and Computer Science (1993–1995) of the Catholic University of Rio de Janeiro. He has a bachelor degree in Electrical Engineering (Catholic University of Rio de Janeiro, 1976) and an M.Sc. degree in Systems Engineering (Federal University of Rio de Janeiro, 1978). He obtained his doctorate in Computer Science at the Ecole Nationale Supérieure des Télécommunications (Paris, France) in 1983. His research is supported by the Brazilian Council of Scientific and Technological Development (CNPq) and by the Rio de Janeiro State Foundation for Research Support (FAPERJ). Professor Ribeiro acted as President of the Brazilian Operations Research Society (SOBRAPO, 1989–1990) and of the Latin-American Association of Operations Research Societies (ALIO, 1992–1994), and as Vice-President of the International Federation of Operational Research Societies (IFORS, 1998–2000). He was a visiting researcher at AT&T Labs Research, International Computer Science Institute (ICSI, Berkeley), Ecole Polytechnique de Montréal, and Université de Versailles (France). He is the editor of four books and the author of more than one hundred papers in international journals and book chapters. Professor Ribeiro supervised 19 doctorate dissertations and 31 master theses. He is the Editor-in-Chief of the International Transactions in Operational Research, published by IFORS.

• Deterministic Global Optimization: Theory and Applications

Christodoulos A. Floudas
Professor Princeton University
http://titan.princeton.edu

Abstract
In this presentation, an overview of the research progress in global optimization will be provided. The focus will be on important contributions during the last five years, and will provide a perspective for future research opportunities. The overview will cover the areas of (a) twice continuously differentiable constrained nonlinear optimization, and (b) mixed-integer nonlinear optimization models. Subsequently, we will present our recent fundamental advances in (i) convex envelope results for multi-linear functions, (ii) a piecewise quadratic convex under-estimator for twice continuously differentiable functions, (iii) the generalized alpha-BB framework, (iv) a new augmented Lagrangian approach for global optimization, and (v) our recently improved convex underestimation techniques for univariate and multivariate functions. Computational studies on important applications will illustrate the potential of these advances.

Short biography
Dr. Floudas is the Stephen C. Macaleer ’63 Professor in Engineering and Applied Science, Professor of Chemical Engineering at Princeton University, Faculty in the Center for Quantitative Biology at Princeton University’s Lewis-Sigler Institute, Associated Faculty in the Program of Computational and Applied Mathematics at Princeton University, Associated Faculty in the Department of Operations Research and Financial Engineering at Princeton University. He earned his B.S.E. in 1982 at Aristotle University of Thessaloniki, Greece, completed his Ph.D. in December 1985 at Carnegie Mellon University and joined Princeton University as a Faculty Member in February 1986. In July 1991 he was promoted to Associate Professor and in July 1994 to Professor.  He held Visiting Professor positions at Imperial College, England (Fall 1992); Swiss Federal Institute of Technology, ETH, Switzerland (Spring 1993); University of Vienna, Austria (Spring 1996); Chemical Process Engineering Research Institute (CPERI), Thessaloniki, Greece (Fall 1998); and University of Minnesota (Spring 2008) .Professor Floudas is a world-renowned authority in mathematical modeling and optimization of complex systems. His research interests lie at the interface of chemical engineering, applied mathematics, and operations research, with principal areas of focus including chemical process synthesis and design, process control and operations, discrete-continuous nonlinear optimization, local and global optimization, and computational chemistry and molecular biology.  Professor Floudas is the author of two graduate textbooks, Nonlinear Mixed-Integer Optimization (Oxford University Press, 1995), and Deterministic Global Optimization (Kluwer Academic Publishers, 2000). He has co-edited seven monographs/books, has over 200 refereed publications, delivered over 300 invited lectures, seminars, and named lectureships including the 2007 Bayer lecture at Carnegie Mellon and the 2008 George T. Piercy lecture at the University of Minnesota. He is the chief co-editor of the Encyclopedia of Optimization (Kluwer Academic Publishers, 2001; 2nd edition, Springer, 2008). He is the recipient of numerous awards and honors for teaching and research that include the NSF Presidential Young Investigator Award, 1988; the Engineering Council Teaching Award, Princeton University, 1995; the Bodossaki Foundation Award in Applied Sciences, 1997; the Best Paper Award in Computers and Chemical Engineering, 1998; the Aspen Tech Excellence in Teaching Award, 1999; the 2001 AIChE Professional Progress Award for Outstanding Progress in Chemical Engineering; the 2006 AIChE Computing in Chemical Engineering Award;  and the 2007 Graduate Mentoring Award, Princeton University. Dr. Floudas has served on the Editorial Boards of Industrial Engineering Chemistry Research (1998-2001); Journal of Global Optimization; Computers and Chemical Engineering (2001-present); Kluwer Book Series on Nonconvex Optimization and its Applications; Informatica;  Journal of Computational Analysis and Applications; and Optimization Letters. He has been Director of the CAST Division of AIChE (1999-2001); Trustee of CACHE Corp. (2003-2006), and a member of the American Institute of Chemical Engineers, INFORMS, the Mathematical Programming Society, and the Society of Industrial and Applied Mathematics. He has co-organized the conferences on Recent Advances In Global Optimization (May 1991), State of the Art in Global Optimization: Computational Methods and Applications (May 1995), Optimization in Computational Chemistry and Molecular Biology: Local and Global Approaches (May 1999), Frontiers in Global Optimization (June 2003), the Foundations of Computer Aided Process Design Conference: Discovery through Product and Process Design (July 2004), and Advances in Global Optimization (June 2007). He has supervised thirty one doctoral students and twelve postdoctoral associates as Head of Princeton's Computer-Aided Systems Laboratory

• The Role of Operations Research in Lean Supply Chains

H. Donald Ratliff
Executive Director - Supply Chain & Logistics Institute
Regents and UPS Professor of Logistics - School of Industrial & Systems Engineering
Georgia Tech, Atlanta, GA 30332
http://www2.isye.gatech.edu/ncat/faculty/gatech/ratliff.htm

Abstract
While the concept of “Lean” has its roots in manufacturing, there are significant efforts underway to extend these ideas across the broader supply chain.  The size and complexity of global supply chains make some of the principles of lean manufacturing, such as continuous flow, extremely difficult to extend.  However, other “lean” principles such as waste elimination, variability management, synchronization, and continuous improvement are critical to the design and execution of all supply chains.  This session will illustrate why some of these lean principles are so important, the role of technology in implementing these principles, and the potential for Operations Research in closing current technology gaps associated with these principles. 

Short biography
Dr. Ratliff is a supply chain and logistics expert with more than 30 years of experience as an educator, researcher, consultant, and technology business executive.  As Executive Director of the Supply Chain & Logistics Institute at Georgia Tech, he provides leadership for the largest research program in the world devoted to the study of supply chains and logistics.  As co-founder and President of the software company CAPS Logistics, he helped to pioneer the development of interactive software tools to design supply chain networks and optimize logistics processes.  He has worked with a wide range of companies and government organizations to recognize and evaluate opportunities for supply chain synchronization and logistics optimization, to develop strategies for exploiting these opportunities, and to develop the processes and technologies necessary to execute on these strategies.  Dr. Ratliff’s research into new logistics concepts and optimization algorithms has resulted in the publication of more than fifty refereed journal articles.  He has given more than a hundred invited presentations at national and international meetings.  He serves on a variety of boards where he helps to develop strategies for designing, building and bringing to market new logistics technologies and services. Dr. Ratliff is a Phi Beta Kappa graduate of the Johns Hopkins University.  He has held a number of editorial positions including being Editor-in-Chief of the Journal of Operations Research.  He has supervised the thesis research for more than twenty Ph.D. students, many of which currently hold faculty appointments in major universities.  He has been selected to play a leadership role in five national professional meetings in Operations Research.  He was awarded the 1991 “Outstanding Research Award” of the Institute of Industrial Engineers for his work in logistics and is a Fellow of the Institute of Industrial Engineers and a Fellow of INFORMS.  Dr. Ratliff was elected to the National Academy of Engineering for his work in developing network optimization methodology for use in the design and operation of logistics systems.  More than 200 companies and government agencies have implemented concepts developed by him and his colleagues.

• Optimization Models and Strategies for Crude Oil Operations and Offshore Oil and Gas Production

Ignacio E. Grossmann
Rudolph R. Dean University Professor of Chemical Engineering
Center for Advanced Process Decision-making
Carnegie Mellon University
http://egon.cheme.cmu.edu/

Abstract
We provide an overview of Enterprise-wide Optimization in the petroleum industry highlighting the importance of planning and scheduling of crude oil operations for petroleum refineries, and design and planning offshore facilities for oil and gas exploration. We review some of the mixed-integer programming techniques that can be applied to the scheduling of crude-oil operations in the front-end of refineries, and outline a recent method that can obtain near optimal solutions very effectively.  We also address the problem where there are several reservoirs where a number of wells can be drilled and exploited for oil or gas in every reservoir over a planning horizon.  The problem consists in determining the number and location of production and well platform, as well as their capacities. We present first a mixed-integer nonlinear programming model for addressing the deterministic version of the problem, and next a novel multistage stochastic programming model where uncertainties in the size of the reservoir and their deliverability are considered as uncertain .

Short biography
Ignacio E. Grossmann is the R. R. Dean University Professor of Chemical Engineering, and former Department Head at Carnegie Mellon University. He obtained his B.S. degree at the Universidad Iberoamericana, Mexico City, in 1974, and his M.S. and Ph.D. at Imperial College in 1975 and 1977, respectively.  After working at the Instituto Mexicano del Petróleo in 1978, he joined Carnegie Mellon in 1979.  He is currently director of the "Center for Advanced Process Decision-making," an industrial consortium that involves about 20 petroleum, chemical, engineering and software companies. He is a member of the National Academy of Engineering, and associate editor of AIChE Journal and member of editorial board of Computers and Chemical Engineering, Journal of Global Optimization, and Optimization and Engineering. Major awards include the 1994 Computing in Chemical Engineering Award of the CAST Division of AIChE, the 1997 William H. Walker Award of AIChE, in 2002 Honorary Doctor in Technology from Åbo Akademi in Finland, in 2007 Doctor honoris causa from University of Maribor in Slovenia, Fellow of INFORMS and AIChE, Top 15 Most Cited Author in Computer Science by ISI, and 2003 Computer Society Prize of INFORMS

• Applications of Operations Research in Transportation

Michel Gendreau
Centre de recherche sur les transports
Département d'informatique et de recherche opérationnelle
Université de Montréal
http://www.crt.umontreal.ca/~michelg

Abstract
Operations Research methods were applied to important transportation planning problems since the very beginnings of the discipline during World War II.  Since then, transportation of people and goods has remained one of the main fields of application of O.R. models and techniques. Major contributions were made for instance in traffic modeling, planning of distribution networks, crew and vehicle scheduling for air transportation and public transit, etc. In this talk, we will attempt to give a comprehensive overview of the most important areas of transportation were O.R. methods have been applied and to highlight major contributions, both from a methodological and from a practical standpoints.

Short biography
Michel Gendreau is Professor of Operations Research at Université de Montréal (Canada). From 1999 to 2007, he was the Director of the Centre for Research on Transportation, a centre devoted to multi-disciplinary research on transportation and telecommunications networks.  He was also one of the main actors in the creation of a new research centre covering both logistics and transportation, the Interuniversity Research Centre on Enterprise Networks, Logistics and Transportation (CIRRELT), for which he was Acting Director from June to December 2007. His main research interests deal with the development of exact and approximate optimization methods for transportation and telecommunications network planning and management problems, some of which have been included in commercially-available software. He has published more than 130 papers on these topics.  He is also the co-editor of five books dealing transportation planning and scheduling, as well with metaheuristics. Dr. Gendreau is currently the Area Editor “Heuristic Search and Learning” of the INFORMS Journal on Computing and an Associate Editor of Operations Research, RAIRO-Recherche opérationnelle, Journal of Scheduling, Optimization and Engineering and International Transactions in Operational Research.  From 2001 to May 2006, he was the Editor-in-chief of INFOR (the journal of the Canadian O.R. society). He is Vice-President of the International Federation of Operational Research Societies (IFORS) and the Vice-President, International Activities of the Institute for Operations Research and the Management Sciences (INFORMS). Dr. Gendreau received in 2001 the Merit Award of the Canadian Operational Research Society in recognition of his contributions to the development of O.R. in Canada.

• Recent advances on Markov Decision Processes

Onésimo Hernández–Lerma
Departamento de Matemáticas
CINVESTAV – IPN
http://www.math.cinvestav.mx/_ohernand

Abstract
This talk is an introductory presentation on recent advances in discrete and continuous time Markov decision processes (MDPs), including results on overtaking and bias optimality, discount–sensitive criteria, MDPs with path wise constraints (also known as hard constraints), and existence of control strategies with maximum average reward and minimum variance.

Short biography
Onésimo Hernández obtained the “licenciatura” degree from the Instituto Politécnico Nacional, México City, and the M.Sc. and Ph.D. degrees in applied mathematics from Brown University, Providence, R.I. Since 1978 he has been with the Mathematics Department of CINVESTAV– IPN (Centro de Investigación y de EstudiosAvanzados del IPN), in México City. His research interests include Markov control processes, stochastic games, and infinite dimensional linear programming. Prof. Hernández–Lerma has published over 100 research papers and 11 books. He has supervised 15 Ph.D. theses. He received the Sciences National Award from the Government of México in 2001, a doctorate honoris causa from the University of Sonora in 2003, and the Lázaro Cárdenas Medal from the IPN in 2008.

• The Evolution of Optimization and Its Applications

Robert E. Bixby
Jesse H. Jones Graduate School of Management, and
Department of Computational and Applied Mathematics
Rice University
http://www.nae.edu/nae/naepub.nsf/Members+By+UNID/34EC6D2E1F37EBC8852569E00060F7E6?opendocument

Abstract
Linear and mixed-integer programming have emerged as key technologies in the application of management science in business. We will examine their evolution from George Dantzig’s introduction of the simplex algorithm in 1947 through the remarkable computational improvements of the last two decades. Our goal in so doing will be not simply to describe the magnitude of these improvements, staggering though they may be, but more importantly to examine their implications for the solution of real-world business problems.

Short biography
BS in Industrial Engineering and Operations Research, University of California, Berkeley, 1968. PhD in Operations Research, Cornell, 1972. Held positions in The Department of Mathematics, University of Kentucky, 1972-1977, The Department of IEMS, Northwestern University, 1977-1984. Professor of Computational and Applied Mathematics, Rice University, 1984-2000. Held visiting positions at the University of Wisconsin, Cornell Univeristy, The Institute fur Operations Research, Bonn, the University of Augsburg, and the Konrad Zuse Zentrum, Berlin. Humboldt Senior Scientist Award, 1992. Editor-in-Chief Mathematical Programming, Series A, 1989-1994. Elected to the National Academy of Engineering, 1997. Chairman of Mathematical Programming Society, 2001-2004. Beale-Orchard-Hays Prize of the Mathematical Programming Society for Computational Mathematial Programming, 2000. 2004 INFORMS Impact Prize. 2007 INFORMS Frederick W. Lanchester Prize. Chairman of Matheon External Advisory board, 2003-Present.Co-founded CPLEX Optimization, Inc., 1987 (acquired by ILOG, Inc., 1997). Served on ILOG Board of Directory 1997-2000. President ILOG Technical Advisory Board, 2001-2004. Chief Scientific Officer of ILOG, Inc., 2002-2008. General Manager, ILOG Semicondicutor Business Division, 2006-2008.Noah Harding Professor Emeritus of Commputational and Applied Mathematics, Rice Univeristy, and Research Professor of Management in the Jones School of Management, Rice Univeristy.

• Competitive Electricity Markets: Managing the Most Challenging Supply Chain

Shmuel S. Oren
The Earl J. Isaac Chair Professor
Department of Industrial Engineering and Operations Research
University of California at Berkeley
http://www.ieor.berkeley.edu/~oren/bio.htm

Abstract
Socio economic forces, development in generation technologies and environmental considerations have lead to restructuring of the electric power systems in part of the USA and in many systems worldwide, transforming them from vertically integrated regulated monopolies to competitive market based systems. From a supply chain perspective competitive electricity markets represent, perhaps, the most challenging supply chain. The commodity is non-storable; demand is uncertain and highly correlated with weather, all the demand must be satisfied instantaneously with a high level of reliability (one day in ten years criteria for involuntary load curtailment). In addition service is provided over a network that is prone to congestion, flows over transmission lines cannot be directly controlled as in a transportation system (flows follow Kirchhoff’s laws) and the market is encumbered by numerous externalities and market power.  In spite of such obstacles there has been fascinating developments in the design and operations of competitive electricity markets over the last decade through the use of state of the art optimization tools and economic principles. This talk will describe some of the key challenges in designing and operating competitive electricity markets. I will review the basic elements and alternative approaches adopted in different systems and discuss what we have learned so far in this area as well as current open problem and research activities.

Short biography
Dr. Shmuel S. Oren  is the Earl J. Isaac Chair Professor in the Science and Analysis of Decision Making in the Industrial Engineering and Operations Research department at the University of California, Berkeley. He is the Berkeley site director of PSERC – a multi-university Power System Engineering Research Center sponsored by the National Science Foundation and industry members. He has published numerous articles on aspects of electricity market design, planning and regulation and has been a consultant to various private and government organizations including the Brazilian Electricity Regulatory Agency (ANEEL), the Alberta Energy Utility Board (EUB), the Polish system operator (PSE), The Peruvian regulatory agency (OSINERG) and the electric power research institute (EPRI). He currently serves as Senior Adviser to the Market Oversight Division of the Public Utility Commission of Texas (PUCT), and a consultant to the Energy Division of the California Public Utility Commission (CPUC). He holds B.Sc. and M.Sc. degrees in Mechanical Engineering from the Technion in Israel and also an M.S. and Ph.D. degrees in Engineering Economic Systems from Stanford University. He  is a fellow of the Institute of electrical and electronic engineers (IEEE) and of the institute of operations research and management science (INFORMS).

• Financial Products with Guarantees: Applications, Models and Internet-based services

Stavros A. Zenios
HERMES Center on Computational Finance and Economics
University of Cyprus and The Wharton Financial Institutions Center
http://www.hermes.ucy.ac.cy/zenios/document-resources/VITAE.pdf

Abstract
Endowments with a minimum guaranteed rate of return appear in insurance policies, pension plans and social security plans. In several cases, especially in the insurance industry, such endowments also participate in the business and receive bonuses from the firm's asset portfolio. In this paper we develop a scenario based stochastic optimization model for asset and liability management of participating insurance policies with guarantees. The model allows the analysis of the tradeoffs facing an insurance firm in structuring its policies, and is applied to the analysis of policies offered by firms in Italy and the UK. While the optimized results are in general agreement with current industry practices, inefficiencies are still identified and potential improvements are suggested. The modeling tools developed for the management of insurance policies are also used to develop a web-based system for individual investors. Investor’s goals and risk profiles are addressed in an integrated fashion. The requirements for real-time modeling by the average investor must be reflected in the model, and this issue will be discussed as well. The practical experience with this model will be discussed.

Short biography
Professor and Rector, University of Cyprus, Nicosia, Cyprus. Senior Fellow, The Wharton School, University of Pennsylvania, PA. Dr. Zenios is known for his work in computational finance and financial services, high-performance and parallel computations, and operations research. In his career he authored two books, edited sixteen books and journal issues, and (co)authored over 150 scholarly articles in some of the premier journals in the field. He holds two US patents on financial engineering methods, and his work has been reproduced in edited volumes, textbooks and encyclopedias. One of his books on the performance of financial institutions was translated in Chinese in 2005. His book with Yair Censor Parallel Optimization (Oxford University Press) received the 1999 ICS prize of The Institute of Operations Research and the Management Sciences, and his article with A. Soteriou on service quality received a Best Paper Award from the Decision Sciences Institute in 1999.  In 2000 he was selected as a Marie Curie Fellow by the European Commission.  In 2006 he was the recipient of the EURO Excellence in Practice Award for his work on personal financial planning. Dr Zenios served as consultant for several financial institutions and Government agencies, including the Union Bank of Switzerland, the World Bank, the Federal National Mortgage Association and the Central Bank of Cyprus. He lectured extensively in North and South America, Europe and the Far East. He serves on the editorial board of seven journals and is the editor for the volumes of Asset and Liability Management in Elsevier’s series Handbooks of Finance. He received a BSc. in Mathematics from London University in 1980, a BEng in Electrical Engineering from Council of Engineering Institutions in 1982, MA and PhD in Engineering-Management Systems from Princeton University in 1986, and an Honorary MA from University of Pennsylvania in 1992. Prior to joining the University of Cyprus to serve as the first Dean of the School of Economics and Management he was a tenured faculty member of the Wharton School, University of Pennsylvania. He also held visiting appointments at the Sloan School of the Massachusetts Institute of Technology (MIT) , University of Haifa (Israel), University of Vienna, and  the  Universities of Bergamo, Milano and Venice as a fellow of the Italian CNR.