AASS WORKSHOP SVAN 2016

http://svan2016.sciencesconf.org/

Stochastic Variational Analysis deals with mathematical models, methods, and theory for decisions under uncertainty. The subject covers a broad spectrum of mathematical theory that has grown in connection with the study of problems of optimization, equilibrium, control, and stability of linear and nonlinear systems. The area emerged in response to the need of solving (generalized) equations systems, optimization and variational problems whose parameters are, in part, uncertain. Problems of this type arise in stochastic optimization, stochastic equilibrium problems, uncertainty quantification, statistical estimation problems that turn up in a broad variety of engineering, economics, finance, energy networks, signal processing, ecology and biological problems. 

The thematic program SVAN2016 will be an excellent opportunity to integrate researchers and professionals in the field of Stochastic Optimization, Control, and Variational Analysis, to develop the area in qualitative and quantitative terms in Brazil and Latin America, encouraging undergraduate and graduate students to specialize in the areas covered by the program, presenting problems and discussing solutions, and through contacts with leading researchers in the area.

IMPA will offer scholarships to help the venue of students, specially from Brazil and South America.

Along the three months of the program we plan to have one workshop, one basic course, five mini courses, special talks, and a closing conference. 

The program will start with a workshop on Analysis and Applications of Stochastic Systems, to be held on the week of March 28th, 2016. This inaugural workshop will showcase Variational Analysis and Computational Mathematics topics in

  • stochastic networks and games;
  • energy markets and financial mathematics, and
  • the optimal control and optimization of systems subject to uncertainty.


Playlist no Youtube:


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28-03-2016

Jorge Zubelli
Calibration of Dupire's Local Volatility Models from Option Data
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Golbon Zakeri
Stochastic programming approach to market clearing
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Alejandro Jofré
Mechanism design and allocation algorithms for energy-network markets with piece-wise linear costs and quadratic externalities
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Vitor de Matos
On the modeling and solution strategy of the Long Term Hydrothermal Scheduling
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29-03-2016

Mete Soner
Martingale Optimal Transport
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Athena Picarelli
Duality-based error estimates for some approximation schemes for optimal investment problems
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Session Express I

D. Ghilli

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L. Parente
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Juan Carlos de Los Reyes
Bilevel optimization approaches for learning the noise model in variational image processing
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Daniel Hernández
Optimal control of Lévy processes and existence of optimal refraction strategies
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Sylvain Sorin
Recent advances on zero-sum stochastic games with vanishing stage duration
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Sesssion Express II

D. Villacis 
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M. Junca 
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Ph. Thompson
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30-03-2016

Nizar Touzi
Stochastic control of path-dependent systems, application to the Principal-Agent problem
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Olivier Bokanowski
Numerical schemes for partial differential equations related to optimal stopping time problems
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Kazutoshi Yamazaki
Optimality of doubly reflected Levy processes in singular control
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31-03-2016

Welington de Oliveira
Hydrothermal scenario reduction via quadratic process distances
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Anthony Papavasiliou
Solving stochastic unit commitment in a high performance computing environment
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Sesssion Express III

S. Bruno
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A. Brigatto
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Leo Liberti
The Johnson-Lindenstrauss Lemma in linear and integer optimization
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Ankur Kulkarni
Optimization and Randomization based Approaches for Games and Teams
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Hasnaa Zidani
A state constrained stochastic control problem. Application to optimal exercise of swing contracts in energy markets
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Session Express IV

M. Reppen
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D. Hendricks
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D. Valladão
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01-04-2016

Georg Pflüg
Multistage stochastic programs: Time consistency, time inconsistency and martingale bounds
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Angelia Nedich
Distributed Algorithms for Aggregative Games on Graphs
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Bernardo K. Pagnoncelli
Multistage Stochastic Programming: A Modeling and Algorithmic Perspective
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Juan Pablo Luna & Claudia Sagastizábal
Modeling Uncertainty in Brazil's Oil Supply Chain
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