Talks
The following are pdf files of talks since December 2001.
Asset Allocation using Particle Methods, International Conference on Stochastic Programming, Buzios, Brazil, June 2016.
How far has SP Gone as a Model Paradigm?, International Conference on Stochastic Programming, Buzios, Brazil, June 2016.
A General Equilibrium Model of Supply Chain Interactions and Risk Propagation, Supply Chain Finance Symposium, Madrid, Spain, June 2016.
Using Optimization to Make the Grid Smart and Efficient, Turkish-American Scientists and Scholars Association annual meeting, Chicago, April 2016.
Alternative Pricing Policies and Market Design in Electricity Markets, Barbaros Tansel Memorial Lecture, Bilkent University, Ankara, Turkey, March 2016.
Dynamic Learning in Strategic Pricing Games, University of Minnesota, February 2016.
Long Term Capacity Contracting with Renewables, INFORMS Annual Meeting, Philadelphia, November 2015.
Slice Sampling Approaches for Stochastic Optimization, INFORMS Annual Meeting, Philadelphia, October 2015.
Panel on "Using new data, methodologies, and approaches to understand risk in the financial system", University of Michigan/Office of Financial Research Conference on Interdisciplinary Approaches to Financial Stability, Michigan Law School, Ann Arbor, October 2015.
Efficient Solutions of Multi-stage Stochastic Programs with Recourse for Stochastic Unit Commitment and Transmission Repair, M2ACS Webinar, Argonne/Chicago/Wisconsin, October 2015.
Alternative Pricing Policies and Marketing Design in Electricity Markets, The University of Texas at Dallas, October 2015 (also University of Oklahoma and University of Michigan, September 2015).
Dynamic Learning in Strategic Pricing Games, Cornell University, October 2015 (also Rutgers Applied Probability Conference ).
Life in Academia, University of Oklahoma, October 2015.
Particle Filtering Approaches for Dynamic Stochastic Optimization, I-Sim Workshop, Purdue U., July 2015.
The Structural Impact of Renewable Portfolio Standards and Feed-in-Tariffs on Electricity Markets, NSF REU, University of Chicago, June 2015.
A Stochastic Dispatchable Pricing Scheme for Electric Energy Day-Ahead Markets, FERC Software Conference, Washington, DC, June 2015.
Supply Chain Network Structure and Firm Returns, Supply Chain Finance and Risk Management Workshop, Washington University in St. Louis, May 2015.
The Renewables Revolution: Green Subsidies Between Promise and Failure, Atlantik-Brücke Roundtable Discussion, Berlin, Germany, March 2015.
Adventures in Optimizing under Uncertainty , CornellTech, New York, March 2015.
Alternative Pricing Policies and Market Design in Electricity Markets, WHU-Otto Bessheim School of Management, Vallendar, Germany, January 2015. (also, EPIC, University of Chicago, December 2014).
Supply Chain Network Structure and Risk Propagation, U. Köln, Cologne, Germany, January 2015.
Optimization and Estimation in Large Scale Models, Tsinghua University, Beijing, China, November 2014.
Asset-Liability Management, Tutorial, INFORMS Annual Meeting, San Francisco, November 2014.
Long Term Capacity Contracting with Renewables, INFORMS Annual Meeting, San Francisco, November 2014.
Dynamic Portfolio Optimization with Transaction Costs, INFORMS Annual Meeting, San Francisco, November 2014.
Diffusion of Information in Diabetes Care, INFORMS Annual Meeting, San Francisco, November 2014.
Supply Chain Network Structure and Risk Propagation, Kellogg School of Management, Northwestern University, October 2014.
Markov Chain Monte Carlo Methods for Stochastic Optimization, MIE Department, University of Toronto, October 2014.
Remarks on Rail Transportation of Energy Resources, Department of Energy, Quadrennial Energy Review Public Meeting, Chicago, Illinois August 2014.
A Stochastic-Oriented NLP Relaxation for Integer Programming, SIAM Annual Meeting, Chicago, July 2014. (Link here for audio.)
Supply Chain Network Structure and Risk Propagation, SCF IESE Business School, Barcelona, July 2014.
Forensic OR: Seeing the Answers, What were the Questions? INFORMS TSL Society Meeting, Chicago, July 2014.
Success in the Job Market, POMS Doctoral Consortium, May 2014.
Recognizing Uncertainty with Incentives to Make the Grid Smart and Efficient, National Academy of Engineering Regional Meeting, IIT, Chicago, May 2014.
Inverse Optimization for the Recovery of Market Structure from Market Outcomes, University of Michigan IOE, April 2014.
Supply Chain Network Structure and the Role of Financing, NYU Stern, February 2014; also University of Southern California, November 2013; University of Illinois, October 2013; SCF TU Eindhoven, June 2013.
Productivity, Supply Chains, and the Structure of Firms, City University of Hong Kong, December 2013.
Markov Chain Monte Carlo Methods for Stochastic Optimization, University of Florida, November 2013. (also MIT ORC, March 2013).
Probabilistic Relaxations and Inverse Optimization Methods for Discrete Stochastic Unit Commitment Problems, INFORMS National Meeting, Minneapolis, October 2013.
Portfolio Optimization: A Brief Tutorial, INFORMS National Meeting, Minneapolis, October 2013.
Economics and the Social Sciences in the Grand Challenges, INFORMS National Meeting, Minneapolis, October 2013.
Adaptive Designs for Clinical Trials: Learning while Treating, University of Chicago Biological Sciences Division, September 2013.
Portfolio Optimization with Non-normal Returns, University of Toronto, Fields Institute, September 2013.
Operations and Finance Interactions, MSOM Distinguished Fellow Session, INSEAD, July 2013.
Long-Term Bank Balance Sheet Management: Estimation and Simulation of Risk Factors, ICSP, Bergamo, Italy, July 2013.
The Values of Information and Solution in Stochastic Programming, ICSP, Bergamo, Italy, July 2013.
Stochastic Programming: Basic Theory, ICSP, Bergamo, Italy, July 2013.
Is There One Best Way? Aligning Incentives for Improve Learning and Greater Efficiency, IIE International Meeting, Istanbul, June 2013.
Inferring Risk Preferences and Network Properties from Bids and Clearing Prices, IIT, Chicago, May 2013.
The Risk-Sharing Role of Trade Credit in Supply Chains with Demand Uncertainty and Costs of Financial Distress, Wharton School, University of Pennsylvania, April 2013; also Kuehne Logistics University, Hamburg, March 2013; National University of Singapore, December 2012; Wilfred Laurier University, Waterloo, ON, Canada, November 2012; Duke University, October 2012.
Particle Filtering for Data-Driven Simulation and Optimization, INFORMS National Meeting, Phoenix, October 2012.
Optimizing Portfolios with Non-normal Distributions, INFORMS National Meeting, Phoenix, October 2012.
Optimal Dynamic Portfolio Construction with Transaction Costs, INFORMS National Meeting, Phoenix, October 2012.
Optimization and Estimation in Large-Scale Models, University of Illinois Chicago, September 2012.
Profitability, Inventory Volatility, and Capital Structure, University of North Carolina, September 2012; also Stanford GSB, April 2012; University of Maryland Smith School, April 2012; Georgetown U., February 2012; Hong Kong University of Science and Technology, December 2011; Cornell Johnson School, November 2011; INFORMS November 2011; Columbia GSB, October 2011.
Optimization and Estimation, IX Brazilian Workshop on Continuous Optimization, Luis Carreia, Brazil, July 2012.
Quasi-Convex Stochastic Dynamic Programming, SIAM Financial Mathematics 12, Minneapolis, July 2012.
Operational and Financial Hedging, Henry Stewart Talks, June 2012. Link here for audio: http://hstalks.com/main/view_talk.php?t=2441&c=250
Use of Sub-Sample Estimates in Stochastic Optimization, University of Illinois at Urbana-Champaign, March 2012; also Hong Kong Poly U, December 2011.
Recognizing Who You Know, What You Know and You Don’t Know: Key Factors in Using OR to Address Global Issues, University of Illinois Urbana-Champaign, March 2012.
Monte Carlo and Bayesian Methods for Stochastic Dynamic Programs, Cornell University ORIE, November 2011.
Finding Optimal Credit Portfolios, INFORMS National Meeting, Phoenix, November 2011.
Estimation and Optimization of Portfolio Allocations, INFORMS National Meeting, Phoenix, November 2011.
Managing Risk with Operational and Financial Instruments, University of Toronto, October 2011; also London Business School, June 2011.
Optimal Portfolio Construction with Estimation Error, Non-normal Returns, and Large Number of Assets, University of Toronto, October 2011.
Particle Filtering and Bayesian Methods for Stochastic Optimization, INFORMS Midwest, Columbus, Ohio, August 2011.
Trade Credit and Capital Structure, SCF Symposium, Wiesbaden, Germany, March 2011.
OR and Risk Management Failures: What are We Doing Wrong? Omega Rho Lecture, INFORMS, Austin, Texas, November 2010.
Linearization Methods for Structural Estimation Problems, INFORMS, Austin, Texas, November 2010.
Reducing Estimation Errors in Portfolio Optimization, INFORMS, Austin, Texas, November 2010.
Best Uses of Sample Information for Stochastic Optimization, Purdue University, October 2010.
Uses of Sub-Sample Estimates in Stochastic Programs, ICSP, Halifax, NS, August 2010.
The Value of Operational Hedges in Enterprise Risk Management, ERM Symposium, Chicago, April 2010.
Use of Sub-Sample Estimates to Reduce Errors in Optimization Models, Northwestern University IEMS, January 2010.
OR’s Role in Risk Management in the Aftermath of the Financial Crisis, Dallas INFORMS Chapter, November 2009.
Estimation Effects in Large-Scale Optimization Models, University of Texas at Dallas, November 2009; Also University of Texas at Austin, September 2009: Lehigh University, April 2009.
Stochastic Quasi-Gradient Methods for Dynamic Pricing, INFORMS San Diego, October 2009.
Parameter Estimation in Large-Scale Optimization Models, International Colloquium on Stochastic Modeling and Optimization (Prekopa 80th Birthday Celebration), Rutgers U., December 2009.
Optimization Models in Financial Engineering and Modeling Challenges, University of Illinois Urbana-Champaign, March 2009.
Estimation Issues in Stochastic Optimization Problems with Various Risk Criteria, University of Florida, February 2009.
Financial Engineering and the Effects of the Credit Crisis, University of Kentucky, December 2008.
The Importance and Challenges of Incorporating Investment Uncertainty into Energy Policy Models, University of Chicago Energy Initiative, November 2008.
George Bernard Dantzig and Uncertainty, INFORMS DC, October 2008.
Convergence of SAA Approaches for Stochastic MPCC with Expectation Constraints, INFORMS DC, October 2008.
Stochastic Programs with Data Estimation, WetsFest, University of California, Davis, October 2008.
Getting MSOM Noticed, MSOM Meeting, University of Maryland, June 2008.
Dynamic Portfolio Optimization using Decomposition and Finite Element Methods, QuantDay 2008, Chicago, April 30, 2008.
Profitability, Inventory Volatility, and Capital Structure, Syracuse University, April 11, 2008; University of Massachusetts-Amherst, April 18, 2008; Case-Western Reserve University, April 29, 2008.
Estimation Effects in Large-Scale Optimization, Stanford University, February 25, 2008; Texas A&M University, March 3, 2008; MIT, April 17, 2008.
Managing Operations, Operations Club, Chicago GSB, January 15, 2008.
The Relationship between Capital Structure and Operational Characteristics, INFORMS National Meeting, Seattle, WA, November 2007.
Risk Metrics in Supply Chain Management, INFORMS National Meeting, Seattle, WA, November 2007.
Evaluating Flexible Capacity across Multiple Markets, INFORMS National Meeting, Seattle, WA, November 2007.
Dynamic Portfolio Optimization using Decomposition and Finite Element Methods, QuantDay 2007, New York, October 31, 2007.
Error Bounds for Dynamic Stochastic Programs using FEM, SPXI Conference, Vienna, Austria, August 27, 2007.
Robust Optimization and Risk Preferences in Stochastic Programming, ICCOPT Conference, McMaster University, Hamilton, Ontario, August 14, 2007.
Unattained Convergence for Sampling Methods in Large-Scale Optimization Models, INFORMS Simulation Society Workshop, Fontainebleau, France, July 5, 2007.
Industrial Engineering, Finance, and Strategic Operations, Plenary talk, IIE Research Conference, Nashville, TN, May 20, 2007.
Valuing Operational Flexibility and Financial Hedging, IIE Research Conference, Nashville, TN, May 20, 2007.
Investment and Production Decisions with Exchange Risk, INSEAD, Fontainebleau, France, March 23, 2007.
Operational Hedging for Exchange Risk (and Other Uncertainties, University of Rochester, Rochester, NY, March 9, 2007.
Uncertainty, Technology, and Market Effects on Production, Inventory, and Financial Decisions INFORMS National Meeting, Pittsburgh, PA, November 2006.
Large Scale Dynamic Stochastic Programming: Still an Unsolved Problem in OR, INFORMS National Meeting, Pittsburgh, PA, November 2006.
Liquidity Risk in Dynamic Portfolio Optimization, INFORMS National Meeting, Pittsburgh, PA, November 2006.
Where do We want OR to go in Education and Vice Versa? INFORMS National Meeting, Pittsburgh, PA, November 2006.
Evaluating Electricity Generation, Energy Options, and Complex Networks, Morgan Stanley, New York, 1 November 2006.
Operational Decisions, Capital Structure, and Managerial Compensation, University of Texas at Dallas, 20 October 2006.
Decomposition Methods for Dynamic, Stochastic Optimization, Toyota Technology Institute, Chicago, IL, 17 October 2006.
Optimal Portfolios with Liquidity Risk, Columbia University, 3 October 2006.
Complexity in Energy Networks, Finding Equilibrium Bounds, and Option Valuation, PSR, Rio de Janeiro, Brazil, August 2006.
Continuum Approximation of Multiple-Asset Taxable Portfolios, Mathematical Programming Symposium, Rio de Janeiro, Brazil, August 2006.
Operations Research: The Legacy of George Bernard Dantzig for Today and Tomorrow, Mathematical Programming Symposium, Rio de Janeiro, Brazil, 31 July 2006.
Complexity in Energy Networks under Uncertainty, IEEE Power Engineering Society, Montreal, Quebec, 21 June 2006.
Building Consistent Risk Measures into Stochastic Optimization Models, Duke University, 26 April 2006.
Stochastic Programming: Models, Approximations, and Methods, Purdue University, March 2006.
Alternative Value-Function Approximations in Portfolio Optimization, Workshop on Financial Engineering, University of Florida, Gainesville, FL, March 2006.
Computational Methods for Dynamic Stochastic Optimization in Financial Engineering, Workshop on Financial Engineering, University of Florida, Gainesville, FL, March 2006.
Equity Valuation, Production, and Financial Planning, Carnegie Mellon University, Pittsburgh, PA, 3 March 2006.
Effectively Managing Liquidity Risk in Dynamic Asset-Liability Optimization, GARP Convention, New York, 1 March 2006.
Operations Research: The Legacy of George Bernard Dantzig for Today and Tomorrow, Algorithmic Operations Research Conference, Simon Fraser University, Vancouver, British Columbia, January 2006.
Trends and Competitiveness in the Automotive Industry, KPMG Forum, Detroit Auto Show, Detroit, Michigan, January 2006.
Research Challenges and Opportunities for Optimization in the Energy Section, Fields Institute Optimization Series, University of Toronto, Toronto, Ontario, 6 December 2005.
Solving Infinite-Horizon Stochastic Programs, McMaster University, Hamilton, Ontario, 5 December 2005.
Optimal Policies with Unreliable Suppliers and Currency Exchange Rate Risk, INFORMS National Meeting, San Francisco, CA, November 2005.
When Is It Best not to Hedge?, INFORMS National Meeting, San Francisco, CA, November 2005.
George B. Dantzig: Academic Life, INFORMS National Meeting, San Francisco, CA, November 2005.
Research Opportunities at the MS/OM-Interface: Introduction, INFORMS National Meeting, San Francisco, CA, November 2005.
Solving Large-Scale Infinite Horizon Stochastic Optimization Problems,University of Illinois at Urbana-Champaign, Joint General Engineering and Industrial Engineering Seminar, Urbana, IL, October 2005.
Bounds and Comparisons for Quasi-Monte Carlo Methods in Option Pricing, Applied Mathematics Colloquium and Mathematical Finance and Risk Management Seminar, Illinois Institute of Technology, Chicago, IL, October 2005.
Operational Decisions, Capital Structure, and Managerial Compensation: A News Vendor Perspective, Operations Management Seminar, Stern School of Business, New York University, October 2005.
Building Consistent Risk Preferences into Stochastic Optimization Models, Third Rutgers-Stevens Workshop on Optimization of Stochastic Systems: Risk-Averse Optimization, Rutgers University, Piscataway, NJ, September 2005.
A Unifying Framework for Robust and Stochastic Optimization Models and Methods, Workshop on Large-Scale Robust Optimization, Sandia National Laboratories, Santa Fe, NM, August 2005.
A Primer on Finance for MS Teachers, INFORMS Teaching of Management Science Workshop, Lake Bluff, IL, July 2005.
Computational Methods for Large-Scale Stochastic Programs, Institute on Computational Economics 2005, Argonne National Laboratory, Argonne, IL, July 2005.
Portfolio Optimization with Consumption and Trading Constraints, Workshop on Optimization in Finance, Coimbra, Portugal, July 2005.
Production and Financing Decisions: Modeling and Analysis, BCTIM Risk Management Conference, Washington University in St. Louis, May 2005.
The Complexity of Networked Resources: Challenges for Energy Market Models, MITACS 6th Annual Conference, University of Calgary, May 2005.
Optimizing Taxable Portfolios of Many Assets, Financial Engineering Seminar, Cornell University, April 2005. (Shorter version: Conference on Risk Management and Quantitative Finance, University of Florida, April 2005.)
Dynamic Portfolio Optimization with Stochastic Programming, Quantitative and Computational Finance Day, Georgia Tech, April 2005.
Uncertainty, Dynamics, and Competition: Old and New Challenges for Optimization, Dantzig-Veinott-Cottle Symposium, Stanford University, November 2004.
Teaching with Cases, INFORMS Teaching Workshop, Denver, CO, October 2004.
Scheduling a Professional Sport League in Microsoft Excel, INFORMS National Conference, Denver, CO, October 2004.
Integrating Financial and Operational Risks via Multi-Stage Stochastic Programming, SPX, Tucson, AZ, October 2004.
Global Optimization in Multi-Agent Models, CORS Conference, Calgary, Alberta, May 2004.
Real Options in Process Industry Supply Chain Management, NSF Symposium on Supply Chain Management in the Process Industries, May 2004.
Optimization Models in Financial Mathematics, Illinois Section Mathematical Association of America Meeting, Schaumburg, Illinois, April 3, 2004. (pdf)
What are the Limits of OR Models? – The Large-Scale Model Paradox and Data Estimation, III Congresso Colombiana/I Conferencia Andina Internacional de Investigacion de Operaciones CCIO-2004, Cartagena, Colombia, March 2004. (pdf)
Evaluating Electricity Capacity with Option Pricing, CCIO-2004, Cartagena, Colombia, March 2004. (pdf)
Solving Infinite Horizon Stochastic Optimization Problems, Optimization Technology Center, November 2003. (pdf)
The Complexity of Networked Resources: Lessons and Opportunities from the Service Sector, “Understanding Complexity” Workshop, Princeton University, November 2003. (pdf)
Portfolios with Trading Constraints and Payout Restrictions, IBM T.J. Watson Research Center, June 2003. (pdf)
Production Financing Interactions and Optimal Capital Structure, University of Michigan, May 2003. (pdf)
Engineering and the Service Sector: Common Elements, Challenges, and Opportunities, NSF Grantees Conference, Birmingham, AL, January 2003. (pdf)
Using Stochastic Programming Problem Structure to Gain Computational Efficiency, Sandia National Labs, Livermore, CA, January 2003. (pdf)
Optimal Consumption – A Stochastic Programming Approach, INFORMS National Meeting, San Jose, CA, November 2003. (pdf)
Stochastic Optimization Tutorial, Institute for Mathematics and its Applications, Supply Chain and Logistics Optimizations Tutorial, Minneapolis, September 2002. (pdf)
Optimization in Financial Engineering in the Post-Boom Market, SIAM Conference on Optimization, Toronto, May 2002. (pdf)
Building Consistent Asset-Liability Management Models, SIAM Conference on Optimization, Toronto, May 2002. (pdf)
Real Options Theory and Practice, INFORMS Practice Conference, Montreal, May 2002. (pdf)
Using Management Science to Reduce Enterprise Risks: Defining the Role of Operational and Financial Hedges, Arnoff Lecture on the Practice of Management Science, University of Cincinnati, May 2002. (pdf)
Stochastic Programming Models in Asset-Liability Management, University of Arizona, Systems and Industrial Engineering Colloquium, February 2002. (pdf)
Introduction to Stochastic Programming, CUSTOM Conference, Carnegie Mellon University, December 2001. (pdf)