- Stochastic Optimization
- Single- and multi-period risk functionals,
- Risk modeling and management,
- Structure and stability of multistage stochastic programs,
- Approximations and asymptotic analysis of stochastic
- Numerical methods for mixed-integer multistage stochastic
- Scenario generation and reduction for multistage stochastic
- Stability and solution methods for chance constrained
- Applied stochastic optimization models (production planning,
finance, revenue management, chemical engineering etc.).
- Power Systems Optimization
- (Stochastic) Unit commitment in hydro-thermal power
- Optimization of power generation and trading under
- Electricity risk management,
- Competition in electricity markets under uncertainty.
- Airline Revenue Management
- Network airline revenue management under uncertain passenger
- Stochastic Equations
- Approximations and numerical methods for random equations,
- Numerical methods for stochastic differential (-algebraic)
- Applications to noise simulation in electronic circuits.
- Numerical Optimal Control
- Discretization schemes for optimal control problems.
last modified August 12, 2008