Organizers Workshop Schedule Sponsors

Robustness and Resilience in Stochastic Optimization and Statistical Learning: Mathematical Foundations

19-25 May, 2022

Ettore Majorana Foundation and Centre for Scientific Culture, Erice, Italy

Group picture
Group picture taken at the Greek theater in Segesta. Click to open full resolution image.

Organizers

Laurent El Ghaoui

Laurent El Ghaoui

VinUniversity
Alejandro Jofré

Alejandro Jofré

University of Chile
Francesca Maggioni

Francesca Maggioni

University of Bergamo
Johannes O. Royset

Johannes O. Royset

Naval Postgraduate School

Workshop Schedule

For each day, audio recording of the wokshop sessione are available to download. Each talk is also available in pdf format.

You can also read the conference poster.

Friday May 20

Recorded sessions, morning

📥 Download

Recorded sessions, afternoon

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Time Speaker Talk
9:40 - 10:20 S. Wright Primal-dual coordinate methods for robust machine learning and generalized linear programming
10:20 - 10:40 Break
10:40 - 11:20 M. Gürbüzbalaban Robust and Risk-Averse Accelerated Gradient Methods for Stochastic Optimization
11:30 - 12:10 M. Díaz Clustering a mixture of Gaussians with unknown covariance
12:20 - 13:00 R. Khanna Theory of feature selection
13:00 - 15:00 Lunch
15:00 - 15:40 V. Leclère Exact discretization methods for linear stochastic programming
15:50 - 16:30 L. Rosasco A regularization tour of optimization
16:30 - 16:50 Break
16:50 - 17:30 J. O. Royset Rockafellian Relaxation in Optimization under Uncertainty: Asymptotically Exact Formulations
17:40 - 18:20 M. Ferris Risk-averse multi-stage stochastic equilibria: models and algorithms

Saturday May 21

Recorded sessions, morning

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Recorded sessions, afternoon

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Time Speaker Talk
8:50 - 9:30 A. Pananjady Martin Sharply predicting the behavior of iterative algorithms in random optimization problems
9:40 - 10:20 C. Paquette Optimization Algorithms in the Large: Exact Dynamics, Average-case Analysis, and Stepsize Criticality
10:20 - 10:40 Break
10:40 - 11:20 A. Ruszczyński Advances in Risk-Averse Learning
11:30 - 12:10 W. Azizian Regularization for Wasserstein distributionally robust optimization
12:20 - 13:00 B. Sen Multivariate Quantiles and Ranks using Optimal Transport
13:00 - 15:00 Lunch
15:00 - 15:40 J. Luedtke Data-Driven Multi-Stage Stochastic Optimization on Time Series
15:50 - 16:30 R. Bassett One-Step Estimation with Scaled Proximal Methods
16:30 - 16:50 Break
16:50 - 17:30 F. Dabbene A probabilistic scaling approach to chance-constraints
17:40 - 18:20 M. Gabl Two-stage Stochastic Standard Quadratic Optimization

Sunday May 22

Recorded sessions, morning

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Time Speaker Talk
8:50 - 9:30 T. Homem-de-Mello Application-Driven Learning via Joint Estimation and Optimization
9:40 - 10:20 T. Pennanen Duality in convex stochastic optimization
10:20 - 10:40 Break
10:40 - 11:20 G. Pflug Guaranteed bounds for pathwise stochastic dynamic programming
11:30 - 12:10 F. Atenas Bundle approaches for the Progressive Hedging Algorithm
12:10 - 14:15 Lunch
14:30 - 19:30 Excursion to Segesta

Monday May 23

Recorded sessions, morning

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Recorded sessions, afternoon

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Time Speaker Talk
8:50 - 9:30 M. de Lara Resilience, Viability and Stochastic Optimization
9:40 - 10:20 A. Pichler Uniform Function Estimators in Reproducing Kernel Hilbert Spaces
10:20 - 10:40 Break
10:40 - 11:20 S. Sen Generalizations of Compromise Decisions (or Bagging) for Stochastic Integer Programming and Multi-stage Stochastic Linear Programming
11:30 - 12:10 D. Dentcheva Stability and Sample-based Approximations of Composite Stochastic Optimization Problems
12:20 - 13:00 Z. Zhang Optimal Methods for Risk-Averse Distributed Optimization
13:00 - 15:00 Lunch
15:00 - 15:40 E. Zhou Bayesian approaches to Distributionally Robust Optimization
15:50 - 16:30 S. Garatti The scenario approach as a general tool for risk control in data-driven optimization
16:30 - 16:50 Break
16:50 - 17:30 J. Li Frank-Wolfe Methods in Probability Space
17:40 - 18:20 J. Deride A CDF estimation problem under stochastic ambiguity

Tuesday May 24

Recorded sessions, morning

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Recorded sessions, afternoon

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Time Speaker Talk
8:50 - 9:30 A. Jofré Strategic Pricing in network economies: learning and algorithms
9:40 - 10:20 M. Soltanolkotabi Overparameterized Learning Beyond the Lazy Regime
10:20 - 10:40 Break
10:40 - 11:20 P. Thompson Robust linear regression with heavy-tails and contamination: the high-dimensional regime
11:30 - 12:10 M. Hintermüller Optimization with Learning-Informed Differential Equation Constraints
12:20 - 13:00 K. Balasubramanian Two Recent Results on Stochastic Multi-level Composition Optimization
13:00 - 15:00 Lunch
15:00 - 15:40 B. Grimmer Convergence of first-order methods for (some) nonconvex-nonconcave minimax optimization

Sponsors

Logo EMS

European Mathematical Society

https://euromathsoc.org

Logo EWGSO

European Working Group on Stochastic Optimization

https://www.mii.lt/ewgso

Logo SPS

Committee on Stochastic Programming

https://stoprog.org

Logo GNCS

Istituto Nazionale di Alta Matematica Francesco Severi, Gruppo Nazionale per il Calcolo Scientifico

https://www.altamatematica.it/gncs

Logo CMM

Center for Mathematical Modeling, University of Chile

https://www.cmm.uchile.cl