International Conference on Computational Management Science

44 Pages·2017·2.07 MB·English

FACULTY OF ECONOMICS
AND MANAGEMENT
2018
International
Conference on
Computational
Management
Science
Local Chairs
Stein-Erik Fleten
Florentina Paraschiv
XV CONFERENCE ON COMPUTATIONAL MANAGEMENT
SCIENCE (CMS 2018)

A warm welcome to CMS 2018!

We are delighted that you are joining us at the Norwegian University of Science and Technology
(NTNU) for the 15th Conference on Computational Management Science (CMS 2018).

The CMS conference is an annual meeting associated with the journal Computational Management
Science published by Springer.
The conference focuses on computational management science with emphasis on valuation problems,
risk management and measurement applications, including optimal risk control problems, typically
employing stochastic optimization, robust and distributionally robust optimization methods as in the
tradition of CMS conferences. Increasingly over the years the conference attracted scholars from
different scientific communities and Euro working groups, ranging from the optimization to the
statistical, econometrical and applied maths communities and touching several application domains,
including energy, finance, supply chain management and logistic problems.
This edition of the conference is co-organised by the Norwegian University of Science and Technology
(NTNU), Faculty of Economics and Management, CMS Journal and the EURO Working Groups on
Stochastic Optimization and Commodity and Financial Modelling.
We have a full conference programme over the next three days, so please take a few minutes to read
through the important information provided in this book.
We hope you enjoy your stay in Trondheim and have a fruitful time at CMS!

Stein-Erik Fleten, Florentina Paraschiv, and Daniel Kuhn
On behalf of the CMS 2018 Committee
XV CONFERENCE ON COMPUTATIONAL MANAGEMENT SCIENCE (CMS 2018)
Trondheim

Trondheim is the third largest city in Norway with its 187 000
inhabitants. Other major cities in Norways are Bergen and the
capital Oslo. Trondheim is said to be founded in 997 by Olav
Tryggvason, a retired Viking and later crowned king of Norway.
A statue of Olav Tryggvason is found in the city center.

The construction of Nidaros Cathedral started around 1070 and
it is the northernmost medieval cathedral in the world.
Photo Pavel Szubert
The cathedral was built over the burial site of Saint Olav. Saint Olav was canonized in 1164
by Pope Alexander III and thereafter universally recognized as a saint of the Roman Catholic
Church. The sculptures on the west side of the church are famous biblical figures, catholic
saints and some former Norwegian kings. During maintenance on the sculpture of Archangel
Michael, the artist gave him the face of Bob Dylan.

Photo Finn Bjørklid
XV CONFERENCE ON COMPUTATIONAL MANAGEMENT SCIENCE (CMS 2018)

Photo Michael Schuerle
The river Nidelva runs through the city center. Along Nidelva old tree houses, dating back to
the 19th century, is a popular view for tourists. The camera is aimed at Bakklandet, an idyllic
district known for its many old tree houses.

NTNU also has a central role in Trondheim. In
1996 the university was established, but with
roots back to 1910, when the Norwegian
Institute of Technology was established.
Today the university has about 40 000
students where 34 000 of the students are
located in Trondheim. The remaining are
located at the campuses in Gjøvik and
Aalesund.

On behalf of the conference crew, we hope you will enjoy the CMS conference and your
stay in Trondheim.
International Conference on Computational Management Science
29 - 31 May 2018, Trondheim
Venue Information
Local transport train station – hotel: If you are arriving or departing by train, the hotels are
within walking distance through the city from the train station (Sentralstasjonen), alternatively
you can catch a bus from the train station or a taxi.
Local transport airport – hotel: If you are arriving or departing by plane, Trondheim
airport Værnes is located 30 km outside the city. The airport bus (Flybuss or
Værnesekspressen) runs every 10 minutes, cost 130 NOK (approx. 45 min) and will stop near
almost all hotels in Trondheim. A taxi will cost about 650-770 NOK (approx. 30 min).
Local transport hotel – campus: From downtown, the main bus to Gløshaugen campus is
AtB bus 5 (direction Lohove, bus stop: Gløshaugen Nord). Tickets can be bought at kiosks, at
ticket machines in Trondheim center, or at AtB service centers, via the Mobilett app, or via
SMS. Buying a ticket on the bus requires cash (50 NOK).
Flights through Trondheim Airport
The Oslo-Trondheim connection is Europe’s 5th busiest, with 32 daily connections. SAS and
Norwegian compete, and they both offer reasonable one-way tickets. Direct flights to London,
Amsterdam, Copenhagen, Stockholm, Bergen etc.
Useful links
NTNU: www.ntnu.edu
Gløshaugen campus map: www.ntnu.edu/map
Trondheim city information: www.trondheim.no/engelsk
Bus in Trondheim: www.atb.no/?lang=en_GB
Taxi in Trondheim: [phone]
Airport bus: www.flybussen.no/en/Trondheim
Train in Norway: www.nsb.no/en
NTNU Wireless network for visitors
Visitors can use either of the university's wireless networks, Eduroam or ntnuguest. The network
ntnuguest allows web traffic, but nothing else. Eduroam assumes that your organization is in some way
associated with the eduroam system, and that you have set up your computer according to the
instructions from your local IT support.
How to connect to NTNU guest (ntnuguest)?:
1. Click on the wireless network options on on your machine or device.
2. Select ntnuguest in the window that appear and click Connect
3. Open your web browser.
4. Fill in your email adress and click on submit.
XV CONFERENCE ON COMPUTATIONAL MANAGEMENT SCIENCE (CMS 2018)

CMS 2018 Committee

Organizing and Program Committee:
Stein-Erik Fleten Norwegian University of Science and Technology (NTNU)
Florentina Paraschiv Norwegian University of Science and Technology (NTNU)
Daniel Kuhn Ecole polytechnique fédérale de Lausanne (EPFL)

Scientific Committee:
Abel Lisser University of Paris Sud
Afzal Siddiqui University College London
Alexei A. Gaivoronski Norwegian University of Science and Technology (NTNU)
Alois Pichler University of Technology, Chemnitz
Asgeir Tomasgard Norwegian University of Science and Technology (NTNU)
Berc Rustem Imperial College London
David Wozabal Technical University of Muenchen
Francesca Maggioni University of Bergamo
Frits Møller Andersen Denmark Technical University
Georg Pflug University of Vienna
Giorgio Consigli University of Bergamo
Laureano Escudero King Juan Carlos University
Michael Kaut SINTEF
Michel DE LARA École des Ponts ParisTech and Université Paris-Est
Milos Kopa Charles University of Prague
Paolo Falbo University of Brescia
Pierre Pinson Technical University of Denmark
Rafał Weron Wroclaw University of Technology
Ruediger Schultz University Duisburg-Essen
Ruud Egging Norwegian University of Science and Technology (NTNU)
Sjur Westgaard Norwegian University of Science and Technology (NTNU)
Trine Krogh Boomsma University of Copenhagen
Verena Hagspiel Norwegian University of Science and Technology (NTNU)
Wolfram Wiesemann Imperial College London

Local Support Committee:
Pedro Crespo Del Granado Norwegian University of Science and Technology (NTNU)
Andreas Kleiven Norwegian University of Science and Technology (NTNU)
Magnus Lyslo Haugskott Norwegian University of Science and Technology (NTNU)
Sveinung Tyssedal Norwegian University of Science and Technology (NTNU)
CMS Program
Tuesday May 29

0- Registration
0
8:
0
0
0
9: Opening and welcome
0
0-
3 Room R5
8:
0
Computational Stochastic Empirical modelling of energy Optimization under Techno-Economic impact of
Optimization markets uncertainty in logistics and CO2 reduction policies
transportation

Chair: Alexei A. Gaivoronski Chair: Sjur Westgaard Chair: Francesca Maggioni Chair: Paolo Pisciella
Room: R3 Room: R4 Room: R5 Room: R90
Scenario Analysis for Energy Business models for power-to- Dealing with Demand Optimization models for the
Saving and Management gas: A real options approach Uncertainty in Service Network participation of active power
Optimization in Complex Water and Load Plan Design distribution networks
Supply Systems to the ancillary services
0 Jacopo Napolitano Michael Schuerle Natashia Boland Maria Teresa Vespucci
0:3 Engineer-to-order project Can Commodities Dominate A Priori Routing for Time Slot Green Investment under Policy
0-1 planning with uncertainty in Stock and Bond Portfolios? Management in Online Grocery Uncertainty and
9:0 design and task duration Retailing Bayesian Learning
0 Michal Kaut Stein Frydenberg Martin Savelsbergh Verena Hagspiel
Scenario tree construction Estimation of risk neutral Integer Stochastic Path Micro-grid expansion a
driven by heuristic solutions of moments from WTI crude oil Detection cooperative game theory
the optimization problem. options. approach
Vit Prochazka Valeriy Kunst Stephan Meisel Sambeet Mishra
Inexact cutting plane Forecasting Price Distributions Optimizing workflow in cell- A Bilevel Programming
techniques for stochastic in the German Electricity based slaughtering and cutting Approach to Estimating
mixed-integer programs Market of pigs Elasticities of Substitution for
Computable General
Equilibrium Models
Ward Romeijnders Sjur Westgaard Johan Oppen Paolo Pisciella
15 min break
Plenary speaker: Andy Philpott
5 Professor at University of Auckland
4
1:
1
5- Competitive Equilibrium with Risk Averse Agents
4
10:
Room: R5
75 min Lunch break
Decision modelling in power Bounds and approximation Computational Methods for Computational Finance
markets methods in stochastic Markov Decision Processes
programming

Chair: Paolo Falbo Chair: Francesca Maggioni Chair: David Wozabal Chair: Michael Schuerle
Room: R3 Room: R4 Room: R5 Room: R90
Assessment of battery energy Sampling Scenario Set Partition A Stability Result for Linear Electricity Spot and Derivatives
0 storage systems profitability in Dual Bounds for Multistage Markov Decision Processes Pricing under Market Coupling
4:3 the Italian electricity wholesale Stochastic Programs
0-1 market
3:0 Federica Davo' Ilke Bakir Adriana Kiszka Roland Fuess
1 Interplay of Wind Energy Using tropical optimization Extracting ’Greeks’ from The distortion premium
Expansion and Regional Market techniques in multi-criteria Multistage Linear principle: properties,
Premia – A Fundamental decision problems Stochastic Optimization: identification and robustness
Market Model Analysis with Computing parameter under ambiguity
Application to Germany sensitivities in Stochastic Dual
Dynamic
Programming
Hannes Hobbie Nikolai Krivulin Goncalo Terca Daniela Escobar
Scheduling energy and Incorporating statistical model Exact converging bounds for Computing Credit Valuation
reserves under contingencies error into the calculation of Stochastic Dual Dynamic Adjustment using hybrid
in isolated power systems with acceptability prices of Programming approaches in the Bates model.
high presence of electric contingent claims
vehicles
Ruth Dominguez Martin Martin Glanzer Vincent Leclère Ludovic Goudenège
Spot market, Futures and Risk Bounds for Probabilistic Stochastic-dynamic Call auctions, money, and
management in the Generation Constrained Problems Optimization of a Joint Strategy equilibrium
of Electricity for Day-ahead Bidding and
Intraday Trading
Paolo Falbo Francesca Maggioni David Wozabal Sjur Didrik Flåm
15 min break
Semi-plenary speaker: Selvaprabu Nadarajah Semi-plenary speaker: Jens Arne Steinsbø
Assistant Professor at University of Illinois at Chicago Head of Digitalization and Strategic Analysis at Lyse AS
0
5:3 Approximate convex programs for solving Business value from hydropower innovations
1
5- intractable operations
4
4:
1 management problems

Room: R3 Room: R5
15 min break
Best Student Paper Prize Model Uncertainty in Finance Power System Planning and
Presentations and Economics Operation under Uncertainty

Jury: Miloš Kopa (Chair of the
EWGSO), Francesca Maggioni
(UniBG), Daniel Kuhn (EPFL),
Afzal Siddiqui (UCL) Chair: Daniel Kuhn Chair: Arild Helseth
Room: R3 Room: R4 Room: R5
Stochastic optimization with Long-term asset allocation Forecast-based scenario-tree
importance sampling: using an under time-varying investment generation for prices in the
analytical approximation of the opportunities: Optimal Nordic power markets
zero-variance distribution portfolios with parameter and
model uncertainty
Jonas Ekblom Alex Weissensteiner Ellen Krohn Aasgård
15 Long-term seasonal Robust Multidimensional Offshore Grid connection
17: component in day-ahead Pricing: Separation without optimisation with uncertain
5- electricity price forecasting Regrets parameters
4
5: with NARX neural networks.
1
Part II - Probabilistic
forecasting
Grzegorz Marcjasz Cagil Kocyigit Harald G Svendsen
A strategic investment model Robust optimization by Nonconvex Medium-Term
for multinational transmission constructing near-optimal Hydropower Scheduling by
expansion planning: Comparing portfolios Stochastic Dual Dynamic
competitive and cooperative Integer Programming
solutions for a North Sea
Offshore Grid
Simon Risanger Martin Van Der Schans Martin Hjelmeland
Efficient forecasting of Chebyshev Inequalities for Optimal Hydropower
electricity spot prices with Products of Random Variables Maintenance Scheduling Under
expert and Lasso models Uncertainty
B art osz Un iej ew ski Napat Rujeerapaiboon Arild Helseth
0
8:3 EWGSO meeting
1 Chair: Milos Kopa
0-
3 Room: R5
7:
1
0
9:3
1 Jazz concert in the NTNU Business School
0-
0
9:
1
Wednesday May 30
Semi-plenary speaker: Nils Löhndorf Semi-plenary speaker: Ruth Misener
Assistant Professor at University of Luxembourg Assistant Professor at Imperial College London
5
9:1 An experimental comparison of tree-based Online generation via offline selection of
0
0- stochastic programming and dual dynamic strong linear cuts from QP SDP relaxation
3
8:
0 programming

Room: R3 Room: R5
15 min break
Managing uncertainty in Financial Optimization Advances In Stochastic Quantitative Methods for
energy systems and markets Optimization in Theory and Financial Applications
Applications

Chair: Ruud Egging Chair: Giorgio Consigli Chair: Alois Pichler Chair: Khine Kyaw
Room: R3 Room: R4 Room: R5 Room: R90
Reservation of transmission Portfolio Choice Under Stochastic optimization with Joint Estimation of Parameters
capacity on interconnectors Cumulative Prospect Theory: importance sampling: using an of Mortgage Portfolio and the
sensitivity analysis and an analytical approximation of the Factor Process
empirical study zero-variance distribution
Endre Bjorndal Asmerilda Hitaj Jonas Ekblom Jaroslav Dufek
0 Value of information of snow Portfolio selection impact of Demand Side Management and Quantitative Studies in
0 measurements in hydropower multivariate dominance rules the Participation in Stationary Gas Nets
1:
1 scheduling among financial sectors Consecutive Energy Markets –
0-
3 A Multistage Stochastic
9:
0 Optimization Approach
Jo Eidsvik Sergio Ortobelli Lozza Markus Fleschutz Rüdiger Schultz
Evaluating Security of Supply in Stochastic optimization with Stochastic capacity expansion Is market surprised by the
the European Natural Gas partial stochastic dominance considering renewables and surprised?
Market – A Stochastic constraints and its application electric vehicles
Programming Approach Zhiping Chen
Philipp Hauser Miguel Carrión Khine Kyaw
Risk aversion in energy markets Goal-based investing under Multistage multivariate nested
SSD constraints distance: an empirical analysis

Ruud Egging Giorgio Consigli Sebastiano Vitali

15 min break
NORS Plenary: Stein Wallace
5
1 Professor at Norwegian School of Economics
2:
5-1 High-dimensional dependent stochastic speeds in vehicle routing
1
1:
1
Room: R5
75 min Lunch break
Efficient Algorithms for Energy forecasting Advances In Stochastic Financial Market Models and
Decision-Making under Optimization in Theory and Multi-Criteria Portfolio
Uncertainty Applications 2 Optimization

Chair: Wolfram Wiesemann Chair: Rafal Weron Chair: Alois Pichler Chair: Sebastian Utz
Room: R3 Room: R4 Room: R5 Room: R90
Fast Bellman Updates for Comparing the Forecasting Two-stage Stochastic Socially Responsible Index
Robust MDPs Performances of Linear Models Programming under Tracking
for Electricity Prices with High Multivariate Risk Constraints
00 RES Penetration
15: Ho Clint Chin Pang Angelica Gianfreda Nilay Noyan Maximilian Wimmer
30- Epsilon-Net Technique for a Efficient forecasting of Generation of scenarios for Risk-Based Inclusion of ESG
3: Class of Robust Optimization electricity spot prices with multiscale stochastic Ratings into Portfolio
1
and its Applications in Wireless expert and Lasso models. optimization problems Optimization
Communication
Yue Man-Chung Bartosz Uniejewski Georg Pflug Annette Krauss
Valuing Portfolios of Conformal Prediction Interval Advances on time consistency Not Necessary to Overfocus on
Interdependent Real Options Estimations in Day-Ahead and of risk measures Financial Performance in
under Exogenous and Intraday Power Markets Strong Sustainability Investing:
Endogenous Uncertainties Evidence from a GABV Bank
Case Study
Sebastian Maier Florian Ziel Ruben Schlotter Sebastian Utz
Distributionally Robust Risk- Forecasting the spread Approximation of Stochastic
Averse Optimization over between the spot and the Processes
Structured Wasserstein intraday market prices.
Ambiguity Sets
Viet Anh Nguyen Katarzyna Maciejowska Alois Pichler
15 min break
Solution methods for mixed- Energy Forecasting 2 Robust and Distributionally Real options and Energy
integer SP Robust Optimization Markets

Chair: Trine Krogh Boomsma Chair: Rafał Weron Chair: Wolfram Wiesemann Chair: Verena Hagspiel
Room: R3 Room: R4 Room: R5 Room: R90
Bilevel Programming Modeling electricity price Distributionally Robust Inverse Pricing Perpetual Options with
Investment Problems with series with vector hidden Covariance Estimation: The Stochastic Stopping
Lower-Level Primal and Dual Markov model Wasserstein Shrinkage Opportunities
Variables Estimator
Henrik Bylling Carlo Lucheroni Daniel Kuhn Kristian Støre
Multi–Period Probabilistic Set Long-term seasonal Robust Reformulations of Technology driven capacity
Covering Problem component in day-ahead Ambiguous Chance Constraints expansion of aluminum
45 electricity price forecasting with Discrete Probability smelters
6: with NARX neural networks. Distributions
1
5- Part II - Probabilistic
1
5: forecasting
1
Konstantin Pavlikov Grzegorz Marcjasz İhsan Yanıkoğlu Maria Lavrutich
Utilizing strengthened lift-and- Bayesian Electricity Price Decision rules for adjustable The effects of possible policy
project cuts in decomposition Forecasting. Models with integer robust optimization withdrawal on investment
methods to solve two-stage Jumps or Stochastic Volatility problems via branch-and- timing and investment size
stochastic programming bound
problems with binary first-
stage variables
Pavlo Glushko Maciej Kostrzewski Krzysztof Postek Roel Nagy
A Scalable Solution Framework Modelig a non-linear impact of Data size modulation and risk Photovoltaic Smart Grids in the
for Strategic Investment renewable energy forecasts on requirement in scenario prosumers investment
Problems via Progressive intra-day electricity prices optimization decisions: a real option model.
Hedging
Vladimir Dvorkin Sergei Kulakov Simone Garatti Sergio Vergalli
0
3
8: Guided tour and organ concert in Nidaros Cathedral
1
0-
3
7:
1

00 Conference Dinner
9:
1