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Dipartimento di Scienze aziendali, economiche e metodi quantitativi

Stochastic Programming School 2009

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23 - 28 November 2009

Project Topic and Objectives SPT4DSS Cariplo Advanced Training Project School Program
Computer Sessions Young Researchers Contributions Schedule Registration
Organisation and Management Sponsorships Location and Infrastructure Added Value of Participants

1. Project Topic and Objectives

The University of Bergamo is pleased to announce an intense week of training, to take place between November 23 and November 28, 2009, as final event of the three year advanced training program funded by the Cariplo Foundation, dedicated to Stochastic Programming Techniques for decision support systems. The The SPS2009 – Stochastic Programming School 2009 initiative is oriented to researchers, doctoral students and practitioners with a general aim to attract a significant audience to a key and rapidly growing area of mathematical programming.

The school aims also at establishing a qualified venue to enhance and promote the understanding by young scientists of the potentials of applied stochastic optimisation in different application areas such as finance, energy, telecommunications and clarify to leading practitioners the current state of the art in the development of stochastic optimisation techniques. In August 2010, Dalhousie University will host the XII Stochastic programming Symposium and SPS2009 represents an ideal preliminary event to the International symposium, providing a qualified venue to young researchers and practitioners interested in stochastic programming theory and applications.

2. SPT4DSS Cariplo Advanced Training Project

The event follows the 2007 school in Bergamo and the 2008 workshop on Numerical Linear and Nonlinear Stochastic Programming organised by the University of Edinburgh. The Cariplo project funds training exchanges and initiatives jointly organised by the Department of Mathematics, Statistics, Computing and Applications (DMSIA) of the University of Bergamo, and leading Departments of four European Universities coordinated by well-recognised scholars working in the area of stochastic optimization:

SPS2009 represents the concluding event of the 3-year project that through dedicated scholarships has funded event registration, travelling and accommodation expenses for roughly 30 students per year over the triennium mainly European students of the five Universities in the Network but also coming from extra-European countries (China, Brazil, United States, Canada, Turkey, Russia).

3. School Program

The programme combines theory and applications in finance, energy, ITC, and other application areas where dedicated developments did recently took place in the industry. Theoretical lectures are essentially proposed in the morning and the afternoons are left to computer labs for a practical adoption of SP techniques and young researchers presentations.
The school has been structured to cover topics in the following areas:

  • Stochastic optimization, introduction and key results
  • Scenario generation and approximation of stochastic processes
  • Integer, mixed integer, chance constrained, non standard linear and non linear stochastic programming
  • Model generation and solution methods for different problem classes

The program is delivered over five days plus one morning, each day specifically organised by one Partner of the Cariplo SPT4DSS network.

A special issue of the Journal Statistics & Decisions will be published including selected articles from the Young researchers contributions and the state-of-the-art talks presented in the concluding session of the school.

3.1 Computer Sessions

Over the SPS2009 week, every afternoon a set of computer lab sessions is organised to develop a case-study from a problem mathematical formulation to its numerical solution relying on commercially available as well as dedicated software developments. The initiative aims at training hands on the school attendants over the key elements of a stochastic programming developments. The organising partners will cooperate to share part of their in-house developments. At the end of the week the school attendants will be allowed to download the programs developed during the week plus dedicated software modules made available by the organising committee.

3.2 Young Researchers Contributions

The School will leave space every afternoon to theoretical and applied contributions (three per day, for a total of 15 talks over the entire program) by young researchers and practitioners attending the school in the general domain of Decision making under uncertainty related to:

  • Mathematical programming and dynamic optimisation in particular
  • Two-stage and multistage stochastic programming
  • Sampling techniques for large scale problems
  • Model generation and software developments
  • Solution techniques for linear and nonlinear programmes
  • Output analysis for large-scale decision problems.

Submitted papers, in the spirit of the school, can be theoretical or, preferably, addressing decision and valuation problems in application areas such as economics and finance, energy, telecommunications, industry, etc.

Unpublished articles or extended abstracts may be submitted before August 31, 2009 (article submission deadline) to sps2009@unibg.it, following the scheme in the web page. The submissions will be handled on a first-in basis, up to program completion. Accepted papers will be included in the programme by subject, following the school evolution. Talks are expected to last 40 minutes to leave 5 minutes for comment and discussion.

3.3 Schedule

The school, November 23—November 28, 2009, is based daily on two morning lectures followed by a technical session in the computer LAB, and three 40-minute talks starting at 3:15 pm. The concluding day will be dedicated to presentations on selected topics providing the state-of-the-art and open problems presented by scholars of the five Departments in the Network.

• Detailed Schedule

4. Registration

The deadline for regular registration is September 30, 2009.

full program
individual days

Table 1. Registration fees until September 30, 2009

Late registrations to the full program will be accepted from October 1 until November 17, 2009 with the following costs:

full program
individual days

Table 2. Late registration fees (after October 1, 2009)

Registration fees will cover the school material (including the case problems and codes developed during the lab sessions), lunches, and the conference dinner (November 27, 2009). All applicants are expected to cover the costs of their journeys and the evening meals. REGISTER NOW!

Registered students can apply to the Organising committee to have accommodation costs covered by a scholarship. A number of 25 Cariplo sponsorships of 400 Euros each will be provided by the committee: the sponsorship can cover (up to the occurrence of 400 Euros) the registration fee, travelling, accommodation and living costs. Specifically: registration fees and travelling expenses will be refunded upon submission of the related costs incurred by the school attendants, while the accommodation and living costs will be directly funded by the Organisers. Early registered students with accepted presentations included in the programme will be given priority in the sponsorship assignment. Applicants will be considered on a first-in basis. APPLY NOW!

The following average costs per day per person (excluding travel costs to reach Bergamo) have been estimated to attend the school and are here reported to help Italian and foreign applicants in their financial planning:

  • Accommodation: in nearby B&B’s and hotel, according to the accommodation list in the web page, from 50 euro
  • Evening meal: from 10 to 25 euro
  • Daily costs outside the school (transport to reach the school, drinks and breaks): 5 to 10 euro.

5. Organisation and Management

The Organising Committee is based in Bergamo (Italy) and formed by:
Giorgio Consigli - giorgio.consigli@unibg.it
Vittorio Moriggia - vittorio.moriggia@unibg.it
Francesca Maggioni - francesca.maggioni@unibg.it
Gaetano Iaquinta - gaetano.iaquinta@unibg.it
The programme has been structured in cooperation with the training partners:
Georg Pflug (University of Vienna, AU)
Gautam Mitra (CARISMA, Brunel West-London University, UK)
Alexei Gaivoronski (NTNU)
Jacek Gondzio (SDMED, University of Edinburgh)

6. Sponsorships

The school is sponsored by the Cariplo Foundation

and endorsed by

University of Bergamo

The Stochastic Programming Community

The Italian Association of
Mathematics Applied to Economic and Social Sciences

The Italian Association of
Operations Research

Italian Federation of Applied Mathematics


7. Location and Infrastructure

The Faculty of Economics of the University of Bergamo – www.unibg.it/economia – provides an ideal environment for the school. A modern building realised roughly 10 years ago with fully computerised classrooms and a conference room. Depending on the attendance we can easily accommodate from 50 to 150 students during the proposed period. Lunch breaks will be organised by the faculty mensa in the same location.

A number of hotel and B&B accommodations are also available in the neighbourhood of the school location at agreed rate.

8. Added Value of Participants

Stochastic programming is almost by definition a field at the conjunction of optimisation theory, stochastic processes and probability theory and decision theory under uncertainty. Participants will gain insight in different application areas and at the same time be confronted with the challenges coming from the industry and the theoretical results of stochastic optimisation theory with implications on valuation theory, dynamic decision making and economic and financial planning.

We also aim with this initiative to strengthen and enlarge the area of young researchers interested in the subject of stochastic optimisation, that we see at the heart of future scientific development from a computational and optimisation viewpoint.

News and Documents
Detailed schedule

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