IMPORTANT: The EWGSP annual meeting which will take place on May 31st in Salamanca, Spain, during CMS 2016 conference.

The EURO Working Group on Stochastic Programming is a working group whose objective is to promote SP research, education, and applications in Europe.

Addtional information at https://www.euro-online.org/web/ewg/35/ewg-stochastic-programming-ewgsp

Motivation and purpose

Stochastic Programming (SP) is an active research area having important real-world applications, and close links with other branches of Operational Research. SP research focuses on the formulation and solution of stochastic optimization problems, i.e., optimization problems whose parameters are random variables. The fact that every strategic decision is made in the presence of uncertainty is a clear evidence for the practical importance of SP. Important fields of application are energy and water management, and finance. Emerging ones are healthcare, agriculture and sustainable development.

Characteristic examples are: production and distribution system design; financial portfolio restructuring; hydrothermal electric generation planning; oil, hydrocarbon and chemical supplying; transformation and distribution logistics; strategic and tactical production planning; sequencing and scheduling; strategic & tactical supply chain management; revenue management; production planning dimensioning and location; plant location & sizing in strategic supply chain management; road construction selection in forestry harvesting planning; design of connected rapid transit networks; tactical portfolio planning in the natural gas supply chain; prison facility site selection under uncertainty; air traffic flow management planning; flight routes selection; cluster location in multi-period copper extraction planning in mining; multiperiod location-assignment; energy generation capacity expansion planning and sources location for a price taker; financial branches restructuring and delocation; humanitarian logistics under exogenous & endogenous uncertainty; antiterrorism defence under exogenous & endogenous uncertainty; and many others.

Characteristic SP models include two- and multistage constructions, and diverse types of chance-constrained formulations. Present demand led to the evolution of integer SP models. Recent developments include equilibrium and bilevel models, and risk-averse formulations.

In order to formulate a SP problem, we need a characterization of the (joint) distribution of the random variables that constitute its parameters. The resulting problems are often nonlinear and sometimes nonconvex. Most SP solution methods incorporate simulation-based approximation (e.g., sample average approximation, stochastic approximation, stochastic gradient methods). Hence SP has close links with mathematical statistics and stochastic modelling, as well as with linear, convex, and integer programming.

There exists a worldwide Stochastic Programming Society (SPS) as a Technical Section of the Mathematical Optimization Society (MOS). SPS organizes the International Conference on Stochastic Programming (ICSP) every third year, and also awards a Student Paper Prize at these conferences. The governing board of SPS is called the Committee on Stochastic Programming (COSP).

There is a strong SP community in Europe, and we play an important role in European OR activities. E.g., our substantial presence at the EURO conferences witnesses this.

The purpose of this EURO Working Group is to strengthen the collaboration within the European SP community in order to advance SP research, education, and applications. We intend to collaborate with related EURO Working Groups, and to coordinate our activities with those of the European national OR Societies. Moreover we intend to collaborate with SPS on a mutual basis, in promoting the development and application of SP theory, models, methods, analysis, software tools and standards, and encouraging the exchange of information among practitioners and scholars.

History

EWGSP is one of the 30+ working groups of EURO, the Association of European Operational Research Societies.

The creation of the Working Group was initiated during the Special Workshop “Stochastic Programming for Implementation and Advanced Applications” (STOPROG-2012), held in July 2012, in Neringa, Lithuania. The workshop was organized under the auspices of the SP Community and EURO, as a satellite event of the EURO XXV conference. Participants of STOPROG-2012 approved the creation of the EWG on Stochastic Programming.

Informal discussion about the purposes, activities and creation of the new EWG continued among the European SP Community.

A special meeting of COSP was held during the 21st International Symposium on Mathematical Programming (ISMP), in August 2012, Berlin. Here COSP agreed to collaborate with EWGSP, and to coordinate activities with those of the new EWG. (At that time SPS was not yet launched.)

In February 2013, the EURO Executive Committee approved the creation of the EURO Working Group on Stochastic Programming.

Organisation and membership

The activities of EWGSP are coordinated by the Management Board (MB), directly elected by balloting every three years by the members of the EWG. The MB elects a Chair. The Chair, with the approval of the MB, shall appoint other Officers of EWGSP, and shall establish committees, appoint members and chairpersons of these committees, as needed to carry out the business of EWGSP. The full list of current MB members is:

• MaridaBertocchi, University of Bergamo, Italy;
• Giorgio Consigli, University of Bergamo, Italy;
• Laureano F. Escudero, University of Rey Juan Carlos, Spain;
• Csaba Fabian, Kecskemet College, Hungary;
• Stein-Erik Fleten, NTNU, Norway;
• Milos Kopa, Charles University in Prague, Czech Republic;
• Leonidas Sakalauskas, VU Institute of Mathematics and Informatics, Lithuania;
• AsgeirTomasgard, NTNU, Norway.

The following Officers were elected by the MB, and appointed with its approval:

• Csaba Fabian[link http://www.cs.elte.hu/~fabian/] Kecskemet College, Hungary (chair);
• Milos Kopa[link http://www.karlin.mff.cuni.cz/~kopa/] Charles University in Prague, Czech Republic (secretary);
• Giorgio Consigli [link http://www.unibg.it/dati/persone/1933/7036.pdf] University of Bergamo, Italy (treasurer).

The above Officers are the Coordinators of the Working Group. Non-coordinator Officers of the Working Group are:

• Vittorio Moriggia, University of Bergamo, Italy (website editor);
• VirginijusMarcinkevicius, VU Inst. of Math. and Informatics, Lithuania (webmaster).

Any scholar or practitioner of SP can be a member of EWGSP, providing she/he accepts the EURO Charters. Only members of the European national OR Societies can be elected as Coordinators. The WG presently has 183 members from 41 countries.

In 2013, EWGSP promoted the following events, in cooperation with SPS:

• XIIIth International Conference on Stochastic Programming (ICSP 2013), held in Bergamo, 8-12 July.
• Winter School on Stochastic Programming with applications in Energy and Natural Resources, held in Tignes, France, 7-13 April.

Invited streams organised at the EURO 2013 conference:

• Stochastic Programming. EWGSP representatives taking part in organisation: Giorgio Consigli, Abdel Lisser.
• Sustainable Energy Studies. Organised by Asgeir Tomasgard.

In 2014 we supported and promoted the following events:

• Winter School on Stochastic Programming with applications in Energy, Finance and Insurance. March 23-28, Bad Hofgastein, Austria. Organized by Asgeir Tomasgard and Georg Pflug.
• ECSP-2014, EURO Mini Conference on Stochastic Programming and Energy Applications. September 24-26, Paris, France. Organizing committee chairs Abdel Lisser and Georg Pflug.

We promoted the stream "Stochastic Models for Service Operations", at IFORS 2014. July 13-18, Barcelona, Spain.Organised by Francesca Maggioni. In 2015 we support and promote the following events:

• CMS 2015, 12th International Conference on Computational Management Science. May 27-29, 2015. Prague, Charles University. Chair of Organizing Committee: Milos Kopa.
• Stochastic Optimization stream at EURO XXVII, Glasgow July 12-15, 2015. Organized by Giorgio Consigli, Leonidas Sakalauskas and Abdel Lisser.
• Workshop on Optimization under uncertainty in Agriculture and Agrifood Industry, jointly organized with EWG ORAFM (OR for Agriculture and Forest Management). July 27-29, University of Lleida, Spain. Chair of Organizing Committee: Lluis Miquel Pla and Leonidas Sakalauskas.
• OR 2015, International Conference of the German-speaking OR Societies. September 1-4, Vienna. Organized by Georg Pflug, Ruediger Schultz and Daniel Kuhn.

EWGSP initiated special issues and clusters at leading journals, our members serving as guest editors:

• European Journal of Operational Research, on time consistency and risk measures. Guest Editors: Georg Pflug and Ruediger Schultz.
• Quantitative Finance, on stochastic optimization approaches to financial and energy markets. Guest Editors: Giorgio Consigli and Yves Smeers.
• IMA Journal of Management Mathematics, on SP applications and computational methods. Guest Editors: Patrizia Beraldi, Vittorio Moriggia and Asgeir Tomasgard.
• Computational Management Science, on computational aspects of SP. Guest Editors: MaridaBertocchi, CsabaFábián and Milos Kopa.

In 2015-2016 we promote and support the following events:

• Computational Management Science. May 31 to June 2, 2016. Salamanca (Spain). Chair of Organizing Committee: Antonio Alonso Ayuso. Chair of Program Committee: Laureano F. Escudero.
• XIV International Conference on Stochastic Programming. June 25 to July 1, 2016 - Búzios (Brazil).
• EURO 2016 , 28th EURO Conference. Poznań, Poland. 3-6 July, 2016.
• As a continuation of ECSP 2014, we will regularly organize the European Conference on Stochastic Programming/Optimization. The next ECSP/ECSO will take place in 2017, at Rome. To be organized by Carlo Meloni.