Center for Optimization under Uncertainty Research - Northeast Regional Conference

The Northeast region has a rich history of eminent leaders in the fields of mathematical sciences related to optimization under uncertainty and optimal control under uncertainty.  In this tradition, the Mathematical Sciences Department at the IBM Thomas J. Watson Research Center formed the Center for Optimization under Uncertainty Research (COUR, pronounced “kor”) across IBM Research, with the mission to fuel innovation around advanced solutions, results, methods and algorithms that provide a mathematical basis for optimizing and controlling decisions when non-negligible uncertainty is present.

At a formal kickoff event for COUR in January 2016 (, there was a strong consensus that we should create an annual conference in the Northeast region that brings together local world-class researchers in the related fields of mathematical sciences with a program comprising presentations of high-quality advanced research in areas related to optimization and optimal control under uncertainty, generally interpreted, including work in progress and open problems and possibly panels session around topics of interest and future directions.

To this end, with support from IBM Research, we are happy to announce the inaugural Northeast Regional Conference on Optimization and Optimal Control under Uncertainty (OOCuU) to be held in December 2016 at the IBM Thomas J. Watson Research Center in Yorktown Heights, NY, (  This event is sponsored by COUR, in collaboration with universities and research institutions in the Northeast region, and spans three days from December 7th to December 9th in the Yorktown Auditorium.  All are welcome to attend.  For more information, please contact Mark Squillante (, Yingdong Lu (, or Soumyadip Ghosh (

We hope and anticipate to have this event rotate among the participating research institutions in the Northeast region on an annual basis.


The technical program is provided below.


Planned presenters and participants (and/or their students) include:

  • Sid Banerjee (Cornell)
  • Jose Blanchet (Columbia)
  • Chaitanya Bandi (Northwestern)
  • Xi Chen (NYU)
  • Frank E. Curtis (Lehigh)
  • Ton Dieker (Columbia)
  • Eugene Feinberg (Stony Brook)
  • David Gamarnik (MIT)
  • Soumyadip Ghosh (IBM Research)
  • Paul Glasserman (Columbia)
  • Vineet Goyal (Columbia)
  • Itai Gurvich (Cornell)
  • Shane Henderson (Cornell)
  • Alan King (IBM Research)
  • Vikram Krishnamurthy (Cornell)
  • Costis Maglaras (Columbia)
  • Stephen Morse (Yale)
  • Giacomo Nannicini (IBM Research)
  • Gordon Pang (Penn State)
  • Edieal J. Pinker (Yale)
  • Warren Powell (Princeton)
  • Kavita Ramanan (Brown)
  • Marty Reiman (Columbia)
  • Andrzej Ruszczyński (Rutgers)
  • David Shmoys (Cornell)
  • Mark Squillante (IBM Research)
  • Tonghoon Suk (IBM Research)
  • Huseyin Topaloglu (Cornell)
  • Chai Wah Wu (IBM Research)
  • Wei Xie (RPI)
  • David Yao (Columbia)
  • Quanyan Zhu (NYU Polytech)


 Recommended Hotels:

  • Holiday Inn, MT KISCO
    Address: 1 Holiday Inn Dr, Mt Kisco, NY 10549
    Telephone: 1-914-241-2600
    No IBM rate, regular prices at $118/night for next week. 12-15 mins drive to T.J. Watson.
  • Holiday Inn Express PEEKSKILL
    Address: 2 John Walsh Boulevard, Peekskill, NY, 10566
    Telephone: 1-914-7435700
    IBM rate. $108-116/night. 15-20 mins from T.J. Watson*
  • Hampton Inn White Plains TARRYTOWN
    Address: 200 West Main Street, Elmsford, NY, 10523
  • IBM rate. $144/night. 20-25 mins from T.J. Watson*

   *: You might be able to get lower price from other travelling services and websites. 


Driving directions



Technical Program Schedule

Pdf version


December 7 (Yorktown Auditorium)


7:30 – 8:00                     Coffee and light breakfast

8:00 – 8:30                     Welcome and Opening Remarks

               Arvind Krishna, Senior Vice President, Director of Research, IBM Research


Session I

8:30 – 9:00                     Production Planning with Risk Hedging

                                      David D. Yao, Columbia University

9:00 – 9:30                     Taylor-ed DPs: Between Dynamic Programming and Brownian Control Problems

                                       Itay Gurvich, Cornell University

9:30 – 10:00                    Inventory Management for Assemble-to-Order Systems with General Bill of Materials and Deterministic Lead Times

                                       Marty Reiman, Columbia University

10:00 – 10:30                  Fully Polynomial Time (Σ, Π)-Approximation Schemes for Continuous Nonlinear Newsvendor and Continuous Stochastic Dynamic Programs

                                        Giacomo Nannicini, IBM Research


10:30 – 11:00                Coffee break


Session II

11:00 – 11:30                The Statistics of Data-driven Distributionally Robust Optimization via Optimal Transport

                                     Jose Blanchet, Columbia University

11:30 – 12:00                Sparse High Dimensional Linear Regression with Binary Coefficients

                                     Ilias Zadik, MIT

12:00 – 12:30                Bayesian Decision Process for Cost-Efficient Dynamic Ranking via Crowdsourcing

                                     Kevin Jiao, New York University


12:30 – 13:30                Lunch


Session III

13:30 – 14:00                 Observational Learning and Abandonment in Congested Systems

                                      Costis Maglaras, Columbia University

14:00 – 14:30                  The Information-Collecting Vehicle Routing Problem: Stochastic Optimization for Emergency Storm Response

                                       Lina Al-Kanj, Princeton University

14:30 – 15:00                  Minimizing Multimodular Functions and Allocating Capacity in Bike-Sharing Systems

                                       Daniel Freund, Cornell University

15:00 – 15:30                  Piecewise Affine Policies for Two-Stage Adjustable Robust Optimization

                                      Omar El Housni, Columbia University


15:30 – 16:00                Coffee break


Session IV

16:00 – 16:30                Social Learning POMDPs

                                     Vikram Krishnamurthy, Cornell University

16:30 – 17:00                Interactive Advertising using POMDPs: A Multiple Stopping Approach

                                     Sujay Bhatt H.R., Cornell University

17:00 – 17:30                New Uncertainty Models for Stochastic Dual Dynamic Programming

                                     Alan King, IBM Research



December 8 (Yorktown Auditorium)


8:30 – 9:00                     Coffee and light breakfast

9:00 – 9:15                     Welcome and Opening Remarks

               Dario Gil, Vice President, Science and Solutions, IBM Research


Session I

9:15 – 9:45                     Risk-Averse Control of Partially Observable Markov Systems

                                      Jingnan Fan, Rutgers University

9:45 – 10:15                    Risk-Averse Control of Continuous-Time Markov Chains

                                       Andrzej Ruszczyński, Rutgers University

10:15 – 10:45                  Risk-Averse Control of Diffusion Processes

                                       Jianing Yao, Rutgers University


10:45 – 11:00                Coffee break


Session II

11:00 – 11:30                Rare Event Estimation For Gaussian Random Vectors

                                     Ton Dieker, Columbia University

11:30 – 12:00                 Efficient Monte Carlo Methods for Stochastic Optimization

                                      Soumyadip Ghosh, IBM Research

12:00 – 12:30                  Pricing under Estimation Risk

                                       Richard Neuberg, Columbia University


12:30 – 13:30                Lunch


Session III

13:30 – 14:00                Reducing Undiscounted Markov Decision Processes and Stochastic Games with Unbounded Costs to Discounted Ones

                                     Jefferson Huang, Cornell University

14:00 – 14:30                 Delay, Memory, and Messaging Tradeoffs in Distributed Service Systems

                                      Martin Zubeldia, MIT

14:30 – 15:00                 Sensitivity Analysis of Reflected Diffusions in Polyhedral Cones

                                      David Lipshutz, Brown University

15:00 – 15:30                 Scheduling using Interactive Optimization Oracles in Constrained Queueing Networks

                                      Tonghoon Suk, IBM Research


15:30 – 16:00               Coffee break


Session IV

16:00 – 16:30                A Sequential Algorithm for Solving Nonlinear Optimization Problems with Chance Constraints

                                     Frank E. Curtis, Lehigh University

16:30 – 17:00                A Distributed Observer for a Time-Invariant Linear System

                                     Lili Wang, Yale University

17:00 – 17:30                A Distributed Algorithm for Computing a Common Fixed Point of a Family of Paracontractions

                                     Daniel Fullmer, Yale University

17:30 – 18:00                STORM: STochastic Optimization using Random Models

                                             Matt Menickelly, Lehigh University and IBM Research



December 9 (Yorktown Cafeteria Annex in AM and Yorktown Auditorium in PM)


8:00 – 8:30                     Coffee and light breakfast


Session I

8:30 – 9:00                     Ergodic Control of Parallel Server Networks in the Halfin-Whitt Regime

                                      Gordon Pang, Pennsylvania State University

9:00 – 9:30                     Stability and Control of Stochastic Viral Propagation Processes

                                      Chai Wah Wu, IBM Research

9:30 – 10:00                   Assortment Optimization and Pricing under the Markov Chain Choice Model

                                      Huseyin Topaloglu, Cornell University


10:00 – 10:30                Coffee break


Session II

10:30 – 11:00                Central Limit Theorems for Composite Risk Functionals

                                     Darinka Dentcheva, Stevens Institute of Technology

11:00 – 11:30                Bounds on the Cost of Risk in Sample-Based Mean-Risk Models

                                     Gregory J. Stock, Stevens Institute of Technology

11:30 – 12:00                 Risk-Aversion in Classification Problems

                                      Constantine Vitt, Rutgers University and Honeywell


12:00 – 13:00                Lunch


Session III

13:00 – 13:30                Recent Developments for Markov Decision Processes Motivated by Inventory Control Applications

                                     Eugene A. Feinberg, Stony Brook University

13:30 – 14:00                Structure of Optimal Solutions to Periodic-Review Total-Cost Inventory Control Problems

                                     Yan Liang, Stony Brook University

14:00 – 14:30                Robust Wait Time Estimation in General Resource Allocation Systems

                                     Chaitanya Bandi, Northwestern University

14:30 – 15:00                On Delay-Optimal Scheduling for a General Class of Input-Queued Switches

                                     Mark S. Squillante, IBM Research


15:00 – 15:30                Coffee break


Session IV

15:30 – 16:00                Ranking and Selection: Strong Statistical Guarantees on 1000 Cores

                                     Shane Henderson, Cornell University

16:00 – 16:30                A Simulation-Based Prediction Framework for Dynamic Decision Making

                                     Yuan Yi, RPI

16:30 – 17:00                Optimization and Market Design for On-Demand Vehicle-Sharing

                                     Siddhartha Banerjee, Cornell University

17:00 – 17:30                A Game-Theoretic Approach to Design Secure and Resilient Distributed Support Vector Machines

                                     Rui Zhang, New York University