Optimization Letters Best Paper Award for 2019
- PDF / 180,117 Bytes
- 2 Pages / 439.37 x 666.142 pts Page_size
- 94 Downloads / 280 Views
Optimization Letters Best Paper Award for 2019 Pavlo A. Krokhmal1 · Oleg A. Prokopyev2 Received: 4 November 2020 / Accepted: 8 November 2020 © Springer-Verlag GmbH Germany, part of Springer Nature 2020
Dear Colleagues: It is our great pleasure to announce that the following paper was named the winner of the 2019 OPTL Best Paper Award: D.P. Kouri (2019), Higher-moment buffered probability, Optimization Letters 13(6), 1223–1237. Abstract: In stochastic optimization, probabilities naturally arise as cost functionals and chance constraints. Unfortunately, these functions are difficult to handle both theoretically and computationally. The buffered probability of failure and its subsequent extensions were developed as numerically tractable, conservative surrogates for probabilistic computations. In this manuscript, we introduce the higher-moment buffered probability. Whereas the buffered probability is defined using the conditional value-atrisk, the higher-moment buffered probability is defined using higher-moment coherent risk measures. In this way, the higher-moment buffered probability encodes information about the magnitude of tail moments, not simply the tail average. We prove that the higher-moment buffered probability is closed, monotonic, quasi-convex and can be computed by solving a smooth one-dimensional convex optimization problem. These properties enable smooth reformulations of both higher-moment buffered probability cost functionals and constraints. Please join us in congratulating the author of the paper, Dr. Kouri, for this excellent contribution to the literature! The OPTL Best Paper Award carries a 1,000 USD prize and a plaque. This year the Best Paper Award Selection Committee included OPTL Editorial Board members Dr. Sandra D. Eksioglu (University of Arkansas), Dr. Jean-Philippe Richard (University of Minnesota) and Dr. E. Alper Yildirim (University of Edinburgh). We want to thank the members of the Committee for their service and Springer for sponsoring the award.
B
Oleg A. Prokopyev [email protected]
1
Department of Systems & Industrial Engineering, University of Arizona, Tucson, AZ, USA
2
Department of Industrial Engineering, University of Pittsburgh, Pittsburgh, PA, USA
123
P. A. Krokhmal, O. A. Prokopyev
Finally, we would like to take this opportunity to invite nominations for the 2020 OPTL Best Paper Award. All papers published in OPTL during the year of 2020 are eligible. Publisher’s Note Springer Nature remains neutral with regard to jurisdictional claims in published maps and institutional affiliations.
123
Data Loading...
