Title PuceFull Professor, Tenured

Miguel Lejeune is a Full Professor of Decision Sciences at the George Washington University (GWU). He is the recipient of the CAREER/Young Investigator Research Grant from the Army Research Office and of the IBM Smarter Planet Faculty Innovation Award. He was appointed (July 2013) committee member of the Stochastic Programming Society (COSP). Prior to joining GWU, he was a Visiting Assistant Professor in Operations Research at Carnegie Mellon University and worked as a Credit Risk Manager at FORTIS Bank.

Title Puce Research Interests and Expertise

Miguel Lejeune’s areas of expertise/research interests include Stochastic Optimization, Probabilistic Programming, Financial Risk, Large-Scale and Applied Optimization, Supply Chain Management. He has published articles in Operations Research, Management Science, Mathematical Programming, Interfaces, INFORMS Journal of Computing, Journal of Operations Management, IIE Transactions, European Journal of Operational Research, Quantitative Finance, Decision Analysis, Operations Research Letters, Journal of Optimization Theory and Applications, Networks, Annals of Operations Research, etc

Miguel Lejeune LinkedIn Profile

Miguel LEJEUNE Profile

Professor at George Washington University
Washington D.C. Metro Area



Working papers

On the Relaxation of Probabilistically Constrained Stochastic Programming Problems with Random Right-Hand Sides. Working Paper. With A. Prékopa. Stochastic Portfolio Optimization Under Skewness Conditions.Solution of Probabilistically Constrained Stochastic Programming Problems with Normally Distributed Random Variables in the Technology Matrix. With A. Prékopa, T. Szantai. Interactive Portfolio Optimization Using Mean-Gini Criteria. With R. Ji, S. Prasad. Combinatorial Data Mining Method for Multi-Portfolio Stochastic asset Allocation. With R. Ji.

Granst and awards

HSAP/URAP Grant from the Army Research Office (April 2012), Department of Defense, Decision Sciences Directorate (June 2012 - August 2013). Grant Title: “Stochastic Optimization and Risk in Supply Chain Management".Young Investigator Grant from the Army Research Office (2012-2013) One-year extension (granted in April 2012) of Young Investigator Grant from the Army Research Office(September 2012-August 2013). Grant Title: “A Methodology for Programming under Probabilistic Constraints”. IBM Smarter Planet Faculty Innovation Award 2011 IBM Smarter Planet Faculty Innovation Award (December 2011). Grant Title: "Risk Analytics in Supply Chain Management" (with S. Prasad). Young Investigator Grant from the Army Research Office (2009-2012) Young Investigator Grant from the Army Research Office, Department of Defense, Decision Sciences Directorate (September 2009-September 2012). Grant Title: “A Methodology for Programming under Probabilistic Constraints". INFORMS Young Researcher Roundtable, April 2006. Research Excellence Award Research Excellence Award, Center for Information Management Integration and Connectivity (CIMIC), Rutgers University, 2004. Excellence Fellowship Excellence Fellowship, Newark GraduateCenter, Rutgers University, 2000-2003 Royal Belgian Academia Award Royal Belgian Academia Award for the Undergraduate Thesis entitled “Heuristic Optimization of Experimental Designs for Linear Models”, 1999.

Publications

Threshold Boolean Form for Joint Probabilistic Constraints with Random Technology Matrix. Mathematical Programming. 2013. In Press. With A. Kogan. Stochastic Network Design for Disaster Preparedness. 2014. IIE Transactions. In Press. With X. Hong, N. Noyan. Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs.Journal of Optimization Theory and Applications 161, 308-329. 2014. With T. Filomena. Public Facility Location Using Dispersion, Population, and Equity Criteria. European Journal of Operational Research 234 (3), 819-829, 2014. With R. Batta, S. Prasad. How Supply Chain Competency Affects FDI Decisions: Some Insights. International Journal of Production Economics 147, 239-251, 2014. With P. Bagchi, A. Alam. Construction of Risk-Averse Enhanced Index Funds. INFORMS Journal of Computing 25 (4), 701-719, 2013. With G. Samatli-Paç. Effectiveness-Equity Models for Facility Location Problems on Tree Networks. Networks 62 (4), 243-254, 2013. With S. Prasad. Portfolio Optimization with Combinatorial and Downside Return Constraints. Springer Proceedings in Mathematics and Statistics. Proceedings Volume of the MOPTA 2012 Conference. In Press. 2013. Probabilistic Modeling of Multiperiod Service Levels. European Journal of Operational Research 230, 299-312, 2013. Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems. Operations Research 60 (6), 1356-1372, 2012. Game Theoretical Approach for Reliable Enhanced Indexation. Decision Analysis 9 (2), 146-155, 2012. Pattern Definition of the p-Efficiency Concept. Annals of Operations Research. In Press, 2012. Stochastic Portfolio Optimization with Proportional Transaction Costs: Convex Reformulations and Computational Experiments. Operations Research Letters 40 (1), 207-212, 2012. With T. Filomena A Logical Analysis of Banks’ Financial Strength Ratings. Expert Systems with Applications 39 (9), 7808-7821, 2012.With P.L. Hammer, A. Kogan. A VaR Black-Litterman Model for the Construction of Absolute Return Fund-of-Funds. Quantitative Finance 11 (10), 1489-1501, 2011. Optimization for Simulation: LAD Accelerator. Annals of Operations Research 188, 285-305, 2011. With F. Margot. Reverse Engineering Country Risk Ratings: Statistical and Combinatorial Non-Recursive Models. Annals of Operations Research 188, 185-213, 2011. With P.L. Hammer, A. Kogan. Mathematical Programming Generation of p-Efficient Points. European Journal of Operational Research 207 (2), 590-600, 2010. With N. Noyan. MIP Reformulations of the Probabilistic Set Covering Problem. Mathematical Programming 121 (1), 1-31, 2010. With A. Saxena, V. Goyal. Combinatorial Methods for Constructing Credit Risk Ratings. 2010. In: Handbook of Quantitative Finance and Risk Management. Eds: C.F. Lee, A.C. Lee, J. Lee. Springer, 639-664. With A. Kogan. An Exact Solution Approach for Integer Constrained Portfolio Optimization Problems under Stochastic Constraints. Operations Research 57 (3), 650-670, 2009. With P. Bonami. Preprocessing Techniques and Column Generation Algorithms for Stochastically Efficient Demand Trajectories.Journal of the Operational Research Society 59, 1239-1252, 2008. Showcase Scheduling at Fred Astaire Dance Studio. Interfaces 38 (3), 176-186, 2008. With N. Yakova. Integer Programming Solution Approach for Inventory-Production-Distribution Problems with Direct Shipments.International Transactions in Operational Research 15, 259-281, 2008. With F. Margot. An Efficient Trajectory Method for Probabilistic Inventory-Production-Distribution Problems. Operations Research 55 (2), 378-394, 2007. With A. Ruszczyński. Modeling Country Risk Ratings Using Partial Orders. European Journal of Operational Research 175 (2), 836-859, 2006. With P.L. Hammer, A. Kogan. A Variable Neighborhood Decomposition Search Methodology for Supply Chain Management Planning Problems. European Journal of Operational Research 175 (2), 959-976, 2006. On Characterizing the 4 C's in Supply Chain Management. Journal of Operations Management 23 (1), 81-100, 2005. With N. Yakova. Exchange Algorithm for Supersaturated, Saturated and Non-Saturated Designs. In: Modern Mathematical, Management, and Statistical Sciences II: Advances in Theory & Applications. E,J. Dudewicz, B.L. Golden, Z. Govindarajulu (Editors). American Sciences Press. Columbus, OH, 2004. A Methodology for Probabilistic Inventory-Production-Distribution Problems. UMI Dissertation 3131759. ProQuest. AnnArbor, MI, 2004. A Coordinate-Columnwise Exchange Algorithm for the Construction of Supersaturated, Saturated and Non-Saturated Designs. American Journal of Mathematical and Management Sciences 23(1-2), 109-142, 2003. Heuristic Optimization of Experimental Designs. European Journal of Operational Research 147 (3), 484-498, 2003. Awareness of Distributed Denial of Service Attacks’ Dangers: Role of Internet Pricing Mechanisms.NETNOMICS: Economic Research and Electronic Networking 4 (2), 145-162, 2002. Measuring the Impact of Data Mining on Churn Management. Internet Research: Electronic Networking Applications and Policy 11 (5), 375-387, 2001. Optimization of Experimental Designs. 15thInternational Workshop on Statistical Modeling,Proceedings in Statistical Modeling, 356-359. Bilbao, Spain, 2000.