Professor of Decision Sciences (GWSB)
Professor of Electrical and Computer Engineering (SEAS)
The George Washington University
2201 G Street, NW
Office: 415, Funger Hall
Washington, DC 20052
Browse my scheduled conferences and seminars by clicking here.
Miguel Lejeune is a Full Professor of Decision Sciences (GWSB) and of Electrical and Computer Engineering (SEAS) at the George Washington University (GWU).
He is the recipient of the 2019 Koopman Award of the INFORMS Society,
the 2020 Dean’s Best Senior Faculty Research Award (George Washington School of Business),
a CAREER/Young Investigator Research Grant from the Army Research Office,
and the IBM Smarter Planet Faculty Innovation Award.
He is the Co-General Chair of the 2022 INFORMS Conference on Security.
Prior to joining GWU, he was a Visiting Assistant Professor in Operations Research at Carnegie Mellon University for two years and worked
as a Credit Risk Manager at FORTIS Bank.
He hold visiting positions at Carnegie Mellon University, Georgetown University, the University of California – Irvine, and the Foundation Getulio Vargas in Rio de Janeiro.
Areas of expertise and research interests
Miguel Lejeune’s areas of expertise/research interests
include Stochastic Optimization, Chance-Constrained Programming, Distributionally Robust Optimization, Optimization with Decision-Dependent Uncertainty,
Financial Risk, Data-Driven Optimization, and Prescriptive and Predictive Analytics.
His research is currently supported by:
- - The Office of Naval Research for the project “Vehicle Fleet Management for Resilience in Energy Networks: Stochastic Programming Advancements under Endogenous Uncertainty".
- - The National Science Foundation for the project “Foundations for Improving Resilience in the Energy Sector against Wildfire on Alaskan Lands".
- - The National Science Foundation for the project “Mobility-As-A-Service for Resilience Delivery: Stochastic Programming Advancements under Decision-Dependent Uncertainties".
- - The National Science Foundation for the project “Collaborative Research: NNA Research: Foundations for Improving Resilience in the Energy Sector against Wildfires on ALaskan Lands (FIREWALL)”.
This last project is a $2.82M 4-year multi-institutional and multidisciplinary national effort related to Navigating the New Arctic (NNA) which is one of NSF's 10 Big Ideas.
He also the support of the Duke Energy Innovation Fund, the GW Cross-Disciplinary Research Fund, and the GW University Facilitating Fund.
He has published articles in Operations Research, Mathematical Programming, Manufacturing & Service Operations Management,
Interfaces, INFORMS Journal on Computing, Journal of Operations Management, IIE Transactions, European Journal of Operational Research,
IEEE Power and Energy Society Letters, Quantitative Finance, Decision Analysis,
Operations Research Letters, Journal of Optimization Theory and Applications, Jourmal of Global Optimization,
Annals of Operations Research, Computers & Operations Research, Networks, Optimization and Engineering, etc.
He was an elected board committee member (July 2013 - June 2019) of the Stochastic Programming Society (COSP).
Professor at George Washington University
Washington D.C. Metro Area
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.
Grants 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.
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.