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Miguel Lejeune

Associate Professor of Decision Sciences

  • Department: Decision Sciences
  • Email:
  • Phone: (202) 994-6576
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  • Office: Funger Hall, Ste. 406 • 2201 G St. NW • Washington, DC 20052


Miguel Lejeune is a tenured associate professor of decision sciences at the George Washington University. 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 GW, he was a visiting assistant professor in operations research at Carnegie Mellon University and worked as a credit risk manager at FORTIS Bank.

Dr. Lejeune completed his PhD studies at Rutgers University where he also obtained an MBA degree. Additionally, he obtained a DEA in Management (MS degree) from RWTH Aachen, Germany and University of Liege, Belgium, and a management sciences engineering degree from University of Liege.

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, Mathematical Programming, Interfaces, INFORMS Journal of Computing, Journal of Operations Management, European Journal of Operational Research, Quantitative Finance, Decision Analysis, Operations Research Letters, Journal of Optimization Theory and Applications, Networks, Annals of Operations Research, International Transactions of Operational Research, American Journal of Mathematical and Management Sciences, etc.


Research Interests

  • Optimization
  • Probabilistic Programming
  • Financial Risk
  • Large-Scale & Applied Optimization
  • Supply Chain Management
  • Business Analytics


Selected Publications

  1. Solving Chance Constrained Problems with Random Technology Matrix and Stochastic Quadratic Inequalities. Operations Research 64 (4), 939-957, 2016. With F. Margot.
  2. Multi-Objective Probabilistically Constrained Programs with Variable Risk: Models for Multi-Portfolio Financial Optimization. European Journal of Operational Research 252 (2), 522–539, 2016. With S. Shen.
  3. Portfolio Optimization Using Mean-Gini Criteria: Some Extensions and Comparisons. Accepted in Annals of Operations Research, 2016. With R. Ji, S. Prasad.
  4. Multistage Stochastic Asset-Liability Management Model with Integrated Chance Constraint – Application to Brazilian Market. Accepted in Optimization and Engineering, 2016. With A. Delgado de Oliveira, T. Filomena, M. Scherer Perlin, G. Ribeiro de Macedo.
  5. Risk-Budgeting Multi-Portfolio Optimization with Portfolio and Marginal Risk Constraints. Accepted in Annals of Operations Research, 2016. With R. Ji.
  6. Stochastic Network Design for Disaster Preparedness. IIE Transactions 47 (4), 329-357, 2015. With Hong, N. Noyan.
  7. Threshold Boolean Form for Joint Probabilistic Constraints with Random Technology Matrix. Mathematical Programming 147 (1-2), 391-427, 2014. With A. Kogan.
  8. Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs. Journal of Optimization Theory and Applications 161 (1), 308-329, 2014. With T. Filomena.
  9. Public Facility Location Using Dispersion, Population, and Equity Criteria. European Journal of Operational Research 234 (3), 819-829, 2014. With R. Batta, S. Prasad.
  10. Construction of Risk-Averse Enhanced Index Funds. INFORMS Journal of Computing 25 (4), 701-719, 2013. With G. Samatli-Paç.
  11. Effectiveness-Equity Models for Facility Location Problems on Tree Networks. Networks 62 (4), 243-254, 2013. With S. Prasad.
  12. Probabilistic Modeling of Multiperiod Service Levels. European Journal of Operational Research 230, 299-312, 2013.
  13. Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems. Operations Research 60 (6), 1356-1372, 2012.
  14. Stochastic Portfolio Optimization with Proportional Transaction Costs: Convex Reformulations and Computational Experiments. Operations Research Letters 40 (1), 207-212, 2012. With T. Filomena.
  15. A Logical Analysis of Banks’ Financial Strength Ratings. Expert Systems with Applications 39 (9), 7808-7821, 2012. With P.L. Hammer, A. Kogan.
  16. Game Theoretical Approach for Reliable Enhanced Indexation. Decision Analysis 9 (2), 146-155, 2012.
  17. Pattern Definition of the p-Efficiency Concept. Annals of Operations Research 200 (1), 23-36, 2012.
  18. A VaR Black-Litterman Model for the Construction of Absolute Return Fund-of-Funds. Quantitative Finance 11 (10), 1489-1501, 2011.
  19. Optimization for Simulation: LAD Accelerator. Annals of Operations Research 188, 285-305, 2011. With F. Margot.
  20. 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.
  21. Mathematical Programming Generation of p-Efficient Points. European Journal of Operational Research 207 (2), 590-600, 2010. With N. Noyan.
  22. MIP Reformulations of the Probabilistic Set Covering Problem. Mathematical Programming 121 (1), 1-31, 2010. With A. Saxena, V. Goyal.
  23. An Exact Solution Approach for Integer Constrained Portfolio Optimization Problems under Stochastic Constraints. Operations Research 57 (3), 650-670, 2009. With P. Bonami.
  24. Preprocessing Techniques and Column Generation Algorithms for Stochastically Efficient Demand Trajectories. Journal of the Operational Research Society 59, 1239-1252, 2008.
  25. Showcase Scheduling at Fred Astaire Dance Studio. Interfaces 38 (3), 176-186, 2008. With Yakova.
  26. Integer Programming Solution Approach for Inventory-Production-Distribution Problems with Direct Shipments. International Transactions in Operational Research 15, 259-281, 2008. With F. Margot.
  27. An Efficient Trajectory Method for Probabilistic Inventory-Production-Distribution Problems. Operations Research 55 (2), 378-394, 2007. With A. Ruszczyński.
  28. Modeling Country Risk Ratings Using Partial Orders. European Journal of Operational Research 175 (2), 836-859, 2006. With P.L. Hammer, A. Kogan.
  29. A Variable Neighborhood Decomposition Search Methodology for Supply Chain Management Planning Problems. European Journal of Operational Research 175 (2), 959-976, 2006.
  30. On Characterizing the 4 C’s in Supply Chain Management. Journal of Operations Management 23 (1), 81-100, 2005. With N. Yakova.
  31. Heuristic Optimization of Experimental Designs. European Journal of Operational Research 147 (3), 484-498, 2003.

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  • Elected Board Committee Member (COSP) of the Stochastic Programming Society, 2013 – 2016.
  • Member of the Advisory Board of IBM Analytics Talent Exchange Program, 2013.
  • HSAP/URAP Grant from the Army Research Office, Department of Defense, Decision Sciences Directorate, 2012.
  • IBM Smarter Planet Faculty Innovation Award, 2011.
  • CAREER (Young Investigator) Award, Army Research Office, Department of Defense, Decision Sciences Directorate, September 2009.
  • Research Excellence Award, Center for Information Management Integration and Connectivity (CIMIC), Rutgers University, 2004.
  • Royal Belgian Academia Award for the Undergraduate Thesis entitled “Heuristic Optimization of Experimental Designs for Linear Models”, 1999.