Miguel Lejeune

photo - Miguel Lejuene
Title:
Professor of Decision Sciences; Professor of Electrical and Computer Engineering
Faculty:
Full-Time
Office:
Decision Sciences
Address:
Funger Hall
2201 G Street NW
Suite 406
Washington, D.C. 20052
Phone:
202-994-6576
Email:
[email protected]

Miguel Lejeune is a tenured full professor of Decision Sciences and a professor of Electrical and Computer Engineering at the George Washington University. He is the recipient of the CAREER/Young Investigator Research Grant from the Army Research Office, the IBM Smarter Planet Faculty Innovation Award, and the 2019 Koopman Award from the INFORMS Society. His research on “MINLP Methods for Chance-Constrained Problems with Endogenous and Exogenous Uncertainty" is currently supported by the Office of Naval Research (ONR). His current research is also supported by the Duke Energy Innovation Fund, the GW Cross-Disciplinary Research Fund, and the GW University Facilitating Fund.

He is an elected board committee member (July 2013 – June 2019) of the Stochastic Programming Society (COSP). He has held visiting positions at Carnegie Mellon University, Georgetown University, the University of California – Irvine, and the Foundation Getulio Vargas in Rio de Janeiro.

Prior to joining GW, he was a visiting assistant professor of Operations Research at Carnegie Mellon University and worked as a credit risk manager at FORTIS Bank.

Dr. Lejeune completed his Ph.D. 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 the University of Liege, Belgium, and a management sciences engineering degree from the University of Liege.

Miguel Lejeune’s areas of expertise/research interests include stochastic programming, large-scale and data-driven optimization, prescriptive and predictive analytics, distributionally robust optimization, decision-dependent uncertainty, financial risk, and supply chain management. He has published articles in Operations Research, Management Science, Mathematical Programming, Manufacturing & Service Operations Management, INFORMS Journal of Computing, Interfaces, 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.

  • Recipient of the 2019 Koopman Award from the INFORMS Society
  • Recipient of the GW Cross-Disciplinary Research Fund Grant (2019-2020) on"Effective Management of Endogenous Uncertainties in Large-Scale Power Grids"
  • Recipient of the Duke Energy Innovation Fund Grant (2019-2020) on "Weathering the Storms: Maximum Wind Utilization and Harnessing the Power Grids' Built-In Flexibility"
  • Recipient of the University Facilitating Fund Grant (2019-2020) on "Data-Driven Optimization Models for Resiliency in Public Infrastructure"
  • Recipient of Office Naval Research (ONR) Award Grant (2017-2020) on “MINLP Methods for Chance-Constrained Problems with Endogenous and Exogenous Uncertainty"
  • Elected Board Committee Member (COSP) of the Stochastic Programming Society, 2013 – 2019
  • Ave Tucker Research Fellow (2014-2019)
  • 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
  1. Planning Online Advertising Using Gini Indices. Operations Research. Accepted, 2019. With J. Turner.
  2. Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution. Management Science.  Accepted, 2019. With S.Y. Chun.
  3. Aeromedical Battlefield Evacuation under Endogenous Uncertainty in Casualty Delivery Times. Management Science 64 (12), 5481-5496, 2018. With F. Margot.
  4. Note on a Chance-Constrained Programming Framework to Handle Uncertainties in Radiation Therapy Treatment Planning. European Journal of Operational Research 75 (20), 793-794, 2019. With J. Custodio, A. Zavaleta.
  5. Relaxations for Probabilistically Constrained Stochastic Programming Problems: Review and Extensions. Annals of Operations Research. Accepted, 2019. With A. Prekopa.
  6. Resource Deployment and Donation Allocation for Epidemic Outbreaks. Annals of Operations Research. Accepted, 2019. With A. Anparasan.
  7. Recent Advances in the Theory and Practice of Logical Analysis of Data. European Journal of Operational Research (Invited Review) 275 (1), 1-15, 2018. With V. Lozin, I. Lozina, A. Ragab, S. Yacout.
  8. Data Laboratory for Supply Chain Response Models During Epidemic Outbreaks. Annals of Operations Research 270 (6), 1-12, 2018. With A. Anparasan.
  9. A Fractional Stochastic Integer Programming Problem for Reliability-to-Stability Ratio in Forest Harvesting. Computational Management Science 15 (3), 583-597, 2018. With J. Kettunen.
  10. Risk-Budgeting Multi-Portfolio Optimization with Portfolio and Marginal Risk Constraints. Annals of Operations Research 262 (2), 547-578, 2018. With R. Ji.
  11. Managing Reliability and Stability Risks in Forest Harvesting. Manufacturing & Service Operations Management 19 (4), 620-638, 2017. With J. Kettunen.
  12. Analyzing the Response to Epidemics: Concept of Evidence-Based Haddon Matrix. Journal of Humanitarian Logistics and Supply Chain Management 7 (3), 266-283, 2017. With A. Anparasan.
  13. Multistage Stochastic Asset-Liability Management Model with Integrated Chance Constraint - Application to Brazilian Market. Optimization and Engineering 18 (2), 349-368, 2017. With A. Delgado de Oliveira, T. Filomena, M. Scherer Perlin, G. Ribeiro de Macedo.
  14. Portfolio Optimization Using Mean-Gini Criteria: Some Extensions and Comparisons. Annals of Operations Research 248 (1–2), 305-343, 2017. With R. Ji, S. Prasad.
  15. Solving Chance Constrained Problems with Random Technology Matrix and Stochastic Quadratic Inequalities. Operations Research 64 (4), 939-957, 2016. With F. Margot.
  16. Multi-Objective Probabilistically Constrained Programs with Variable Risk: Models for Multi-Portfolio Financial Optimization.European Journal of Operational Research
  17. Stochastic Network Design for Disaster Preparedness. IIE Transactions 47 (4), 329-357, 2015. With X. Hong, N. Noyan.
  18. Threshold Boolean Form for Joint Probabilistic Constraints with Random Technology Matrix. Mathematical Programming 147 (1-2), 391-427, 2014. With A. Kogan.
  19. 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.
  20. Public Facility Location Using Dispersion, Population, and Equity Criteria. European Journal of Operational Research 234 (3), 819-829, 2014. With R. Batta, S. Prasad.
  21. How Supply Chain Competency Affects FDI Decisions: Some Insights. International Journal of Production Economics 147, 239-251, 2014. With P. Bagchi, A. Alam.
  22. Construction of Risk-Averse Enhanced Index Funds. INFORMS Journal on Computing 25 (4), 701-719, 2013. With G. Samatli-Paç.
  23. Effectiveness-Equity Models for Facility Location Problems on Tree Networks. Networks 62 (4), 243-254, 2013. With S. Prasad.
  24. Probabilistic Modeling of Multiperiod Service Levels. European Journal of Operational Research 230, 299-312, 2013.
  25. Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems. Operations Research 60 (6), 1356-1372, 2012.
  26. Stochastic Portfolio Optimization with Proportional Transaction Costs: Convex Reformulations and Computational Experiments. Operations Research Letters 40 (1), 207-212, 2012. With T. Filomena.
  27. A Logical Analysis of Banks’ Financial Strength Ratings. Expert Systems with Applications 39 (9), 7808-7821, 2012. With P.L. Hammer, A. Kogan.
  28. Game Theoretical Approach for Reliable Enhanced Indexation. Decision Analysis 9 (2), 146-155, 2012.
  29. Pattern Definition of the p-Efficiency Concept. Annals of Operations Research 200 (1), 23-36, 2012.
  30. Desempenho do Modelo Estocástico de Média-Variância Para o Mercado Brasileiro de Ações. Produto & Produção 13 (3), 63-74, 2012. With H.H. Hoeltgebaum, T. Filomena, D. Borenstein, F.A. Ziegelmann.
  31. A VaR Black-Litterman Model for the Construction of Absolute Return Fund-of-Funds. Quantitative Finance 11 (10), 1489-1501, 2011.
  32. Optimization for Simulation: LAD Accelerator. Annals of Operations Research 188, 285-305, 2011. With F. Margot.
  33. 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.
  34. Mathematical Programming Generation of p-Efficient Points. European Journal of Operational Research 207 (2), 590-600, 2010. With N. Noyan.
  35. MIP Reformulations of the Probabilistic Set Covering Problem. Mathematical Programming 121 (1), 1-31, 2010. With A. Saxena, V. Goyal.
  36. An Exact Solution Approach for Integer Constrained Portfolio Optimization Problems under Stochastic Constraints. Operations Research 57 (3), 650-670, 2009. With P. Bonami.
  37. Preprocessing Techniques and Column Generation Algorithms for Stochastically Efficient Demand Trajectories. Journal of the Operational Research Society 59, 1239-1252, 2008.
  38. Showcase Scheduling at Fred Astaire Dance Studio. Interfaces 38 (3), 176-186, 2008. With N. Yakova.
  39. Integer Programming Solution Approach for Inventory-Production-Distribution Problems with Direct Shipments. ns in Operational Research 15, 259-281, 2008. With F. Margot.
  40. An Efficient Trajectory Method for Probabilistic Inventory-Production-Distribution Problems. Operations Research 55 (2), 378-394, 2007. With A. Ruszczyński.
  41. Modeling Country Risk Ratings Using Partial Orders. European Journal of Operational Research 175 (2), 836-859, 2006. With P.L. Hammer, A. Kogan.
  42. A Variable Neighborhood Decomposition Search Methodology for Supply Chain Management Planning Problems. European Journal of Operational Research 175 (2), 959-976, 2006.
  43. On Characterizing the 4 C's in Supply Chain Management. Journal of Operations Management 23 (1), 81-100, 2005. With N. Yakova.
  44. 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. Also appeared in: Modern Mathematical, Management, and Statistical Sciences II: Advances in Theory & Application. Eds: E.J. Dudewicz, B.L. Golden, Z. Govindarajulu. American Sciences Press, Columbus, OH, 2004.
  45. Heuristic Optimization of Experimental Designs. European Journal of Operational Research 147 (3), 484-498, 2003.
  46. Awareness of Distributed Denial of Service Attacks’ Dangers: Role of Internet Pricing Mechanisms. NETNOMICS: Economic Research and Electronic Networking 4 (2), 145-162, 2002.
  47. Measuring the Impact of Data Mining on Churn Management. Internet Research: Electronic Networking Applications and Policy 11 (5), 375-387, 2001.
  48. A Mixed-Integer Distributionally Robust Chance-Constrained Model for Optimal Topology Control in Power Grids with Uncertain Renewables. Proceedings of the 13th IEEE Power and Energy Society (PES) PowerTech Conference. Milano, Italy, 2019. With M. Nazemi, P. Dehghanian.
  49. Chance-Constrained Programming with Decision-Dependent Uncertainty. Proceedings of the Workshop New Directions in Stochastic Optimisation. Editors: J. De Loera, D. Dentcheva, G.C. Pflug, R. Schultz. Report 38/2018, 2018, 31. Mathematisches Forschungsinstitut Oberwolfach, Germany. With F. Margot, A. Delgado de Oliveira.
  50. Interactive Portfolio Optimization Using Mean-Gini Criteria. Financial Decision Aid using Multiple Criteria Models. Eds: H. Masri, B. Pérez-Gladish, C. Zopounidis. Springer, 49-91, 2018. With R. Ji, S. Prasad.
  51. Managing Reliability and Stability Risks in Forest Harvesting. INFORMS Editor's Cut on Feeding the World with Analytics. Editors: R. Lougee, S. Bansal. With J. Kettunen.
  52. Dynamic Portfolio Optimization with Risk-Aversion Adjustment Utilizing Technical Indicators. 20th International Conference on Information Fusion Proceedings, Xi'an, China, 1787-1794, 2017. With R. Ji, S. Prasad.
  53. Stochastic Optimization Investment Models with Portfolio and Marginal Risk Constraints. Advances and Trends in Optimization with Engineering Applications. SIAM. Editors: S. Ahmed, M. Anjos, T. Terlaky, 427-436, 2017.
  54. Portfolio Optimization with Combinatorial and Downside Return Constraints. Springer Proceedings in Mathematics and Statistics: Proceedings Volume of the MOPTA 2012 Conference 62, 31-50, 2013.
  55. 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. Also appeared in: Handbook of Financial Econometrics and Statistics. Eds: C.-F. Lee, J. Lee. Springer, 2013.
  56. A Coordinate-Columnwise Exchange Algorithm for the Construction of Supersaturated, Saturated and Non-Saturated Designs. 2004. In: Modern Mathematical, Management, and Statistical Sciences II: Advances in Theory & Application. Eds: E.J. Dudewicz, B.L. Golden, Z. Govindarajulu. American Sciences Press. Columbus, OH, 2004. Also appeared in: American Journal of Mathematical and Management Sciences 23 (1-2), 109-142, 2003.
  57. Optimization of Experimental Designs. 15th International Workshop on Statistical Modeling. Bilbao, Spain, 356-359, 2001.
  58. A Methodology for Probabilistic Inventory-Production-Distribution Problems. UMI Dissertation 3131759. ProQuest. Ann Arbor, MI, 2004.
  • Stochastic Programming
  • Distributionally Robust Optimization
  • Decision-Dependent Uncertainty
  • Financial Risk
  • Data-Driven & Applied Optimization
  • Disaster and Supply Chain Management
  • Business Analytics
  • Computational Optimization
  • Stochastic Programming
  • Supply Chain risk & Analytics
  • Decision-Making and Data Analysis
  • Judgment, Uncertainty, and Decisions
  • Operations Management