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 professor of Decision Sciences and of Electrical and Computer Engineering at the George Washington University.

He is the recipient of the 2019 Koopman Award of the INFORMS Society, the 2020 Dean’s Best Senior Faculty Research Award (GW School of Business), a CAREER/Young Investigator Research Grant from the Army Research Office, and the IBM Smarter Planet Faculty Innovation Award. 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 research is also supported by the Duke Energy Innovation Fund, the GW Cross-Disciplinary Research Fund, and the GW University Facilitating Fund.

Dr. Lejeune was 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, the INFORMS Journal of Computing, Interfaces, the Journal of Operations Management, the European Journal of Operational Research, Quantitative Finance, Decision Analysis, Operations Research Letters, the Journal of Optimization Theory and Applications, Networks, Annals of Operations Research, International Transactions of Operational Research, and the American Journal of Mathematical and Management Sciences, among other publications.

  1. Waterfall and Agile Product Development Approaches: Disjunctive Stochastic Programming Formulations. Operations Research. Accepted, 2020. With J. Kettunen.
  2. Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution. Management Science.Accepted, 2020. With S. Chun.
  3. A Framework for Solving Chance-Constrained Linear Matrix Inequality Programs. INFORMS Journal of Computing. Accepted, 2020. With R. Karimi, J. Cheng.
  4. Distributionally Robust Optimization AUC Support Vector Machine Models. Operations Research Letters. Accepted, 2020. With W. Ma.
  5. Regularized Deterministic and Stochastic Dual Dynamic Programming and Application to Portfolio Selection with Direct Transaction and Market Impact Costs. Engineering Optimization. Accepted, 2020. With V. Guigues, W. Tekaya.
  6. Planning Online Advertising Using Gini Indices. Operations Research 67 (5), 1222-1245, 2019. With J. Turner.
  7. Relaxations for Probabilistically Constrained Stochastic Programming Problems: Review and Extensions. Annals of Operations Research. Accepted, 2019. With A. Prekopa.
  8. 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.
  9. Aeromedical Battlefield Evacuation under Endogenous Uncertainty in Casualty Delivery Times. Management Science 64 (12), 5481-5496, 2018. With F. Margot.
  10. Resource Deployment and Donation Allocation for Epidemic Outbreaks. Annals of Operations Research. Accepted, 2019. With A. Anparasan.
  11. 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.
  12. Data Laboratory for Supply Chain Response Models During Epidemic Outbreaks. Annals of Operations Research 270 (6), 1-12, 2018. With A. Anparasan.
  13. 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.
  14. Risk-Budgeting Multi-Portfolio Optimization with Portfolio and Marginal Risk Constraints. Annals of Operations Research 262 (2), 547-578, 2018. With R. Ji.
  15. Managing Reliability and Stability Risks in Forest Harvesting. Manufacturing & Service Operations Management. Accepted, 2017. With J. Kettunen.
  16. Solving Chance Constrained Problems with Random Technology Matrix and Stochastic Quadratic Inequalities. Operations Research 64 (4), 939-957, 2016. With F. Margot.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. Stochastic Network Design for Disaster Preparedness. IIE Transactions 47 (4), 329-357, 2015. With X. Hong, N. Noyan.
  22. Threshold Boolean Form for Joint Probabilistic Constraints with Random Technology Matrix. Mathematical Programming 147 (1-2), 391-427, 2014. With A. Kogan.
  23. Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs. Journal of Optimization Theory and Applications 161 (1), 308-29, 2014. With T. Filomena.
  24. Public Facility Location Using Dispersion, Population, and Equity Criteria. European Journal of Operational Research 234 (3), 819-829, 2014. With R. Batta, S. Prasad.
  25. How Supply Chain Competency Affects FDI Decisions: Some Insights. International Journal of Production Economics 147, 239-251, 2014. With P. Bagchi, A. Alam.
  26. 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.
  27. Construction of Risk-Averse Enhanced Index Funds. INFORMS Journal of Computing 25 (4), 701-719, 2013. With G. Samatli-Paç.
  28. Effectiveness-Equity Models for Facility Location Problems on Tree Networks. Networks 62 (4), 243-254, 2013. With S. Prasad.
  29. Probabilistic Modeling of Multiperiod Service Levels. European Journal of Operational Research 230, 299-312, 2013.
  30. Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems. Operations Research 60 (6), 1356-1372, 2012.
  31. Pattern Definition of the p-Efficiency Concept. Annals of Operations Research 200 (1), 23-36, 2012.
  32. Game Theoretical Approach for Reliable Enhanced Indexation. Decision Analysis 9 (2), 146-155, 2012.
  33. Stochastic Portfolio Optimization with Proportional Transaction Costs: Convex Reformulations and Computational Experiments. Operations Research Letters 40 (1), 207-212, 2012. With T. Filomena.
  34. A Logical Analysis of Banks’ Financial Strength Ratings. Expert Systems with Applications 39 (9), 7808-7821, 2012. With P.L. Hammer, A. Kogan.
  35. A VaR Black-Litterman Model for the Construction of Absolute Return Fund-of-Funds. Quantitative Finance 11 (10), 1489-1501, 2011.
  36. Optimization for Simulation: LAD Accelerator. Annals of Operations Research 188, 285-305, 2011. With F. Margot.
  37. 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.
  38. Mathematical Programming Generation of p-Efficient Points. European Journal of Operational Research 207 (2), 590-600, 2010. With N. Noyan.
  39. MIP Reformulations of the Probabilistic Set Covering Problem. Mathematical Programming 121 (1), 1-31, 2010. With A. Saxena, V. Goyal.
  40. 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.
  41. An Exact Solution Approach for Integer Constrained Portfolio Optimization Problems under Stochastic Constraints. Operations Research 57 (3), 650-670, 2009. With P. Bonami.
  42. Preprocessing Techniques and Column Generation Algorithms for Stochastically Efficient Demand Trajectories. Journal of the Operational Research Society 59, 1239-1252, 2008.
  43. Showcase Scheduling at Fred Astaire Dance Studio. Interfaces 38 (3), 176-186, 2008. With N. Yakova.
  44. Integer Programming Solution Approach for Inventory-Production-Distribution Problems with Direct Shipments. International Transactions in Operational Research 15, 259-281, 2008. With F. Margot.
  45. An Efficient Trajectory Method for Probabilistic Inventory-Production-Distribution Problems. Operations Research 55 (2), 378-394, 2007. With A. Ruszczyński.
  46. Modeling Country Risk Ratings Using Partial Orders. European Journal of Operational Research 175 (2), 836-859, 2006. With P.L. Hammer, A. Kogan.
  47. A Variable Neighborhood Decomposition Search Methodology for Supply Chain Management Planning Problems. European Journal of Operational Research 175 (2), 959-976, 2006.
  48. On Characterizing the 4 C's in Supply Chain Management. Journal of Operations Management 23 (1), 81-100, 2005. With N. Yakova.
  49. A Methodology for Probabilistic Inventory-Production-Distribution Problems. UMI Dissertation 3131759. ProQuest. Ann Arbor, MI, 2004.
  50. 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.
  51. Heuristic Optimization of Experimental Designs. European Journal of Operational Research 147 (3), 484-498, 2003.
  52. Awareness of Distributed Denial of Service Attacks’ Dangers: Role of Internet Pricing Mechanisms. NETNOMICS: Economic Research and Electronic Networking 4 (2), 145-162, 2002.
  53. Measuring the Impact of Data Mining on Churn Management. Internet Research: Electronic Networking Applications and Policy 11 (5), 375-387, 2001
  54. Stochastic Mixed-Integer Nonlinear Programming Model for Drone-Based Healthcare Delivery. Winter Simulation Conference Proceedings. Eds: N. Mustafee, K.-H.G. Bae, S. Lazarova-Molnar, M. Rabe, C. Szabo, P. Haas, Y.-J. Son. National Harbor, MD, December 2019. With J. Custodio.
  55. 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.
  56. 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.
  57. 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.
  58. 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.
  59. 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.
  60. 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.
  61. 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.
  62. 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 in: Handbook of Financial Econometrics and Statistics. Eds: C.-F. Lee, J. Lee. Springer, 2013.
  63. 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.
  64. Optimization of Experimental Designs. 15th International Workshop on Statistical Modeling. Bilbao, Spain, 356-359, 2001.
  • Recipient of the 2019 Koopman Award of the INFORMS Society.
  • Recipient of 2020 Dean’s Best Senior Faculty Research Award (George Washington School of Business),
  • Recipient of Office Naval Research 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 (2014-2020)
  • 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.
  • 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