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Department of Electrical & Computer Engineering

School of Engineering & Applied Science

Miguel Lejeune

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Miguel Lejeune

Professor

Contact:

Office Phone: (202) 994-6576
http://www.milejeune.org/

Miguel Lejeune is a Tenured Full Professor of Decision Sciences at the George Washington University (GWU). He is the recipient of: 1) the CAREER/Young Investigator Research Grant from the Army Research Office, 2) the IBM Smarter Planet Faculty Innovation Award, and 3) the 2019 Koopwan Award for the best-published paper in military operations research awarded by the MAS INFORMS Society. His research “MINLP Methods for Chance-Constrained Problems with Endogenous and Exogenous Uncertainty" is currently supported by the Office of Naval Research (ONR). 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, Fundaçao Getulio Vargas, School of Applied Mathematics (Rio de Janeiro, Brazil), University of California – Irvine, Universidade Federal do Rio Grande do Sul (Porto Alegre, Brazil).

 

Stochastic Programming, Distributionally Robust Optimization, Data-Driven Optimization, Decision-Dependent Uncertainty, Financial Risk and Optimization, Prescriptive and Predictive Analytics; Operations and Disaster Management.

  • Aeromedical Battlefield Evacuation under Endogenous Uncertainty in Casualty Delivery Times. Accepted in Management Science, 2017. With F. Margot.
  • Managing Reliability and Stability Risks in Forest Harvesting. Manufacturing & Service Operations Management. Accepted, 2017. With J. Kettunen.
  • Solving Chance Constrained Problems with Random Technology Matrix and Stochastic Quadratic Inequalities. Operations Research 64 (4), 939-957, 2016. With F. Margot.
  • 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.
  • 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.
  • 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.
  • Risk-Budgeting Multi-Portfolio Optimization with Portfolio and Marginal Risk Constraints. Accepted in Annals of Operations Research. 2017. With R. Ji.
  • Resource Deployment and Donation Allocation for Epidemic Outbreaks. Annals of Operations Research. Accepted, 2017. With A. Anparasan.
  • 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.
  • Stochastic Network Design for Disaster Preparedness. IIE Transactions 47 (4), 329-357, 2015. With X. Hong, N. Noyan.
  • Threshold Boolean Form for Joint Probabilistic Constraints with Random Technology Matrix. Mathematical Programming 147 (1-2), 391-427, 2014. With A. Kogan.
  • 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.
  • 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.
  • 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.
  • 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.
  • 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.
  • Pattern Definition of the p-Efficiency Concept. Annals of Operations Research 200 (1), 23-36, 2012.
  • Game Theoretical Approach for Reliable Enhanced Indexation. Decision Analysis 9 (2), 146-155, 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. Also appeared in: Handbook of Financial Econometrics and Statistics. Eds: C.-F. Lee, J. Lee. Springer, 2013.
  • 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.
  • A Methodology for Probabilistic Inventory-Production-Distribution Problems. UMI Dissertation 3131759. ProQuest. Ann Arbor, 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
  • 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 (2014-2017)
  • 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.

 

• Ph.D. in Management Science/Operations Research, Rutgers University, NJ, 2004.
• M.B.A. in Management Science / Supply Chain Management, Rutgers University, NJ, 2004.
• D.E.S. in  Management (M.S. degree), RWTH Aachen, Germany & University of Liège, Belgium, 1998.
• Bachelor's and Master’s Degrees in Management Engineering, University of Liège, Belgium, 1997.

Stochastic Programming, Distributionally Robust Optimization, Data-Driven Optimization, Decision-Dependent Uncertainty, Financial Risk and Optimization, Prescriptive and Predictive Analytics; Operations and Disaster Management.

  • Aeromedical Battlefield Evacuation under Endogenous Uncertainty in Casualty Delivery Times. Accepted in Management Science, 2017. With F. Margot.
  • Managing Reliability and Stability Risks in Forest Harvesting. Manufacturing & Service Operations Management. Accepted, 2017. With J. Kettunen.
  • Solving Chance Constrained Problems with Random Technology Matrix and Stochastic Quadratic Inequalities. Operations Research 64 (4), 939-957, 2016. With F. Margot.
  • 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.
  • 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.
  • 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.
  • Risk-Budgeting Multi-Portfolio Optimization with Portfolio and Marginal Risk Constraints. Accepted in Annals of Operations Research. 2017. With R. Ji.
  • Resource Deployment and Donation Allocation for Epidemic Outbreaks. Annals of Operations Research. Accepted, 2017. With A. Anparasan.
  • 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.
  • Stochastic Network Design for Disaster Preparedness. IIE Transactions 47 (4), 329-357, 2015. With X. Hong, N. Noyan.
  • Threshold Boolean Form for Joint Probabilistic Constraints with Random Technology Matrix. Mathematical Programming 147 (1-2), 391-427, 2014. With A. Kogan.
  • 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.
  • 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.
  • 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.
  • 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.
  • 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.
  • Pattern Definition of the p-Efficiency Concept. Annals of Operations Research 200 (1), 23-36, 2012.
  • Game Theoretical Approach for Reliable Enhanced Indexation. Decision Analysis 9 (2), 146-155, 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. Also appeared in: Handbook of Financial Econometrics and Statistics. Eds: C.-F. Lee, J. Lee. Springer, 2013.
  • 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.
  • A Methodology for Probabilistic Inventory-Production-Distribution Problems. UMI Dissertation 3131759. ProQuest. Ann Arbor, 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
  • 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 (2014-2017)
  • 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.
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