Highlights
The research on optimization problems under probabilistic constraints led to an intensive cooperation with EDF (Electricité de France) and resulted in particular in a reasearch project funded by the Fondation Mathématique Jacques Hadamard. Here, the management of water reservoirs with random filling level and/or demand constraints is in the focus. Furthermore, suitable models of probabilistic constraints are considered within a DFG/Transregio priority programme on optimization problems in gas networks where uncertainty prevails in the loads. In connection with this research, the monograph 'Evaluating Gas Network Capacities' published at SIAM has been coauthored. This monograph has been awarded the 'Euro Excellence in Practice Award 2016'.Publications
Monographs

H. Heitsch, R. Henrion, H. Leövey, R. Mirkov, A. Möller, W. Römisch, I. WegnerSpecht, Chapter 13: Empirical Observations and Statistical Analysis of Gas Demand Data, in: Evaluating Gas Network Capacities, Th. Koch, B. Hiller, M.E. Pfetsch, L. Schewe, eds., MOSSIAM Series on Optimization, SIAM, Philadelphia, 2015, pp. 273290, (Chapter Published).

B. Hiller, Ch. Hayn, H. Heitsch, R. Henrion, H. Leövey, A. Möller, W. Römisch, Chapter 14: Methods for Verifying Booked Capacities, in: Evaluating Gas Network Capacities, Th. Koch, B. Hiller, M.E. Pfetsch, L. Schewe, eds., MOSSIAM Series on Optimization, SIAM, Philadelphia, 2015, pp. 291315, (Chapter Published).
Articles in Refereed Journals

H. Heitsch, H. Leövey, W. Römisch, Are quasiMonte Carlo algorithms efficient for twostage stochastic programs?, Computational Optimization and Applications. An International Journal, 65 (2016) pp. 567603.
Abstract
QuasiMonte Carlo algorithms are studied for designing discrete approximations of twostage linear stochastic programs with random righthand side and continuous probability distribution. The latter should allow for a transformation to a distribution with independent marginals. The twostage integrands are piecewise linear, but neither smooth nor lie in the function spaces considered for QMC error analysis. We show that under some weak geometric condition on the twostage model all terms of their ANOVA decomposition, except the one of highest order, are continuously differentiable and that first and second order ANOVA terms have mixed first order partial derivatives. Hence, randomly shifted lattice rules (SLR) may achieve the optimal rate of convergence not depending on the dimension if the effective superposition dimension is at most two. We discuss effective dimensions and dimension reduction for twostage integrands. The geometric condition is shown to be satisfied almost everywhere if the underlying probability distribution is normal and principal component analysis (PCA) is used for transforming the covariance matrix. Numerical experiments for a large scale twostage stochastic production planning model with normal demand show that indeed convergence rates close to the optimal are achieved when using SLR and randomly scrambled Sobol' point sets accompanied with PCA for dimension reduction. 
C. Gotzes, H. Heitsch, R. Henrion, R. Schultz, On the quantification of nomination feasibility in stationary gas networks with random load, Mathematical Methods of Operations Research, 84 (2016) pp. 427457.
Abstract
The paper considers the computation of the probability of feasible load constellations in a stationary gas network with uncertain demand. More precisely, a network with a single entry and several exits with uncertain loads is studied. Feasibility of a load constellation is understood in the sense of an existing flow meeting these loads along with given pressure bounds in the pipes. In a first step, feasibility of deterministic exit loads is characterized algebraically and these general conditions are specified to networks involving at most one cycle. This prerequisite is essential for determining probabilities in a stochastic setting when exit loads are assumed to follow some (joint) Gaussian distribution when modeling uncertain customer demand. The key of our approach is the application of the sphericradial decomposition of Gaussian random vectors coupled with Quasi MonteCarlo sampling. This approach requires an efficient algorithmic treatment of the mentioned algebraic relations moreover depending on a scalar parameter. Numerical results are illustrated for different network examples and demonstrate a clear superiority in terms of precision over simple generic MonteCarlo sampling. They lead to fairly accurate probability values even for moderate sample size. 
M. Hintermüller, Th. Surowiec, A bundlefree implicit programming approach for a class of elliptic MPECs in function space, Mathematical Programming Series A, 160 (2016) pp. 271305.

I. Bremer, R. Henrion, A. Möller, Probabilistic constraints via SQP solver: Application to a renewable energy management problem, Computational Management Science, 12 (2015) pp. 435459.
Abstract
The aim of this paper is to illustrate the efficient solution of nonlinear optimization problems with joint probabilistic constraints by means of an SQP method. Here, the random vector is assumed to obey some multivariate Gaussian distribution. The numerical solution approach is applied to a renewable energy management problem. We consider a coupled system of hydro and wind power production used in order to satisfy some local demand of energy and to sell/buy excessive or missing energy on a dayahead and intraday market, respectively. A short term planning horizon of 2 days is considered and only wind power is assumed to be random. In the first part of the paper, we develop an appropriate optimization problem involving a probabilistic constraint reflecting demand satisfaction. Major attention will be payed to formulate this probabilistic constraint not directly in terms of random wind energy produced but rather in terms of random wind speed, in order to benefit from a large data base for identifying an appropriate distribution of the random parameter. The second part presents some details on integrating Genz' code for Gaussian probabilities of rectangles into the environment of the SQP solver SNOPT. The procedure is validated by means of a simplified optimization problem which by its convex structure allows to estimate the gap between the numerical and theoretical optimal values, respectively. In the last part, numerical results are presented and discussed for the original (nonconvex) optimization problem. 
A. Fügenschuh, B. Geissler, Ch. Hayn, R. Henrion, B. Hiller, J. Humpola, Th. Koch ET AL., Mathematical optimization for challenging network planning problems in unbundled liberalized gas markets, Energy Systems, 5 (2014) pp. 449473.

W. VAN Ackooij, R. Zorgati, R. Henrion, A. Möller, Joint chance constrained programming for hydro reservoir management, Optimization and Engineering. International Multidisciplinary Journal to Promote Optimization Theory & Applications in Engineering Sciences, 15 (2014) pp. 509531.

L. Andrieu, R. Henrion, W. Römisch, A model for dynamic chance constraints in hydro power reservoir management, European Journal of Operational Research, 207 (2010) pp. 579589.

W. VAN Ackooij, R. Henrion, A. Möller, R. Zorgati, On probabilistic constraints induced by rectangular sets and multivariate normal distributions, Mathematical Methods of Operations Research, 71 (2010) pp. 535549.

R. Henrion, W. Römisch, On Mstationary points for a stochastic equilibrium problem under equilibrium constraints in electricity spot market modeling, Applications of Mathematics, 522 (2007) pp. 473494.
Abstract
Modeling several competitive leaders and followers acting in an electricity market leads to coupled systems of mathematical programs with equilibrium constraints, called equilibrium problems with equilibrium constraints (EPECs). We consider a simplified model for competition in electricity markets under uncertainty of demand in an electricity network as a (stochastic) multileaderfollower game. First order necessary conditions are developed for the corresponding stochastic EPEC based on a result of Outrata [17]. For applying the general result an explicit representation of the coderivative of the normal cone mapping to a polyhedron is derived (Proposition 3.2). Later the coderivative formula is used for verifying constraint qualifications and for identifying Mstationary solutions of the stochastic EPEC if the demand is represented by a finite number of scenarios.
Contributions to Collected Editions

TH. Arnold, R. Henrion, M. Grötschel, W. Römisch ET AL., B4  A Jack of all trades? Solving stochastic mixedinteger nonlinear constraint programs, in: MATHEON  Mathematics for Key Technologies, M. Grötschel, D. Hömberg, J. Sprekels, V. Mehrmann ET AL., eds., 1 of EMS Series in Industrial and Applied Mathematics, European Mathematical Society Publishing House, Zurich, 2014, pp. 135146.

H. Heitsch, R. Henrion, Ch. Küchler, W. Römisch, Generierung von Szenariobäumen und Szenarioreduktion für stochastische Optimierungsprobleme in der Energiewirtschaft, in: Dezentrale regenerative Energieversorgung: Innovative Modellierung und Optimierung, R. Schultz, H.J. Wagner, eds., LIT Verlag, Münster, 2009, pp. 227254.
Preprints, Reports, Technical Reports

T. González Grandón, H. Heitsch, R. Henrion, A joint model of probabilistic/robust constraints for gas transport management in stationary networks, Preprint no. 2401, WIAS, Berlin, 2017, DOI 10.20347/WIAS.PREPRINT.2401 .
Abstract, PDF (316 kByte)
We present a novel mathematical algorithm to assist gas network operators in managing uncertainty, while increasing reliability of transmission and supply. As a result, we solve an optimization problem with a joint probabilistic constraint over an infinite system of random inequalities. Such models arise in the presence of uncertain parameters having partially stochastic and partially nonstochastic character. The application that drives this new approach is a stationary network with uncertain demand (which are stochastic due to the possibility of fitting statistical distributions based on historical measurements) and with uncertain roughness coefficients in the pipes (which are uncertain but nonstochastic due to a lack of attainable measurements). We study the sensitivity of local uncertainties in the roughness coefficients and their impact on a highly reliable network operation. In particular, we are going to answer the question, what is the maximum uncertainty that is allowed (shaping a 'maximal' uncertainty set) around nominal roughness coefficients, such that random demands in a stationary gas network can be satisfied at given high probability level for no matter which realization of true roughness coefficients within the uncertainty set. One ends up with a constraint, which is probabilistic with respect to the load of gas and robust with respect to the roughness coefficients. We demonstrate how such constraints can be dealt with in the framework of the socalled sphericradial decomposition of multivariate Gaussian distributions. The numerical solution of a corresponding optimization problem is illustrated. The results might assist the network operator with the implementation of costintensive roughness measurements. 
M. Eigel, J. Neumann, R. Schneider, S. Wolf, Stochastic topology optimisation with hierarchical tensor reconstruction, Preprint no. 2362, WIAS, Berlin, 2016, DOI 10.20347/WIAS.PREPRINT.2362 .
Abstract, PDF (8552 kByte)
A novel approach for riskaverse structural topology optimization under uncertainties is presented which takes into account random material properties and random forces. For the distribution of material, a phase field approach is employed which allows for arbitrary topological changes during optimization. The state equation is assumed to be a highdimensional PDE parametrized in a (finite) set of random variables. For the examined case, linearized elasticity with a parametric elasticity tensor is used. Instead of an optimization with respect to the expectation of the involved random fields, for practical purposes it is important to design structures which are also robust in case of events that are not the most frequent. As a common riskaware measure, the Conditional Value at Risk (CVaR) is used in the cost functional during the minimization procedure. Since the treatment of such highdimensional problems is a numerically challenging task, a representation in the modern hierarchical tensor train format is proposed. In order to obtain this highly efficient representation of the solution of the random state equation, a tensor completion algorithm is employed which only required the pointwise evaluation of solution realizations. The new method is illustrated with numerical examples and compared with a classical Monte Carlo sampling approach. 
M. Hintermüller, C.N. Rautenberg, M. Mohammadi, M. Kanitsar, Optimal sensor placement: A robust approach, Preprint no. 2287, WIAS, Berlin, 2016.
Abstract, PDF (4835 kByte)
We address the problem of optimally placing sensor networks for convectiondiffusion processes where the convective part is perturbed. The problem is formulated as an optimal control problem where the integral Riccati equation is a constraint and the design variables are sensor locations. The objective functional involves a term associated to the trace of the solution to the Riccati equation and a term given by a constrained optimization problem for the directional derivative of the previous quantity over a set of admissible perturbations. The paper addresses the existence of the derivative with respect to the convective part of the solution to the Riccati equation, the wellposedness of the optimization problem and finalizes with a range of numerical tests. 
H. Egger, Th. Kugler, N. Strogies, Parameter identification in a semilinear hyperbolic system, Preprint no. 2278, WIAS, Berlin, 2016.
Abstract, PDF (424 kByte)
We consider the identification of a nonlinear friction law in a onedimensional damped wave equation from additional boundary measurements. Wellposedness of the governing semilinear hyperbolic system is established via semigroup theory and contraction arguments. We then investigate the inverse problem of recovering the unknown nonlinear damping law from additional boundary measurements of the pressure drop along the pipe. This coefficient inverse problem is shown to be illposed and a variational regularization method is considered for its stable solution. We prove existence of minimizers for the Tikhonov functional and discuss the convergence of the regularized solutions under an approximate source condition. The meaning of this condition and some arguments for its validity are discussed in detail and numerical results are presented for illustration of the theoretical findings.
Talks, Poster

R. Henrion, On Mstationnary condition for a simple electricity spot market model, Workshop ``Variational Analysis and Applications for Modelling of Energy Exchange'', May 4  5, 2017, Université Perpignan, France, May 4, 2017.

H. Heitsch, Nonlinear probabilistic constraints in gas transportation problems, WIASPGMO Workshop on Nonsmooth and Stochastic Optimization with Applications to Energy Management, May 10  12, 2016, WIAS Berlin, Australia, May 11, 2016.

H. Heitsch, Optimization in gas transport networks using nonlinear probabilistic constraints, XIV International Conference on Stochastic Programming (ICSP 2016), Thematic Session: Probabilistic Constraints: Applications and Theory, June 25  July 1, 2016, Búzios, Brazil, June 28, 2016.

J. Neumann, The phase field approach for topology optimization under uncertainties, ZIB Computational Medicine and Numerical Mathematics Seminar, KonradZuseZentrum für Informationstechnik Berlin, August 25, 2016.

I. Bremer, Dealing with probabilistic constraints under multivariate normal distribution in a standard SQP solver by using Genz' method, WIASPGMO Workshop on Nonsmooth and Stochastic Optimization with Applications to Energy Management, May 10  12, 2016, WIAS Berlin, May 11, 2016.

R. Henrion, Formules du gradient pour des fonctions probabilistes Gaussiennes, Workshop on Offshore Wind Generation, September 9, 2016, Electricité de France R&D, Paris, France, September 9, 2016.

R. Henrion, Optimisation sous contraintes en probabilité, Séminaire du Groupe de Travail ``Modèles Stochastiques en Finance'', Ecole Nationale Supérieure des Techniques Avancées (ENSTA) ParisTech, Palaiseau, France, November 28, 2016.

R. Henrion, Robuststochastic optimization problems in stationary gas networks, Conference ``Mathematics of Gas Transport'', October 6  7, 2016, Zuse Institut Berlin, October 6, 2016.

M. Hintermüller, S. Hajian, N. Strogies, Subproject B02  Parameter id., sensor localization and quantification of uncertainties in switched PDE systems, Annual Meeting of the Collaborative Research Center/Transregio (TRR) 154 ``Mathematical Modeling, Simulation and Optimization Using the Example of Gas Networks'', Technische Universität Berlin, October 4  5, 2016.

M. Hintermüller, S. Hajian, N. Strogies, Subproject B02  Parameter id., sensor localization and quantification of uncertainties in switched PDE systems, Conference ``Mathematics of Gas Transport'', KonradZuseZentrum für Informationstechnik Berlin, October 6  7, 2016.

M. Hintermüller, Optimal control of multiphase fluids and droplets, The Fifth International Conference on Continuous Optimization, Session: ``Recent Developments in PDEconstrained Optimization I'', August 6  11, 2016, Tokyo, Japan, August 10, 2016.

M. Hintermüller, Recent trends in optimal control problems with nonsmooth structures, Computational Methods for Control of Infinitedimensional Systems, March 14  18, 2016, Institute for Mathematics and its Applications, Minneapolis, USA, March 14, 2016.

M. Hintermüller, Towards sharp stationarity conditions for classes of optimal control problems for variational inequalities of the second kind, International INdAM Conference ``Optimal Control for Evolutionary PDEs and Related Topics (OCERTO 2016)'', June 20  24, 2016, Cortona, Italy, June 20, 2016.

H. Heitsch, Optimization of booked capacity in gas transport networks using nonlinear probabilistic constraints, 2nd International Symposium on Mathematical Programming (ISMP 2015), Cluster ``Optimization in Energy Systems'', July 13  17, 2015, Pittsburgh, USA, July 17, 2015.

R. Henrion, (Sub)Gradient formulae for probability functions with applications to power management, Universidad de Chile, Centro de Modelamiento Matemático, Santiago de Chile, Chile, November 25, 2015.

R. Henrion, Application of chance constraints in a coupled model of hydrowind energy production, Charles University in Prague, Faculty of Mathematics and Physics, Czech Republic, March 6, 2014.

R. Henrion, Application of probabilistic constraints to problems of energy management under uncertainty, Eidgenössische Technische Hochschule Zürich, Power Systems Laboratory, Switzerland, September 30, 2014.

R. Henrion, Nonlinear programming for solving chance constrained optimization problems: Application to renewable energies, Winter School on Stochastic Programming with Applications in Energy, Finance and Insurance, March 23  28, 2014, Bad Hofgastein, Austria, March 25, 2014.

R. Henrion, Probabilistic constraints in hydro reservoir management, XIII Symposium of Specialists in Electric Operational and Expansion Planning (SEPOPE), May 18  21, 2014, Foz do Iguassu, Brazil, May 19, 2014.

R. Henrion, Probabilistic constraints via nonlinear programming: Application to energy management problems, Euro Mini Conference on Stochastic Programming and Energy Applications (EuroCSP2014), September 24  26, 2014, Institut Henri Poincaré, Paris, France, September 25, 2014.

A. Möller, Probabilistic programming in hydro power management, International Conference Operations Research ``Mastering Complexity'', September 1  3, 2010, München, September 1, 2010.

R. Henrion, A model for dynamic chance constraints in water reservoir management, 23rd European Conference on Operational Research (EURO23), July 6  8, 2009, Bonn, July 7, 2009.

R. Henrion, Characterization of Mstationary points for an equilibrium problem in an electricity spot market model, 16th International Conference on Mathematical Methods in Economics and Industry, June 15  18, 2009, České Budějovice, Czech Republic, June 17, 2009.

R. Henrion, On stationarity conditions for an equilibrium problem with equilibrium constraints from an electricity spot market model, 23rd European Conference on Operational Research (EURO23), July 6  8, 2009, Bonn, July 7, 2009.

R. Henrion, On a dynamical model for chance constrained programming, Conference on Optimization & Practices in Industry (COPI08), November 26  28, 2008, Clamart, France, November 28, 2008.

R. Henrion, Contraintes en probabilité: synthèse bibliographique et approche à la situation dynamique, Electricité de France R&D, Clamart, France, November 28, 2007.
Contact
Contributing Groups of WIAS
Projects/Grants
 Optimization under uncertainty for unit commitment problems
 SE7: Optimizing strategies in energy and storage markets