Dr. Holger Heitsch   Diplom-Mathematiker   Weierstrass Institute   for Applied Analysis and Stochastics    Mailing Address   Weierstrass Institute   Mohrenstr. 39   10117 Berlin   Germany    Office   Mohrenstr. 39   10117 Berlin   Room 411    Contact   e-mail   phone heitsch@wias-berlin.de +49 30 20372-462 (office) +49 30 20372-555 (secretary)

Research Group

• Nonlinear Optimization and Inverse Problems (under direction of Prof. Dr. Dietmar Hömberg)

Current work

• Research associate in the project: SFB Transregio 154 "Mathematische Modellierung, Simulation und Optimierung am Beispiel von Gasnetzwerken"

Publications

• N. Ouanes, T. González Grandón, H. Heitsch, R. Henrion: Optimizing the economic dispatch of weakly-connected mini-grids under uncertainty using joint chance constraints, Annals of Operations Research (2024).
  
• H. Heitsch, R. Henrion, C. Tischendorf: Probabilistic maximization of time-dependent capacities in a gas network, Optimization and Engineering (2024).
  
• M. Gugat, H. Heitsch, R. Henrion: A turnpike property for optimal control problems with probabilistic constraints, Journal of Convex Anaalysis, 30 (2023), 1025-1052.
  
• H. Berthold, H. Heitsch, R. Henrion, J. Schwientek: On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints, Mathematical Methods of Operations Research, 96 (2022), 1-37.
  
• H. Heitsch, R. Henrion, T. Kleinert and M. Schmidt: On convex lower-level black-box constraints in bilevel optimization with an application to gas market models with chance constraints, Journal of Global Optimization, 84 (2022), 651-685.
  
• H. Heitsch and R. Henrion: An enumerative formula for the spherical cap discrepancy, Journal of Computational and Applied Mathematics 390 (2021), 113409. (Software link: Matlab code)
  
• D. Adelhütte, D. Aßmann, T. González Grandón,  M. Gugat, H. Heitsch, R. Henrion, F. Liers, S. Nitsche, R. Schultz, M. Stingl and D. Wintergerst: Joint model of probabilistic-robust (probust) constraints with application to gas network optimization, Vietnam Journal of Mathematics 49 (2021), 1097-1130 (DOI 10.1007/s10013-020-00434-y).
• M.H. Farshbaf-Shaker, M. Gugat, H. Heitsch and R. Henrion: Optimal Neumann boundary control of a vibrating string with uncertain initial data and probabilistic terminal constraints, SIAM Journal on Control and Optimization 58 (2020), 2288-2311.
• H. Heitsch: On probabilistic capacity maximization in a stationary gas network, Optimization 69 (2020), 575-604 (DOI 10.1080/02331934.2019.1625353).
  
• L. Adam, M. Branda, H. Heitsch and R. Henrion: Solving joint chance constrained problems using regularization and Benders' decomposition, Annals of Operations Research 292 (2020),  683-709 (DOI 10.1007/s10479-018-3091-9).
• H. Heitsch and N. Strogies: Consequences of uncertain friction for the transport of natural gas through passive networks of pipelines, Topics in Applied Analysis and Optimisation (M. Hintermüller, J. F. Rodrigues eds.), CIM Series in Mathematical Sciences, Switzerland, 2019, 211-238.
• T. González Grandón, H. Heitsch and R. Henrion, A joint model of probabilistic/robust constraints for gas transport management in stationary networks, Computational Management Science 14 (2017) 443-460 (DOI 10.1007/s10287-017-0284-7).
  
• C. Gotzes, H. Heitsch, R. Henrion and R. Schultz, On the quantification of nomination feasibility in stationary gas networks with random load, Mathematical Methods of Operations Research 84 (2016) 427-457 (DOI 10.1007/s00186-016-0564-y).
  
• H. Heitsch, H. Leövey and W. Römisch: Are Quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?, Computational Optimization and Applications 65 (2016), 567--603 (DOI 10.1007/s10589-016-9843-z).
• H. Heitsch, R. Henrion, H. Leövey, R. Mirkov, A. Möller, W. Römisch and I. Wegner-Specht: Empirical observations and statistical analysis of gas demand data, Chapter 13 in Evaluating Gas Network Capacities (T. Koch, B. Hiller, M. E. Pfetsch and L. Schewe eds.), MOS-SIAM Series on Optimization, Philadelphia, 2015, 273--290.
• B. Hiller, C. Hayn, H. Heitsch, R. Henrion, H. Leövey, A. Möller and W. Römisch: Methods for verifying booked capacities, Chapter 14 in Evaluating Gas Network Capacities (T. Koch, B. Hiller, M. E. Pfetsch and L. Schewe eds.), MOS-SIAM Series on Optimization, Philadelphia, 2015, 291--315.
• H. Heitsch and W. Römisch: Scenario tree generation for multi-stage stochastic programs, in: Stochastic Optimization Methods in Finance and Energy (M.I. Bertocchi, G. Consigli, M.A.H. Dempster eds.), Springer, 2011, 313-342.
• H. Heitsch and W. Römisch: Stability and scenario trees for multistage stochastic programs, Stochastic Programming, The State of the Art, in Honor of G.B. Dantzig (G. Infanger ed.), Springer, New York 2010, 139-164.
• A. Eichhorn, H. Heitsch and W. Römisch: Stochastic optimization of electricity portfolios: Scenario tree modeling and risk management,  in Handbook of Power Systems, Vol. II  (S. Rebennack, P.M. Pardalos, M.V.F. Pereira,, N.A. Iliadis), Springer, 2010, 405-432.
• H. Heitsch: Szenariobaumapproximation für stochastische Optimierungsprobleme in der Energiewirtschaft, Optimierung in der Energiewirtschaft, VDI-Berichte 2080, VDI-Verlag, Düsseldorf 2009, 45-60.
• H. Heitsch, R. Henrion, C. Küchler und W. Römisch: Generierung von Szenariobäumen und Szenarioreduktion für stochastische Optimierungsprobleme in der Energiewirtschaft, in Innovative Modellierung und Optimierung von Energiesystemen (R. Schultz, H.-J. Wagner Hg.), LIT Verlag, Berlin 2009, 227-254.
• H. Heitsch and W. Römisch: Scenario tree reduction for multistage stochastic programs, Computational Management Science 6 (2009), 117-133.
• A. Eichhorn, H. Heitsch and W. Römisch: Scenario tree approximation and risk aversion strategies for stochastic optimization of electricity production and trading , in Optimization in the Energy Industry (J. Kallrath, P.M. Pardalos, S. Rebennack, M. Scheidt eds.), Springer Berlin, 2009, 321-346.
• H. Heitsch and W. Römisch: Scenario tree modeling for multistage stochastic programs, Mathematical Programming 118 (2009), 371-406.
• H. Heitsch and W. Römisch: A note on scenario reduction for two-stage stochastic programs, Operations Research Letters 35 (2007), 731-738 .
• H. Heitsch, W. Römisch and C. Strugarek: Stability of multistage stochastic programs, SIAM Journal on Optimization 17 (2006),  511-525.
• H. Heitsch: Modellierung multivariater Szenariobäume für die Optimierung von Eenergieportfolios, Optimierung in der Energiewirtschaft, VDI-Berichte 1908, VDI-Verlag, Düsseldorf 2005, 65-75.
• H. Heitsch and W. Römisch: Generation of multivariate scenario trees to model stochasticity in power management, IEEE St. Petersburg Power Tech 2005.
• H. Heitsch: Netzwerkfluss-Algorithmen für stochastische hydraulische Probleme in der Energiewirtschaft, Optimierung in der Energieversorgung, VDI-Berichte 1792, VDI-Verlag, Düsseldorf 2003, 187-199.
• N. Gröwe-Kuska, H. Heitsch and W. Römisch: Scenario Reduction and Scenario Tree Construction for Power Management Problems, IEEE Bologna Power Tech Proceedings (A. Borghetti, C.A. Nucci, M. Paolone eds.), 2003.
• H. Heitsch and W. Römisch: Hydro-Storage Subproblems in Power Generation: An Approach with a Relaxation Method for Network Flow Problems, IEEE Bologna Power Tech Proceedings (A. Borghetti, C.A. Nucci, M. Paolone eds.), 2003.
• H. Heitsch and W. Römisch: Scenario Reduction Algorithms in Stochastic Programming, Computational Optimization and Applications 24 (2003), 187-206.
• N. Gröwe-Kuska, H. Heitsch und W. Römisch: SCENRED - Optimale Reduktion von Datenszenarien. Paper presented at: IT-Lösungen für die Energiewirtschaft in liberalisierten Märkten (VDI-GET Conference), 2002.
• N. Gröwe-Kuska, H. Heitsch und W. Römisch: Modellierung stochastischer Datenprozesse für Optimierungsmodelle der Energiewirtschaft, IT-Lösungen für die Energiewirtschaft in liberalisierten Märkten, VDI-Berichte 1647, VDI-Verlag, Düsseldorf 2001, 69-78.
• H. Heitsch: Reduktion von Szenariobäumen in der stochastischen Optimierung, Diplomarbeit, Institut für Mathematik, Humboldt-Universität Berlin, 2001.

Thesis