John R. Birge

Professor and Chair
Department of Industrial and Operations Engineering
University of Michigan

Chair, Financial Engineering Program
1205 Beal Ave
Ann Arbor, Michigan 48109-2117
USA
Tel: 1(734) 764-9422
Fax: 1(734) 764-3451
Email: jrbirge@umich.edu

Office Hours

Office: 1877A IOE Building, Winter 99: MW 10:30-12:00

By appointment: Secretary: Gwen Brown (gjbrown@umich.edu), 763-1332

Teaching

Winter 1999

IOE 452 - Capital Budgeting and Financial Engineering

Fall 1998

IOE 201 and IOE 202

Winter 1998

IOE 843 - Seminar in Operations Research

Other Classes Taught:

• IOE 310 - Introduction to Optimization
• IOE 510/Math 561/SMS 518 - Linear Programming
• IOE 610 - Linear Programming II
• IOE 611 - Nonlinear Programming

Research

My research centers on models and methods for decision making under uncertainty. The main methodology area is stochastic programming. Recent projects and papers are listed below under broad categories of computation, applications, and theory. You can find general mathematical programming information at Harvey Greenberg's mathematical programming glossary.

Computation

• Stochastic Programming (general information plus links to test problems, computational papers)
• Intelligent Unified Control of Unit Commitment and Generation Allocation
• Nonlinear Decomposition (paper in html)
• Current Trends in Stochastic Programming Computation (paper in postscript with figure in html/gif here)

Current Applications

• Power Systems - Unit Commitment
• Finance - Option Evaluation
• Finance - Asset/Liability Management
• Transportation - Vehicle Allocation
• Transportation - Airline Crew Scheduling
• Public Policy - Global CO2 Modeling
• Manufacturing - Scheduling
• Manufacturing - Capacity Planning

Theory

• Approximation
• Analysis of Algorithms
• Nonsmooth Analysis
• Miscellaneous Prior Publications
• Text book: J.R. Birge and Francois Louveaux, Introduction to Stochastic Programming, Springer Verlag, New York, 1997.
• Directory of on-line preprints Last update: 31Dec98
• Recent talks
• Special for Traverse City Management Briefing Seminar Participants

This link gives the background and material for a simulated investment decision on global capacity and production with varying demand and foreign currency exchange scenarios.

Current Service

• Chair of Industrial and Operations Engineering and Financial Engineering Program
• Society/Journal
• Editor-in-Chief, Mathematical Programming, Series B
• Associate Editor:
• Mathematical Programming, Series A
• SIAM J. Optimization
• Computational Optimization and Applications
• American Journal of the Mathematical and Management Sciences
• International Journal of Operations Management
• President-Elect, Institute for Operations Research and Management Science (INFORMS)
• Committee on Stochastic Programming, Mathematical Programming Society, Secretary.
• Association of Chairs of Operations Research Departments (ACORD)
• Council of Industrial Engineering Academic Department Heads (CIEADH)

More info:

C.V. in pdf format.