Funding

Scientific activities are supported by CORE's participation in several research projects and contracts. These projects are mainly supported by UCLouvain, several Belgian public institutions as well as private and public partners.  CORE also hosted research chairs who provide financial and other support for junior and senior researchers, as well as for teaching, training and outreach activities.

 

 

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Application of High Performance Computing in the Short-term scheduling of Electric Power Systems under Uncertainty (October 2013-February 2018)

The purpose of this project is to develop parallel algorithms for the short-term scheduling of electric power systems under uncertainty caused by the large-scale integration of renewable energy sources and demand response. This project responds to an increasing need for the improvement of day-ahead and real-time power systems scheduling and market clearing by leveraging parallel computation.
Anthony Papavasiliou (CORE, UCLouvain) is the promoter of this project.

Conic Martingales and Credit Risk Modeling (October 2017-November 2019)

Most often, credit risk is handled by modeling default time as first jump of Lévy processes governed by positive stochastic intensity processes. This specific setup corresponds to the standard Cox framework. However, the Doob-Meyer decomposition of the Azéma supermartingale - which ultimately needs to be modeled in the intensity approach - reveals that Cox setup is just one particular case. This is a sound motivation for investigating alternative classes of default models as conic martingales modelling.
Frédéric Vrins (CORE and LFIN, UCLouvain) is the promoter of this FSR project co-financed by the National Bank of Belgium.

Greed, Majorization and Lattices of Unrooted Binary Trees (October 2017-September 2019)

We aim to extend Stott-Parker and Ram's results on greed, majorization and Huffman coding to phylogenetics. Specifically, we want to show that the space of all unrooted binary trees (or phylogenies) for a finite set of taxa defines a lattice, which orders phylogenies by their imbalance. By representing phylogenies as path-length sequence collections, we wish to prove that the imbalance ordering is closely related to a majorization ordering on real-valued sequences, which in turn induces a majorization lattice over which a number of functions of path-length sequences of phylogenies (including, among others, versions of the objectives of the Huffman Coding Problem and of the Balanced Minimum Evolution Problem) may be submodular and monotone. In this way, by appropriately combining these properties with the presence (or absence) of an isomorphism between the two lattices, we will be able to either justify the polynomial-time solvability of specific optimization problems over phylogenies or reveal structural characteristics at the core of their NP-hardness.
Daniele Catanzaro (CORE, UCLouvain) is the promoter of this project.

The Economics of Zero-rating and Net Neutrality (October 2017-September 2018)

The purpose of this project is twofold. Firstly, it aims to investigate in-depth the trade-offs surrounding the business practice of zero-rating and their effect on consumer surplus and social welfare. The mobile internet market is a two-sided market, therefore endogenizing the monthly subscription fees end user pay has important consequences for the market outcome and social welfare. Secondly, the project aims to contrast and compare zero-rating and paid prioritization. Both commercial practices violate the principle of net neutrality: he former is a form of financial discrimination, whereas the latter is discrimination in quality. They have a different impact both on consumer welfare and internet service providers' incentives to invest in infrastructure, which has potentially important policy implications.

Paul Belleflamme (CORE, UCLouvain) is the promoter of this project.

Incentive for Advancing to Step 2 of the ERC Starting Grant (September 2017-October 2019)

The project is concerned with the analysis of flow-based market coupling, which is a market design for allocating scarce transmission capacity which was recently adopted in the Central Western European electricity market. The work focuses on comparing flow-based market coupling (FBMC) to a nodal electricity market design by using a novel methodology to characterize the best-case performance of FBMC which relies on an implicit characterization of the flow-based region, and which does not depend on arbitrary parameter settings that are typically chosen by transmission system operators in a non-transparent fashion. This opens up the path for an extensive policy analysis of FMBC and the possible gains of transitioning directly to nodal pricing in the European market coupling design.

This incentive (FSR-ERC grant) is awarded to Anthony Papavasiliou (CORE, UCLouvain).

Coalescens: Digital Technology Serving Humanity Coalescens (October 2017-September 2018)

Determining the sequence of genetic events that controls intra-cellular heterogeneity could significantly improve the understanding of tumor progression, suggest new prevention methods and stimulate the development of novel and more effective treatments. The project COALESCENS constitutes the first stage of an ambitious long-term multidisciplinary research program that aims to address this major challenge.

COALESCENS arises from the convergence of computer science, combinatorial optimization, algebraic combinatorics, phylogenetics of cancer, and is based on a pilot study aiming to investigate the combined use of integer programming and next generation sequencing techniques to predict tumor progression in a patient. Preliminary experiments carried out on a patient cohort affected by invasive ductal carcinoma of the breast have yielded encouraging results, by revealing the existence of both common and unknown sequences of genetic changes characterized by specific evolutionary traits. COALESCENS aims to significantly extend and deepen these preliminary results, by (i) characterizing the sequence of genetic events controlling progression of a specific tumor in a patient and (ii) classifying these sequences across large patient cohorts. COALESCENS will provide new insights into tumor progression and will pave the way for the development of new diagnostic tools that will be of fundamental assistance in clinical decision-making.

Daniele Catanzaro (CORE, UCLouvain) is the promoter of this project.

Color Power (October 2015-September 2021)

Although a substantial amount of demand response resides in the residential sector, the mobilization of residential demand response has fallen short of expectations. The participation of residential flexibility in wholesale electricity markets can have a disruptive impact on the industry. Inspired by our collaboration with MIT start-up Zome, we analyze the long-run impact of residential demand response on the profitability of various technologies through long-run equilibrium models of electricity markets.

This project is financed by Electrabel and coordinated by Philippe Chevalier (CORE, UCLouvain) and Anthony Papavasiliou (CORE, UCLouvain)

Kronos Group Chair in Strategic Sourcing and Procurement (September 2017-September 2020)

The Kronos Group Chair "Strategic Sourcing and Procurement" is the fruit of a collaboration between Kronos Group and
Louvain School of Management of the UCLouvain. The objective of the Chair is to promote research and education in the sourcing and procurement domain, contributing to fostering the profession to continue its transformation into a value creating and strategic profession. The Chair is unique for Belgium and also launching a unique Master’s level specialization in sourcing and procurement in Belgium, integrated in Louvain School of Management. The research in the Chair aims at empirical, economic and strategic studies of procurement under transformation, in particular the innovative, ethical and environmental dimensions of the area.

Per Agrell (CORE, UCLouvain), Constantin Blome (CORE, UCLouvain) and Philippe Chevalier (CORE, UCLouvain) coordinate this project sponsored by the Kronos Group, Belgium.

Modeling Flexibility at Sub-hourly Time Scales (February 2016-October 2020)

The large-scale integration of renewable energy sources is creating increasing needs for flexibility. The optimal dispatch of conventional resources at a sub-hourly time scale in order to prevent binding ramping constraints is increasing the challenges of short-term operations. This project aims at developing optimization models and algorithms that can support the optimal utilization of generator flexibility in short-term operations.

This project is financed by Electrabel and coordinated by Anthony Papavasiliou (CORE, UCLouvain).

Using Analytics and Optimization to Enable Africa to Leapfrog to Energy (April 2018-December 2020)

Africa has recently set ambitious renewable energy integration targets, best exemplified through the adoption of the African Renewable Energy Initiative (AREI) as well as by the large number of renewable infrastructure projects that are underway. The goals of this project are :

  • To develop tools for optimizing the use of electricity in existing electric power systems, in particular optimally managing utility-scale  storage in a system dominated by solar production;
  • To develop tools for planning for future renewable systems, in particular randomized algorithms for obtaining optimal transmission expansion plans subject to net load and component outage uncertainty with probabilistic guarantees of optimality;
  • Operating future distributed energy systems which rely less on centralized fossil fuel resources and more on decentralized renewable resources.

This project is sponsored by the Fonds de Recherche Pierre et Colette Bauchau and coordinated by Anthony Papavasiliou (CORE, UCLouvain).

High Order Expansions in Estimation and Testing Models with Conditional Hetroscedasticity (September 2016-May 2019)

"MOVE-IN Louvain" Incoming post-doc Fellowships is a transnational fellowship programme developed by UCLouvain in partnership with UNamur and Université Saint-Louis with the support of the European Commission (Marie Curie actions).

Dimitra Kyriakopoulou (CORE, UCLouvain) is one of the laureate of the programme. She works under the supervision of Christian Hafner (ISBA and CORE, UCLouvain). Her research targets at:

  • Extending the current literature of conditional heteroskedastic models, in particular so-called GARCH models (generalized autoregressive conditional heteroscedasticity), for a type of extension with in-mean specification, where the "in-mean" term can be interpreted as a risk-premium such as in the so-called capital asset pricing model (CAPM).
  • Addressing the issue of skewness of returns in conditionally heteroskedastic models with positive risk premium.
  • Developing analytical higher order asymptotics of the Edgeworth type that allow for more accurate estimation of the distribution of test statistics in GARCH-type models.
  • Extending the study of conditional heteroskedastic models to the nonstationary case.

Accelerated Convex Optimization (ACCOPT) (September 2018-August 2023)

The amazing rate of progress in the computer technologies and telecommunications presents many new challenges for Optimization Theory. New problems are usually very big in size, very special in structure and possibly have a distributed data support. This makes them unsolvable by the standard optimization methods. In these situations, old theoretical models, based on the hidden Black-Box information, cannot work. New theoretical and algorithic solutions are urgently needed. In this project we will concentrate on development of fast optimization methods for problems of big and very big size. All the new methods will be endowed with provable efficiency guarantees for large classes of optimization problems, arising in practical applications. Our main tool is the acceleration technique developed for the standard Black-Box methods as applied to smooth convex funcitons. However, we weill have to adapt it to deal with different situations.
The first line of development will be based on the smoothing technique as applied to a non-smooth function. We propose to substantially extend this approach to generate approximate solutions in relative scale. The second line of research will be related to applying acceleration techniques to the second-order methods minimizing function with sparse Hessians. Finally, we aim to develop fast gradient methods for huge-scale problems. The size of these problems is so big that even the usual vector operaitons are extremely expensive. Thus, we propose to doeovelop new mehtods with sublinear iteration costs. In our approach, the main source for achieving improvements will be the proper use of problem structure.
Our overal aim is to be able to solve in a routine way many important problems, which currently look unsolvable. Moreover, the theoretical development of Convex Optimization will reach the state, when there is no gap between results.

Yurii Nesterov is the promoter of this project.

Social Networks and Travel Behavior (January 2013-December 2017)

This COST action aims to initiate a new collaboration framework for various EU research groups that develop a new transport paradigm based upon ICT social networks and their subsequent travel behavior in the urban environment.  The goals are to explore ways in which social activities become mobilized in space, identify how social ties affect the integration of local public transport into urban patterns, and develop a rigorous conceptual framework for new ideas and methodologies. This work will be achieved by creating a joint discussions platform that includes seminars, thematic working groups, discussion sessions, workshops and published scientific results.
This project is financed by the Framework Programme Horizon 2020 under a COST Action. Pnina Plaut (Technion -  Israel Institute of Technology, Haifa, Israël) is the promoter. 

Isabelle Thomas (CORE, UCLouvain) is a project partner.

Expectations and Social Influence Dynamics in Economics (ExSIDE) (January 2017-December 2020)

The Innovative Training Network ExSIDE combines an interdisciplinary research agenda with an an innovative European joint doctoral training program, which provides doctoral fellows with a broad range of expertise and skills needed for a thorough analysis of expectation formation processes and their role in economics. Both the research projects and the training activities combine work in behavioral economics, psychoanalysis, opinion formation, network theory, agent-based simulation and economic modelling in different areas. The academic training will be complemented by extensive transferable skills training measures, intersectoral training measures, provided by non-academic partners, and career development training. Interaction with stakeholders, policy makers and the general public will play an important role in pursuing the ExSIDE agenda and disseminating the results. The ExSIDE consortium consists of eight leading European universities and nine non-academic partners.

Vincent Vannetelbosch (CORE, UCLouvain) coordinates the program at UCLouvain.

Dynamic Modelling of Recovery Rates with Application to the Risk Management of Financial Products (January 2018-December 2018)

Being extremely simple (straight bonds) or very complex (credit default swaps) the value of derivatives products all depend on a same factor: recovery rate. The later represent the ratio of the invested amount to the face value that will be recovered by the investor in case of default of the underlying reference entity. It is obvious to see that the closer this rate is from 100%, the lower should be the risk premium. Nowadays, the modeling of this factor is performed in an admittedly naïve way: it is essentially considered as a constant, which value needs to be determined. Our goal in this project is to propose a more meaningful approach, accounting for dependency with other risk factors. Several empirical analyses have been performed so far, but none of them had the ambition to understand its impact on derivatives products. This is precisely the scope of this project. It is handled in cooperation with Paris I Panthéon-Sorbonne and the Université d’Evry (Paris).

Frédéric Vrins (CORE and LFIN, UCLouvain) is the promotor of this project cofunded by Wallonie-Bruxelles International and the Ministry of Europe and Foreign Affaires In France.

Huge-Scale Sparse Optimization: Theory, Algorithms and Applications (November 2014-August 2018)

Experiments and observations in many areas of science and engineering are currently generating terabytes of data. Inanother perspective, as the increasingly huge amounts of information are typically dispersed in space and time, the Big Data paradigm is inherently linked to network paradigm (a network system consists of multiple interacting subsystems, connected through a network which enables the subsystems to coordinate their activities; e.g. power grids). Learning from these large volumes of data is expected to bring significant science and engineering advances along with improvements in quality of life. However, the efficient exploitation of big data demands the development of efficient computational methods. Classical first/second order optimization algorithms are not designed to scale at instances of huge sizes. As a consequence, new mathematical programming tools and methods are required to solve efficiently these big data problems. The goal of this project is to develop new and efficient tools and optimization algorithms with low per-iteration cost and good scalability properties for solving Big Data optimization problems. The project brings together researchers with expertise in optimization capable of dealing with the big data network setting.

François Glineur (CORE, UCLouvain) and Ion Necoara;(Politechnica University of Bucharest) are the investigators of this project initiated by the Romanian Academy of Sciences and funded by the World Bank Institute in Romania.

Networks, Innovations, Culture, Employment and Growth (January 2016-December 2018)

It is well known that social structures, the position of individuals in these structures and social segregation determine the success of individuals, groups and societies as a whole. We will formally introduce social structures in the economic analysis in order to determine whether part of the difference in wages between men and women or between different socio-economic groups can be explained by their position in social structures and social segregation, and will also analyze their implications for professional success.

The project is financed by the Spanish Ministry of Economy and Competition. Ana Mauleon (Université Saint-Louis, Bruxelles and CORE, UCLouvain) and Vincent Vannetelbosch (CORE, UCLouvain) are external investigators of this project coordinated by Javier Gardeazabal and Maria Paz Espinosa (Universidad Del País Vasco, Bilbao, Spain).

 

PAI Projects

Combinatorial Optimization: Metaheuristics and Exact Methods (COMEX) (January 2013-December 2017)

The main objectives of this project are to:

  • Bring together the available Belgian expertise on combinatorial optimization problems, exploit synergies between the partner research groups, and create a network with a sufficient mass to attract young and experienced top-level scientists in Belgium, and further financing for research in the field;
  • Train young researchers in the field of combinatorial optimization, as these profiles are in high demand, both in academic research centers worldwide and in private organizations;
  • Develop new models, algorithmic techniques and implementations for complex, large-scale combinatorial optimization problems;
  • Develop new international collaborations with other large teams working in the field of combinatorial optimization. An active and recognized Belgian network would facilitate international collaborations, in particular in the framework of large-scale international projects.

This project is coordinated by Bernard Fortz (Université libre de Bruxelles) and Mathieu Van Vyve (CORE, UCLouvain).
 

BRAIN Projects

Application of high Performance Computing in the Short-term Scheduling Integrated Economic Modeling of Material Flows (December 2014-September 2019)

The IECOMAT project develops complementary numerical and analytical tools designed to study a particular aspect of sustainable material management, the circular economy. The models to be employed and to be developed range from input-output models over partial, computable and general equilibrium models as well as analytical industrial organisation models of economic incentives. The project will deliver different modeling frameworks, scenario analyses, a wide variety of policy analyses and ultimately an assessment of the potential of a more circular economy model for Belgium.
The IECOMAT project brings together a multidisciplinary team of experienced scientists from material and environmental engineering, environmental economics, industrial organisation and stakeholder consultation practice. This multidisciplinary team from a leading Flemish research institute on sustainable material management (VITO) and two research universities (KU Leuven and UCLouvain) interact intensively. This leads to an interdisciplinary analysis of key scenarios for the Belgian economy. Some specific areas of expertis are subcontracted to national and international specialists in their domain. In all approaches, three fundamental perspectives are included: physical material flows, environmental effects and socio-economic impacts, and business incentives. Therefore, the IECOMAT project is about integrated assessment models for the transition towards a circular economy. In order to strengthen a transdisciplinary dimension, the input of policy makers, practitioners and business stakeholders is actively sought.

Johan Eyckmans and Sandra Rousseau (KU Leuven) are the promoters of this project coordinated at CORE  by Paul Belleflamme and Thierry Bréchet.

Impact of Green/Blue Spaces on Specific Morbidity and Cause-Specific Mortality in Belgium (GRESP-HEALTH) (July 2015-June 2018)

Living in green/blue areas is associated with better health. This may be due to low air and/or noise pollution, opportunities for physical activity, facilitation of social contacts, and promotion of recovery from fatigue and stress. Yet, socio-economic (SE) factors also explain inequalities in health and access to green/blue spaces. The GRESP-HEALTH project evaluates the associations between living in/close to a green/blue area on morbidity and mortality in Belgium. It assesses all-cause and cause-specific mortality, specific morbidities and perceived health, considering environmental pollutants and SE factors.
The project includes individuals registered in the Belgian censuses of 1991 and/or 2001. Three levels of observation are studied: Individual, statistical sector (SS) and group of SS, following individual and ecological designs. Mortality information is based on the National Mortality Database (a linkage between cause-specific mortality (2001-2010), perceived health (2001 census) and SE factors (1991 and 2001 censuses)). Morbidity information (2004-2012) is derived from the IMA (Intermutualitisch Agentschap) database, which contains reimbursement data of prescriptions. For green/blue spaces, the surface, shape, accessibility and type are calculated for each SS. Residential area-specific exposure to air pollutants is obtained from satellite images. Traffic noise databases are used whenever possible. We will consider SE factors such as material deprivation, education, and occupation. The analyses will be conducted separately in different age specific populations and types of area (urban, sub-urban, rural). We will use multilevel models for clustered data within geographical areas. Interactions of green/blue spaces with air pollution and SE factors will be evaluated and stratified analyses in areas with similar SE and environmental characteristics will be performed. Moreover, specific population groups (gender, employment status) will be considered. The GRESP-HEALTH project will improve the scientific knowledge about the hitherto uncertain associations between living close to green/blue spaces and health.

Benoit Nemery (KU Leuven) is the coordinator of this project. The other promoters are Isabelle Thomas (CORE, UCLouvain), Tim Nawrot (Universiteit Hasselt), Catherine Bouland (Univeirsité libre de Bruxelles), Patrick Deboosere (Vrije Universiteit Brussels) and An Van Nieuwenehuyse (Institut de Santé Publique, Bruxelles).

Measuring EQuivalent INcomes: The Implementation of Individual Well-being Measures from Belgian Data (MEQIN) (October 2013-December 2018)

This project is dedicated to the production, the analysis and the diffusion of a socio-economic database of Belgian households; the database ins constructed in such a way that individual well-being levels can be measured according to several concepts of well-being, with a particular focus on equivalent income.

Béa Cantillon (Universiteit Antwerpen), Bram De Rock (Université libre de Bruxelles), François Maniquet (CORE, UCLouvain) and Erik Schokkaert (KU Leuven and CORE) are the promoters of this project.

Nature Impact on Mental health Distribution (NAMED) (October 2017-April 2021)

Named aims:

  1. To develop indicators for the characterization of the built/non-built environment in function of the size, shape, fragmentation, accessibility of built/non-built environment and considering air and noise pollution (quantitative approach);
  2. To investigate the relationships between mental health and the built/non-built environment, taking into account demographic, socioeconomic factors and lifestyle (quantitative approach);
  3. To explore the role of potential intermediary variables (quantitative approach);
  4. To formulate hypotheses and knowledge gaps that are to be explored further (quantitative approach);
  5. To triangulate results, answer knowledge gaps from quantitative analyses through multiple case studies exploring citizens' perceptions, preferences regarding their living environment in relation to mental health (qualitative approach);
  6. To investigate citizens' awareness and opportunities from improvement (qualitative approach);
  7. To propose new questions and/or alternative data collection methods for improvement of future HIS (qualitative & quantitative approaches); and
  8. To formulate integrated urban, nature and health management and policy recommendations (qualitative & quantitative approaches).

Hans Keune (Universiteit Antwerpen) is the coordinator of this project. The other promoteurs are Hilde Bastiaens (Universiteit Antwerpen), Tim Nawrot (Universiteit Hasselt), Roy Remmen (Universiteit Antwerpen), Isabelle Thomas (CORE, UCLouvain) and An Van Nieuwenhuyse (Institut de Santé Publique, Bruxelles).

Aspirant


Mobilizing Flexible Demand in Electric Power Systems through Service Quality Differenciation (October 2017-October 2019)

The recent large-scale integration of renewable energies in electric power systems has resulted in various challenges in power system operations, due to the unpredictable, highly variable and non-controllable fluctuation of these resources. This has resulted in a growing demand for the incorporation of flexibility in the Central Western European electricity system in order to balance renewable supply. Although storage devices can act as a source of flexibility, their cost is prohibitive for offering a definitei solution to this problem. However, the only part of the electrical power system that is currently optimized is the high-voltage system. Consequently, there is a large amount of unused flexible resources connected to the low voltage system, coming from flexible residential and commercial demand, which can be exploited efficiently in order to break the current barriers that are bounding the growth of renewable energy integration. The project proposes a color-tagging system that enables consumers to set "traffic lights" on their residential plugs: (i) green color indicates cheap power that can be interrupted at all times; (ii) orange color, power that can be interrupted in emergency conditions; (iii) red color, power that cannot be interrupted. The goal of this project is, therefore, to develop a disruptive paradigm for mobilizing consumer flexibility in order to enable integration of renewable resources at a massive scale. The basic research question, which is pursued in this project, is to determine the amount of renewable resources that can be integrated in the system, given the existing level of consumer flexibility, without deteriorating consumers' quality of service. This research question is approached by developing a novel paradigm for offering electricity service to consumers, paradigm inspired by successful experience of the past decades with quality-of-service differentiation in fields such as telecommunications and information technologies.

Anthony Papavasiliou (CORE, UCLouvain) is the promoter of this project.

EOS Projects
Individual elfare Analysis Based on Behavioural Economics (January 2018-December 2021)

Economists evaluate social and economic policies based on their impact on the individual well-being of the members of society. Typically this measurement depends on the crucial assumption that individuals have well-behaved (i.e. transitive and complete) preferences. Motivated by the overwhelming empirical evidence from phychology and behavioural economics, we aim at developing the methodological tools for analysing individual welfare, while allowing for non well-behaved preferences (i.e. seemingly inconsistencies in the behaviour of agents). For doing this we will explore an intermediate approach that is in between the agnostic approach (i.e. robust conclusions without specific explanation for the inconsistencies) and the model approach (i.e. an analysis based on a specific model explaining non well-behaved preferences). For the empirical part, we will extensively use the new and largely unexplored MEqIN data set that was gathered by the PIs of this project. This data set allows to compare several methods for measuring well-being and contains detailed information on all the adults of the selected households. In the applications we will restrict our attention to four main dimensions of well-being: health, material well-being, employment status, and the family situation. In this respect we will also recontact the surveyed households to gather extra data related to our research questions and this will make the (publicly available) MEqIN data set even more attractive.

Bram de Rock (Université libre de Bruxelles) is the supervisor of the project. Johannes Johnen (CORE, UCLouvain) and François Maniquet (CORE, UCLouvain) are involved in the project at CORE.

Structural Low-rand Matrix/Tensor Approximation: Numerical Optimization-based Algorithms and Applications (SeLMA) (January 2018-December 2021)

Today's information society is centered on the collection of large amounts of data, from which countless applications aim at extracting information. They involve the manipulation of matrices and higher-order tensors, which can be viewed as large multi-ways arrays containing numerical data. Key to their successful and efficient processing is the proper exploitation of available structure, and in particular low rank. This project aims to contribute innovative structure-exploiting methods based on the paradigm of low-rank matrix/tensor approximation, with a strong mathematical and algorithmic emphasis, and to apply them to large-scale data analysis, information retrieval and modelling. In WP 1, which supports and facilitates progress in the other WPs, we develop robust and computationally efficient algorithms for optimal low-rank approximation w.r.t. a given criterion, including algorithms that estimate the rank when not specified by the user. In WP2 we use low-rank approaches to tackle the fundamental problem of computing matrix products as cheaply as possible and to perform advanced curve fitting. In WP2 we develop large-scale structure-exploiting algorithms for nonnegative matrix factorization, a powerful tool to extract information from data, and for large-scale pattern recognition, which is at the heart of machine learning. Finally in WP 4 we exploit low-rank structure in the design of globally optimal methods for system identification, model reduction and signal processing.

Ivan Markovsky (Vrije Universiteit Brussel) and Marc Van Barel (KU Leuven) are the administrative promotors of the project. Mariya Kamenova Ishteva (Vrije Universiteit Brussel), Lieven De Lathauwer (KU Leuven), Bart De Moor (KU Leuven), Panos Patrinos (KU Leuven), Pierre-Antoine Absil (INMA, UCLouvain), François Glineur (CORE, UCLouvain) and Nicolas Gillis (U Mons) collaborate to the project.

FRESH Projects
Evaluating the Effectiveness of Price-based Policies in Reducing Unhealth Food Demand under Models of "Non-standard" Consumption Behaviour (January 2017-December 2018)

The subject of this research is to address the obesity issue in the context of a public health and market efficiency perspectives. The main objective of the research is to test empirically whether consumer behavior (and response to price changes) are consistent with the rational model of consumer choice. Different deviations from the rational model will be tested such as the attention bias, the present bias and the projection bias. This empirical testing will be carried out based on scanning data from a supermarket in Belgium. The demand system will be estimated separately for two different categories of junk food: salty snacks and sweet sugar beverages. The expected output is the estimation of own price and cross price elasticities and income elasticities of the demand for healthy and non-healthy food. The estimation will also provide the empirical distribution of addicted and inattentive consumers.

Jean Hindriks (CORE, UCLouvain) is the promoter of this project.

High Dimensional Econometrics (July 2013-May 2018)

High dimensional models arise today in a lot of economic studies. In a linear regression model, for instance, it corresponds to the situation where the number of covariates is large, i.e. close or larger than the sample size. In a multivariate time series setting, high dimensionality refers to the high number of time series that are studied jointly. Due to the ease of data collection today, the empirical researcher faces such large data sets more frequently. High dimensionality also appears in linear models when the covariate is not a random variable but a random function. Examples are given by the spot electricity prices that are observed continuously over time, or fertility curves used in development economics to measure the density of birth rate over mother's age.
The wide availability of large data sets has increased the hope to address empirically major substantive questions. In the two cited examples, they are, for instance, the impact of electricity spot prices on future contracts or the impact of the shift in fertility curve on economic growth. However, these new promising directions of research are also hampered by several major methodological obstacles. Classical methods of modeling and inference (e.g. estimation by GLS) are not robust to a large increase in the dimension of the econometric model. The goal of the present research program is to address a number of those methodological obstacles with a view to provide workable and theoretically justified econometric methods and efficient inferential tools. In particular, the program is organized around three interlocking aspects: The failure of stationarity in time series collection, the modelling of large dimensional covariance matrices and the endogeneity of covariates in high dimensional regression.

Sébastien Van Bellegem (CORE, UCLouvain) is the promoter of this project.

Three-dimensional Urban Morphodynamics (October 2014-September 2018)

This project aims at studying the socio-economic determinants of urban built-up morphology. Scientific contribution lies in the introduction of buildings vertically in a dynamic setting using different modelling tools such as microeconomics, stochastic methods and agent-based simulations.

Dominique Peeters (CORE, UCLouvain) and Isabelle Thomas (CORE, UCLouvain) are the promoters of this project.

Strategic Supply Chain Design and Impacts of Demand Uncertainty (February 2014-November 2018)

The strategic design of its logistics network highly impacts the performance of a company, determining its tactical and operational decisions. Therefore, this must be taken into account when establishing the network. In this project, we are particularly interested in demand uncertainty, which is increasing in practice. It has two main implications for the supply chain network: safety stocks to react in short-term and robustness to adapt in medium term. These effects are incorporated into a mathematical location-inventory model, heuristics are developed, and managerial insights are provided.

Jean-Sébastien Tancrez (CORE and LSM, UCLouvain) is the promoter of this project.

FRIA Projects
Evaluating the Value of Flexibility in Power System (October 2016-December 2018)

The goal for this research is to evaluate the profitability of flexible assets in the context of the large-scale integration of renewable energy on the electricity markets. We characterize a flexible asset as an asset that can quickly adjust the quantity of its output. Some examples of flexible assets are combined cycle gas turbine and pumped hydro storage. This increased integration of renewable energy results in two paradoxical impacts:

  • On the one hand, the increase of renewable production implies that the market requires more flexibility close to real time.
  • On the other hand, flexible units are currently being mothballed or retired in Europe due to financial losses that are related to high marginal costs, despite the fact that these resources are offering valuable reserve services to the system.

Therefore, in order to ensure power system security, we need to increase the profit of flexible assets. We study this need for extra remuneration of flexible assets in two ways:

  • We first analyze the market design problem. The idea of this line of research is to evaluate the impact of a new remuneration strategy, referred to as scarcity pricing, on flexible generator profits.
  • We additionally analyze a bidding strategy problem. Our main focus is on the continuous intraday market which is one of the short-term electricity markets that is becoming increasingly important but for which there still exists a limited amount of research. We believe that the CIM is important due to the fact that it allows valuable adjustments to renewable forecast errors, which are becoming increasingly significant in recent years due to the increasing integration of renewable resources.

Anthony Papavasiliou (CORE, UCLouvain) is the promoter of this project.

PDR Projects
Following Trucks with GPS Data: Measuring and Modelling Routes for a Spatially Smarter and more Equitable Taxation (2019-)

The increasing number of trucks on the roads generates number of debates about sustainability. Transport quantitative analyses often rely on spatially aggregated and/or non exhaustive data (samples). This project aims at using unconventional "big data" (generated by on-board mandatory GPS devices) for refining freight transport geographies in Belgium.
Three questions are raised in this project. (1) Is it possible to characterize each truck trace with one of several indices and make an insightful typology of the spatial shapes of routes? (2) Is it possible to easily shift from raw GPS data to an origin-destination (places) matrices useful for transport modelling? (3) How far are the spatial realities extracted from this origin- destination matrix different from the aggregated data traditionally used for transport modelling or from current knowledge of the Belgian economic geography and logistics organization?

The Improving the knowledge in this domain is important for two reasons. Scientifically, it is to understand the geographical complexity of logistics, and to solve some methodological issues such as to measure (quantify unambiguously the "traces" of the trucks. In terms of policy issues, it is important to better understand and evaluate the spatial consequences of the kilometric tax in a heterogeneous space (Belgium). Is the actual uniform kilometric taxation environmentally, economically and socially equitable? Could a taxation varying in space and time be more efficient? Yet could this new taxation generate new counterproductive effects.

Isabelle Thomas (CORE, UCLouvain) is the promoter of this project.

Optimal Fertility, Health and Education in Market Economics (September 2013-June 2018)

The proposed research aims at identifying policies that allow improving the steady state efficiency and welfare upon the laissez-faire market outcome. This is achieved by exploiting the externalities existing between households' decisions on savings, fertility, health, and education on their own incomes at the aggregate level. Such externalities are disregarded by households at the market equilibirum under laissez-faire, which creates room for improvement through policy intervention.

Julio Davila (CORE, UCLouvain) is the promoter of this project.

Social Preferences and the Persistence of Poverty (October 2016-September 2020)

This project is aiming to theoretically and empirically explore how the social components of preferences such as identity, social norms and social categories, may help explain the persistence of poverty and social exclusion in rich societies.

François Maniquet (CORE, UCLouvain) is the promoter of this project.

The Role of Information Disclosure in Group Formation, Network Stability and Strategic Decision-making (January 2018-December 2021)

Whenever people need to decide with whom to initiate a strategic interaction they use information on their potential partners. As partners are aware of the role this information plays, they will try to control what is made available and will anticipate how their decisions in other situations affects that information, and as a consequence their future interactions. Although, group formation and network dynamics are highly influenced by this information-sharing dilemma, there is little insight into which information people prefer to disclose and how this affects trust, group compositions and strategic decision-making. Using methods of experimental economics and theoretical modelling we here will examine these entangled dynamics within the context of a sequential prisoners dilemma (SPD) game extended with a partner selection stage. Through three experiments we will investigate what information people disclose in the partner selection stage of the game, whether these differences lead to self-selection and thus different outcomes in cooperation and trust and how, when people can have multiple partners, this disclosure affects network structure. In parallel, but intertwined with the experimental part, minimal models of this co-evolutionary dynamics will be developed and analyzed to provide insight into the broader guidelines that induce self-selection and network stability. These models will provide information concerning the importance of certain parameters in the experiments and will be refined through the experimental results. These refinements should lead to models with certain explanatory capacities, which will be validated using information on a concrete economical situation.

Tom Lenaerts (Université libre de Bruxelles), Georg Kirchsteiger (Université Saint-Louis, Bruxelles), Ana Mauleon (Université Saint-Louis, Bruxelles) and Vincent Vannetelbosch (CORE, UCLouvain) are the promotors of the project.

Uncertainty, Macroeconomic Fluctuations and Asset Prices (October 2015-September 2019)

This project studies the relationship between uncertainty, macroeconomic fluctuations, financial markets and asset prices. In particular, we are interested at answering of questions such as: How does uncertainty influences macroeconomic variables such as aggregate level of prices or aggregate economic activity? Does the impact of uncertainty change in bad times? Is the relationship between macroeconomic and financial variables time dependent? What is the impact of uncertainty on asset prices? We answer these questions by building a macro-finance model. In this setting the dynamics of government bond prices, macroeconomic and finance variables are linked by no arbitrage conditions and uncertainty enters in the model in the form of parameter instability. We develop and apply Bayesian econometrics models to explore instability phenomena and to derive new measures of uncertainty. Bayesian econometrics models to explore instability phenomena and to derive new measures of uncertainty. Bayesian econometrics is well known for its flexibility in modelling uncertainty. Even if the model is initially applied to the government market, it can be used to analyze the relationship between uncertainty, macroeconomic dynamics and prices of other contracts such corporate bond, swaps or credit derivatives.
Improving our knowledge in this area is crucial for at least two reasons. From an academic perspective, it is interesting to more deeply understand (1) how the relationship between macro-economic variables, financial variables and asset pricing in time of turbulence, and (2) how uncertainty can influence these variables. This is a new area of research that can improve our understanding of economic models. From an applied perspective, understanding how uncertainty influences macroeconomic conditions or asset prices or the government yield curve is crucial for policy makers, who aim at improving general economic conditions and the efficiency of financial markets.

Leonardo Iania (CORE and LFIN, UCLouvain) is the promoter of this project.

CDR Projects
Credit Risk Modelling and Stochastic Recovery Rates ( 2018- 2019)

This project aims at bringing two contribution to credit risk models used in the context of banking supervision. First, the new regulatory framework known as Basel III provides guidelines for better practices in terms of ris management of financial institutions. Among others, it provides banks with so-called "standard formulae" that are used to determine the capital that needs to be set aside to account for unexpected losses. Yet these formulae treat major risk drivers in a simplistic way, under the form of rather arbitrary multiplicative factors. Our ambition here is to analyze the relevance of these formulae in light of recently developed credit risk models. In particular, we would like to evaluate "how bad" do these standard formulae perform in the context of counterparty credit risk, a very topical problem in this context of financial and economic crisis. Second, we would like to enrich these models by accounting for another risk factor, namely the recovery rate. The recovery rate of a firm expresses on a relative basis the outstanding debt that can be recovered from a firm in case of default, via an auction process. Several authors studied the relationship between recovery rates and macroeconomic factors. Surprisingly however, there have been very few attempts of including those in default credit risk models as such. In spite of its acknowledged importance, it is most often disregarded in practice. One of the main reason is, we believe, the lack of specific mathematical tools available to handle this in a sound way. Hence, our second objective in this project is to rely on novel stochastic processes (namely, phi-martingales and lazy clocks) to model the recovery rate risk, incorporate it in existing credit models, and investigate the impact for financial institutions. We shall therefore analyze the dynamics of recovery rate quotes via specific databases, like Moody's and Markit. We shall then calibrate the models and compare the resulting figures to the standard formulae of Basel III.

Frédéric Vrins is the promoter of this project.

Information and (Dis)integration of Financial Markets (January 2016-December 2018)

We analyze two aspects related to information extraction and market functioning, namely the extraction of market expectations in the bond market and the interdepedence between the bond and stock markets. By extracting market expectations from the bond markets and identifying the transmission of shocks from the bond to the equity markets, we aim to better understand the dynamics of financial contagion which is likely to hit the real economy again in the coming years.

Leonardo Iania (CORE and LFIN, UCLouvain) is the promoter of this project.

Uncertainty and Monetary Policy (January 2018-December 2019)

This project will study how uncertainty and market fragmentation can impact the transmission of monetary policy to real activity and financial markets. We will be interested in uncertainty surrounding both economic conditions and the conduct of monetary policy itself.

Leonardo Iania (CORE and LFIN, UCLouvain) is the promoter of this project.

Mining and Optimization of Big Data Models (September 2014-August 2019)

Computational science has entered the era of Big Data, fueled by unparalleled amounts of data coming from high-throughput technologies and electronic records collected by various sensors and communication devices. This trend is particularly visible in communication and social networks, where a growing number of individuals are more and more frequently connected to the Web and carry mobile sensors such as smart phones. This allows the gathering of data on human and social interactions at a very large scale. The efficient exploitation of that data raises important engineering, ethical and legal questions, but also demands the development of efficient computational methods.
This project aims at developing a theoretical, principled framework on which to build efficient algorithms tailored for the mining and optimization of Big Data models, i.e. for the extraction of high-level information and the subsequent identification of optimal decisions. Applications to a broad range of social, economic, health and urban problems are expected.

François Glineur (CORE and INMA, UCLouvain) is the promoter of this project. Pierre-Antoine Absil (INMA, UCLouvain), Vincent Blondel (INMA, UCLouvain), Jean-Charles Delvenne (CORE and INMA, UCLouvain), Renaud Lambiotte (UNamur) and Yurii Nesterov (CORE and INMA, UCLouvain) are other coordinators of the project.

Negative and Ultra-low Interest Rates: Behavioral and Quantitative Modelling (NeMo) (September 2018-August 2023 )

Interest rates are a cornerstone of economics and finance. They are at the foundation of asset pricing and monetary policy, and more generally of all intertemporal choices made by market participants and institutions every day, with huge consequences for the economic activity and wellbeing of our societies. Until recently, it was assumed (mostly implicitly) that interest rates could only possibly be positive. Notwithstanding, in the wake of the financial crisis initiated in 2008, major central banks of developed countries have been brought to conduct rates policies that turned them negative. The consequences of such a paradigm shift are both potentially huge and not well understood yet. This research project aims at shedding light on these consequences, both from an academic and a policy viewpoint, following three intertwined research lines that bring together a multidisciplinary team of researchers working on behavioral finance, macro finance, and quantitative finance.

Julio Davila (CORE, UCLouvain), Catherine D'Hondt, Leonardo Iania (LFIN and CORE, UCLouvain), Christian Hafner (ISBA and CORE, UCLouvain), Olivier Corneille (IPSY, UCLouvain) andFrédéric Vrins (LFIN and CORE, UCLouvain) and are the promoters of this project.

Platforms Operations and Regulation in the Sharing Economy (PROSEco) (October 2019-September 2024)

In recent years, many innovative sharing economy platforms (SEPs) had a strong impact on their stakeholders: Serice providers and consumers alike. Platforms change the economy: Individual renting out rooms or driving cars create competition for established hospitality and transport provideirs (as evidenced by the protests of taxi drivers in cities where Uber operates). SEPS also impact society as a whole: They prompt change in how people plan, travel, meet and eat. Their operation can modify social and economic environment in entire communities.
The sharing economy is not only a land of promises but also of great perils. Even fast-growing and global for-profit platform like Uber are still struggling to make a profit, while the failure rate of startups is higher than in other sectors. Also, many non-profit SEPs fail to stay active. For both types of platforms, the roado to success is paved with a number of operational, economic, and legal challenges, which directly stem from their innovative business model.
These multifaceted challenges call for an interdisciplinary approach to answer our overaching research question: How can platforms in the sharing economy deliver long-lasting value for their stakeholders and for society as a whole? Our objective with this research project is to conduct a fine-grained analysis of the implications of the sharing economy combining researchers from operations research, economics and law.

Paul Belleflamme (CORE, UCLouvain), Aadhaar Chaturvedi (UNamur), Philippe Chevalier (Core, UCLouvain), Johannes Johnen (CORE, UCLouvain), Anaïs Périlleux (CIRTES, IRES and CERMi, UCLouvain), Anne-Lise Sibony (DRT, UCLouvain), Alain Strowel (Université Saint-Louis and UCLouvain ) and Jean-Sébastien Tancrez(CORE and LSM, UCLouvain) are the promoters of the project.

Social and Economic Network Formation under Limited Farsightedness: Theory and Applications (October 2015-September 2020)

The global objective of the research is to deepen our understanding of social and economic networks by bridging the gap between two approaches to network economics: The social networks approach and the Industrial Organization (IO) approach. The research activities will be articulated around the following three axes:

  • Limited farsightedness in network formation;
  • Networks in the knowledge economy;
  • Group symbols and conventions in networks.

Ana Mauleon and Wouter Vergote (Université Saint-Louis, Bruxelles and CORE, UCLouvain) are the promoters of this project.

Sustainable, Adequate and Safe Pensions: Financial Architecture, Social Justice and Governance (SAS Pensions) (September 2018, Augustus 2023)

The provision of replacement incomes (pensions) for old people is among one of hte main achievements of modern advanced economies. Historically, the State and othe entities successfully organized the provision of public pensions. There is no doubt that this contributed to the wellbeing of elderly citizens. It is also likely to have played a significant role in the reduction of old-age poverty. However, public pension budgets are now increasingly challenged by demographic and economic developments, namely rapid population ageing combined with slow(er) economic growth. Hence, polyl makers around the world are confronted with the challenging task of reforming existing pension systems.
This interdisciplinary research project aims at critically assessing the key conditions thath a public pension system should fulfil to be successfully reformed. Our hypothesis is that there are three such conditions: financial sustainability, social adequacy and safe governance. Hence, the 'SAS' acronym.
Our goal is to identify the pension architecture that is the most likely to generate SAS pensions. That research will rest on diverses approaches (conceptual, numerical, empirical and normative to assess the properties of various possible pension architectures, through the prism of SAS criteria.

Alexia Autenne (JURI, UCLouvain), Pierre Devolder (ISBA, UCLouvain), Axel Gosseries (ISP, UCLouvain), Jean Hindriks (CORE, UCLouvain) and Vincent Vandenberghe (IRES, UCLouvain) are the promoters of this project.

A New Look on the Inter-relationships within the Metropolitan Area of Brussels (January 2015-December 2018)

The BRU-NET project aims at taking a new look at interactions with the Brussels metropolitan area. Our objective is to understand how people interact, work, move and entertain themselves within their living environments. We seek to develop new methodologies based on existing ones to allow a specific and objective understanding of the social, economic and morphologic organisation of the Brussels metropolitan area.

Isabelle Thomas (CORE, UCLouvain) and Jean-Charles Delvenne (CORE and INMA, UCLouvain) coordinate this project.

Express Shipment Service Network Design: Challenges, Advances and Robustness (January 2014-September 2018)

Express carriers face huge network coordination and planning challenges, in a growing and competitive express delivery industry. These challenges call for advanced operations research and optimization methodologies. Our project aims at further exploring and developing the express shipment network design problem, i.e. how to best plan and schedule flights, decide on the fleet investment and allocation and locate hubs under strong timing and capacity constraints, and at proposing robust optimization methodologies for the problem. This project is done in collobaration with FedEx Express EMEA.

Jean-Sébastien Tancrez (CORE and LSM, UCLouvain) coordinates this project.

Application of "Big Data" Digital Technologies in the Healthcare Sector (August 2017-July 2020)

BIDMED wishes to explore the applicability and use of "Big Data" digital technologies in the healthcare sector, with a specific objective of enhancing the accessibility to proton therapy, the advanced radiotherapy modality for which the Walloon company IBA is known as the world leader. To this end, IBA will partner with the specialist of medical image management Telemis, as well as the engineering ICTEAM institute from UCLouvain. The consortium is completed by contributions from the operational proton therapy facilities from Sweden.
BIDMED aims at improving the performances and reducing costs associated with proton therapy, at all stages of the equipment lifecycle. A the installation, "machine learning" techniques will be applied to automatize the system calibration. For the equipment maintenance, statistical analysis of the equipment monitoring data as well as predictive analytics will enable predictive interventions and help troubleshooting by a better identification of the root failure causes. During routine operations, the comprehensive analysis of data from multiple workflows will help implementing clinical scenarios with enhanced outcomes either for the patient (adaptive treatments) or for the equipment (rules or guidelines for improved scheduling of the activities in the rooms).
Next to these primary objectives, the project will also enable Telemis to expand their own business, through the procurement of dedicated PACS systems to be integrated with the proton therapy equipment, and by adopting the "smart maintenance" innovations into their monitoring system.

Benoît Macq (ELEN, UCLouvain), Raphaël Jungers (INMA, UCLouvain) and François Glineur (CORE and INMA, UCLouvain) coordinate this project.

Coordination of Transmission and Distribution in Electric Power Systems (October 2016-September 2020)

The proliferation of distributed renewable resources at the distribution level, coupled with the presence of significant amounts of load flexibility in the residential and commercial sector, implies that a substantial amount of intelligence will have to be integrated at the distribution level of electric power systems. Moreover, the distribution system operator will need to assume a more active role in the operation of electric power systems and electricity markets, and its interaction with the transmission system operator will need to be clarified. The goal of this research is to model schemes for coordinating TSO-DSO interaction, and to develop scalable optimization algorithms for coordinating the optimal dispatch of transmission and distribution level resources which can deal with the large scale of the problem and the non-linear representation of power flow at the distribution level.

This project is sponsored by Engie and coordinated by Anthony Papavasiliou (CORE, UCLouvain).

Modeling Flexibility at Sub-hourly Time Scales (February 2016-October 2020)

The large-scale integration of renewable energy sources is creating increasing needs for flexibility. The optimal dispatch of conventional resources at a sub-hourly time scale in order to prevent binding ramping constraints is increasing the challenges of short-term operations. This project aims at developing optimization models and algorithms that can support the optimal utilization of generator flexibility in short-term operations.

The project is financed by Electrabel and coordinated by Anthony Papavasiliou (CORE, UCLouvain).

Conic Martingales and Credit Risk Modelings (October 2017-November 2018)

Credit risk is one of the major risks affecting securities, from the most eoxotic producuts (counterparty risk of path-dependent derivatives traded over-the-counter) to the simplest ones (bounds, and even deposits). Therefore, it is important to design reliable stochastic default models. The purpose of this project is to enhance standard intensity approach (namely, reduced-form known asCox models) by addressing its current major limitation, which is the small "implied credit spread volatility".
Conic martingales, originally introduced by Jeanblanc and Vrins, form a specific class of stochastic processes that could help dealing with this problem. They proveo to be a powerful tool for building survival processes (called Azéma supermartingales) which Doob-Meyer decomposition admits a non-vanishing martingale part. WHile very promising, conic martingales  trigger important mathematical challenges and deserve in depth technical analysis to determine their arbitrage-free nature. This is currently undertaken with the help of leading experts in the field. In parallel, other routes are explored to enhance the implied volatility generated by the models. Among those, the time change technique proves to be very helpful in this respect.

Frédéric Vrins (LFIN and CORE, UCLouvain) is the promoter of this project cojointly financed by a FSR project and the National Bank of Belgium

PRESupply Research Project (December 2016-December 2020)

This project proposes to facilitate access to advanced data analytics to SME's for supply chain management and optimization via the development of a flexible and modular platform. The PRESupply platform aims to increase the value of decisions that affects several parts of the supply chain using an integrated and predictive approach.

Philippe Chevalier (CORE, UCLouvain) and Isabelle Thomas (CORE, UCLouvain) are the promoters of this project financed by Logistics in Wallonia (Walloon competitiveness cluster dedicated to transport, logistics and mobility). N-Side is partner of this project.