MS-EV0017 - Stochastic programming and robust optimization, Luento-opetus, 6.9.2023-29.11.2023

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Please note! Course description is confirmed for two academic years, which means that in general, e.g. Learning outcomes, assessment methods and key content stays unchanged. However, via course syllabus, it is possible to specify or change the course execution in each realization of the course, such as how the contact sessions are organized, assessment methods weighted or materials used.

LEARNING OUTCOMES

Credits: 5

Schedule: 06.09.2023 - 29.11.2023

Teacher in charge (valid for whole curriculum period):

Teacher in charge (applies in this implementation): Fabricio Pinheiro de Oliveira

Contact information for the course (applies in this implementation):

MS-EV0017 - Stochastic programming and robust optimization

Why this course?

In this course, we will learn about mathematical programming methods for modelling and solving optimisation problems under uncertainty. This is critical for the use of mathematical programming approaches in real settings, where the uncertainty related to the input data must be taken into account. 

We will learn about the two main paradigms for uncertainty consideration: stochastic programming and robust optimisation. Our focus will be primarily practical, meaning we will learn about good modelling practice and uncertainty representation. 

The course will be organised in two parts. In Part I, there will be lectures covering key topics such as: 

  1. Two- and multi-stage stochastic programming
  2. Scenario generation and sampling average approximation
  3. Chance constraints and risk management
  4. Static and adjustable robust optimisation
  5. Specialised solution methods

In Part II, the course turns into a seminar course, in which the students will present scientific papers regarding either application of stochastic and robust optimisation and/or novel techniques recently developed in the literature.

Practical matters

  • Lecturer: Fabricio Oliveira
  • Head TA: Paula Weller
  • Lectures: Wednesdays, 9.15h-12.00h
  • Assessment methods: homework assignments and paper presentations (participation mandatory). 
  • Grading scale: 0-5
  • Study material: lecture slides, computational exercises.





 

CEFR level (valid for whole curriculum period):

Language of instruction and studies (applies in this implementation):

Teaching language: English. Languages of study attainment: English

DETAILS

Substitutes for Courses
Prerequisites

Rules of Conduct - Students´ Rights and Responsibilities (in force from 1 August 2020)

Aalto University Code of Academic Integrity and Handling Violations Thereof