Stochastic Programming: Extensions to Integer Programming
Títol del curs: Stochastic Programming: Extensions to Integer Programming
Impartit per: F. Louveaux. University of Namur, Belgium.
Llengua del curs: Anglès
Dates i horaris del curs: 11-15 de juny, 10-12h.
Lloc: Aula 102
Tipus d'activitat i càrrega lectiva: Curs de 10 hores
Reconeixement acadèmic: 1.5 crèdits
Data de matrícula: del 15 al 25 de maig
Course Description: Stochastic programming is the art of decision making/optimization under uncertainty. This course will provide an introduction to stochastic programming modeling and algorithms, with a special attention to the stochastic integer case. This topic is of crucial importance as many decision problems involve some integer or binary (yes/no) decisions. Typical examples are location, routing, lot-sizing or capacity acquisition problems. Comparison with the continuous case will be provided so that students don’t need any prerequisite in stochastic programming but can also enjoy enough new material if they already have some knowledge of the field. The objective of the course is to help students build an intuition on how to model stochastic programs and on which methods are appropriate for the integer cases.
Program (based on Intruction to Stochastic programming, 2nd edition, J. Birge & F. Louveaux, Springer Verlag):
Methodology and requirements:
Each section will be illustrated by examples and exercises.
Powerpoint presentation; copies of the slides will be available.
Each topic should correspond to about two session of 3 hours.
A few copies of the book will be given to library.
Students should have some knowledge of mathematical programming (certainly linear programming) and basic probability (radom variables)
Evaluation: Written exam (open book)
The course is based on sections of the book: “Introduction to Stochastic programming”, 2nd edition, J. Birge & F. Louveaux, Springer Verlag (2011). The book will be available at the library. Additional references will be given to students wishing to deepen their study of the field.
Impartit per: F. Louveaux. University of Namur, Belgium.
Llengua del curs: Anglès
Dates i horaris del curs: 11-15 de juny, 10-12h.
Lloc: Aula 102
Tipus d'activitat i càrrega lectiva: Curs de 10 hores
Reconeixement acadèmic: 1.5 crèdits
Data de matrícula: del 15 al 25 de maig
Course Description: Stochastic programming is the art of decision making/optimization under uncertainty. This course will provide an introduction to stochastic programming modeling and algorithms, with a special attention to the stochastic integer case. This topic is of crucial importance as many decision problems involve some integer or binary (yes/no) decisions. Typical examples are location, routing, lot-sizing or capacity acquisition problems. Comparison with the continuous case will be provided so that students don’t need any prerequisite in stochastic programming but can also enjoy enough new material if they already have some knowledge of the field. The objective of the course is to help students build an intuition on how to model stochastic programs and on which methods are appropriate for the integer cases.
Program (based on Intruction to Stochastic programming, 2nd edition, J. Birge & F. Louveaux, Springer Verlag):
- Modelling examples:
- A routing example (binary case) (1.5. in book)
- A farming example (mixed case)(1.1. in book)
- Modelling issues
- Recourse models and chance constraints, including integer variables (from chapter 2) + detailed example
- Basic properties and difficulties when going from continuous to integer stochastic programs (from chapter 3 and a little bit of chapter 4)
- Solution methods for stochastic integer programs (from chapter 7)
- Simple integer recourse
- First-stage binary variables and applications
- Reformulation of the second-stage
- Introduction to Monte Carlo methods (from chapter 9, time permitting)
Methodology and requirements:
Each section will be illustrated by examples and exercises.
Powerpoint presentation; copies of the slides will be available.
Each topic should correspond to about two session of 3 hours.
A few copies of the book will be given to library.
Students should have some knowledge of mathematical programming (certainly linear programming) and basic probability (radom variables)
Evaluation: Written exam (open book)
The course is based on sections of the book: “Introduction to Stochastic programming”, 2nd edition, J. Birge & F. Louveaux, Springer Verlag (2011). The book will be available at the library. Additional references will be given to students wishing to deepen their study of the field.
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