Optimering under usikkerhet, modul 3

Stochastic Programming, module 3 is an intensive PhD course over 3 days given by Professor Shabbir Ahmed, H. Milton Stewart School of Industrial & Systems Engineering, Georgia Institute of Technology. The focus of the course will primarily be on algorithmic issues.

The course will provide knowledge within solution methodology of stochastic programs, emphasizing multistage stochastic programming and stochastic integer programming. At the end of the course, students are expected to discuss and explain when different methods are useful, i.e. for which problem classes the various methods can be advantageously used. Students are expected to be able to recognize which problem class a given stochastic programming problem belongs to. Further, they are expected to be able to a) identify the need, b) choose the form and c) implement various forms of decomposition algorithms in stochastic programming applications they are working on.

Lectures and problem solving sessions.