NMAK15004U Advanced Operations Research: Stochastic Programming
MSc Programme in Mathematics-Economics
This course introduces the students to optimization under uncertainty by means of stochastic programming. In many real-life problems input data is uncertain, noisy, imprecise. Examples are investments in assets with uncertain returns or production of goods with uncertain demand. For these problems, the course presents different mathematical formulations, illustrates the corresponding properties, shows how to exploit these properties in various solution methods, and discusses how uncertain parameters can be transfortmed into input data (scenarios). Furthermore, the students of this course will independently handle practical problems in project work. The content can be summarized as follows.
A. Stochastic programming problems:
- A1. Decision making under uncertainty.
- A2. Formulations of stochastic programming problems.
B. Approximations and scenario generation:
- B1. Monte Carlo techniques.
- B2. Property matching.
- B3. The quality of scenario generation methods.
C. Properties of stochastic programming problems:
- C1. Structural properties of stochastic programs.
- C2. The value of stochastic programming: EVPI and EEV.
D. Solution methods:
- D1. L-shaped decomposition.
- D2. Integer L-shaped decomposition.
- D3. Dual decomposition.
E. Practical aspects and applications:
- E1. Solution of case studies from e.g., Energy planning, Finance, Transportation, using optimization software such as GAMS, Cplex or Gurobi.
- Formulations of stochastic programming problems
- Scenario generation methods
- Properties of stochastic programming problems
- Solution methods
- Formulate different types of stochastic programming problems
- Recognize and prove properties of stochastic programs
- Represent/approximate the uncertain data by means of scenarios
- Evaluate the added value of stochastic programming
- Apply the solution methods presented in the course to solve stochastic programs
- Implement a (simplified version of a) solution method using optimization software
- Recognize and structure a decision problem affected by uncertainty and propose a suitable mathematical formulation
- Design a solution method for a stochastic program based on an analysis of its properties and justify the choice
- Identify a suitable way of representing the uncertain data of the problem, and its effect on the solutions obtained
- Quantify the benefit of using stochastic programming in a particular decision making problem
See Absalon for a list of course litterature.
Recommended but not required: Applied Operations Research and/or Operations Research 2 (OR2)
Academic qualifications equivalent to a BSc degree is recommended.
- Theory exercises
- Project work
- Exam Preparation
Lecturer's oral or written feedback (collective and/or individual) on the project work.
- 7,5 ECTS
- Type of assessment
- Oral examination, 30 minutes30 minutes oral examination with 30 minutes preparation time.
- Exam registration requirements
Approval of one project report is a prerequisite for enrolling for examination.
- Only certain aids allowed
All aid can be used during the preparation time.
No aid can be used during the exam.
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
Several internal examiners
Same as ordinary exam, conditional on the approval of the project work. If the required project report was not approved before the ordinary exam it must be (re)submitted no later than three weeks before the beginning of the re-exam week (contact the teacher for further details).
Criteria for exam assesment
The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.