Short course
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Stochastic Programming: Formulations, Applications, and Algorithms

 

​April 26, 2016


​8:30am ​Breakfast
​9:00am – 10:30am
  • Two-Stage Formulations
  • Sources of Uncertainty
​10:30am - 10.45am    Coffee break     
​10:45am - 11:45am
  • ​Risk Metrics
​2:30pm - 3:30pm
  • Sample Average Approximation
  • Assessing Quality of Solutions
  • Scenario and Variance Reduction
​3:30pm - 3:45pm ​Coffee break
​3:45pm - 4:45pm
  • ​Multi-Stage Formulations
  • Scenario Trees
  • Multiples Objectives
  • Probabilistic Constraints

​April 27, 2016


​8:30am ​Breakfast
​9:00am - 10:30am
  • Continuous Formulations
  • Interior Point Solvers and Linear Algebra
  • Dual Decomposition
  • Benders and Stochastic Decomposition
10:30am - 10.45am Coffee break
​10:45am - 11:45am
  • Mixed-Integer Formulations
  • Convexification
  • Probabilistic Constraints
​1:30pm - 3:00pm
  • Modeling Tools
  • Solver Tools
​3:00pm - 3:15pm ​Coffee break
​3:15pm - 4:30pm
  • Application Types (Design, Control, Markets, Logistics)
  • Energy and Power
  • Scheduling
  • Network Design