SUBJECT
Title
Stochastic optimization practice
Type of instruction
lecture
Level
master
Faculty
Part of degree program
Credits
3
Recommended in
Semesters 1-4
Typically offered in
Autumn/Spring semester
Course description
Examples of stochastic models. Different formulations of aims and constraints: by expectations or probabilities.
Building simple models, formulating and solving the deriving mathematical programming problems. Applications.
Readings
- Kall, P., Wallace, S.W., Stochastic Programming, Wiley, 1994.
- Prékopa A., Stochastic Programming, Kluwer, 1995.
- Birge, J.R., Louveaux, F.: Introduction to Stochastic Programming, Springer, 1997-1999.