SUBJECT
Title
Stochastic optimization
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
Static and dynamic models.
Mathematical characterization of stochastic programming problems. Solution methods.
Theory of logconcave measures. Logconcavity of probabilistic constraints. Estimation of constraint functions through simulation.
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.