Stochastic Linear optimization
Graduate course, Azarbaijan Shahid Madani University, Dept. of Mathematics, 2020
This text is designed for master and Ph.D studented in the mathematics discipline. It discusses multi-stage linear optimization problems and its applications.
Contents
| Week | Subjects | Related Preparation |
|---|---|---|
| 1 | Introduction to Stochastic Programming | Chapter 1- Pages 3-35 |
| 2 | Introduction to Stochastic Programming | Chapter 1- Pages 3-35 |
| 3 | Introduction to Stochastic Programming | Chapter 1- Pages 40-48 |
| 4 | Two-Stage Program with Fixed Recourse | Chapter 2- Pages 59-73 |
| 5 | Probabilistic Programming-Introduction | Chapter 2- Pages 73-93 |
| 6 | Basic Properties and Theory | Chapter 3- Pages 103-135 |
| 7 | Basic Properties and Theory | Chapter 3- Pages 103-135 |
| 8 | The L -Shaped Method | Chapter 3- Pages 182-222 |
| 9 | The L -Shaped Method | Chapter 3- Pages 182-222 |
| 10 | Probabilistic Programming | Chapter 3- Pages 146-149 |
| 11 | Multistage Stochastic Programs | Chapter 3- Pages 149-156 |
| 12 | Multistage Stochastic Programs- solution methods | Chapter 6- Pages 265-286 |
| 13 | Probabilistic Programming | Chapter 8- Pages 357-363 |
| 14 | Monte Carlo Methods | Chapter 6- Pages 389-416 |
| 15 | Monte Carlo Methods | Chapter 6- Pages 389-416 |
| 16 | Financial risk Optimization | Chapter 2- Pages 84-87 |
Evaluation System
| Semester Requirements | Number | Percentage of Grade |
|---|---|---|
| Attendance/Participation | 1 | 5 |
| Quizzes/Studio Critics | - | - |
| Project | 12 | 60 |
| Midterms/Oral Exams | 4 | 20 |
| Final/Oral Exam | 3 | 15 |
| Total | 20 | 100 |
| PERCENTAGE OF SEMESTER WORK | 17 | 85 |
| PERCENTAGE OF FINAL WORK | 3 | 15 |
| Total | 20 | 100 |