Programa de Mestrado: Basic Course on Stochastic Programming

Teachers:

Welington de OliveiraJuan Pablo LunaClaudia Sagastizábal

Interested students are required  to access the link
https://institucional.impa.br/pub/login.action
and officially register to the "Basic Course on Stochastic Programming".

Registration requires a login that can be created on the same page. Information is available in Portuguese, Spanish and English.

Contents: this IMPA Master and PhD course will consist of 40 hours of lectures and 20 hours of computational practice on the topics below:

1. Stochastic Programming, motivation
2. Revision of topics on convex analysis, measure and probability theory 
3. Two-Stage Programming: Theory and Algorithms 
4. Multi-Stage Programming: Theory and Algorithms 
5. Risk Averse Optimization
6. State-of-the-art methods

References

Lectures on Stochastic Programming: Modeling and Theory, by Alexander Shapiro, Darinka Dentcheva and Andrezj Ruszczynski,SIAM, Philadelphia, 2009. (Available for download on the authors webpage)

Stochastic Programming, vol 10 of Handbooks in Operations Research and Management Sciences, by Alexander Shapiro and Andrezj Ruszczynski, Elsevier, 2003.

Stochastic programming, by Peter Kall, Stein W. Wallace, Wiley, 1994

Selected related papers will be suggested along the course

Playlist no Youtube:



DOWNLOAD

Class 01 - 08-03-2016 - download
Class 02 - 10-03-2016 - download
Class 03 - 15-03-2016 - download
Class 04 - 17-03-2016 - download
Class 05 - 22-03-2016 - download
Class 06 - 24-03-2016 - download
Class 07 - 29-03-2016 - download
Class 08 - 31-03-2016 - download
Class 09 - 05-04-2016 - download
Class 10 - 07-04-2016 - download
Class 11 - 12-04-2016 - download
Class 12 - 14-04-2016 - download
Class 13 - 19-04-2016 - download
Class 14 - 26-04-2016 - download
Class 15 - 28-04-2016 - download
Class 16 - 03-05-2016 - download
Class 17 - 05-05-2016 - download
Class 18 - 10-05-2016 - download
Class 19 - 12-05-2016 - download
Class 20 - 17-05-2016 - download
Class 21 - 19-05-2016 - download
Class 22 - 31-05-2016 - download
Class 23 - 02-06-2016 - download
Class 24 - 07-06-2016 - download
Class 25 - 09-06-2016 - download
Class 26 - 14-06-2016 - download
Class 27 - 16-06-2016 - download

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