隨機規劃
Stochastic Programming
| 節 | 週一 |
|---|---|
2 09:00–09:50 | 隨機規劃 MB414 3 節連堂 |
3 10:10–11:00 | |
4 11:10–12:00 |
* 根據陽明交大上課時間表所列
Stochastic programming is to find the optimal decision for problems involved uncertain data. The development of this field has contributed to broad applications in operations management, finances, engineers, and etc. This class is mainly designed for graduate students who interest in learning how to model uncertainties in mathematical programs, and solution approaches for solving large-scale problems.
1. Students must have solid knowledge in linear programming and integer programming, or have taken similar courses before. 2. Familiar with IBM CPLEX callable library using MS C# programming language.
English lecture
Homework will be assigned in every three weeks, and each of them will include 2 to 3 problem sets.
- Short Reviews and Preliminaries
- Modeling Uncertain Problems
- The Value of Stochastic Solution
- Solution approaches
- Introduction
| 週次 | 主題 |
|---|---|
| 第 1 週 | Course introduction |
| 第 2 週 | Examples of stochastic program / Applications |
| 第 3 週 | Short reviews and preliminaries |
| 第 4 週 | Short reviews and preliminaries |
| 第 5 週 | Modeling uncertain problems / Types of stochastic program |
| 第 6 週 | Basic property and theorem of stochastic programming |
| 第 7 週 | Basic property and theorem of stochastic programming |
| 第 8 週 | Comparison between deterministic and stochastic solutions (EVPI, VSS, and etc.) |
| 第 9 週 | Midterm |
| 第 10 週 | L-Shaped methods |
| 第 11 週 | Implementation issues |
| 第 12 週 | Lagrangian based methods / Scenario decomposition methods |
| 第 13 週 | Implementation of progressive hedging approach |
| 第 14 週 | Stochastic integer programs: Theorem and Methods for solving the problem with first-stage integer variables |
| 第 15 週 | Stochastic integer programs: Theorem and Methods for solving the problem with second-stage integer variables |
| 第 16 週 | Evaluating and approximating methods (Revisit newsvendor problem with stochastic demand / Direct methods / Bounds for stochastic programs with continuous random variables / etc.) |
| 第 17 週 | Monte Carlo methods (SAA / Important sampling / Sequential sampling/ etc.) |
| 第 18 週 | Final |
Introduction to Stochastic Programming, Second Edition, by John R. Birge and Francois Louveaux
- 地點
- T.B.D.
- 時間
- By appointment
- 聯絡方式
- sichen@nycu.edu.tw