ENSTA ParisTech - Université Paris 1 Panthéon-Sorbonne

Master MMMEF - Track "Optimization, control and operations research"

Academic year 2014/2015


MNOS course

"Stochastic Optimisation: Numerical Methods"

Version française

Pierre Carpentier


The aim of this course is to provide a framework for extending the optimization methodology already studied in the convex deterministic case to the stochastic case, both from the theoretical and the numerical points of view. The course consists of two parts:

During the first part of the course, we put the focus on large-scale optimization problems and decomposition/coordination methods.


The course takes place on Tuesday afternoon from 14:00 to 17.30 at ENSTA (Getting to ENSTA), and is given in English.

Course notes about stochastic optimization (in English)

Course notes about the stochastic gradient method (in French)

Toolbox ''Stochastic Gradient''(in French)

Le but de cette boîte à outils (écrite en langage Scilab) est d'illustrer sur un exemple simple le comportement du gradient stochastique ainsi que sa vitesse de convergence, et de montrer ce qu'apporte la technique de moyennisation.

Page managed by P. Carpentier (last update: February 18, 2015)