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   University Paris-Saclay  

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Master ``Optimization''

Academic Year 2018/2019

First term's advanced courses

Stochastic Optimization

Professors

Pierre Carpentier and Vincent Leclère


Goals

The course presents both theoretical and numerical aspects of decision problems with uncertainty, where one sets a probabilistic framework in order to minimize the expectation of a cost. Two directions are explored:

Such problems are of course well-motivated by decision problems in the industry. They also have a deep mathematical content, especially in the dynamic case when only the past information is available. In this setting the decision is a function in a high dimensional space and therefore the numerical aspects also are challenging.
This course is part of the M2 Optimization program (Paris-Saclay University).

Structure

The course takes place at ENSTA on Wednesday, from 09:00 to 12:00 and from 14:00 to 16:00, and is given in English. Getting to ENSTA

Course resources

External resources


Research articles to study


Page managed by P. Carpentier (last update: December 14, 2018)