University Paris-Saclay

Master "Optimization"

Academic year 2017/2018

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First term's advanced courses

"Stochastic Optimization"

Frédéric Bonnans and Pierre Carpentier


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. (Getting to ENSTA), and is given in English.

Resources


Research articles to study


Page managed by P. Carpentier (last update: July 21, 2017)