Stochastic Programming

Faculteit Economie en Bedrijfskunde
Jaar 2017/18
Vakcode EBM853A05
Vaknaam Stochastic Programming
Niveau(s) master, uitwisseling
Voertaal Engels
Periode semester I a
ECTS 5
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Uitgebreide vaknaam Stochastic Programming
Leerdoelen Upon completion of the course the students:
1. have obtained the necessary insight, skills and knowledge to work with mathematical models for decision making under uncertainty
2. are able to use scientific literature in Operations Research
3. have obtained working knowledge of SLP-IOR
4. are able to write and present a report on a stochastic programming case study, and to discuss the results of their peers
5. have a clear view on the opportunities for stochastic programming in the professional field
Omschrijving Linear (mixed-integer) programming problems, of which some of the parameters are considered as unknown realizations of random variables, constitute the core of the course. The emphasis is on the various ways of (re-)formulating the problem, including the pros and cons of the concepts of risk and risk aversion. Model building is illustrated by means of both classroom examples and realistic models.
Special attention is paid to solution techniques such as large-scale LP, decomposition, convex programming, Monte Carlo simulation, and random search. Motivated by their important role in Stochastic Programming, theory and techniques from Non-Linear and Dynamic Programming are discussed.
Students are required to work out a take-home exercise and to write a paper on a case, with the aim of acquiring experience with modeling and computation based on the software package SLP-IOR. Also, participants will present the results of their case studies during the lectures and act as discussants for other presentations.
Uren per week 6
Onderwijsvorm gecombineerde hoor-/werkcolleges, opdracht(en)
Toetsvorm opdracht(en), presentatie(s), schriftelijk tentamen met open vragen
Vaksoort master
Coördinator dr. W. Romeijnders
Docent(en) dr. W. Romeijnders
Verplichte literatuur
Titel Auteur ISBN Prijs
Lecture notes Stochastic Programming , 2015, RuG/FEB Klein Haneveld, W.K., and M.H. van der Vlerk ca. €  13,00
Entreevoorwaarden (Exchange) students should have a solid background in Mathematics, Stochastics, and OR at a level comparable to students who completed the BSc EOR.
Opmerkingen Info: Info: Dr Ward Romeijnders, phone: +31(0)50 363 8613.
Secr: Operations, phone: +31(0)50 363 7491, e-mail: secr.operations.feb@rug.nl.
Opgenomen in
Opleiding Jaar Periode Type
Courses open to Exchange Students (MSc)  ( Courses open to Exchange Students (MSc) without limited access ) 1 semester I a keuze
MSc Econometrics, Operations Research & Actuarial Studies/EORAS  (keuzevakken MSc EORAS) 1 semester I a keuze
MSc Econometrics, Operations Research & Actuarial Studies/EORAS  ( Operations Research) 1 semester I a verplicht
Research Master in Economics and Business  (Business Analytics & Econometrics) 1 semester I a verplicht