Optimization under Uncertainty

Faculteit Economie en Bedrijfskunde
Jaar 2021/22
Vakcode EBM853B05
Vaknaam Optimization under Uncertainty
Niveau(s) master, uitwisseling
Voertaal Engels
Periode semester I a
ECTS 5
Rooster rooster

Uitgebreide vaknaam Optimization under Uncertainty
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 solve optimization problems under uncertainty using a computer.
3. are able to write and present a report on a stochastic optimization case study, and to discuss the results to their peers.
Omschrijving This course deals with optimization problems under uncertainty. Such problems have many applications in, e.g., energy, healthcare, logistics, finance, and engineering.
Starting point of the course is a (mixed-integer) linear programming problem with random parameters. Several reformulations of this problem are presented that explicitly deal with the inherent uncertainty in the problem. The main properties for optimization purposes of these resulting stochastic optimization problems are derived and several approximations and solution techniques for such problems are discussed, with special attention to the large-scale deterministic, convex optimization, decomposition algorithms, and Monte Carlo simulation.
Applications are illustrated by means of both classroom examples and realistic problems. Students need to solve the latter type of problems using a computer in a case study and need to present the results to their peers.
Uren per week 6
Onderwijsvorm groepsbegeleiding, hoorcolleges, werkcolleges
Toetsvorm -groepsopdracht,  -groepspresentatie,  -schriftelijk tentamen (open vragen)
Vaksoort master
Coördinator dr. W. Romeijnders
Docent(en) dr. W. Romeijnders , L.M. van der Heide
Verplichte literatuur
Titel Auteur ISBN Prijs
Stochastic Programming, Modeling Decision Problems Under Uncertainty, 2020 Klein Haneveld, W.K., M.H. van der Vlerk, W. Romeijnders 9783030292188 ca. €  80,00
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: Dr Ward Romeijnders, phone: +31(0)50 36 38613.
Secretary Operations, phone: +31(0)50 36 37491, e-mail: secr.operations.feb@rug.nl
Opgenomen in
Opleiding Jaar Periode Type
Courses Exchange (MSc)  ( Courses 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