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040114 UK Optimization under Uncertainty (MA) (2021S)

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work
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Registration/Deregistration

Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).

Details

max. 50 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

Monday 01.03. 08:00 - 09:30 Digital
Monday 08.03. 08:00 - 09:30 Digital
Monday 15.03. 08:00 - 09:30 Digital
Monday 22.03. 08:00 - 09:30 Digital
Monday 12.04. 08:00 - 09:30 Digital
Monday 19.04. 08:00 - 09:30 Digital
Monday 26.04. 08:00 - 09:30 Digital
Monday 03.05. 08:00 - 09:30 Digital
Monday 10.05. 08:00 - 09:30 Digital
Monday 17.05. 08:00 - 09:30 Digital
Monday 31.05. 08:00 - 09:30 Digital
Monday 07.06. 08:00 - 09:30 Digital
Monday 14.06. 08:00 - 09:30 Digital
Monday 21.06. 08:00 - 09:30 Digital
Monday 28.06. 08:00 - 09:30 Digital

Information

Aims, contents and method of the course

Study practically relevant aspects of operations research including in particular the consideration of uncertain input data (stochastic optimization, robust optimization)

The main themes are discussed first in form of a lecture. Homeworks then give the opportunity to apply and deepen the teaching material.

Assessment and permitted materials

written exam, blackboard exercises

Minimum requirements and assessment criteria

This course should help graduate students to:
a) develop mathematical models for (real world) optimization problems
b) apply different concepts to treat uncertain input data in optimization and understand the consequences implied by choosing on of these techniques

The test measures the ability to solve simple examples in the dicussed fields.

Examination topics

1) Single stage stochastic optmization, in particular mean-variance optimization, expected utility, acceptability measures
2) Mixed Integer Optimization
3) Recourse problems
4) Markov chains
5) Markov decision processes

Reading list

Cornuejols, Pena, Tütüncü (2018), Optimization Methods in Finance, 2nd edition, Cambridge

Hillier/Lieberman, Introduction to Operations Research, 7th edition

Association in the course directory

Last modified: We 21.04.2021 11:25