PGMO Course 2019

  • January 14-15, 2019 - " A VU-point of view of nonsmooth optimization "


Claudia SAGASTIZABAL (Unicamp, Brazil) - Ensta



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PGMO Course 2019


  • March 20-21, 2019 - STOCHASTIC PROGRAMMING


Alexander SHAPIRO (Georgia Tech) - Ecole Polytechnique



Summary of the lecture

Optimization problems involving stochastic models occur in many areas of of science and engineering. These lectures are aimed at presenting theoretical foundations and recent advances in theory and applications of the stochastic programming approach to  such problems. In particular we discuss modeling questions, computational complexity of solving static and multistage stochastic problems, risk averse and distributionally robust approaches and some popular numerical algorithms.