From 15 to 24 February, 2016, Prof. George Ch. Pflug will give the course Stochastic Optimization and Approximations.

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From 15 to 24 February 2016, it will take place the Course Stochastic Optimization and Approximations, given by George Ch. Pflug, (University of Vienna). The course will take place in the Aula Seminario of the Department of Statistics of the Faculty of Mathematics of the University of Santiago de Compostela.


itmati, repsol, curso Stochastic optimization and approximationsPROGRAM:
  • Unit 1-2: Basic definitions of risk measures and their properties
  • Unit 3-4: Single-period risk measures and duality
  • Unit 5-6: Multi-period risk measures and time-consistency
  • Unit 7-8: Stochastic optimization problems: Basic definitions and properties
  • Unit 9-10: Two-stage problems and the scenario generation problem
  • Unit 11-12: The facility location problem and its heuristic solutions
  • Unit 13-14: Aspects of the facility location problem and software demos
  • Unit 15-16:  Multistage scenario generation: tree construction
  • Unit 17-18:  Algorithmic aspects of the multistage scenario generation problem and software demos
  • Unit 19-20: The ambiguity problem in multistage stochastic optimization



Date Hour
February 15, 2016 16:00-18:30
February 16, 2016 16:00-18:30
February 17, 2016 16:00-18:30
February 18, 2016 16:00-18:30
February 19, 2016 16:00-18:30
February 22, 2016 16:00-18:30
February 23, 2016 16:00-18:30
February 24, 2016 16:00-18:30

Registration is free. You can confirm your registration in the following registration form (click here). Deadline: February, 14.

ACADEMIC COORDINATOR: Julio González Díaz ( Associate Professor, Departmet of Statistics and Operations Research, USC, and affiliated researcher of ITMATI)

A certificate of attendance for those who request it be delivered. 

This course is framed as activity in the Joint Research Unit Repsol-ITMATI which has funding of the Galician Agency for Innovation and the Ministry of Economy and Competitiveness in the framework of the Spanish Strategy Innovation in Galicia.
Mon, 2015-12-07