Course: Scenario Generation and Scenario Reduction for Stochastic Programming

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ITMATI, matemática industrial, stochstic programming
From 4th to 12th of June, Prof. Dr. Werner Römisch, Dept. of Mathematics, Humboldt University (Berlín), will visit ITMATI to give the course: “Scenario Generation and Scenario Reduction for Stochastic Programming”.

The course will take 4th, 5th, 8th, 9th, 10th, 11th, 12th of June, in the Aula 0 of the Faculty of Mathematics, University of Santiago de Compostela (USC).

This course will be in live streaming on the Videoconference System of Aula Master and in the following web site

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 Finance in the framework of the Spanish Strategy Innovation in Galicia.

Date Hour Topic
June, 4th 10:00-13:30 -Stability and discrete approximations in stochastic optimization
June, 5th 10:00-13:30 -Monte Carlo methods 
-Optimal quantization methods
June, 8th 10:00-13:30 -Optimal quantization methods
-High-dimensional numerical integration: An intro
June, 9th 10:00-13:30 -Quasi-Monte Carlo methods I: Intro
-Quasi-Monte Carlo methods II
June, 10th 10:00-13:30 -Quasi-Monte Carlo methods II
-Sparse grid integration
June, 11th 10:00-13:30 -ANOVA decomposition and effective dimension of multivariate functions
June, 12th 10:00-13:30 -Convergence properties of QMC and sparse grids for stochastic programs

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

Thu, 2015-06-04 10:00 - Thu, 2015-06-11 13:30
Aula 0, Faculty of Mathematics, University of Santiago de Compostela
ITMATI, Repsol