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.
PROGRAM:
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Unit 1-2: Basic definitions of risk measures and their properties
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Unit 3-4: Single-period risk measures and duality
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Unit 5-6: Multi-period risk measures and time-consistency
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Unit 7-8: Stochastic optimization problems: Basic definitions and properties
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Unit 9-10: Two-stage problems and the scenario generation problem
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Unit 11-12: The facility location problem and its heuristic solutions
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Unit 13-14: Aspects of the facility location problem and software demos
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Unit 15-16: Multistage scenario generation: tree construction
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Unit 17-18: Algorithmic aspects of the multistage scenario generation problem and software demos
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Unit 19-20: The ambiguity problem in multistage stochastic optimization
SCHEDULE:
|
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:
Registration is free. You can confirm your registration in the following registration form (click here). Deadline: February, 14.
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.
Fecha:
Mon, 2016-02-15 16:00 - Wed, 2016-02-24 18:30
Place:
Aula Seminario del Departamento de Estadística, Facultad de Matemáticas, USC
Organizer:
ITMATI, Repsol
