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

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:

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

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.

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.

Fuente:

ITMATI

Fecha:

Mon, 2015-12-07