ESI 6912:

Introduction to Stochastic Optimization

Prof. STAN URYASEV

Chapters

Lectures and Files

Assignments

 

 

 

 

·         notes 10: Risk Deviation Error: Beautiful Interplay (PDF Version)

 

 

 

·         notes 9: Probabilistic and Chance Constraints  (PDF)

 

Homework 3

Due: Nov. 30, Fri
HW3.doc

 

 

·         notes 8: Two Stage Problems

 

 

 

·         notes 7: Optimization of CVaR (PDF Version)

Farming Example Ext.doc
Farming Example Ext.xls

Farming Example in PSG:

Project(mdb.zip)    Data_Excel(zip)   

 

Homework 2

Due: Oct 17, Wed
HW2.doc

HW2.xls

Ch. 1.2-5

·         notes 6: Summary

·         notes 5: Capacity Expansion Model

·         notes 4: Design for Manufacturing Quality

·         notes 3: Financial Planning

 

Ch. 1.1

·         notes 2: Farming Example (Extended and Updated)

Farming_Example.xls

Farming Example in PSG:

Project(mdb.zip)    Data_Excel(zip)    Farming_Example_PSG.xls

Homework 1

Due: Sep 21, Fri
HW1.doc

HW1.xls

Solutions:

HW1_Sol.doc

HW1_Sol.xls