course-details-portlet

IØ8401

Stochastic Optimization

Credits 10
Level Doctoral degree level
Course start Autumn 2010
Duration 1 semester
Language of instruction English
Examination arrangement Oral examination

About

About the course

Course content

The course provides knowledge of methods and models for optimization based decision support under uncertainty and risk
The course consists of three related parts:
- Theory
- Algorithms and software
- Applications in finance, production planning,
energy, telecommunications among others
The course is given every second year, next time Fall 2010.

Learning outcome

The objective of the course is to give introduction into planning and decision support under uncertainty and risk based on optimization technology and stochastic programming. Both dymanic and static problems will be considered. Introduction to optimization of simulation models will be given.

Learning methods and activities

Lectures and exercises

Non-obligatory exercises

Required previous knowledge

Knowledge of linear and nonlinear optimization is essential. Such knowledge can be obtained through courses TIØ4120 Basic Operations Research or TIØ4126 Optimization and Decision Support or TIØ4130 Optimization Methods or similar.

Course materials

Lectures:
Alexei A. Gaivoronski: Stochastic Programming, Lecture Notes, NTNU, 2001-2008. Additional papers and books will be specified at the beginning of the course

Credit reductions

Course code Reduction From
DIS1006 9 sp
IØ8803 3 sp
IØ8804 3 sp
This course has academic overlap with the courses in the table above. If you take overlapping courses, you will receive a credit reduction in the course where you have the lowest grade. If the grades are the same, the reduction will be applied to the course completed most recently.

Subject areas

  • Business Economics
  • Managerial Economics, Finance and Operations Research
  • Industrial Economics and Technology Management
  • Operations Research

Contact information

Course coordinator

Department with academic responsibility

Department of Industrial Economics and Technology Management

Examination

Examination

Examination arrangement: Oral examination
Grade: Letters

Ordinary examination - Autumn 2010

Oral examination
Weighting 100/100 Date 2010-12-18

Ordinary examination - Spring 2011

Oral examination
Weighting 100/100 Date 2011-05-23

All about examinations at NTNU