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Stochastic programming and robust optimisation

Fabricio Oliveira

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Creative Commons License – This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International.

Contents

Introduction to stochastic programming

1. The farmer’s problem
2. Two-stage stochastic programming
3. Measuring the quality of 2SSP solutions
4. Types of recourse
5. Multi-stage stochastic programming (MSSP) problems

Uncertainty representation in stochastic programming

6. Using scenarios for representing uncertainty
7. Quality measures for scenario trees
8. Scenario (tree) generation methods
9. Sample average approximation

Chance constraints and risk measures

10. Chance constraints
11. Risk measures

Robust optimisation

12. Robust optimisation
13. Adjustable robust optimisation

Bibliography

Lecture (PDF)
Book (PDF)

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