(dt. Stochastische Optimierung)
|Level, degree of commitment in original study programme||Advanced module, compulsory elective module|
|Forms of teaching and learning,
|Lecture (3 SWS), recitation class (1 SWS), |
180 hours (60 h attendance, 120 h private study)
Course requirement: Successful completion of at least 50 percent of the points from the weekly exercises.
Examination type: Written or oral examination
|German,The grading is done with 0 to 15 points according to the examination regulations for study course M.Sc. Mathematics.|
|Original study programme||M.Sc. Mathematik / Vertiefungsbereich Mathematik|
|One semester, |
Im Wechsel mit anderen advanced moduleen zur Optimierung
|Person in charge of the module's outline||Prof. Dr. Thomas Surowiec|
I. Models of Stochastic Optimization
- A formal mathematical discussion of the modelling of different business-relevant applications, e.g. inventory problems, manufacturing and multi-product problems, portfolio optimization, logistics
II. Two-stage Stochastic Optimization
- Theory of linear, polyhedral and general two-stage stochastic optimization problems, necessary concepts from nonlinear optimization and convex analysis, such as duality theory and Lagrange multipliers, the role of recourse in theory and numerics.
III. Numerical methods
- L-shaped method, sampling-based methods such as stochastic quasi-gradient and stochastic decomposition
The students shall
- learn how to model application-relevant problems with stochastic optimization problems,
- learn the aspects of the theory of two-stage stochastic optimization problems, which are especially important for the development of numerical optimization algorithms,
- learn the extension of concepts from linear and nonlinear optimization to stochastic optimization problems,
- Reassess knowledge from the basic modules and some advanced modules, e.g. from the modules for analysis and linear algebra as well as the optimization modules,
- recognise relations with other areas of mathematics and other sciences,
- practice mathematical working methods (development of mathematical intuition and its formal justification, training of the ability to abstract, proof techniques),
- improve their oral communication skills in the exercises by practicing free speech in front of an audience and during discussion.
None. The competences taught in the following modules are recommended: either Linear Algebra I and Linear Algebra II and Analysis I and Analysis II or Basic Linear Algebra and Basic Real Analysis and Basics of Advanced Mathematics, either Measure and Integration Theory or Elementary Stochastics.
This page describes a module according to the latest valid module guide in Sommersemester 2021. Most rules valid for a module are not covered by the examination regulations and can therefore be updated on a semesterly basis. The following versions are available in the online module guide:
- WiSe 2016/17 (no corresponding element)
- SoSe 2018 (no corresponding element)
- WiSe 2018/19
- WiSe 2019/20
- WiSe 2020/21
- SoSe 2021
- WiSe 2021/22
The module guide contains all modules, independent of the current event offer. Please compare the current course catalogue in Marvin.
The information in this online module guide was created automatically. Legally binding is only the information in the examination regulations (Prüfungsordnung). If you notice any discrepancies or errors, we would be grateful for any advice.