A minicourse on Stochastic Programming - CMA (2019)
Slides: Definitions and Examples, Sample Average Approximation (SAA), Two-Stage Stochastic Linear Programming (2SLP), L-Shaped Method, Gap estimation,
Problem's data: 2SLP Deterministic Equivalent 2SLP (new data problem)
Basic Course on Stochastic Programming - IMPA (2016) Below only lectures on multistage stochastic programming and Bundle methods applied to stochastic programming. Visite the course webpage for the full course and slides. Multistage stochatic programming: Example and main definitions | Multistage stochatic programming: Optimality conditions | Multistage stochatic programming: The linear case | Multistage stochastic linear programming: Block separable recourse | Multistage stochastic programming: Dealing with nonantecipativity constraints | Multistage stochastic programming: Multiplier method | Multistage stochastic linear programming: Stochastic dual dynamic programming | Bundle methods for stochastic programs: Proximal bundle method | Bundle methods for stochastic programs: Level bundle method | Oracles with on-demand accuracy for two-stage programming problems | | |
Cálculo Numérico - UERJ
Mestrado Profissional em Métodos Matemáticos em Finanças - IMPA Otimização I
Doutorado - IMPA
Métodos computacionais de otimização (2013) Minicurso - UFPR
Tomada de decisão sob incerteza. Uma abordagem do ponto de vista da otimização Minicurso - FGV EMAp
Otimização não-diferenciável
|