3rd Copenhagen School of Stochastic Programming

This course provides a rigorous and research-oriented introduction to stochastic programming, a mathematical framework for decision-making in the presence of uncertainty. In many real-life problems, important parameters are unknown to the decision-maker, and only distributional information is available. Examples include the scheduling of power generation under uncertainty in renewable supply, investments in assets with uncertain future returns or the production of goods for which demand is stochastic.

The purpose of the course is to prepare the students for carrying out independent research, including developments and applications of the methodology.

 

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  • Stein W. Wallace, Professor at the Norwegian School of Economics
  • Miguel Lejeune, Professor at The George Washington University
  • Ward Romeijnders, Professor at the University of Groningen
  • Trine K. Boomsma, Professor at the University of Copenhagen
  • Giovanni Pantuso, Associate Professor at the University of Copenhagen

 

 

 

 

 

 

 

 

 

Preliminary schedule

  • Day 1 (19/8)
    • Morning: An introduction to decision making under uncertainty and stochastic programming (Prof. Stein W. Wallace, NHH)
    • Afternoon: Formalization of decision problems under uncertainty as stochastic programs. Brief account of the main mathematical properties (Prof. Trine Boomsma, KU).
  • Day 2 (20/8)
    • Morning: An introduction to Chance-Constrained programming problems (Prof. Miguel Lejeune) 
    • Afternoon: Stochastic Programs with Decision-Dependent Uncertainty (A.Prof. Giovanni Pantuso)
    • Evening: Dinner
  • Day 3 (21/08)
    • Morning: An introduction to Mixed-Integer Stochastic Programs (Prof. Ward Romeijnders).
    • Afternoon: Round of student presentations on stochastic programming.
    • Afternoon: Conclusions and farewell reception.

 

 

Intended learning outcome for the students who complete the course:

Knowledge:

  • Formulations of two-stage, multi-stage and chance-constrained stochastic programming problems, possibly with endogenous uncertainty
  • Properties of stochastic programming problems, including integer stochastic programming problems
  • Solution and approximation methods

Skills:

  • Formulate different types of stochastic programming problems, depending on the interplay between decision-making and information disclosure, on the required probability of feasibility, and on the relationship between uncertainty and decisions
  • Approximate the uncertain data by means of scenarios
  • Develop solution strategies for different types of stochastic programming problems

Competences:

  • Recognize and structure a decision problem affected by uncertainty and propose a suitable mathematical formulation
  • Identify a suitable way of representing or approximating the uncertain data of the problem and its effect on decisions
  • Devise appropriate solution methods for the decision problem
  • Quantify and analyze the impact of uncertainty on the decision problem and its solution

Target Group

PhD students from e.g., mathematics, engineering, economics, working with optimization under uncertainty.

Recommended Academic Qualifications

Linear programming and probability theory. 

 

 

There will be a course dinner on Thursday 20th of August. The dinner is included in the participant fee.

 

 

 

 

 

 

 

 

 

 

 

 

 

The course will take place at the Department of Mathematical Sciences, University of Copenhagen. The department is in the Nørre Campus, Universitetsparken 5, 2100, Copenhagen. See detailed instructions on how to reach Copenhagen and the course venue.

Tickets and passes for public transportation can be bought at the Copenhagen Airport and every train or metro station. You can find the DSB ticket office on your right-hand side as soon as you come out of the arrival area of the airport. DSB has an agreement with 7-Eleven, so many of their shops double as selling points for public transportation.

A journey planner in English is available. More information on the "find us" webpage.

Students will need to arrange their own accommodation. Here is a list of good options for budget accommodation:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Registration

For registrations proceed to the registration form at this link.

Course fee and participant fee

Participartion at the course requires the payment of a participant fee and a course fee. The course and participant fees will be collected by the faculty only after the course is held. The sum of participant and course fee covers participation at the course, course material, coffee breaks, course dinner.

The participant fee is 800 DKK and applies to all participants regardless of their home university and type of participant.

The course fee depends on the home university and of the type of participant. In particular, the course fee is as follows:

  • PhD student enrolled at the Faculty of SCIENCE, University of Copenhagen: 0 DKK
  • PhD student from Danish PhD school Open market: 0 DKK
  • PhD student from Danish PhD school not Open market: 3000 DKK
  • PhD student from foreign universities: 3000 DKK
  • Master's student from Danish universities: 0 DKK
  • Master's student from foreign universities: 3000 DKK
  • Non-PhD student employed at a university (e.g., postdocs): 3000 DKK
  • Non-PhD student not employed at a university (e.g., from a private company): 8400 DKK

 

 

The course grants 2 ECTS upon succesful complition of the course. Particularly, in order to obtain an ECTS certificate, the participant needs to:

  • Attend all the lectures and student presentations
  • Deliver an essay on one of the topics of the course

Further instructions will follow during the course.

 

 

Upon request, the organizers may provide letters of invitation for the purpose of obtaining a visa. In order to obtain a letter of invitation the following conditions must hold:

  • The student must have registered and paid for the course
  • The request must arrive from an institutional email (requests from personal email addresses such as gmail will be discarded)
  • The student must provide proof of enrollment in a PhD program (in English) and the contact of the academic supervisor.

Please contact the organizers to obtain such letter.

 

 

 

 

 

 

 

 

 

 

For information on the program please contact the organizers

For administrative issues regarding payments, registrations, fees please contact the PhD School at phdcourses@science.ku.dk.