3rd Copenhagen School of Stochastic Programming

The 2024 participants
The 2024 participants

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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The days of the course will be divided into a morning and an afternoon session. During the morning session, the course will host lectures by world-renowned scientists on the subject. During the afternoon sessions, the students will have a chance of presenting their own work and discuss their research challenges between themselves and with the experts.

A plan of the activities is as follows (the order may change):

  • Day 1: - Morning: Formalization of decision problems under uncertainty as stochastic programs. Brief account of the main mathematical properties (speaker: Trine Boomsma, KU).
  • Day 1 – Afternoon: First round of student presentations (in progress) on stochastic programming.
  • Day 2 – Morning: Introduction scenario generation
  • Day 2 – Afternoon: Second round of student presentation (in progress) on stochastic programming.
  • Day 3 – Morning: Chance-constrained stochastic programming
  • Day 3 – Afternoon: Third round of student presentations (in progress) on stochastic programming.
  • Day 4 – Morning: Introduction to multi-stage models
  • Day 4 – Afternoon: Fourth round of student presentation (in progress) on stochastic programming.
  • Day 5 – Morning: Stochastic programs with endogenous uncertainty (speaker: Giovanni Pantuso, KU)
  • Day 5 – Afternoon: Fifth round of student presentations (in progress) on stochastic programming.

 

 

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
  • 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 ...

 

 

 

 

 

 

 

 

 

 

 

 

 

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 will open here...

 

 

The course grants 5 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.