IE 432 Stochastic and Risk-Sensitive Optimization
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Models and solution methods for optimization problems under uncertainty and how to model risk. Introduction to stochastic programming, two-stage and multi-stage stochastic programming problems, utility functions, mean-variance optimization, chance constraints, coherent measures of risk. How to incorporate risk measures into stochastic optimization programs.
Credit units: 3 ECTS Credit units: 5, Prerequisite:
IE 202 or IE 400.
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