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Bilkent University

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Undergraduate and Graduate Programs 2020-2021


IE 535 Stochastic and Risk-Sensitive Optimization

Models, solution methods, and theory for optimization problems under uncertainty and risk. Introduction to stochastic programming, optimization problems with probabilistic constraints, two-stage and multi-stage stochastic programming problems, Markov decision processes, utility functions, mean-risk optimization models, coherent measures of risk, and concept of stochastic dominance. Credit units: 3 ECTS Credit units: 5.

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