IE 535 Stochastic and Risk-Sensitive Optimization
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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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