Stochastic Optimization

Graduate course, IPP, M2, 2022

  • Course schedule modified: Stochastic Programming full day on the 17th*

This is a master level course about stochastic optimization that take place at ENSTA-Paris, room 1226. See here for access information. You will need an identification document to get in the school.

The course is in two part: stochastic gradient and stochastic programming.

Stochastic gradient and extensions (by O.Fercoq)

courses notes practical work

Schedule:

(22/11/22) 9:15-12:00

(06/12/22) 9:15-12:00

(06/12/22) 13:30-16:15

(03/01/23) 9:15-12:00

(10/01/23) 9:15-12:00

(10/01/23) 13:30-16:15

(31/01/23) 9:15-12:00 (Exam)

Covering

  • Introduction
  • Stochastic gradient
  • Stochastic variance reduced gradient
  • Adaptative step-sizes
  • Coordinate descent

Stochastic and Dynamic programming (by V. Leclère)

Printable Handout

Practical work

To be sent by email for the 20/02/2023.

github link

1. Convex optimization tools for stochastic optimization (22/11/22) 13:30-16:15

slides

2. Probability tools for stochastic optimization (13/12/22) 9:15-12:00

slides

3. Stochastic programming (13/12/22) 13:30-16:15

slides

4. Dynamic Programming and Bellman’s Operators (03/01/23) 13:30-16:15

slides

5. Numerical methods for two-stage programming (17/01/23) 9:15-12:00

slides

6. Stochastic Dual Dynamic Programming (17/01/23) 13:30-16:15

slides slides Robust Optimization

7. Exam (31/01/23) 13:30-16:15

Past exam

References