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)
Schedule:
(5/12/23) 9:15-12:00
(12/12/22) 9:15-12:00
(19/12/22) 9:15-12:00
(09/01/23) 9:15-12:00
(16/01/23) 9:15-12:00
(23/01/23) 9:15-12:00
(30/01/23) 9:15-12:00 (Exam)
Covering
- Introduction
- Stochastic gradient
- Stochastic variance reduced gradient
- Adaptative step-sizes
- Coordinate descent
Past exam
Stochastic and Dynamic programming (by V. Leclère)
Practical work
To be sent by email for the 07/01/24.
1. Introduction to stochastic optimization (5/12/23) 13:30-16:15
2. Two-stage problems (12/12/23) 13:30-16:15
3. Dynamic Programming and Bellman’s Operators (19/12/22) 13:30-16:15
4. Numerical methods for two-stage programming (09/01/24) 13:30-16:15
5. Stochastic Dual Dynamic Programming (16/01/24) 13:30-16:15
6. Robust optimization (23/01/24) 13:30-16:15
slides slides Robust Optimization