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:
(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)
Practical work
To be sent by email for the 20/02/2023.
1. Convex optimization tools for stochastic optimization (22/11/22) 13:30-16:15
2. Probability tools for stochastic optimization (13/12/22) 9:15-12:00
3. Stochastic programming (13/12/22) 13:30-16:15
4. Dynamic Programming and Bellman’s Operators (03/01/23) 13:30-16:15
5. Numerical methods for two-stage programming (17/01/23) 9:15-12:00
6. Stochastic Dual Dynamic Programming (17/01/23) 13:30-16:15
slides slides Robust Optimization