Stochastic Optimization
Graduate course, IPP, M2, 2022
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:
(26/11/24) 9:15-12:00 room 2234
(03/12/24) 9:15-12:00 room 2151
(10/12/24) 9:15-12:00 room 1225
(17/12/24) 9:15-12:00 room 2151
(07/01/25) 9:15-12:00 room 2151
(14/01/25) 9:15-12:00 room 2151
(21/01/25) 9:15-12:00 room 2151
(28/01/25) 9:15-12:00 room 2151 (Exam)
Covering
- Introduction
- Stochastic gradient
- Stochastic variance reduced gradient
- Adaptative step-sizes
- Coordinate descent
Past exam
Stochastic and Dynamic programming (by V. Leclère)
Schedule:
(26/11/24) 13:30-16:15 room 2234
(03/12/24) 13:30-16:15 room 2151
(10/12/24) 13:30-16:15 room 2151
(17/12/24) 13:30-16:15 room 2151
(07/01/25) 13:30-16:15 room 2151
(14/01/25) 13:30-16:15 room 2151
(21/01/25) 13:30-16:15 room 2151
(28/01/25) 13:30-16:15 room 2151 (Exam)
Practical work
1. Introduction to stochastic optimizatio
2. Two-stage problems
3. Dynamic Programming and Bellman’s Operators
4. Numerical methods for two-stage programming
5. Stochastic Dual Dynamic Programming
6. Robust optimization
slides slides Robust Optimization