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Gerd Infanger
Professor (Consulting)
Management Science and Engineering
Office: Terman 324 | Fax: 650-723-1614
Email: infanger @ stanford.edu
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Courses
How to make optimal decisions
in the presence of uncertainty, solution techniques for large-scale
systems resulting from decision problems under uncertainty,
and selected applications in finance. Decision trees, utility,
two-stage and multi-stage decision problems, approaches to stochastic
programming, model formulation; large-scale systems, Benders
and Dantzig-Wolfe decomposition, Monte Carlo sampling and variance
reduction techniques, risk management, portfolio optimization,
mortgage finance.
Course Schedule
- MSandE
411: Topics in Mathematical Programming, Spring
Mondays and Wednesdays 9:30 - 10:45
A fundamental problem of decision the sciences is finding an optimal solution when some of the parameters
of a planning or design problem (e.g., coefficients and right hand sides of a linear program) are not known with certainty. Such problems when converted to deterministic equivalent form, were too large to solve in practice. The seminar discusses recent breakthroughs that now make it possible to solve on personal computers important classes of stochastic programs using decomposition and importance sampling. Seminar with presentations by students and invited speakers.
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