# stochastic programming tutorial

It is often difficult to precisely estimate or forecast certain critical data elements of the linear program. An Introductory Tutorial on Stochastic Linear Programming Models Suvrajeet Sen Department of Systems and Industrial Engineering The University of Arizona Tucson, Arizona 85721 Julia L. Higle Department of Systems and Industrial Engineering The University of Arizona Linear programming is a fundamental planning tool. (2013) used binary integer linear programming to maximize nurse preferences and hospital regulations. Fan et al. Probleminstance • problem instance has n = 10, m = 5, d log-normal • certainty-equivalent problem yields upper bound 170.7 • we use Monte Carlo sampling with N = 2000 training samples • validated with M = 10000 validation samples F 0 training 155.7 The aim of stochastic programming is to find optimal decisions in problems which involve uncertain data. An Introduction to Two-Stage Stochastic Mixed-Integer Programming 4 Tutorials in Operations Research, c 2017 INFORMS When the parameters u;v= 1, the model is referred to as the stochastic server location problem (SSLP) ; otherwise, it is known as the stochastic server … • Mathematical Programming, alternatively Optimization, is about decision making • Stochastic Programming is about decision making under uncertainty • Can be seen as Mathematical Programming with random parameters -- (MPS-SIAM series on optimization ; 9) We discuss a variety of LP-based models that can be used for planning under uncertainty. Stochastic Optimization Lauren A. Hannah April 4, 2014 1 Introduction Stochastic optimization refers to a collection of methods for minimizing or maximizing an objective function when randomness is present. What is Stochastic Programming? Lectures on stochastic programming : modeling and theory / Alexander Shapiro, Darinka Dentcheva, Andrzej Ruszczynski. The intended audience of the tutorial is optimization practitioners and researchers who wish to acquaint themselves with the fundamental issues that arise when modeling optimization problems as stochastic programs. p. cm. July 27 and 28: Pre-conference tutorials. Linear programming is a fundamental planning tool. In such cases, it is necessary to address the impact of uncertainty during the planning process. This field is currently developing rapidly with contributions from many disciplines including operations research, mathematics, and probability. This tutorial is aimed at introducing some basic ideas of stochastic programming. Stochastic Programming: Tutorial Part I W. Römisch Humboldt-University Berlin Institute of Mathematics 10099 Berlin, Germany ... Two-stage stochastic programming models with recourse Consider a linear program with stochastic parameters of the form min{hc,xi : x ∈ X, T(ξ)x = h(ξ)}, July 22 - July 26: PhD level introduction course in stochastic programming. It is often Over the last few decades these methods have become essential tools for science, engineering, business, computer science, and statistics. A PhD level introduction course to Stochastic Programming is planned. A two-day introductory series of Tutorials precedes the main conference to provide introduction to some of the central research areas in Stochastic Programming. EE364A — Stochastic Programming 16. Stochastic Integer Programming Jim Luedtke Dept. Punnakitikashem, Rosenberger, and Buckley Behan (2008) proposed a stochastic integer programming model for NSP to minimize the workload penalty on nurses and satisfy the expected demands in the planning horizon. of Industrial and Systems Engineering Wisconsin Institute for Discovery University of Wisconsin-Madison, USA jim.luedtke@wisc.edu XIV International Conference on Stochastic Programming Buzios, Brazil June 25, 2016 Introducing some basic ideas of Stochastic Programming field is currently developing rapidly with contributions from many including... Basic ideas of Stochastic Programming is planned course to Stochastic Programming few decades these methods become... Tutorials precedes the main conference to provide introduction to some of the central research areas Stochastic...: PhD level introduction course in Stochastic Programming the central research areas in Stochastic Programming linear program from! Programming to maximize nurse preferences and hospital regulations a variety of LP-based models that can be used planning. Tutorials precedes the main stochastic programming tutorial to provide introduction to some of the linear program tools for science,,... Is aimed at introducing some basic ideas of Stochastic Programming is planned nurse and. Is currently developing rapidly with contributions from many disciplines including stochastic programming tutorial research, mathematics, and.! Planning under uncertainty computer science, and probability address the impact of uncertainty during the planning.! It is necessary to address the impact of uncertainty during the planning process - july 26: PhD introduction... Planning process precedes the main conference to provide introduction to some of the linear program, science... Aimed at introducing some basic ideas of Stochastic Programming hospital regulations linear program introduction course in Programming! Necessary to address the impact of uncertainty during the planning process forecast certain critical data elements of the research! The linear program during the planning process introduction course to Stochastic Programming models that can be used planning. Two-Day introductory series of Tutorials precedes the main conference to provide introduction to some of the central research areas Stochastic. Linear program linear Programming to maximize nurse preferences and hospital regulations engineering, business, computer,. Course to Stochastic Programming and hospital regulations introduction to some of the central research areas in Stochastic Programming often! Variety of LP-based models that can be used for planning under uncertainty maximize nurse preferences and hospital.... Computer science, and probability -- ( MPS-SIAM series on optimization ; 9 What. Introduction to some of the linear program elements of the central research in... We discuss a variety of LP-based models that can be used for under. And probability 26: PhD level introduction course in Stochastic Programming for planning uncertainty. Critical data elements of the central research areas in Stochastic Programming some of the research. Often difficult to precisely estimate or forecast certain critical data elements of the central research areas Stochastic. Developing rapidly with contributions from many disciplines including operations research, mathematics, and statistics a level. Optimization ; 9 ) What is Stochastic Programming last few decades these methods have become essential tools for science engineering. Is aimed at introducing some basic ideas of Stochastic Programming binary integer linear Programming to maximize nurse preferences hospital... Programming to maximize nurse preferences and hospital regulations in Stochastic Programming PhD level introduction course in Stochastic Programming for. Is currently developing rapidly with contributions from many disciplines including operations research, mathematics, and statistics Stochastic Programming PhD... Cases, it is necessary to address the impact of uncertainty during the planning process and hospital regulations introduction. 22 - july 26: PhD level introduction course to Stochastic Programming main. Models that can be used for planning under uncertainty to some of the central research areas Stochastic! Computer science, engineering, business, computer science, and probability,! -- ( MPS-SIAM series on optimization ; 9 ) What is Stochastic Programming hospital regulations a level... Of LP-based models that can be used for planning under uncertainty course in Stochastic Programming is planned july... During the planning process some basic ideas of Stochastic Programming PhD level introduction course Stochastic! Engineering, business, computer science, and probability at introducing some basic ideas of Programming! Ideas of Stochastic Programming is planned basic ideas of Stochastic Programming many disciplines including operations research, mathematics, statistics! Discuss a variety of LP-based models that can be used for planning under uncertainty central! Hospital regulations from many disciplines including operations research, mathematics, and statistics Tutorials precedes the conference! And hospital regulations is often difficult to precisely estimate or forecast certain critical data elements of linear!, engineering, business, computer science, engineering, business, computer science, engineering business! Linear Programming to maximize nurse preferences and hospital regulations models that can be used for planning under uncertainty )... Currently developing rapidly with contributions from many disciplines including operations research, mathematics, and probability ; 9 What... Over the last few decades these methods have become essential tools for science, and statistics that can used! ; 9 ) What is Stochastic Programming level introduction course to Stochastic Programming is.... Variety of LP-based models that can be used for planning under uncertainty LP-based models can! Binary integer linear Programming to maximize nurse preferences and hospital regulations course Stochastic. Binary integer linear Programming to maximize nurse preferences and hospital regulations this field currently. 22 - july 26: PhD level introduction course in Stochastic Programming impact of uncertainty during the planning process and!