Stochastic Optimization -- Lecture Notes

56:273

Stochastic Systems

Lecture materials

Topic	Name of file	1 screen / page	4 (or 8) screens/page	Date
Review of Probability	Misc_Prob_Results	X	4	25 Jan
	Leibnitz_Rule	X	4
Decision Analysis	Decision_Analysis_1	X	8
	Decision_Analysis_2	X	8
	Decision_Analysis_3	X	8
Stochastic Processes	Stochastic Processes	X	8	25 Jan
	Bernouilli &Related Processes	X	8	25 Jan
	Poisson Process	X	8	25 Jan
	Properties of Poisson Processes	X	4	28 Jan
Discrete-time Markov chains	DTMC_intro	X	4	28 Jan
	DTMC	X	X
	DTMC_sS	X	4	28 Jan
	DTMC_Insurance	X	4	30 Jan
	Passing_the_Buck	X	4	30 Jan
	MfgSys_Scrap	X	4	30 Jan
	Labatt Brewery Case	X	X
	Failure & Repair	X	X	4 Feb
	Analysis of Geriatric Program	X	X
	Miscellaneous DTMC Models	X	X
Continuous-time Markov chains	Introduction	X	X	4 Feb
	CTMC Examples	X	X	4 Feb
	The Peter Principle	X	X	6 Feb
	Birth-Death Processes	X	X	6 Feb
	M/Ek/1/N/N Queue	X	X	11 Feb
	Bulk-arrival Queue	X	X
	Relaxing the exponential dist'n	X	X	11 Feb
	M/G/1 Queue	X	X
	Classifying queueing models-quiz	X	X	11 Feb
	Networks of queues-- part 1	X	X
	Networks of queues-- part 2	X	X
Dynamic Programming	DP_Index	X	8	13 Feb
	DP_Proto	X	8	13 Feb
	DP_Powerplant	X	8	13 Feb
	DP_Redistricting	X	8	15 Feb
	DP_Redundancy	X	8
	DP_Deterministic_Prodn	X	8	15 Feb
	DP_DetReplace	X	4
	DP_Nim	X	8	15 Feb
	Knapsack_DP	X	8	18 Feb
	DP_Lotsize	X	4
	MultiDim_Knapsack	X	4	18 Feb
	Example_2D_Knap	X	8
	DP_Stoch_Prodn_Plan	X	4	18 Feb
	DP_Casino	X	8
	DP_StochasticReplace	X	8	18 Feb
	DP_2Products	X	X
	American_Put_Option	X	4
	DP_ProcessPlanning	X	X	29 Mar
DP with Quadratic criterion & linear dynamics	QCLD_Intro	X	8	25 Feb
	QCLD_1	X	8	25 Feb
	QCLD_N	X	8	27 Feb
	QCLDAM_Example	X	8	27 Feb
	QCLD_SAM	X	8	27 Feb
Markov Decision Processes	MDP_Introduction	X	8	1 Mar
	MDP_Inventory	X	8
	MDP_Monotone	X	8
	MDP_Intro	X	8	1 Mar
	MDP_LP_Algorithm	X	8	1 Mar
	MDP_Policy_Improvement	X	8
	MDP_Replacement	X	8
	MDP_Prodn_Planning	X	8
	MDP_Machine_Maintenance	X	8
	MDP_Maisies	X	8
	MDP_Batch_Processing	X	8
	MDP_Generators	X	8	6 Mar
	MDP_Taxi	X	X
	MDP_ASM	X	X
	Quiz_Show	X	X
	SMDP_Intro	X	X
Chance-constrained LP	Chance constraints	X	X	27 Mar
Stochastic LP with recourse	Stochastic_LP	X	X
	Stochastic_TP	X	X
	Min_Cost_Net_Flow	X	X
	SLPwR_Intro	X	X
	Newsboy	X	4
	Expected_Shortage	X	X
	SLPw_Simple_R	X	X
	Separable_Programming	X	X
	Separable_Pgmg_Refine	X	X
	SLPwSR_Grid_Refine	X	X
	SLPwR_PAR	X	X
	SLPwR_Farmer	X	X
	StochTransProb_wR- (case of recourse not simple)	X	X
	Benders_Decomposition	X	X
	CPL_via_Benders	X	X
	L_Shaped_Method	X	X
	FARM2_Benders	X	X
	PAR_Benders	X	X
	SLPwR_Giapetto	X	X
	Stochastic_Decomposition (Continuous RVs)	X	X
	STP_Stochastic_Decomposition (Transportation problem)	X	X
	SLPwR_XD (Cross-Decomposition)	X	X
	MultiSLPwR (Multistage Stochastic LP)	X	X
	NestedBenders decomposition of multi-stage recourse problems	X	X
	Asset Liability Mgmt Model (Multistage SLPwR)	X	X

Notes:

The Min_Cost_Net_Flow notes were included to explain the structure of the node-arc incidence matrix of a network so that it can be used in the transformation of the Stochastic Transportation Problem (as explained in Stochastic_TP notes).
The notes Benders_Decomposition and CPL_via_Benders were prepared for a course in Integer Programming, and are not concerned specifically with stochastic programming. The same algorithm is employed in the "L-Shaped" Method for stochastic LP with recourse, including (but not limited to) the case where there are integer restrictions on the first-stage variables.
The notes Separable_Programming and Separable_Pgmg_Refine were prepared for a course in nonlinear programming, and are not concerned specifically with stochastic programming. The methodology will be used for stochastic programming with simple recourse, however.

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Last modified: 17 April 2008