Stochastic Modeling and Optimization (Master and PhD Program)

(Dr. Miray Öner Közen & Christian Mandl, M.Sc.)

Monday 9:45-11:15 in 0534 & Wednesday 9:45-11.15 in N1090

 

ANNOUNCEMENTS

Final exam on February 6, 9:45-11:15 in room 1180.

Q&A session on January 23: Please send your questions upfront to christian.mandl@tum.de until January 21.

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COURSE DESCRIPTION

  • Uncertainty Modeling: Probability Theory, Stochastic Processes, Fuzzy Set Theory, Newsvendor Problems, Bayes Updating, Forecast Evolution
  • Stochastic Dynamic Programming and Approximate Dynamic Programming
  • Markov Chains and Markov Decision Processes: LP, Value Iteration, Policy Iteration
  • Stochastic Programming: Chance Constrained Programming, Two-Stage Models with Recourse, Sample Average Approximation, Sampling Strategies, Data-Driven Optimization-Machine Learning Interface
  • Simulation Optimization
  • Applications: Queuing Theory, Queuing Networks, Factory Physics, Inventory Theory (Single-Echelon, Multi-Echelon, Stochastic Demand, Stochastic Price)

LEARNING OBJECTIVES

The course focuses on stochastic modeling and optimization methods for decision support and covers recent research contributions in several fields of logistics and operations.

METHODS

The topics of the course will be introduced using state-of-the-art overview articles and then be highlighted by the study of recent research papers in the respective field. The objective is to give both, an overview of research fields, typical research methodology, and to inspire own work in the field.

SOFTWARE

IMPORTANT DATES

  • Lectures start on: 17.10.2018
  • Final exam: 06.02.2019

LITERATURE

  • Tijms, H.C. (2003). A First Course in Stochastic Models. Wiley.
  • King, A.J., Wallace, S.W. (2012). Modeling with Stochastic Programming. Springer.
  • Powell, W. (2011). Approximate Dynamic Programming. Wiley.
  • Kleijnen, J.P.C. (2008). Design and Analysis of Simulation Experiments. Springer.
  • For additional readings please see lecture slides.