BEA512 Modeling Decision Problems under Uncertainty
The course will give the students in-depth knowledge of how to include uncertainty into mathematical planning models, with a focus on mathematical programming. There will be an emphasis on how to model uncertainty to obtain meaningful models for planning purposes within logistics / supply chains as well as resource planning. Basic algorithmic structures will also be presented, but the course is primarily modeling oriented, not algorithmically oriented.
The course will cover:
- The role of what-if analysis and parametric optimization in decision-making under uncertainty
- How to handle feasibility in optimization under uncertainty
- Basic algorithmic structures for stochastic programming
- Scenario generation, that is, how to represent uncertainty in mathematical programming models
- Alternative modeling concepts for handling uncertainty
- Stochastic network design
- Stochastic facility layout
- Examples from energy systems modeling and logistics
Knowledge: Upon completion the student
- has advanced knowledge about how uncertainty can be included in optimization models
- can identify the main algorithmic approaches to stochastic programming
- can model uncertain phenomena so that they fit into stochastic programs
Skills: Upon completion the student
- can argue coherently about uncertainty in mathematical programming models
- can evaluate the appropriateness of tools when setting up models
General competence: Upon completion the student is
- can apply his/her knowledge and skills to formulate, understand and solve stochastic programming problems
Lectures and student presentations. All teaching takes place during one week, be that in Bergen, Trondheim or Copenhagen.
The course is open to external PhD-students. But notice the background requirements. Internal Master students can check with the instructor if they have enough background.
It is necessary with solid knowledge of standard optimization theory, especially linear programming. Experience with stochastic programming is not expected.
Basic knowledge of mathematical programming modeling
Attendance is required.
Each student must hand in a term paper after the course is finished, where the theories of the course are used on a mathematical programming model, preferably one the student is already working with in his / her thesis. Deadline will be end of January.
Compulsory activities (work requirements) is valid for one semester after the semester it was obtained. Re-take is offered the semester after the course was offered for students with valid compulsory activities (work requirements).
It is an advantage to know advanced modeling languages, such as AMPL, MPL or GAMS, but not required. But this will not be taught. A good basis would be BAN402 or something equivalent.
Alan King and Stein W. Wallace, Modeling with stochastic programming, Springer, 2012.
Peter Kall and Stein W. Wallace, Stochastic Programming, Wiley, Chichester, 1994. Available for free.
Articles published in scientific journals.
- ECTS Credits
- Teaching language
Autumn. Not offered autumn 2023. For 2023 students are referred to a similar course at NTNU and for 2024 at The University of Copenhagen. Please make contact with Professor Stein W. Wallace if you wish to take the course in Trondheim or Copenhagen.
Stein W. Wallace, Department of Business and Management Science