Module 1: Introductory + Recourse Problems

Lecture #1

• Overview and introduction
• Recourse problems- agricultural example & extensions (Birge & Louveaux, Chapter 1)
  -Power Market Examples (Conejo et al., Chapter 2)
• Initial discussions of expected value of perfect information (EVPI) & value of the stochastic Solution (VSS) [Birge & Louveax Chapters 1 & 4, Conejo et al., Chapter 2)
• Two-stage programs with recourse: Basic Properties and Theory [Birge & Louveaux, Chapter 3]
• Risk Measures [Conejo et al., Chapter 4] & Multiobjective optimization (other sources)
• Solving recourse problems: Benders decomposition and L-Shaped Method (and discussion of Dantzig-Wolfe method) [Birge and Louveaux, Chapter 5 + other sources, see Lecture 0]

Lecture #3 
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Lecture #4
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Lecture #5
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Lecture #6
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Lecture #7

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HW#1 due March 8, 2021, 9am Maryalnd time

HW#2 assigned

SPRING BREAK

Exam to cover module 1 topics

Module 2: Chance-Constrained Optimization

Lecture #8

• Chance-Constrained Programming and Reliability Programming (no recourse)
• Connection to second-order cone programming (SOCP)
• In-class exam (lecture 11)
• Handouts & Vajda text

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Lecture #9
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HW#2 due April 5, 2021, 9am Maryalnd time

course project assigned

Lecture #10

Module 3: Robust Optimization

Lecture #11

• Finish up chance-constrained optimization (as needed)
• Robust optimization (Examples, motivation, tractability), connection with chance-constrained optimization
  

course project proposals due

Lecture #12
Robust optimization (Examples, motivation, tractability)

course project meetings with Dr. Gabriel

Lecture #13
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course project due including: report and in-class presentations (time permitting)

course project due