Stochastic Programming

Fall 2002

MATP6960

Course basics:

• The Kall and Wallace text is now available for download.
• WRITEUPS can be submitted to me as pdf files, or as hardcopies.
• ANNOUNCEMENT: Unfortunately, Bob Rush has had to CANCEL his talk on Practical Issues in Applying Stochastic Optimization in Finance due to the inclement weather in Massachusetts. Class will still meet as normal, and the seminar will be rescheduled for next semester.
• Course outline.
• Office hours: Tuesday, 2.0 - 4.0.
• Office: Amos Eaton 325
• Phone: (518) 276-6915
• Fax: (518) 276-4824
• Material on reserve in the library. This includes both books and solutions to the homeworks and exams. You can borrow the books for up to an hour. Further, you can borrow the books overnight if you check them out less than an hour before closing time and return them early the following day.
• Student presentations will take place on Wednesday, December 11, from 6.30pm to 9.30pm in DCC 239. WRITEUPS can be submitted to me as pdf files, or as hardcopies. Here are further instructions and here is the list of papers.
• Sections of the text covered in class.
• Resources: people, papers, and other online resources.

Homework:

• Homework 1. Here is some information about AMPL.
  Solutions to questions 1 to 5, plus the model for question 6.
  Solving the model for question 6: AMPL model file, AMPL data file, and results for the stochastic formulation. Value of the stochastic solution.
• Homework 2.
• Homework 3. In question 3, assume the recourse variables y are also nonnegative. Solutions.
• Homework 4. Note: Question 3 has been revised, to make it easier to solve.
• Homework 5. Note: The requirements for questions 3 and 4 were changed on November 4.
• Homework 6. Revised: November 16th and November 17th.
• Homework 7.

Presentations:

• Your presentations are scheduled for Wednesday, 11 December, from 6.30 to 9.30pm. This is the scheduled final exam time for this class.
• Resources: people, papers, and other online resources.