CS 295-9 - Stochastic Optimization
CS 295-9 - Stochastic Optimization
Course Information
Instructor:  Eli Upfal
(eli@cs.brown.edu), CIT 473, x37601
Lecture Place and Hours: 
CIT 506 , T.,Th. 1:00 - 2:20 pm
Outline
This advanced graduate course/seminar will focus on optimization under
uncertainty, or optimization problems where some of the constrains include
random (stochastic) components. Most practical optimization problems are
stochastic (subject to future market conditions, weather, faults, etc.),
and there has been substantial research (both theoretical and experimental) in
efficient solution for such problems. We'll read and discuss some of the
recent works in this area.
Papers :
R. Ravi, and A. Sinha
Hedging Uncertainty
N. Immorlica, D. Karger, M. Minkoff, and V. Mirrokni
On the Costs and Benefits of Procrastination:
Approximation Algorithms for Stochastic Combinatorial Optimization
Problems
B. Dean, M. Goemans, and J. Vondrak
Approximating the Stochastic Knapsack Problem: The
Benefit of Adaptivity
A. Kleywegt, A. Shapiro, A. T. Homem-de-Mello
The Sample Average Approximation Method for
Stochastic Discrete Optimization
S. Ahmed, and A. Shapiro
The Sample Average Approximation Method for
Stochastic Programs with Integer Recourse
H. Yaman, O. Ekin Karasan, and M. C. Pinar
The Robust Spanning Tree Problem with Interval
Data
I. D. Aron, P. Van Hentenryck
On the Complexity of the Robust Spanning Tree
Problem with Interval Data
R. Bent, P. Van Hentenryck
Scenario-Based Planning for Partially Dynamic Vehicle
Routing with Stochastic Customers
R. Bent, P. Van Hentenryck
Regrets Only! Online Stochastic Optimization
under Time Constraints
R. Bent, P. Van Hentenryck
Online Stochastic and Robust Optimization
A. Goel, P. Indyk
Stochastic Load Balancing and Related Problems
D. Bertsimas, A. Thiele
A Robust Optimization Approach to Supply Chain
Management