TKK / Institute of Mathematics / Teaching /

Contents: Stochastic programming studies minimization problems where the decision variable is a stochastic process adapted to a given stochastic process that models the development of uncertain data in a decision problem. This framework covers many real-life problems where some of the data is unknown when decisions have to be made. In recent years, successful applications have been implemented for asset-liability management of banks and insurance companies, production planning in the energy sector, pricing and hedging of financial instruments under portfolio constraints and transaction costs etc. Stochastic programming is also a source of many new challenges to mathematicians and engineers. The construction of stochastic programming models in practice and their numerical solution requires a variety of techniques from stochastics, optimization, convex analysis, numerical analysis and computer science. The aim of this course is to give an introduction to this new field of applied mathematics.

Preliminaries: Principles of analysis on the level of Mat-1.015 Foundations of Modern Analysis. An introductory course in probability, such as Mat-1.2600 Applied Probability A or Mat-1.503 Introduction to Stochastics is recommended.

Lectures: Lectures Wed 10-12 U356. First lecture Wed 13.9.2006.

Exercises: Tuesdays 10.15-12.00 at Y429a. First exercises on 26.9. The exercises are distributed the week before at the lectures and they are downloadable from the course home pages. Exercises count as bonus points in the final exam, the exact compensation will be announced later. If one can not attend to the exercises, it is possible return them before the session to the paper tray (stoc. opt), that can be found in front of U345. The returned exercises must be clearly and promptly done to get the bonus points.

Teachers: The lectures are given by docent Teemu Pennanen and the exercises by Ari-Pekka Perkkiö.

Material: Lectures notes.

Completion: The course is completed by passing an exam. The first exam is on 5.12.2006, 09.00-12.00 at Y427b. Registration by email to aperkkio@cc.hut.fi. The lecture notes are allowed in the exam. The solutions to the exercises can be found from the library (3rd floor, main building). The course is worth 4 credit points. The course is eligible for postgraduate studies.

Enrollment: You can enroll to the course during the first lecture, or alternatively by sending email to the teaching assistant.