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Technische Universität München, Zentrum Mathematik

Hauptseminar

Robust and Stochastic Optimization

Prof. Dr. Michael Ulbrich

Dr. Sebastian Albrecht, Dr. Florian Lindemann

Winter semester 2014/15


Seminar content - News - Application - Dates - Hints for your talk


Seminar content

In practice the formulation of optimization problems often depends on uncertain data like measured data, model parameters or predictions. There a various possibilities to consider these uncertainties in the optimization model. Robust optimization is a deterministic approach that deals with confidence regions and worst case estimates for the objective and the constraints. On the other hand, in stochastic programming the uncertainty is modeled by random variables using probability distributions, expected values and risk measures. In this seminar we focus on both approaches, robust and stochastic optimization, to solve optimization problems with uncertainties.

News

22.01.2014 Two announcements of upcoming events:
a computer course on nonlinear optimization software is given before the summer term and in the next semester the course case studies of nonlinear optimization is available.
There teams of 4 to 5 people address real-world optimization problems. Note that a registration for that course is mandatory before 1st March. A preliminary meeting takes place next Wednesday at 16:30 in room MI 00.07.014.
17.10.2014 A timetable for the talks of the seminar is available here.
15.10.2014 Currently we try to get a room for Thursdays 14:00 - 16:00 and on some occasions for Friday 14:00 - 16:00. All participants will be informed of the dates for the talks as soon as the rooms are fixed.
24.09.2014 All participants of the seminar should have received an email including a seminar topic list. If you have registered for the seminar but no email please contact albrechtematma.tum.de.
24.09.2014 A kick-off meeting for our seminar will be on Thursday 09th October at 14:15 in room MI 02.10.011, where we discuss the organization of the seminar and assign the topics of your talks.

Application

Application for this seminar was possible using TUMonline until July. Further informationen is available here: http://www.ma.tum.de/Studium/HauptSeminareMaster.

Dates

Date   Time   Name   Title   Room
Thu, 27.11.14   14:00 - 15:00   Stefan Seichter   Overview of theory an applications of robust optimization   MI 02.07.023
Thu, 27.11.14   15:00 - 16:00   Tobias Reinerth   Stochastic programming models   MI 02.07.023
Fri, 05.12.14   14:00 - 15:00   Florian Ionescu   Robust linear optimization with general convex uncertainty sets   MI 02.08.011
Fri, 05.12.14   15:00 - 16:00   Pablo Moreno Um   Two-stage problems in stochastic programming   MI 02.08.011
Fri, 12.12.14   15:00 - 16:00   Matthias Fröhlich   Multistage problems in stochastic programming   MI 02.08.011
Fri, 19.12.14   14:00 - 15:00   Lukas Hertlein   Approximation techniques for robust optimization   MI 02.08.011
Fri, 19.12.14   15:00 - 16:00   Korbinian Schlautkötter   Robust conic optimization   MI 02.08.011
Thu, 08.01.15   14:00 - 15:00   Daniel Schlosser   Nonconvex robust optimization for problems with constraints   MI 02.07.023
Thu, 08.01.15   15:00 - 16:00   Johannes Probst   Risk averse stochastic optimization   MI 02.07.023
Thu, 15.01.15   14:00 - 15:00   Stanislas Chambon   Nonlinear robust optimization via sequential convex bilevel programming   MI 02.07.023
Thu, 15.01.15   15:00 - 16:00   Thomas Kuppelwieser   Risk-aware power network control under uncertaincy   MI 02.07.023
Thu, 22.01.15   canceled   Vadim Gorski   Robust optimization approach to portfolio management   MI 02.07.023
Thu, 22.01.15   14:00 - 15:00   Maximilian Sölch   Stochastic approximation approach   MI 02.07.023

Hints for your talk

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