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M2 Optimization

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``Stochastic Optimization''


Pierre Carpentier and Vincent Leclère

The course was given for several years in the M2 Optimization as an introductory course to stochastic optimization.


The course presents both theoretical and numerical aspects of decision problems with uncertainty, where one sets a probabilistic framework in order to minimize the expectation of a cost. Two directions are explored:

Such problems are of course well-motivated by decision problems in the industry. They also have a deep mathematical content, especially in the dynamic case when only the past information is available. In this setting the decision is a function in a high dimensional space and therefore the numerical aspects also are challenging.


Course resources

External resources

Page managed by P. Carpentier (last update: July 06, 2021)