course-details-portlet

IØ8404

Advanced Stochastic Optimization

Choose study year
Credits 5
Level Doctoral degree level
Course start Autumn 2025
Duration 1 semester
Language of instruction English
Location Trondheim
Examination arrangement Assignment

About

About the course

Course content

The course provides knowledge of advanced models and methods for optimization under uncertainty. The course covers the following topics:

  • Risk-averse stochastic optimization
  • Distributionally robust stochastic optimization
  • Mixed-integer stochastic optimization
  • Stochastic optimization with endogenous uncertainty
  • Implementing stochastic optimization models using appropriate software
  • Applications of stochastic optimization in, e.g., energy

Learning outcome

The course is designed for PhD students who work with theoretical and practical optimization problems under uncertainty, in industry and services.

The course will convey the following knowledge: The theoretical foundation necessary for formulation, analysis and solution of stochastic programming problems and relevant applications. The knowledge necessary to conduct research in the field of optimization under uncertainty. The course builds on and extends IØ8403 Stochastic Optimization, focusing more on advanced models and software.

The course will develop the following skills: Training to build and solve optimization models for solution of planning and economic problems under uncertainty.

Learning methods and activities

Lectures and non-obligatory exercises. The course can be given in form of intensive lectures with several hours per day, several days per week, during a limited number of weeks in the semester.

Required previous knowledge

Master of Science in Industrial Economics and Technology Management, or similar.

Course materials

Given at the beginning of the semester.

Credit reductions

Course code Reduction From
IØ8401 5 sp Autumn 2023
This course has academic overlap with the course in the table above. If you take overlapping courses, you will receive a credit reduction in the course where you have the lowest grade. If the grades are the same, the reduction will be applied to the course completed most recently.

Subject areas

  • Managerial Economics, Finance and Operations Research
  • Industrial Economics and Technology Management
  • Business Economics
  • Operations Research

Contact information