Module Handbook

  • Dynamischer Default-Fachbereich geändert auf MAT

Course MAT-52-16-K-7

Robust Optimization (4V+2U, 9.0 LP)

Course Type

SWS Type Course Form CP (Effort) Presence-Time / Self-Study
- K Lecture with exercise classes (V/U) 9.0 CP 186 h
4 V Lecture 56 h
2 U Exercise class (in small groups) 28 h
(4V+2U) 9.0 CP 84 h 186 h

Basedata

SWS 4V+2U
CP, Effort 9.0 CP = 270 h
Position of the semester 1 Sem. irreg.
Level [7] Master (Advanced)
Language [EN] English
Lecturers
+ further Lecturers of the department Mathematics
Area of study [MAT-OPT] Optimisation
Additional informations
Livecycle-State [NORM] Active

Contents

  • modelling with robust optimization,
  • modelling and concepts of uncertainty set,
  • model reformulations in solvable problems.
  • problem complexities,
  • linear, non-linear and integer optimization in robust optimization,
  • application to combinational problems,
  • approaches from robust optimization: Soyster approach for uncertain problems; strict robustness; robust regularization; minimax regret approach; adjustable robustness; approach by Bertsimas and Sim; recoverable robustness.

Literature

  • A. Ben-Tal, L. El Ghaoui, A. Nemirovski: Robust Optimization,
  • P. Kouvelis, G. Yu: Robust Discrete Optimization and Its Applications.

Materials

Further literature will be announced in the lecture.

References to Course [MAT-52-16-K-7]

Module Name Context
[MAT-52-16-M-7] Robust Optimization P: Obligatory 4V+2U, 9.0 LP