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15.094

Robust Modeling, Optimization, and Computation

4-0-8 units · Graduate

Introduces modern robust optimization, including theory, applications, and computation. Presents formulations and their connection to probability, information and risk theory for conic optimization (linear, second-order, and semidefinite cones) and integer optimization. Application domains include analysis and optimization of stochastic networks, optimal mechanism design, network information theory, transportation, pattern classification, structural and engineering design, and financial engineering. Students formulate and solve a problem aligned with their interests in a final project.

Spring 2004 · Systems Optimization: Models and Computation (SMA 5223)

Topics

  • Overview of Optimization Models; and Radiation Therapy
  • Computer Solution and Issues in Solving Linear Optimization
  • Applied Lagrange Duality
  • Simple Routines for Optimization
  • Telecommunications Systems Design Problem
  • Column Generation, I
  • Column Generation, II
  • Discrete Optimization, I
  • Convex Constrained Optimization Models
  • Discrete Optimization, II
  • Discrete Optimization, III
  • Pattern Classification: Separable Problems
  • Pattern Classification and QP Methods, I
  • QP and Nonlinear Methods, II
  • E-commerce Application
  • Truss Design and SOCP, I
  • Truss Design and SOCP, II
  • Issues in Non-Convex Optimization
  • Stochastic Linear Optimization, and Extensions
  • Stochastic LP and Benders Decomposition
  • Semi-Definite Optimization, I
  • Semi-Definite Optimization, II
  • Traffic Control Models, I
  • Traffic Control Models, II

Readings

Prerequisites & course information

Same subject as 1.142[J] Prereq: 18.06 or permission of instructor G (Spring) 4-0-8 units

Sources