Operations Research is a graduate level course on stochastic programming that was formerly taught by Anthony Papavasiliou at UCLouvain and focused on distributed algorithms that can be used for solving large-scale optimization problems under uncertainty
Video Lectures
Introduction, Capacity Expansion Planning, Uncertainty and Modeling Issues
Uncertainty and Modeling Issues (Part 2)
Value of Information and Value of Stochastic Solution
Lagrange Relaxation
Subgradient Methods
The L-Shaped Method
Multipliers in Software
Multi-Cut L-Shaped Methods, Multistage Stochastic Programs
Nested Decomposition
Nested Decomposition (Part 2)
Stochastic Dual Dynamic Programming
Monte Carlo Methods
Dantzig-Wolfe Decomposition
Dantzig-Wolfe Decomposition (Part 2)
Software
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FAST Toolbox
The FAST Toolbox is a Matlab toolbox that implements SDDP, which has been developed by former UCLouvain students Léopold Cambier and Damien Scieur.