Operations Research (LINMA 2491)

Operations Research is a graduate level course on stochastic programming that focuses 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)


  • FAST Toolbox

    The FAST Toolbox is a Matlab toolbox that implements SDDP, which has been developed by former UCLouvain students LĂ©opold Cambier and Damien Scieur.