Stochastic Optimization

Description

This a master level course on stochastic optimization in two parts, being given at ENSTA - Saclay as part of the Master Optimization of Université Paris Saclay.

Stochastic gradient and extensions - O. Fercoq

  1. Wednesday 24/11, 9h00-11h45, Room 2151, Introduction
  2. Wednesday 01/12, 9h00-11h45, Room 2151, Stochastic Gradient
  3. Wednesday 08/12, 9h00-11h45, Room 2151, Stochastic variance reduced gradient
  4. Wednesday 15/12, 9h00-11h45, Room 2151, adaptative step-sizes
  5. Wednesday 05/01, 9h00-11h45, Room 2151, coordinate descent
  6. Wednesday 12/01, 9h00-11h45, Room 2151
  7. Wednesday 19/01, 9h00-11h45, Room 2331
Some documents :
  1. courses notes
  2. exercises
  3. practical work

Stochastic and dynamic programming - V. Leclere

Printable handout
  1. Wednesday 24/11, 13h30-16h15, Room 2331, Convex optimization tools for stochastic optimization slides
  2. Wednesday 01/12, 13h30-16h15, Room 2331, Probability tools for stochastic optimization slides
  3. Wednesday 08/12, 13h30-16h15, Room 2331, Stochastic Programming : Two-stage case slides
  4. Wednesday 15/12, 13h30-16h15, Room 2331, Dynamic programming and Bellman operators slides
  5. Wednesday 05/01, 13h30-16h15, Room 2212, Stochastic Programming : decomposition methods slides
  6. Wednesday 12/01, 13h30-16h15, Room 2330, Stochastic Dual Dynamic Programming slides
  7. Wednesday 19/01, 13h30-16h15, Room 2330, Exam

Practical work

Github link

Past exam

References