from March 28 to July 1, 2016
Rio de Janeiro (Brazil)


Stochastic Variational Analysis deals with mathematical models, methods, and theory for decisions under uncertainty. The subject covers a broad spectrum of mathematical theory that has grown in connection with the study of problems of optimization, equilibrium, control, and stability of linear and nonlinear systems. The area emerged in response to the need of solving (generalized) equations systems, optimization and variational problems whose parameters are, in part, uncertain. Problems of this type arise in stochastic optimization, stochastic equilibrium problems, uncertainty quantification, statistical estimation problems that turn up in a broad variety of engineering, economics, finance, energy networks, signal processing, ecology and biological problems.

The thematic program SVAN2016 will be an excellent opportunity to integrate researchers and professionals in the field of Stochastic Optimization, Control, and Variational Analysis, to develop the area in qualitative and quantitative terms in Brazil and Latin America, encouraging undergraduate and graduate students to specialize in the areas covered by the program, presenting problems and discussing solutions, and through contacts with leading researchers in the area.

IMPA will offer scholarships to help the venue of students, specially from Brazil and South America.

Along the three months of the program we plan to have one workshop, one basic course, five mini courses, special talks, and a closing conference.

The program will start with a workshop on Analysis and Applications of Stochastic Systems, to be held on the week of March 28th, 2016. This inaugural workshop will showcase Variational Analysis and Computational Mathematics topics in

  • stochastic networks and games;
  • energy markets and financial mathematics, and
  • the optimal control and optimization of systems subject to uncertainty.

The basic course, taught during the 3 months of the program, will be broadcast using IMPA video system, to reach a maximum number of students. It will cover the basics of Stochastic Programming, both theory and numerical methods.

The five mini courses, of a duration of 1 or 2 weeks each one, will be devoted to the following topics
  • Scenario Generation and Sampling Methods
  • Randomized Methods, Machine Learning, Big Data
  • Equilibrium Routing under Uncertainty
  • Stochastic Variational Inequalities
  • Stochastic Optimal Control
A special talk by R. T. Rockafellar, see details in this link

The program will be closed with the XIV International Conference on Stochastic Programming, ICSP 2016, to be held in Búzios, a charming town 160km from Rio de Janeiro, from June 25th to July 2nd, 2016.

Online user: 1