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

BAS: Basic course on SP > Description

The 3 professors

Welington de Oliveira, Juan Pablo Luna, Claudia Sagastizábal

From March to June, 2016

Lectures will be on Tuesdays and Thursdays from 13h30 to 15h (Rio local time) in room 232. The first lecture will be on March 8th.

Those who will follow the course via teleconference should access the link: (tab "Live")

IMPORTANT: for best viewing, click on the Settings Icon in the YouTube bottom bar, and set the resolution to 480p

Recorded lectures will be available on the IMPA's youtube channel:, accessing the menu "Vídeos", then tab 2016, and course's name.

Interested students are required  to access the link
and officially register to the "Basic Course on Stochastic Programming".

Registration requires a login that can be created on the same page. Information is available in Portuguese, Spanish and English.

Contents: this IMPA Master and PhD course will consist of 40 hours of lectures and 20 hours of computational practice on the topics below:

1. Stochastic Programming, motivation
2. Revision of topics on convex analysis, measure and probability theory
3. Two-Stage Programming: Theory and Algorithms
4. Multi-Stage Programming: Theory and Algorithms
5. Risk Averse Optimization
6. State-of-the-art methods


Lectures on Stochastic Programming: Modeling and Theory, by Alexander Shapiro, Darinka Dentcheva and Andrezj Ruszczynski,SIAM, Philadelphia, 2009. (Available for download on the authors webpage)

Stochastic Programming, vol 10 of Handbooks in Operations Research and Management Sciences, by Alexander Shapiro and Andrezj Ruszczynski, Elsevier, 2003.

Stochastic programming, by Peter Kall, Stein W. Wallace, Wiley, 1994


Selected related papers will be suggested along the course



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