Ppt on operation research in linear programming

1 Integration of Artificial Intelligence and Operations Research Techniques for Combinatorial Problems Carla P. Gomes Cornell University

CS AI OR CS 3 Integration of Artificial Intelligence & Operations Research Techniques AI Representations Constraint Languages Logic Formalisms Object-Oriented Prog. Bayesian Nets Rule Based Systems Tools Constraint Propagation Systematic Search Stochastic Search Pros / Cons Rich Representations Computational Complexity OR Representations Mathematical Modeling Languages Linear & Non-linear (In)Equalities Tools Linear Programming Mixed-Integer Prog. Non-linear Models Pros / Cons More Tractable (LP) Primarily/

FMCAD 2009 Tutorial Nikolaj Bjørner Microsoft Research.

Bjørner Microsoft Research Tutorial Contents Bit-vector decision procedures by categories Bit-wise operations Vector Segments Bit-vector Arithmetic Fixed size Parametric, non-fixed size Some Bit-precise Microsoft Engines: -PREfix: The Static Analysis Engine for C/C++. -Pex: Program EXploration for./program variables. A matrix, b vector of coefficients [0.. 2 m -1] When at ℓ 2 : y is 0. c contains number of bits in x. ℓ 0 : y  x; c  0; ℓ 1 : while y != 0 do [ y  y&(y-1); c  c+1 ] ℓ 2 : States are linear/

Linear Programming – Simplex Method

find the new bfs with the better objective function value. Go back to step 3. Operations Research, Wayne L. Winston Linear Programming – Simplex Method Review Simplex Handouts Linear Programming – Simplex Method Minimization Problems: Min Z = cx  (-) Max Z = -cx /+ 2x2 < 5 2x1 - 3x3 > 10 x1, x2, x3 > 0 Linear Programming – Simplex Method: Computational Problems Breaking Ties in Selection of Non-Basic Variable – if tie for non-basic variable with largest relative profit ( ), arbitrarily select incoming/

Introduction to Process Integration

simultaneous consideration of Process Integration and Control). The Centre is also an important contributor in the area of integration and operation of batch processes Current research in Process Integration Integrated batch processing Design and management of integrated Supply Chain processes Uncertainty and operability in process design Formulation of mathematical programming models to address problems in process synthesis and integration Consortium: Process Systems Engineering (PSE) with 17 members (2003/

1 An Overview of Trilinos Mark Hoemmen Sandia National Laboratories 30 June 2014 Sandia is a multiprogram laboratory managed and operated by Sandia.

in terms of vectors, vector spaces, and linear operators Example Linear ANA (LANA) : Linear Conjugate Gradients ANAs can be very mathematically sophisticated! ANAs can be extremely reusable! Linear Conjugate Gradient Algorithm Types of operations Types of objects linear operator/code to spit them out. More research end. Stratimikos Phalanx Field Manager Sacado/Package leads: Mike Heroux, Mark Hoemmen (many developers) A Simple Epetra/AztecOO Program // Header files omitted… int main(int argc, char *argv[]) { /

IndE 310 Linear Programming

Linear Programming Stochastic Programming Forecasting Integer Programming Decision Analysis Nonlinear Programming Game Theory Operations Research Modeling Toolset 311 Queueing Theory 310 Markov Chains PERT/ CPM Network Programming Dynamic Programming Simulation Markov Decision Processes Inventory Theory Linear Programming 312 Stochastic Programming Forecasting Integer Programming Decision Analysis Nonlinear Programming/function Constraints Deriving solutions A common theme in O.R.: Search for an optimal /

Logics, Automata, and Algorithms for Analysis of Structured Programs Rajeev Alur University of Pennsylvania Marktoberdorf Summer School, August 2006.

Machines  Reachability Algorithms  Theory of Nested Words  Fair Cycle Detection Algorithms  Linear Temporal Logic CaRet  Theory of Nested Trees  Fixpoint Logic NT-mu Nested Trees / and modalities for concatenation? Proposal: NT-mu. <>f f Operations on Summaries local s u s Formulas  sets of summaries /with Chaudhuri and Madhusudan; CAV’06) Available on my webpage Research in Software Model Checking  Convergence of program analysis and model checking  Efficient ways for property-guided abstraction/

- H. Neal Presentation at NEPPSR August 21st, 2003 by Professor Homer Neal (Yale) What is a linear collider and what can it do The role of a LC in the.

TO LARGE-SCALE FACILITIES thereby ensuring Germanys international top position in basic research [Edelgard Bulmahn is the minister for research. There are four paragraphs in which she says how important basic research in science is for Germany. I dont have time to / the U.S. program be a high-energy, high-luminosity, electron-positron linear collider, wherever it is built in the world. This facility is the next major step in the field and should be designed, built and operated as a fully international/

GLAST LAT Project CAL Peer Design Review, Mar 17-18, 2003 J. Ampe Naval Research Lab Washington DC GLAST Large Area Telescope Calorimeter Subsystem Gamma-ray.

50 degrees C –The performance specifications of flight units shall be achieved over the operational temperature range of –10 to +25 degrees C  Radiation Susceptibility –The /run  GCFEv8 Submitted Aug 02 –Output buffer gain increase to get 2.5V linear output range –Add circuit for automatic preamp reset actuation. Modify Autoreset trigger gating /CALROWCALROW DAC Programming (Packaged in 80 pin QFP, 14 mm sq) GLAST LAT Project CAL Peer Design Review, Mar 17-18, 2003 J. Ampe Naval Research Lab Washington /

Abstract. FPGA Implementation Of Non Linear Filters For Image Processing Mr. Hirschl Boaz Guide : Prof L. P. Yaroslavsky.

Research Research goals Related work Algorithms Conclusion Results Demo Bibliography Non Linear Filters topics Unified approach - definitions What is a window Example of Sliding window Types of non linear filters Neighborhood & Estimation Non linear filters examples Image enchantment Histogram equalization Other Unification approach definition Filters work in a moving window. For each window a filter generate output value by means of a certain estimation operation/“ High Level Programming for Real Time FPGA/

Optimization in Engineering Design Georgia Institute of Technology Systems Realization Laboratory 1 Optimization in Engineering Design ME 6103 (used to.

with their iterative processes (i.e., the repeated performance of a relatively simple set of operations) Optimization in Engineering Design Georgia Institute of Technology Systems Realization Laboratory 13 The Computer and Linear Programming Consider the case of Linear Programming (more in later lectures): The first large scale computer became a practical reality in 1946 at the University of Pennsylvania. This was just one year before the development of/

Technical Division/Accelerator Research Departments A & B SLAC Annual Program Review April 9-11, 2003 1 Advanced Accelerator R&D Accelerator Research Departments.

Roger Jones Jim Lewandowski Roger Miller Juwen Wang Nicoleta Baboi Gordon Bowden Technical Division/Accelerator Research Departments A & B SLAC Annual Program Review April 9-11, 2003 27 Mission We design, engineer and test accelerator structures for future linear colliders operating under extremely high gradient conditions with superior properties in higher modes suppression. The activities Accelerator Theoretical Studies. Simulation and Computer Aided Accelerator Design. Mechanical/

Using Industrial Engineering/Operations Research Modeling Tools in Public Health DIMACS/MBI US - African BioMathematics Initiative: Advanced Study Institute.

CDC Preparedness Modeling Unit Industrial/Systems Engineer –Linear Programming –Simulation/Queuing –Logistics –Other research Proposed issues “Don’t need to model” projects Linear Programming Linear Integer and binary Quadratic Conic Mixed Linear Programming Probably the number one operations research tool used Great for scheduling, determine product mix, and other things How is it being used in relationship to vaccinations? Scheduling Vaccine Age Birth 1 mo 2 mos 4 mos Hepatitis B/

The Berkeley View: A New Framework & a New Platform for Parallel Research David Patterson and a cast of thousands Pardee Professor of Computer Science,

Related Approaches  Potential to Accelerate MP & NonMP Research Conclusion 33 1. Algorithms, Programming Languages, Compilers, Operating Systems, Architectures, Libraries, … not ready for 1000/-tuner  search HW and algorithm space “Multiprocessor Research Watering Hole” ramp up research in multiprocessing via common research platform  innovate across fields  hasten sea change/  8 Structured grid 3 using Adaptive Mesh Refinement  2 Sparse linear algebra  2 Particle methods  5 TBD: Ray tracer, Speech /

TexPoint fonts used in EMF. Read the TexPoint manual before you delete this box.: A A Sumit Gulwani (Microsoft Research, Redmond, USA) Symbolic Bound Computation.

SMT Solvers; Lahiri, Qadeer; POPL ‘08 –Reachability A Numerical Abstract Domain Based on Expression Abstraction and Max Operator with Application in Timing Analysis; Gulavani, Gulwani; CAV ‘08 –Non-linear operators 41 Logic: References Identify a class of programs that make use of domain-specific constructs. –E.g., Programs manipulating bit-vectors, strings. Develop a language of facts with following properties: –Can describe useful properties of those/

Linear Programming Fellow: Brooke Odle Teacher: Maria Sanchez School: St. Vincent Academy January 10, 2012.

the maximum or minimum of a function for a region defined by inequalities How is Linear Programming used in the Real World? Linear programming is used whenever one is interested in maximizing profit and minimizing costs. Fields that use linear programming include: – Business & Management – Telecommunications – Math & Industrial Engineering (Operations Research) – Manufacturing &Transportation – Scheduling Linear Programming Procedure 1. Define the Variables 2. Write a system of inequalities 3. Graph the/

Teaching Linear Algebra: Technology and Resources Leslie Hogben Iowa State University, USA 3rd University Mathematics Courses Forum Chengdu, China November.

told to: Mathematica : Matrix operations Mathematica: Menus exist but are /in other fields  Math 317 is a first linear algebra course for math majors and emphasizes proof writing but is matrix oriented and uses technology  Math 471 is numerical linear algebra Teaching Linear Algebra Research  US-NSF Research Experiences for Undergraduates (REU) program  ISU combinatorial matrix theory research group  US-NSF Research Experiences for Undergraduates (REU) program  ISU combinatorial matrix theory research/


decision problem under the limiting factor of limited resources Modern technological advance growth of scientific techniques Operations Research (O.R.) recent addition to scientific tools O.R. new outlook to many conventional / INTRODUCTION TO LINEAR PROGRAMMING Today many of the resources needed as inputs to operations are in limited supply. Operations managers must understand the impact of this situation on meeting their objectives. Linear programming (LP) is one way that operations managers can determine/

OPERATIONS RESEARCH Session I – Introduction to OR and Business Application.

.” – Kimball and Morse OR – Industry Scope Defense Operation - Linear Programming, Game theory, and inventory models etc. Industry - decision trees, inventory model, Linear Programming model, Transportation model, Sequencing model, Assignment model and replacement models Planning for Economy - All major models Agriculture - All major models Traffic - queuing theory Hospitals queuing theory OR - Phases of solving Common models in OR Linear Programming Model - used for resource allocation when the resources/

1 Parallelism and Locality in Matrix Computations www.cs.berkeley.edu/~demmel/cs267_Spr09 Introduction Jim Demmel EECS & Math Departments, UC Berkeley.

 Blue Cool) 01/21/2008CS267 - Lecture 1 29 Graph Algorithms Dynamic Programming Dense Linear Algebra Sparse Linear Algebra Unstructured Grids Structured Grids Model-view controller Iterator Map reduce Layered systems /programming models (software) and tools. Some important parallel applications and the algorithms Performance analysis and tuning Exposure to various open research questions 80 Extra slides 01/21/2008CS267 - Lecture 1 81 Transaction Processing Parallelism is natural in relational operators/

Jason JonkmanSandy Butterfield Marshall BuhlGunjit Bir Pat MoriartyAlan Wright Neil KellyBonnie Jonkman 2006 Wind Program Peer Review May 10, 2006 Design.

and coupled modes  Model validation and refinement 50 2006 Wind Program Peer Review Acknowledgements  Walt Musial & Sandy Butterfield of NREL for leading US offshore wind research program  Erik Withee of US Navy for initiating study at MIT/ of motion  True Linear Hydrodynamic Representation in the Time Domain: –satisfy the linearized governing BVPs exactly without restriction on platform size, shape, or manner of motion Response Amplitude Operator (RAO) 81 2006 Wind Program Peer Review Thesis Statement /

1 A Look at Library Software for Linear Algebra: Past, Present, and Future Jack Dongarra University of Tennessee and Oak Ridge National Laboratory.

published/released –LINPACK Users Guide »Appendix: 17 machines PDP-10 to Cray-1.... 9 Basic Linear Algebra Subprograms  BLAS 1973-1977  Consensus on: –Names –Calling sequences –Functional Descriptions –Low level linear algebra operations  Success results from –Extensive Public Involvement –Careful consideration of implications  A design tool software in numerical linear algebra  Improve readability and aid documentation  Aid modularity and maintenance, and improve robustness of software/

C.R.Krishna Prasad, BIT Bangalore-4 Operations research.

in britain came to known as Blacket circus.(radar OR Unit in gun site). The US military team named operational analysis,operational evaluation, operational research, system analysis,system evaluation, system research & management. But military team were dealing with research on (military) operation, the work of this team of scientists named as Operation Research in/ C.R.Krishna Prasad, BIT Bangalore-4 Guidelines for formulating Linear Programming model i) Identify and define the decision variable of the /

From Quantum Gates to Quantum Learning: recent research and open problems in quantum circuits Marek A. Perkowski, Portland Quantum Logic Group, Department.

MV quantum computing. Here we include the absolute minimum amount of formalism sufficient to start independent software development by people who have sufficient background in EDA tools and algorithms such as search or evolutionary programming Quantum Circuits In terms of logic operations, anything that changes a vector of qudit states to another qudit vector satisfying measurement probability properties can be considered as a quantum/

Comprehensive Descriptive Method PROGRAM IN OPERATION The comprehensive descriptive approach consists of having at each of the manufacturing facilities.

potato chip samples for saltiness vs. potato complex intensity where 18 of 20 samples exhibit a strong linear trend between the two attributes 52 To summarize, after the first three steps of the example sample /in-plant program is considered a routine program requiring little improvements once it is in operation. 181 However, a sensory coordinator needs to expand his or her knowledge in panel training and leadership, data analysis, and other sensory areas related to the type of evaluation and research/

Parallel Applications Parallel Hardware Parallel Software 1 The Parallel Computing Laboratory: A Research Agenda based on the Berkeley View Krste Asanovic,

Madrid, U Manchester, U Umeå, U Wuppertal, U Zagreb  Research Institutions  INRIA, LBL  Industrial Partners (predating ParLab) /linear algebra  4:00 – 4:25 Jason Riedy - Iterative Refinement in linear algebra  4:25 – 4:30 Break  4:30 – 5:00 Tony Keaveny - Medical Image Analysis in PAR Lab  5:00 - 5:30 Ras Bodik/ Armando Solar-Lezama - Program synthesis by Sketching  5:30 - 6:00 Vasily Volkov - Linear/tasks using decomposition (partitioning) and copying operators  Goal: Remove chance for concurrency /

Journey to New Areas of Optimization Trends in Modern Optimization Feb., 2007 Kyungchul Park.

in the previous slide) and take some operations on the sets that preserve the representability. For example, affine image of a set is also SOCP representable. Not easy, but if you become familiar, very useful. 21 Journey to New Areas of Optimization SOCP: Robust LP Robust Linear ProgrammingIn/master SDP, there will be very interesting problems waiting for you! Research Topics  As in the case of SOCP, most of the research focuses on the applicability of SDP.  Besides engineering applications, /

Approximate Dynamic Programming and Policy Search: Does anything work? Rutgers Applied Probability Workshop June 6, 2014 Warren B. Powell Daniel R. Jiang.

for Approximating Piecewise Linear Concave Functions from Sample Gradients,” Operations Research Letters, Vol. 31, No. 1, pp. 66-76 (2003). »Powell, W.B., A. Ruszczynski and H. Topaloglu, “Learning Algorithms for Separable Approximations of Stochastic Optimization Problems,” Mathematics of Operations Research, Vol 29, No. 4, pp. 814-836 (2004). Convergence results for storage problems »J. Nascimento, W. B. Powell, “An Optimal Approximate Dynamic Programming Algorithm for/

PIECENAMP Module 8 – Introduction to Process Integration 1 Program for North American Mobility in Higher Education NAMP Introducing Process integration.

PSE) with 17 members (2003) including operating, engineering & contracting companies, software vendors Current research in Process Integration Integrated batch processing Integrated batch processing Design and management of integrated Supply Chain processes Design and management of integrated Supply Chain processes Uncertainty and operability in process design Uncertainty and operability in process design Formulation of mathematical programming models to address problems in process synthesis and integration/

Practice and Theory of Automated Timetabling (PATAT 2012), 29-31 August 2012, Son, Norway 257 Integer Programming Techniques for the Nurse Rostering Problem.

-0025-9 16.Linderoth, J.T., Ralphs, T.K.: Noncommercial software for mixed-integer linear pro-gramming. In: J. Karlof (ed.) Integer Programming: Theory and Practice, Operations Research Series, vol. 3 (2005) 17.Lougee-Heimer, R.: The Common Optimization INterface for Operations Research: Pro-moting open-source software in the operations research community. IBM Journal of Research and Development 47(1), 57–66 (2003) 18.Martins, A.X., Souza, M.C/

DEPARTMENT/SEMESTER ME VII Sem COURSE NAME Operation Research Manav Rachna College of Engg.

decisions regarding the best utilization of war materiel. After the war, the ideas advanced in military operations were adapted to improve efficiency and productivity in the civilian sector. This chapter will familiarize you with the basic terminology of operations research, including mathematical modeling, feasible solutions, optimization, and iterative computations M ODELS Linear Programming Typically, a single objective function, representing either a profit to be maximized or a/


GCCBA-42, CHANDIGARH EMAIL : MKBHAMBU@HOTMAIL.COMMKBHAMBU@HOTMAIL.COM MOBILE : +919888237733 SYLLABI PAPER 6 (ii) : OPERATIONS RESEARCH UNIT-I  Operations Research—Meaning, Significance and Scope.  Introduction to Linear Programming, Formulation of Linear Programming—Problem, Graphical Method,Simplex Method.Duality in Linear Programming, Definition of Dual Problem, General Rules in Converting any Primal into its Dual,  Transportation problem,  Assignment problem. UNIT-II  Inventory – Types, Nature/

1NSTX-U FY2015 Q4 Program Report Jon Menard, Stan Kaye, Masa Ono (PPPL) For the NSTX-U Team NSTX-U Program - FY2015 Q4 Report* PPPL and FES October 26,

and operational tools for obtaining high-performance discharges in NSTX-U FY2015 Research Milestones No XPs in FY2015  emphasize analysis/modelling, research prep FY2015 Research Milestones shifted to FY2016 largely unchanged 9NSTX-U FY2015 Q4 Program Report NSTX/ Heating and Current Drive Topical Science Group Research Highlights 20NSTX-U FY2015 Q4 Program Report Reminder: Suppressed Li erosion and trapping at target observed in MAGNUM-PSI linear plasma device Mixed-material effect reduces erosion due/

PLOT Sept. 2, 2009 Human Research Program (HRP) Stuart Johnston Muscle Atrophy Research and Exercise System (MARES) Rack Flight Activity: launch of the.

MARES operational roles and responsibilities between ESA and NASA. PLOT Sept. 2, 2009 Human Research Program (HRP) Stuart Johnston Operational Hardware Configuration VIF MARES Main Box Pantograph Chair PLOT Sept. 2, 2009 Human Research Program (HRP) Stuart Johnston -301 -302 -303 Linear Adapter/motor box (chair and short arm removed for clarity) 12.Restow -301 on-orbit bag and Linear Adapter in front of items shown in step 10 13.Rotate Short Arm and Chair into Place (as shown) 14.Arrange Shoulder Structures /

Eng/ Noha Aboulfotoh.  Textbook: Introduction to Operations research - Frederick S. Hillier & Gerald J. Lieberman  Grading: [ attendance + homework.

operating procedure  and to rectify any flaws in the solutions that are then uncovered. Linear programming uses a mathematical model to describe the problem. ” linear” means that all the mathematical functions in this model are required to be linear functions. “programming“ does not refer here to computer programming ; it refers to planning. Thus, linear programming/ do not exceed the maxima indicated by the market research. (a) Formulate a linear programming model for this problem. (b) Use the graphical/

“The application of measures concerning the promotion of distribution and production of European works in audiovisual media services, including television.

survey on non-linear services –Interviews –Desk research –Extensive internal discussion within the consortium. 6.2 Operational Procedures Two distinct legal scenarios within which operational procedures can exist: –1) Self-declarations from service providers –2) Independent evaluation For linear channels: Self-declarations are supplied by broadcasters, and are then verified by internal evaluation (as seen in the work on linear programming in this study) For non-linear services: Independent evaluation/

Chapter 3 Introduction to Linear Programming to accompany Operations Research: Applications and Algorithms 4th edition by Wayne L. Winston Copyright (c)

Linear Programming to accompany Operations Research: Applications and Algorithms 4th edition by Wayne L. Winston Copyright (c) 2004 Brooks/Cole, a division of Thomson Learning, Inc. 2 3.1 What Is a Linear Programming Problem? Linear Programming (LP) is a tool for solving optimization problems. Linear programming problems involve important terms that are used to describe linear programming/ and negative values, the decision variable x i is unrestricted in sign (often abbreviated urs). 9 Ex. 1 - Solution /

重庆大学制造工程研究所副所长 博士 重庆大学制造工程研究所副所长 杨育 博士  2002 Introduction to Operation Research 3.4 ADDITIONAL EXAMPLES u The Wyndor Glass Co. problem is a prototype.

3.13 that is achieved. Thus, for any given fraction achieved, the total annual cost would be roughly that fraction of the corresponding quantity in Table 3.14. 重庆大学制造工程研究所副所长 博士 重庆大学制造工程研究所副所长 杨育 博士  2002 Introduction to Operation Research Formulation as a Linear Programming Problem.  This problem has six decision variables x j, j=1, 2,..., 6, each representing the use of one of the three abatement methods for one of/

Ovum IT Research Agenda 2013

in mobile banking Innovation in retail payments The impact of social media Data protection and privacy Managing risk and compliance 2013 Signature Research Delivering innovation in payments: operational/ linear operations rather than acting as an integrated linear and multi-platform business management system hub. In 2013, Ovum will be assessing developments in/while maintaining regulatory compliance, and how this can exploited for programming decisioning and ad spot innovation. Analysts Adrian Drury Richard /

456/556 Introduction to Operations Research Chapter 3: Introduction to Linear Programming.

of model is used to address the general problem of allocating limited resources among competing activities in a best possible (optimal) way. All mathematical functions in linear programming models are linear. We now look at some simple examples of linear programming models that can be solved graphically. 456/556 Introduction to Operations Research 3.1: Prototype Examples 4 Example 1 (File Cabinets) An office manager needs to purchase new/

A Gentle Introduction to Support Vector Machines in Biomedicine

4 Basic operation on vectors in Rn A Gentle Intro to SVMs in Biomedicine Basic operation on vectors in Rn November 2009 5. Dot product (continued) Property: In the classical/ the underlying quadratic program may not be solvable. Popular kernels A kernel is a dot product in some feature space: Examples: Linear kernel Gaussian kernel Exponential/ Lack of parametric statistical significance tests Power size analysis and research design considerations are less developed than for classical statistics Bibliography /

1 KNOWLEDGE REPRESENTATION & REASONING Constraint Satisfaction Problems & Constraint Programming Representing Knowledge with Constraints x5x5 x6x6 x1x1.

(Borning) Logic Programming  unification --> constraint solving Operations Research  NP-hard combinatorial problems Let’s look at this 11 KNOWLEDGE REPRESENTATION & REASONING Integer Programming (IP) Consider the manufacture of television sets. A linear programming model might give/ REPRESENTATION & REASONING Solving CSPs There are two general approaches to solving CSPs that are used in practice  Systematic Search  Explore systematically the space of all assignments  systematic = every valuation/

Deterministic Models in OR

Management Science Operations Research Decision Science Operations Management Industrial Engineering Industrial Management Systems Management Systems Science It has its early roots in World War II and is flourishing in business and industry with the aid of computers. What is OR? Cont’ Origins in the 1940s with the management of the Cold War armed forces. Currently used in a very broad range of organizations and systems. The linear programming model/

Noise and Echo Control for Immersive Voice Communication in Spacesuits

in Spacesuits Yiteng (Arden) Huang WeVoice, Inc., Bridgewater, New Jersey, USA arden_huang@ieee.org 9/2/2010 Phase I feasibility research: Jan. 2008 – July 2008 About the Project Financially sponsored by the NASA SBIR (Small Business Innovation Research) program Phase I feasibility research/ EVA operations, which/Linear Wiener Filter New filter for SCNR: Error signal: Widely linear MSE: Then the widely linear Wiener filter or MVDR type of filters can be developed. Section 4 Problem Identification and Research/

Stochastic Programming Applications in Finance Hercules Vladimirou Center for Banking and Financial Research University of Cyprus SP-XI TutorialVienna,

University Press, 1998. G. Infanger, Planning under uncertainty -- Solving large-scale stochastic linear programs, Boyd & Fraser, 1994. W.T. Ziemba, R.G. Vickson (eds.), Stochastic Optimization Models in Finance, World Scientific (1975, reprinted 2006). Series of Handbooks in Operations Research and Management Science, Elsevier, includes several relevant volumes (e.g., Vol. 10, 2003, “Stochastic Programming”, A. Ruszczynski, A. Shapiro (eds.), Vol. 9, 1995, “Finance”, Jarrow, Maksimovic, Ziemba/

Operations Research - 1 Spring 2014.  Instructor: Sungsoo Park Building E2-2, room 4112, Tel: 3121 Office hour: Tue, Thr 14:30.

2, F=ma, … OR-1 2014 9 Nature of OR  “research on operations”  Applied mathematics + computer science + management  Models : Deterministic models ( 확정적 모형, OR-I) Stochastic models ( 확률적 모형, OR-II)  Needed background: Algebra, calculus, discrete mathematics, probability, statistics, data structure, algorithm, data base, programming skills, …)  Important thrusts in early stages 1. Technical progress (Simplex method for linear programming, Dantzig, 1947) 2. Invention of computer and PC OR-1 2014/

MESM543 Operations Research (OR) is the field of how to form mathematical models of complex management decision problems and how to analyze the models.

Real world problem Model Real world solution Analysis Abstraction Interpretation Assessment 11.05.2015 10 Operations Research Techniques Linear ProgrammingLinear Programming Dynamic ProgrammingDynamic Programming Integer ProgrammingInteger Programming Nonlinear programmingNonlinear programming Goal ProgrammingGoal Programming Network ProgrammingNetwork Programming The principal phases for implementing OR in practice  Definition of the problem 1.Decision alternative definition 2.Objective determination 3/

END332E Operations Research II Y. İlker TOPCU, Ph.D. www.ilkertopcu.netwww.ilkertopcu.net www.ilkertopcu.org www.ilkertopcu.infowww.ilkertopcu.orgwww.ilkertopcu.info.

(SCK.CEN) (2009-2010)  A fuzzy multi attribute decision making approach for nuclear safeguards information management Ph.D. in ITU Industrial Engineering programme (2008)  Modeling supply chain network using possibilistic linear programming and an application Research interests  Operations Research (Mathematical programming)  Supply chain management  Fuzzy decision making 16 Prof. Dr. Y. İlker Topcu Office address Management Faculty C301, Maçka, Istanbul Phone (212) 293 1300 /2069 office/

E in E & E Electro-Technology In Energy & Environment

Research Innovative-Teaching by Using Current Research in Teaching !! Specialized Courses & Programs C. Courses “ Environmental Engineering & Technology” Based on Case- Studies Invited Guest- Seminars & Lectures Project Based Learning -PBL D. M.Eng / M.Sc. & Research Collaboration Inter/ Multi-DICPLINARY /Inter-Faculty/Inter-Departmental Research (M.Eng /M.Sc) Program in/the optimal maximum power operating point. MPPT controller is/the main features in discrimination between linear and non-linear arc faults. /

Scalable Multi-Stage Stochastic Programming Cosmin Petra and Mihai Anitescu Mathematics and Computer Science Division Argonne National Laboratory DOE Applied.

-Point Solver for Stochastic Programming (PIPS)  Convex QP SAA SP problems  Input: users specify the scenario tree  Object-oriented design based on OOQP  Linear algebra: tree vectors, tree matrices, tree linear systems  Scenario based parallelism –tree nodes (scenarios) are distributed across processors –inter-process communication based on MPI –dynamic load balancing  Mehrotra predictor-corrector IPM 18 Tree Linear Algebra – Data, Operations & Linear Systems  Data –Tree vector/

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