Chance-constrained programming

LecturerAsst. Prof. Bismark Singh
University of Southampton
DateAugust 6 & 7, 2024,
with classes at 10:00 a.m. -12:00 p.m. & 1:00 p.m. – 3:00 p.m. each day
Room/AddressTU Dresden
Target groupDoctoral students in economics, mathematics, and/or operations research
Seminar contentThis two-day workshop will introduce PhD students interested in stochastic optimization to chance constrained optimization.

We begin with a theoretical understanding of chance constrained models looking at various mathematical formulations of probabilistic constraints. We will consider both joint and individual chance constraints.

We then study how to represent these in a mathematical programming framework within a modeling language. We will not be studying how to program optimization models; please come prepared for this.

We conclude with an application extending into a homework problem on optimal planning of a hybrid fossil-fuel and renewable energy generator. 

  • Introduction to joint and individual chance constraints
  • The sample average approximation method
  • The Big-M method for discrete distributions
  • Motivation by the design of a reliable hybrid diesel-wind generator system
  • Computationally tractable algorithms
  • Coupling chance constraints with other sets (e.g., feasibility constraints of a generator)
Homework task:
  • Implementation of this (or a similar) model in a modeling language of your choice, e.g., Pyomo, GAMS, Julia, etc.

A strong interest in working with quantitative methods is required. Good knowledge of discrete optimization and programming skills are also required.  
Recommended literatureChance-Constrained Programming: Joint and Individual Constraints
CertificatePh.D. students from the Faculty of Business and Economics, TU Dresden can earn a certificate according to § 9 of the Ph.D. doctoral regulations (PromO 2018):
  • Ph.D. students of Business Administration: § 9 (1) Nr. 5 or 6
  • Ph.D. students of Business Information Systems: § 9 (1) Nr. 6
  • Ph.D. students of Economics: § 9 (1) Nr. 6
Ph.D. students from other universities can earn a certificate as well.
RegistrationParticipation is limited. The registration deadline is July 22, 2024.
To register, send an e-mail to Dr. Uta Schwarz:
Phone: +49 351 463-33141

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