Graduate Course – Distributionally robust optimization


[Class 1 Notes] Introduction to two stage stochastic linear and integer optimization

[Class 2 Notes] Stochastic optimization: Independent distributions

[Class3and4-Notes] Distributionally robust optimization: Univariate marginals

[Class5-Notes] Comparing solutions: Independence and dependence

[Class6-Notes] Distributionally robust optimization: Multivariate marginals

[Class8-Notes] Basics of SDP and polynomial optimization

[Class9-Notes] Moment bounds

[Class10-Notes] Moment formulations for distributionally robust optimization

Guest lecture – Prof Teo Chung Piaw

[sparse-slides-SUTD] On the design of sparse and efficient structure in operations

[Bike Rebalancing] Bike rebalancing

Guest lecture – Assistant Prof Karthyek Murthy

[v2] Wasserstein distance based distributionally robust optimization

[Problem Set 1]