Control theory | Mathematical finance | Optimal decisions | Stochastic optimization

Scenario optimization

The scenario approach or scenario optimization approach is a technique for obtaining solutions to robust optimization and problems based on a sample of the constraints. It also relates to inductive reasoning in modeling and decision-making. The technique has existed for decades as a heuristic approach and has more recently been given a systematic theoretical foundation. In optimization, robustness features translate into constraints that are parameterized by the uncertain elements of the problem. In the scenario method, a solution is obtained by only looking at a random sample of constraints (heuristic approach) called scenarios and a deeply-grounded theory tells the user how “robust” the corresponding solution is related to other constraints. This theory justifies the use of randomization in robust and chance-constrained optimization. (Wikipedia).

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Introduction to Optimization

A very basic overview of optimization, why it's important, the role of modeling, and the basic anatomy of an optimization project.

From playlist Optimization

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13_2 Optimization with Constraints

Here we use optimization with constraints put on a function whose minima or maxima we are seeking. This has practical value as can be seen by the examples used.

From playlist Advanced Calculus / Multivariable Calculus

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Particle Swarm Optimization (PSO) - Part 1: Introduction

This video is about Particle Swarm Optimization (PSO) - Part 1: Introduction

From playlist Optimization

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Calculus: Optimization Problems

In this video, I discuss optimization problems. I give an outline for how to approach these kinds of problems and worth through a couple of examples.

From playlist Calculus

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Introduction to Population Models and Logistic Equation (Differential Equations 31)

https://www.patreon.com/ProfessorLeonard How differential equations can be applied to population models. We also explore the Logistic Equation, Population Explosion, and Population Extinction from a mathematical perspective involving limits.

From playlist Differential Equations

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A16 The method of variation of parameters

Starting the derivation for the equation that is used to find the particular solution of a set of differential equations by means of the variation of parameters.

From playlist A Second Course in Differential Equations

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Towards a Model-Based Approach | Systems Engineering, Part 2

See all the videos in this playlist: https://www.youtube.com/playlist?list=PLn8PRpmsu08owzDpgnQr7vo2O-FUQm_fL The role of systems engineering is to help find and maintain a balance between the stakeholder needs, the management needs, and the engineering needs of a project. So we can thin

From playlist Systems Engineering

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B27 Introduction to linear models

Now that we finally now some techniques to solve simple differential equations, let's apply them to some real-world problems.

From playlist Differential Equations

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Elias Khalil - Neur2SP: Neural Two-Stage Stochastic Programming - IPAM at UCLA

Recorded 02 March 2023. Elias Khalil of the University of Toronto presents "Neur2SP: Neural Two-Stage Stochastic Programming" at IPAM's Artificial Intelligence and Discrete Optimization Workshop. Abstract: Stochastic Programming is a powerful modeling framework for decision-making under un

From playlist 2023 Artificial Intelligence and Discrete Optimization

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Pandora's Box with Correlations: Learning and Approximation - Shuchi Chawla

Computer Science/Discrete Mathematics Seminar I Topic: Pandora's Box with Correlations: Learning and Approximation Speaker: Shuchi Chawla Affiliation: University of Wisconsin-Madison Date: April 05, 2021 For more video please visit http://video.ias.edu

From playlist Mathematics

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Introduction to Linear Quadratic Regulator (LQR) Control

In this video we introduce the linear quadratic regulator (LQR) controller. We show that an LQR controller is a full state feedback controller where the gain matrix K is computed by solving an optimization problem. Topics and time stamps: 0:00 - Introduction 4:01 - Introduction to Opt

From playlist Control Theory

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Stanford Seminar - Towards Robust Human-Robot Interaction: A Quality Diversity Approach

Stefanos Nikolaidis is an Assistant Professor in computer science at the University of Southern California. This talk was given on March 4, 2022. The growth of scale and complexity of interactions between humans and robots highlights the need for new computational methods to automaticall

From playlist Stanford AA289 - Robotics and Autonomous Systems Seminar

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Paul Grigas - Offline and Online Learning for Contextual Stochastic Optimization - IPAM at UCLA

Recorded 03 March 2023. Paul Grigas of the University of California, Berkeley, presents "Offline and Online Learning for Contextual Stochastic Optimization" at IPAM's Artificial Intelligence and Discrete Optimization Workshop. Abstract: Often the parameters of an optimization task are pred

From playlist 2023 Artificial Intelligence and Discrete Optimization

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MathWorks Excellence in Innovation Project 208: Raceline Optimization Using Discrete Mathematics

Welcome! The above is a video detailing my solution of MathWorks Excellence in Innovation Project 208. In two parts, this is a discrete curvature optimizer as well as a point-mass velocity profiler. Repository: https://github.com/borealis31/MW208_AUTON_RACECARS

From playlist MathWorks Excellence in Innovation

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Ohad Shamir - Trade-offs in Distributed Learning

In many large-scale applications, learning must be done on training data which is distributed across multiple machines. This presents an important challenge, with multiple trade-offs between optimization accuracy, statistical performance, communication

From playlist Schlumberger workshop - Computational and statistical trade-offs in learning

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Dorsa Sadigh: "Interaction-Aware Planning: A Human-Centered Approach toward Autonomous Driving"

Mathematical Challenges and Opportunities for Autonomous Vehicles 2020 Workshop I: Individual Vehicle Autonomy: Perception and Control "Interaction-Aware Planning: A Human-Centered Approach toward Autonomous Driving" Dorsa Sadigh - Stanford University Abstract: The safety of an autonomou

From playlist Mathematical Challenges and Opportunities for Autonomous Vehicles 2020

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Nonconvex Minimax Optimization - Chi Ji

Seminar on Theoretical Machine Learning Topic: Nonconvex Minimax Optimization Speaker: Chi Ji Affiliation: Princeton University; Member, School of Mathematics Date: November 20, 2019 For more video please visit http://video.ias.edu

From playlist Mathematics

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Webinar: How can firms create a strategic advantage by integrating processes

Banks across the globe have made tremendous strides in enhancing their forecasting capability related to balance sheet and PnL, which were generally developed in response to regulatory requirements. Banks with more mature processes are now focusing on how these models and other tools can l

From playlist Webinars: At home with the experts

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Optimization 1

Calculus: We present a procedure for solving word problems on optimization using derivatives. Examples include the fence problem and the minimum distance from a point to a line problem.

From playlist Calculus Pt 1: Limits and Derivatives

Related pages

Robust optimization | Systems theory | Convex optimization | Beta distribution | Regression analysis | Dirichlet distribution | Linear matrix inequality | Optimal control | Actuarial science | Semidefinite programming | Constraint (mathematics) | Randomization | Inductive reasoning