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Date
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Theory
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Additional readings
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Applications
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Sep 11, 17
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Extract of the syllabus of the subject. Additional
bibliography.
Hand out of the class notes and web page for slides.
Algebraic modeling languages.
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Sep 18, 17
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LINEAR PROGRAMMING.
MIXED INTEGER LINEAR PROGRAMMING.
Graphical simplex method. Algebraic simplex. Tabular form. Primal-dual interior point method. Branch and bound. Duality. Preprocessing. Branch and cut.
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Mathematical Programming Glossary
Linear Programming FAQ (2005)
2015 Linear Programming Software
Survey
COmputational INfrastructure for Operations Research Projects
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GOOD OPTIMIZATION MODELING PRACTICES with GAMS (All You
Wanted to Know About Practical Optimization but Were Afraid to Ask) September 2024
GOOD OPTIMIZATION MODELING PRACTICES with Pyomo (All You Wanted to Know About Practical Optimization
but Were Afraid to Ask) September 2024
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Sep 25, 17
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NONLINEAR PROGRAMMING (NLP).
Definition of nonlinear programs and standard optimization techniques
Convexity, Lagrangian, KKT conditions
Illustrative examples
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Nonlinear Programming FAQ (2007)
1998 Nonlinear Programming Software
Survey
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Oct 2, 17
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COMPLEMENTARITY PROBLEMS (CPs) AND EQUILIBRIUM MODELING
Mixed complementarity problem, Relation between CPs and KKT.
Game Theory and definition of equilibria. Illustrative examples (e.g. Cournot).
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Optimization Cases |
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Oct 9, 17
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MATHEMATICAL PROBLEMS WITH EQUILIBRIUM CONSTRAINTS (MPECs)
Definition of MPECs. Hierarchical optimization problems.
Illustrative Examples (e.g. Stackelberg).
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Oct 16, 17
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MPECS AND DIFFERENT SOLUTION APPROACHES
Formulation as NLP, MPEC (with complementarity part), conversion to MIP.
Illustrative Examples.
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Oct 23, 17
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EQUILIBRIUM PROBLEMS WITH EQUILIBRIUM CONSTRAINTS (EPECs)
Definition of EPECs. Solution Methods.
Illustrative Examples. |
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Oct 30, 17
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STOCHASTIC OPTIMIZATION.
Generation expansion planning case study. Manufacturing case study. Decision tree and scenario tree. |
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A. Ramos, A. Alonso-Ayuso, G. Pérez (eds.) Optimización
bajo Incertidumbre Universidad Pontificia Comillas Madrid, España 2008 ISBN 8484682516
Red Temática de Optimización bajo Incertidumbre (ReTOBI)
Stochastic Programming Resources
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Stochastic Optimization Cases |
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Nov 6, 17
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Two-stage and multistage linear optimization. Hydrothermal coordination problem case study
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GOOD OPTIMIZATION MODELING PRACTICES with GAMS (All You
Wanted to Know About Practical Optimization but Were Afraid to Ask) September 2024
GOOD OPTIMIZATION MODELING PRACTICES with Pyomo (All You Wanted to Know About Practical Optimization
but Were Afraid to Ask) September 2024
Stochastic Programming (SP) with GAMS
StarNet Lite Models
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Nov 13, 17
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DECOMPOSITION TECHNIQUES.
Benders decomposition. Fixed cost transportation problem. |
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G. Hechme-Doukopoulos, S. Brignol-Charousset, J. Malick, C. Lemaréchal The short-term electricity production management problem
at EDF Optima (84) 2-7 Oct 2010 |
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Benders decomposition. GAMS code |
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Nov 20, 17
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Nested Benders decomposition.
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Nov 27, 17
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Danztig-Wolfe decomposition. Lagrangian relaxation. Fixed cost transportation problem. Unit commitment solved by LR |
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Danztig-Wolfe decomposition. GAMS code
Lagrangean relaxation. GAMS code |
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Dec 4, 17
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SCENARIO TREE
Characterization. Generation
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Dec 11, 17
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Intermediate student presentations
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Dec 18, 17
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Final student presentations |
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Instituto de Investigación Tecnológica 
