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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 
