This repo contains the assignments of the course and their solutions, using PICOS as interface for optimization in Python. The assignments cover the following topics:
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Assignment 1:
- Robust optimization (RO) for different uncertainty sets (e.g.
), applied to the Min-Cost-Flow problem (MCFP).
- Robust optimization (RO) for different uncertainty sets (e.g.
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Assignment 2:
- Distributionally robust optimization (DRO) for different ambiguity sets (e.g. moment-based, 1-Wasserstein and SRO), applied to the Product Mix problem.
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Assignment 3:
- Multi-stage stochastic optimization: dynamic programming, scenario trees, affinely adjusted RC -- applied to inventory control.
