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Stochastic Programming, Robust Optimisation, and Applications

Stochastic Programming, Robust Optimisation, and Applications . Nalan GULPINAR ORMS Group – Warwick Business School . Decision making under uncertainty . models and integrates uncertainty into decision-making process

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Stochastic Programming, Robust Optimisation, and Applications

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  1. Stochastic Programming, Robust Optimisation, and Applications Nalan GULPINAR ORMS Group – Warwick Business School

  2. Decision making under uncertainty • models and integrates uncertainty into decision-making process • applications: finance, economics, energy, engineering, defence, and telecommunication • challenging issues • how to describe randomness (scenario tree generation)? • how to eliminate inaccuracy on data & scenarios (estimation, forecasting errors) • how to handle the size of the problem? • develop approaches based on • scenario generation techniques • robust optimisation approach • approximation techniques (decomposition, stage & scenario aggregation)

  3. PhD research topics • integration of financial, operational, strategic planning activities • scenario generation techniques for multistage stochastic programs • robust strategies using computationally tractable approaches • approximation techniques such as scenario and state aggregations • various applications in finance, energy and telecommunication • portfolio and risk management, post-tax optimization, • asset liability management (pension fund), • market modelling under disruption, and • security risk management • other possible applications such as healthcare and product design

  4. Thank you ! Questions?

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