Department of Mathematics

Mathematics - Information Technology Lecture

Scenario Based Stochastic Optimization

Speaker:Graham Goodwin, Electrical Engineering, University of Newcastle, Australia 
Thursday April 24, 2008
15.15, Room 2446,
ITC, House 2, Polacksbacken 

Many problems in planning, scheduling, asset valuation and control depend on variables which are inherently uncertain. This talk will outline strategies for solving optimization problems in the face of uncertainty. Emphasis will be placed on commodity price modeling and on the generation of “scenarios” as a discrete approximation to continuous random variables. The ideas will be illustrated by reference to the problem of optimal mine planning in the face of future commodity price uncertainty.