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Stochastic Optimization

ORF 544

1242
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This course provides a unified presentation of stochastic optimization, cutting across classical fields including dynamic programming (including Markov decision processes), stochastic programming, (discrete time) stochastic control, model predictive control, stochastic search, and robust/risk averse optimization, as well as related fields such as reinforcement learning and approximate dynamic programming. Also covered are both offline and online learning problems. Considerable emphasis is placed on modeling and computation.
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Section L01

  • Type: Lecture
  • Section: L01
  • Status: C
  • Enrollment: 0
  • Capacity: 0
  • Class Number: 20421
  • Schedule: TTh 09:30 AM-10:50 AM