Group for Research in Decision Analysis

Clustering methods for stochastic optimisation

Janosch Ortmann Assistant Professor, Department of Management and Technology, Université du Québec à Montréal, Canada

Janosch Ortmann

Webinar link.

In stochastic optimisation, some quantity is to be minimised subject to certain, random, constraints. Often, in order to quantify the randomness, scenarios are formed. However, optimizing with respect to each scenario is computationally costly. Moreover, it is often difficult to see how a change in assumptions changes the optimal solution. I will discuss how applying unsupervised clustering methods to the scenarios can lead to better understanding of the problem and lead to new heuristics, upper and lower bounds.

*The webinar will be followed by a cocktail.

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