Robust Planning Methods in Operations Management

3 credit points (ECTS)

This course is offered annually in the spring semester as

• elective course in the MSc program in Management, Technology, and Economics (MTEC)
• elective course in the application area 'Operations Management' in the MSc program in Applied Mathematics

but students (including doctoral and mobility students) from all disciplines are welcome to attend!

The course was first offered in the spring semester 2008 and will be offered next under the title Robust Planning and Optimization in the spring semester 2011.

Short description

This course covers quantitative model-based methods for robust planning. Focusing on problems of sequential decision making under uncertainty, techniques based on robust dynamic programming and stochastic control will be introduced and applied to planning problems from production and operations management.

Goals

• Knowledge in quantitative methods for model-based planning under uncertainty.
• Awareness of the effects of uncertainty in the dynamics of a system, the concept of a plan, and the necessity to express and quantify preferences regarding uncertain outcomes.
• Ability to formally state decision problems under uncertainty and knowledge of the fundamental solution techniques based on stochastic dynamic programming.
• Ability to apply the methods to practical planning problems from production and operations management.

Contents

• Model-based planning
• Concept of robustness and robust plans
• Decision theory basics
• Adaptive planning and flexibility
• Sequential decision problems
• Stochastic dynamic programming and stochastic control
• Bellman's principle of optimality
• Robust optimization and robust dynamic programming
• Value iteration and policy iteration
• Applications in production and operations management