I have completed my bachelor with major in statistics. I have taken a course on optimization too and found it very interesting. After my masters, I am planning to do PhD with a focus on optimization algorithm in survey statistics (sampling allocation). Could you please suggest me some courses in masters which would be helpful for me? Thanks.

asked 13 Oct '16, 10:43

Farex's gravatar image

accept rate: 0%

Roughly, there are two tracks in Optimization/Operations Research. The narrow definition of Optimization might refer deterministic optimization, though.

Deterministic and Stochastic.

These two tracks require a little bit different background.

Deterministic : Linear Programming, Integer / non linear programming. Combinatorial / convex optimization. etc.
Stochastic : Probability theory, Stochastic processes, (stochastic) Dynamic Programming, Simulation. etc.

Of cause, there is a overlapped area, such as stochastic programming.

Economics classes: Game theory, Decision Theory(utility, Multi-objective..)
Math class: Linear algebra (Both, Must), Real analysis (both), Measure theory (stochastic), Graph theory(Deterministic), ...

Depending on which track you will be on, you choose different courses.
Depending on the school policy, you may have to take some courses regardless of your preference.

When I started my PhD, I thought of Integer programming. I took Linear programming, Integer programming, Stochastic processes, simulations at the beginning. And I decided to take stochastic optimization as my research direction.

So, I would recommend take the basic classes of both tracks before you choose.

Once you jump in the pool, the feeling could be a lot different than what you expect.


answered 13 Oct '16, 11:34

ksphil's gravatar image

accept rate: 14%

Thank you very much for the detailed answer. :)

(14 Oct '16, 05:21) Farex
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Asked: 13 Oct '16, 10:43

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Last updated: 14 Oct '16, 05:21

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