Questions Tagged With coursehttp://www.or-exchange.com/tags/course/?type=rssquestions tagged <span class="tag">course</span>enTue, 02 Feb 2016 00:33:14 -0500Suggestions for a Practice Problem in a Stochastic Programming Course Targeted towards Financial Engineering Studentshttp://www.or-exchange.com/questions/13310/suggestions-for-a-practice-problem-in-a-stochastic-programming-course-targeted-towards-financial-engineering-students<p>This semester, I'm teaching a graduate course on stochastic programming targeted towards financial engineering students. The syllabus is fairly standard (I'm using the book of Birge and Louveaux, <em>Introduction to Stochastic Programming</em>). As computational aspects are very important, I intend to define a course project in which students implement a classical solution method for a stochastic or robust financial problem. This practice problem should be easy to understand and require a modest theoretical effort as the focus in on the implementation aspects (we will use GAMS). </p>
<p>Right now, I've benders decomposition in mind for the solution method (as it's is the basis of many methods in stochastic programming), but I'm looking for a good practice problem. My own search has led me to the portfolio optimization problem with cardinality constraints (the maximum number of holdings is limited). This could be solved by the generalized benders decomposition.</p>
<p>I would really appreciate it if you could point out other possible candidates for the practice problem. While I prefer benders decomposition as the selected solution method, I'm open to consider other methods. Please note that the practice problem could be rooted in either stochastic programming or robust optimization techniques as I'm covering both.</p>
<p>Thanks in advance for your sharing your expertise and advice.</p>EhsanTue, 02 Feb 2016 00:33:14 -0500http://www.or-exchange.com/questions/13310/suggestions-for-a-practice-problem-in-a-stochastic-programming-course-targeted-towards-financial-engineering-studentscoursestochastic-optimizationfinancerobust-optimizationEssential courses to take for research in OR with applications to Financehttp://www.or-exchange.com/questions/13124/essential-courses-to-take-for-research-in-or-with-applications-to-finance<p>I'm currently the 2nd-year MS student in Applied Mathematics. As I'm planning for which classes to take the next semester, I would love to hear your feedback about my selection. The reason is because I'm almost completing the M.S program (this one is my second-to-last semester) before I apply to the PhD programs in Operation Research and/or Applied Math next Fall. As you probably realize, I want to hedge my bet by applying for both OR and Applied Math programs, most of which allow to specialize in interdisciplinary fields like OR or Finance, not necessarily Physics or Biology. To prepare for an intense competition in top PhD programs in OR/Applied Math, I think I would need to display stronger interest in OR, as I'm only taking 2 OR Grad courses in Linear and Nonlinear Programming (I got both As in them, and love NLP's materials quite a lot. LP is also fine, but it gave me impression that there is not much to do heavy research in this topic). I currently wonder if the best way to show a true interest in OR is to either take more OR grad courses, or to do some research with my OR professor(s) who taught me in the two OR courses above. The reason for my concern is that I'm afraid I overkilled with math courses (I still find my knowledge in Math is so little, considering how steep the learning curve is for PDEs, but my time is running out). </p>
<p>My main interests in OR include 3 areas: optimal dynamic pricing for manufactured products and its impacts on a business's top + bottom line, derivatives pricing /asset allocation/portfolio optimization, and optimal routing/production scheduling in manufacturing and logistics. </p>
<p>Now, the major problem is that I can only take at most $8$ more courses, and $2$ of them I have decided to be on Measure Theory and Stochastic Differential Equations (book by M. Steele) , I still have 2 more classes to choose for next semester, and below is my potential course to take (ranked from most to least important):</p>
<p>Integer Programming - Applied Integer Programming - Modeling and Solution by Chen</p>
<p>Dynammic Programming - Models + Application book by Eric Denardo</p>
<p>Regression and Time Series - Econometrics Model + Economics Forecast book by Pindyck</p>
<p>Numerical Solutions of Differential Equations (purely Finite Difference method) - A first course in Numerical Analysis of DEs (Cambridge Series Textbook)</p>
<p>Complex Analysis I - no book decided yet</p>
<p>My current temporary pick is the first two on the list, but that might be completely wrong. Needless to say, Integer programming is quite useful when applying for OR/Applied Math programs. But this is just my thought, and I don't really have that much experience, so please help offer your insight/suggestion/new courses proposal for me.</p>
<p>I sincerely appreciate your time and help.</p>ghjkFri, 18 Dec 2015 03:42:39 -0500http://www.or-exchange.com/questions/13124/essential-courses-to-take-for-research-in-or-with-applications-to-financecoursegraduateschoolMath intensive areas in Operations Research?http://www.or-exchange.com/questions/7236/math-intensive-areas-in-operations-research<p>Which are the more math intensive areas in Operations research? I know OR is largely math, but could anybody rate operations-research courses/topics in the order of how intensively/deeply they require math? The comparison that is being drawn here is depth vs breadth of math used.</p>
<p>Another sub-question here: Is it usually so that interests and proficiency in deeper math OR courses are better suited for a career in academia, while broader,shallow and more real world math application areas are more suited to the industry?</p>
<p>Background: Was going through the core reqd courses for an MS in OR on the <a href="http://gapp.usc.edu/graduate-programs/masters/industrial-systems-engineering/operations-research-engineering">USC website</a>, and found that only 3/6 of these went into actual fun and interesting math. The other 3 looked more like professional/vocational courses.</p>shadowblade360Sat, 12 Jan 2013 07:17:57 -0500http://www.or-exchange.com/questions/7236/math-intensive-areas-in-operations-researchcourseoperations-researchgraduateschoolmathOR course for mathematicianshttp://www.or-exchange.com/questions/6508/or-course-for-mathematicians<p>Hi, I have been asked to give a course to mathematicians. By mathematicians I mean PhD students in pure mathematics who would attend a doctoral school at Institut Henri Poincaré <a href="http://en.wikipedia.org/wiki/Institut_Henri-Poincar%C3%A9">link text</a>
I welcome therefore suggestions on topics that would resonate well. AFAIK, they are interested in seeing how mathematics can impact the real world, and OR is certainly a very good area for this.</p>
<p>Adding some initial topics that seem no brainers
1. Linear programming, geometry of the polytope, duality theorem.
2. Complexity (P vs NP) polynomial methods for LP, simplex algorithm
3. Symmetry handling, computational group theory
4. Combinatorial problems, MIP, applications
5. Research directions, stochastic, non linear, etc</p>jfpugetThu, 20 Sep 2012 06:51:56 -0400http://www.or-exchange.com/questions/6508/or-course-for-mathematicianscoursemathWhat are factors that distinguish OR from other courses? [Homework]http://www.or-exchange.com/questions/5164/what-are-factors-that-distinguish-or-from-other-courses-homework<p>Hello all,
I will be very grateful if I can find answers to this. Our professor gave it to us as an assignment and I don't seem to get the answers anywhere through google search.</p>
<p>The question again is: What are factors that distinguish OR from other courses/fields of study?</p>GraceWed, 28 Mar 2012 10:43:23 -0400http://www.or-exchange.com/questions/5164/what-are-factors-that-distinguish-or-from-other-courses-homeworkcourseoperations-researchhomeworkRecommendations for teaching OR/MS in a working MBA programhttp://www.or-exchange.com/questions/4942/recommendations-for-teaching-orms-in-a-working-mba-program<p>I'm teaching an OR/MS course to working professionals in an MBA program. To give you an idea of where I'm coming from, here's how I described my goals the last time I taught the same course.</p>
<blockquote>
<p>The goal of this course is to train managers to:
1. Recognize actual decision scenarios amenable to a Management Science-based solution,
2. Prove out conceptual solution approaches on a typical office desktop computer, and
3. evaluate and manage the extension of desktop models into an “industrial strength” IT implementation.</p>
</blockquote>
<p>As you can see, this is not a hard-core technical dump for engineers or aspiring PhDs. Since the students are usually experienced in the workforce, and come from a variety of backgrounds, the appropriate focus is on business, not technology. </p>
<p>After an exhaustive (and exhausting) process of evaluation, I ended up selecting Sam Savage's <a href="http://www.amazon.com/Decision-Making-Insight-Insight-xla-CD-ROM/dp/0534386393/ref=cm_cr_pr_product_top">Decision Making with Insight</a>. The experience was, in the whole, a good one. So I wouldn't mind repeating the course with the same text. (I use a great deal of supplementary material collected over my 20+ years of practicing OR.) </p>
<p>However, it strikes me that I have an opportunity to kick it up a notch: to make the course more insightful, stickier, and more suitable to junior executives. I'm thinking specifically of adding more realistic examples, some solid case studies, creating opportunities for team-oriented exercises, demonstrating transparent connections with the business of business, and so on.</p>
<p>My question is pretty open: is anyone aware of extra-ordinarily successful material (it could be a text, or something more full-featured) or experiences teaching OR/MS to business-folk?<br>
</p>SanjaySaigalFri, 24 Feb 2012 14:21:15 -0500http://www.or-exchange.com/questions/4942/recommendations-for-teaching-orms-in-a-working-mba-programcoursedecision-makingmbatext