ORF 311

Associated course analysesStochastic Optimization and Machine Learning in Finance S 2020

ORF 309

Associated course analysesProbability and Stochastic Systems S 2017-2018

ORF 409

Associated course analysesIntroduction to Monte Carlo Simulation F 2017


Many real-world problems involve maximizing a linear function subject to linear inequality constraints. Such problems are called Linear Programming (LP) problems. Examples include min-cost network flows, portfolio optimization, options pricing, assignment problems and two-person zero-sumgames to name but a few.


A first introduction to probability and statistics. This course will provide background to understand and produce rigorous statistical analysis including estimation, confidence intervals, hypothesis testing and regression. Applicability and limitations of these methods will be illustrated in the light of


An introduction to probability and its applications. Topics include: basic principles of probability; Lifetimes and reliability, Poisson processes; random walks; Brownian motion; branching processes; Markov chains. Associated course analysesProbability and Stochastic Systems F 2017Probability and Stochastic Systems F 2015


An introduction to several fundamental and practically-relevant areas of numerical computing with an emphasis on the role of modern optimization. Topics include computational linear algebra, descent methods, basics of linear and semidefinite programming, optimization for statistical regression and classification, trajectory


The amount of data in our world has been exploding, and analyzing large data sets is becoming a central problem in our society. This course introduces the statistical principles and computational tools for analyzing big data: the process of exploring