DGPE PhD course: Dynamic Stochastic Programming

This PhD course is hosted by DGPE and Department of Economics and Business Economics.

Course Objectives

The aim of this course is to integrate fundamental concepts, theories, and methods from Dynamic Programming and Control, Stochastic Programming, and Reinforcement Learning. It provides students with a strong theoretical foundation for addressing decision-making problems under uncertainty. Students will engage with state-of-the-art research and computational tools, equipping them to contribute to both methodological advancements and practical implementations in their respective fields.

Students should have fair understanding of probability, optimisation, and simulation. They are also expected to have a basic knowledge on using Python.

> course description

Schedule

• 29 September: sessions 9:00-15:45
• 30 September: sessions 9:00-14:45
• 1 October: sessions 9:00-14:45
• 2 October: sessions  9:00-14:45
• 3 October: sessions  9:00-14:45

Lecturer

Professor Dong Li, Department of Management Science, Lancaster University, UK, https://www.lancaster.ac.uk/lums/people/dong-li

ECTS credits

In order to receive 5 ECTS credits for the course, students should take part in a group work on modelling, formulating and solving a given decision-making problem under uncertainty. Each group will present their results through a 20-minute presentation, plus 10-minute questions and answers about the presentation and broader area of the topics.

Grading scale: Pass or not Pass

Registration: Please register no later than 15 September 2025: 
https://events.au.dk/dgpecoursestochasticdynamicprogramming/signup

The course is free of charge for DGPE members from AU, KU, CBS, SDU, AAU - and for PhD students from Economics Departments at Nordic universities outside Denmark.

The course fee is EUR500 for other participants.

Contact

Academic: Hongyan Jenny Li, hojl@econ.au.dk
Administrative: Susanne Christensen, sch@econ.au.dk