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Multistage Stochastic optimization
Multistage stochastic optimization problems appear in many ways in finance, insurance, energy production and trading, logistics and transportation, among other areas. They describe decision situations under uncertainty and with a longer planning horizon. This book contains a comprehensive treatment...
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| Main Authors: | , |
|---|---|
| Corporate Author: | |
| Format: | eBook |
| Language: | English |
| Published: |
Cham :
Springer,
[2014]
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| Series: | Springer series in operations research.
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| Physical Description: |
1 online resource (xiv, 301 pages) : illustrations. |
| Subjects: | |
| Online Access: | SpringerLink - Click here for access |
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| 245 | 1 | 0 | |a Multistage Stochastic optimization / |c Georg Ch. Pflug, Alois Pichler. |
| 264 | 1 | |a Cham : |b Springer, |c [2014] | |
| 264 | 4 | |c ©2014. | |
| 300 | |a 1 online resource (xiv, 301 pages) : |b illustrations. | ||
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| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a Introduction -- The Nested Distance -- Risk and Utility Functionals -- From Data to Models -- Time Consistency -- Approximations and Bounds -- The Problem of Ambiguity in Stochastic Optimization -- Examples. | |
| 520 | |a Multistage stochastic optimization problems appear in many ways in finance, insurance, energy production and trading, logistics and transportation, among other areas. They describe decision situations under uncertainty and with a longer planning horizon. This book contains a comprehensive treatment of today?s state of the art in multistage stochastic optimization. It covers the mathematical backgrounds of approximation theory as well as numerous practical algorithms and examples for the generation and handling of scenario trees. A special emphasis is put on estimation and bounding of the modeling error using novel distance concepts, on time consistency and the role of model ambiguity in the decision process. An extensive treatment of examples from electricity production, asset liability management and inventory control concludes the book. | ||
| 546 | |a English. | ||
| 650 | 0 | |a Stochastic processes. |0 https://id.loc.gov/authorities/subjects/sh85128181. | |
| 650 | 0 | |a Mathematical optimization. |0 https://id.loc.gov/authorities/subjects/sh85082127. | |
| 650 | 2 | |a Stochastic Processes. |0 https://id.nlm.nih.gov/mesh/D013269. | |
| 650 | 6 | |a Processus stochastiques. | |
| 650 | 6 | |a Optimisation mathématique. | |
| 650 | 7 | |a MATHEMATICS |x Applied. |2 bisacsh. | |
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