Multistage Stochastic optimization /

Multistage Stochastic optimization /

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Bibliographic Details
Author / Creator:Pflug, Georg Ch., 1951- author.
Imprint:Cham : Springer, [2014]
©2014
Description:1 online resource (xiv, 301 pages) : illustrations.
Language:English
Series:Springer Series in Operations Research and Financial Engineering, 1431-8598
Springer series in operations research.
Subject:
Stochastic processes.
Mathematical optimization.
Mathematical optimization.
Stochastic processes.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/11089620
Hidden Bibliographic Details
Other authors / contributors:Pichler, Alois, author.
ISBN:9783319088433
3319088432
3319088424
9783319088426
9783319088426
Digital file characteristics:text file PDF
Notes:Includes bibliographical references and index.
Vendor-supplied metadata.
Summary: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.
Other form:Printed edition: 9783319088426
Standard no.:10.1007/978-3-319-08843-3

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