Multistage Stochastic Optimization - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Multistage Stochastic Optimization write by Georg Ch. Pflug. This book was released on 2014-11-12. Multistage Stochastic Optimization available in PDF, EPUB and Kindle. 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.
Stochastic Multi-Stage Optimization
Stochastic Multi-Stage Optimization - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Stochastic Multi-Stage Optimization write by Pierre Carpentier. This book was released on 2015. Stochastic Multi-Stage Optimization available in PDF, EPUB and Kindle. The focus of the present volume is stochastic optimization of dynamical systems in discrete time where - by concentrating on the role of information regarding optimization problems - it discusses the related discretization issues. There is a growing need to tackle uncertainty in applications of optimization. For example the massive introduction of renewable energies in power systems challenges traditional ways to manage them. This book lays out basic and advanced tools to handle and numerically solve such problems and thereby is building a bridge between Stochastic Programming and Stochastic Control. It is intended for graduates readers and scholars in optimization or stochastic control, as well as engineers with a background in applied mathematics.
Stability, Approximation, and Decomposition in Two- and Multistage Stochastic Programming
Stability, Approximation, and Decomposition in Two- and Multistage Stochastic Programming - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Stability, Approximation, and Decomposition in Two- and Multistage Stochastic Programming write by Christian Küchler. This book was released on 2010-05-30. Stability, Approximation, and Decomposition in Two- and Multistage Stochastic Programming available in PDF, EPUB and Kindle. Christian Küchler studies various aspects of the stability of stochastic optimization problems as well as approximation and decomposition methods in stochastic programming. In particular, the author presents an extension of the Nested Benders decomposition algorithm related to the concept of recombining scenario trees.
Lectures on Stochastic Programming
Lectures on Stochastic Programming - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Lectures on Stochastic Programming write by Alexander Shapiro. This book was released on 2009-01-01. Lectures on Stochastic Programming available in PDF, EPUB and Kindle. Optimization problems involving stochastic models occur in almost all areas of science and engineering, such as telecommunications, medicine, and finance. Their existence compels a need for rigorous ways of formulating, analyzing, and solving such problems. This book focuses on optimization problems involving uncertain parameters and covers the theoretical foundations and recent advances in areas where stochastic models are available. Readers will find coverage of the basic concepts of modeling these problems, including recourse actions and the nonanticipativity principle. The book also includes the theory of two-stage and multistage stochastic programming problems; the current state of the theory on chance (probabilistic) constraints, including the structure of the problems, optimality theory, and duality; and statistical inference in and risk-averse approaches to stochastic programming.
Dynamic Stochastic Optimization
Dynamic Stochastic Optimization - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Dynamic Stochastic Optimization write by Kurt Marti. This book was released on 2004. Dynamic Stochastic Optimization available in PDF, EPUB and Kindle. This volume considers optimal stochastic decision processes from the viewpoint of stochastic programming. It focuses on theoretical properties and on approximate or numerical solution techniques for time-dependent optimization problems with random parameters (multistage stochastic programs, optimal stochastic decision processes). Methods for finding approximate solutions of probabilistic and expected cost based deterministic substitute problems are presented. Besides theoretical and numerical considerations, the proceedings volume contains selected refereed papers on many practical applications to economics and engineering: risk, risk management, portfolio management, finance, insurance-matters and control of robots.
