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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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Pflug, Georg Ch (Autor), Pichler, Alois (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cham : Springer International Publishing : Imprint: Springer, 2014.
Edición:1st ed. 2014.
Colección:Springer Series in Operations Research and Financial Engineering,
Temas:
Operations research.
Management science.
Mathematical optimization.
Operations Research and Decision Theory.
Operations Research, Management Science .
Optimization.
Acceso en línea:Texto Completo

MARC

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245 1 0 |a Multistage Stochastic Optimization  |h [electronic resource] /  |c by Georg Ch. Pflug, Alois Pichler. 
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300 |a XIV, 301 p. 81 illus.  |b online resource. 
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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. 
650 0 |a Operations research. 
650 0 |a Management science. 
650 0 |a Mathematical optimization. 
650 1 4 |a Operations Research and Decision Theory. 
650 2 4 |a Operations Research, Management Science . 
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