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Multistage Stochastic Optimization
Pflug, Georg Ch. (Institute Of Statistics, University Of Vienna, Austria); Pichler, Alois
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Description for Multistage Stochastic Optimization
Hardback. Multistage Stochastic Optimization Series: Springer Series in Operations Research and Financial Engineering. Num Pages: 315 pages, 81 black & white illustrations, biography. BIC Classification: KJT; PBU. Category: (P) Professional & Vocational. Dimension: 235 x 155 x 19. Weight in Grams: 637.
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 ... Read more
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 ... Read more
Product Details
Format
Hardback
Publication date
2014
Publisher
Springer International Publishing AG Switzerland
Number of pages
315
Condition
New
Series
Springer Series in Operations Research and Financial Engineering
Number of Pages
301
Place of Publication
Cham, Switzerland
ISBN
9783319088426
SKU
V9783319088426
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Pflug, Georg Ch. (Institute Of Statistics, University Of Vienna, Austria); Pichler, Alois
Georg Pflug is full professor of Statistics and Operations Research at the University of Vienna, Austria. He got a PhD in Mathematics from the University of Vienna and was Professor of Mathematics at the University of Giessen, Germany, before joining the University of Vienna as a full professor. He is author of 4 books and more than 80 peer reviewed ... Read more
Reviews for Multistage Stochastic Optimization
“As stochastic optimization problems can be solved only approximatively, the book presents the mathematical foundations for approximation methods as well as practical algorithms and examples for the generation and handling of scenario trees. … The book, covering the current status in multistage stochastic optimization, can be recommended to readers interested in theoretical as well as in practical aspects of this ... Read more