Georg Ch Pflug

(Author)

Multistage Stochastic Optimization (2014)Hardcover - 2014, 27 November 2014

Multistage Stochastic Optimization (2014)
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Part of Series
Springer Operations Research and Financial Engineering
Part of Series
Springer Series in Operations Research and Financial Enginee
Print Length
301 pages
Language
English
Publisher
Springer
Date Published
27 Nov 2014
ISBN-10
3319088424
ISBN-13
9783319088426

Description

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.

Product Details

Authors:
Georg Ch PflugAlois Pichler
Book Edition:
2014
Book Format:
Hardcover
Country of Origin:
NL
Date Published:
27 November 2014
Dimensions:
23.39 x 15.6 x 1.91 cm
ISBN-10:
3319088424
ISBN-13:
9783319088426
Language:
English
Location:
Cham
Pages:
301
Publisher:
Weight:
616.89 gm

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