Multistage Stochastic Optimization (Hardcover, 2014 ed.)

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.

General

Imprint:	Springer International Publishing AG
Country of origin:	Switzerland
Series:	Springer Series in Operations Research and Financial Engineering
Release date:	November 2014
First published:	2014
Authors:	Georg Ch Pflug • Alois Pichler
Dimensions:	235 x 155 x 19mm (L x W x T)
Format:	Hardcover
Pages:	301
Edition:	2014 ed.
ISBN-13:	978-3-319-08842-6
Categories:	Books > Business & Economics > Business & management > Management & management techniques > Operational research Books > Science & Mathematics > Mathematics > Optimization > General
LSN:	3-319-08842-4
Barcode:	9783319088426

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