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Stochastic Linear Programming - Models, Theory, and Computation (Paperback, Softcover reprint of hardcover 2nd ed. 2011)
Loot Price: R1,605
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Stochastic Linear Programming - Models, Theory, and Computation (Paperback, Softcover reprint of hardcover 2nd ed. 2011)
Series: International Series in Operations Research & Management Science, 156
Expected to ship within 10 - 15 working days
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This new edition of Stochastic Linear Programming: Models, Theory
and Computation has been brought completely up to date, either
dealing with or at least referring to new material on models and
methods, including DEA with stochastic outputs modeled via
constraints on special risk functions (generalizing chance
constraints, ICC's and CVaR constraints), material on Sharpe-ratio,
and Asset Liability Management models involving CVaR in a
multi-stage setup. To facilitate use as a text, exercises are
included throughout the book, and web access is provided to a
student version of the authors' SLP-IOR software. Additionally, the
authors have updated the Guide to Available Software, and they have
included newer algorithms and modeling systems for SLP. The book is
thus suitable as a text for advanced courses in stochastic
optimization, and as a reference to the field. From Reviews of the
First Edition: "The book presents a comprehensive study of
stochastic linear optimization problems and their applications. ...
The presentation includes geometric interpretation, linear
programming duality, and the simplex method in its primal and dual
forms. ... The authors have made an effort to collect ... the most
useful recent ideas and algorithms in this area. ... A guide to the
existing software is included as well." (Darinka Dentcheva,
Mathematical Reviews, Issue 2006 c) "This is a graduate text in
optimisation whose main emphasis is in stochastic programming. The
book is clearly written. ... This is a good book for providing
mathematicians, economists and engineers with an almost complete
start up information for working in the field. I heartily welcome
its publication. ... It is evident that this book will constitute
an obligatory reference source for the specialists of the field."
(Carlos Narciso Bouza Herrera, Zentralblatt MATH, Vol. 1104 (6),
2007)
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