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Probabilistic Constrained Optimization - Methodology and Applications (Hardcover, 2001 ed.)
Loot Price: R3,246
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Probabilistic Constrained Optimization - Methodology and Applications (Hardcover, 2001 ed.)
Series: Nonconvex Optimization and Its Applications, 49
Expected to ship within 12 - 17 working days
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Probabilistic and percentile/quantile functions play an important
role in several applications, such as finance (Value-at-Risk),
nuclear safety, and the environment. Recently, significant advances
have been made in sensitivity analysis and optimization of
probabilistic functions, which is the basis for construction of new
efficient approaches. This book presents the state of the art in
the theory of optimization of probabilistic functions and several
engineering and finance applications, including material flow
systems, production planning, Value-at-Risk, asset and liability
management, and optimal trading strategies for financial
derivatives (options). Audience: The book is a valuable source of
information for faculty, students, researchers, and practitioners
in financial engineering, operation research, optimization,
computer science, and related areas.
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