Stochastic Optimization -

Stochastic Optimization

Algorithms and Applications
Buch | Hardcover
435 Seiten
2001
Springer (Verlag)
978-0-7923-6951-6 (ISBN)
213,99 inkl. MwSt
Stochastic programming is the study of procedures for decision making under the presence of uncertainties and risks. Recently, the practical experience gained in stochastic programming has been expanded to a much larger spectrum of applications including financial modeling, risk management, and probabilistic risk analysis.
Stochastic programming is the study of procedures for decision making under the presence of uncertainties and risks. Stochastic programming approaches have been successfully used in a number of areas such as energy and production planning, telecommunications, and transportation. Recently, the practical experience gained in stochastic programming has been expanded to a much larger spectrum of applications including financial modeling, risk management, and probabilistic risk analysis. Major topics in this volume include: (1) advances in theory and implementation of stochastic programming algorithms; (2) sensitivity analysis of stochastic systems; (3) stochastic programming applications and other related topics.
Audience: Researchers and academies working in optimization, computer modeling, operations research and financial engineering. The book is appropriate as supplementary reading in courses on optimization and financial engineering.

Output analysis for approximated stochastic programs.- Combinatorial Randomized Rounding: Boosting Randomized Rounding with Combinatorial Arguments.- Statutory Regulation of Casualty Insurance Companies: An Example from Norway with Stochastic Programming Analysis.- Option pricing in a world with arbitrage.- Monte Carlo Methods for Discrete Stochastic Optimization.- Discrete Approximation in Quantile Problem of Portfolio Selection.- Optimizing electricity distribution using two-stage integer recourse models.- A Finite-Dimensional Approach to Infinite-Dimensional Constraints in Stochastic Programming Duality.- Non—Linear Risk of Linear Instruments.- Multialgorithms for Parallel Computing: A New Paradigm for Optimization.- Convergence Rate of Incremental Subgradient Algorithms.- Transient Stochastic Models for Search Patterns.- Value-at-Risk Based Portfolio Optimization.- Combinatorial Optimization, Cross-Entropy, Ants and Rare Events.- Consistency of Statistical Estimators: the Epigraphical View.- Hierarchical Sparsity in Multistage Convex Stochastic Programs.- Conditional Value-at-Risk: Optimization Approach.

Erscheint lt. Verlag 31.5.2001
Reihe/Serie Applied Optimization ; 54
Zusatzinfo XII, 435 p.
Verlagsort Dordrecht
Sprache englisch
Maße 156 x 234 mm
Themenwelt Mathematik / Informatik Mathematik
Technik Elektrotechnik / Energietechnik
Technik Maschinenbau
ISBN-10 0-7923-6951-3 / 0792369513
ISBN-13 978-0-7923-6951-6 / 9780792369516
Zustand Neuware
Haben Sie eine Frage zum Produkt?
Wie bewerten Sie den Artikel?
Bitte geben Sie Ihre Bewertung ein:
Bitte geben Sie Daten ein:
Mehr entdecken
aus dem Bereich