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Multistage Stochastic Optimization

Georg Ch. Pflug, Alois Pichler (Autoren)

Buch | Hardcover

XIV, 301 Seiten

2014 | 2014
Springer International Publishing (Verlag)
978-3-319-08842-6 (ISBN)

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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.

Alois Pichler, born 1966, is a member of staff at the Department of Culture, Language and Information Technology (AKSIS) at UNIFOB AS, Bergen, Norway. He is Director of the Wittgenstein Archives at the University of Bergen. He is member of the Executive Committee of the Austrian Ludwig Wittgenstein Society. Homepage: http://teksttek.aksis.uib.no/people/alois.

Introduction.- The Nested Distance.- Risk and Utility Functionals.- From Data to Models.- Time Consistency.- Approximations and Bounds.- The Problem of Ambiguity in Stochastic Optimization.- Examples.

"As stochastic optimization problems can be solved only approximatively, the book presents the mathematical foundations for approximation methods as well as practical algorithms and examples for the generation and handling of scenario trees. ... The book, covering the current status in multistage stochastic optimization, can be recommended to readers interested in theoretical as well as in practical aspects of this field." (Kurt Marti, Mathematical Reviews, June, 2015)

Erscheint lt. Verlag	27.11.2014
Reihe/Serie	Springer Series in Operations Research and Financial Engineering
Zusatzinfo	XIV, 301 p. 81 illus.
Verlagsort	Cham
Sprache	englisch
Maße	155 x 235 mm
Gewicht	595 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
	Wirtschaft ► Allgemeines / Lexika
	Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management
Schlagworte	Distributionally robust decisions • Model ambiguity • Multistage decisions • Scenario generation • stochastic optimization • Wasserstein and nested distances
ISBN-10	3-319-08842-4 / 3319088424
ISBN-13	978-3-319-08842-6 / 9783319088426
Zustand	Neuware