Multistage Stochastic Optimization

Georg Pflug is full professor of Statistics and Operations Research at the University of Vienna, Austria. He got a PhD in Mathematics from the University of Vienna and was Professor of Mathematics at the University of Giessen, Germany, before joining the University of Vienna as a full professor. He is author of 4 books and more than 80 peer reviewed articles. He is also editor of several books and special issues of journals. Alois Pichler holds a PhD in economic sciences and master degrees in mathematics and physics. He has gathered business experience in different positions in the insurance and banking industry, including managerial positions. He is with the Norwegian University of Science and Technology and his scientific work is dedicated to mathematical properties of risk measures with a particular focus on their relation to insurance, and to optimization under uncertainty.

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)