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Multistage Stochastic Optimization

Paperback Engels 2016 9783319382678
Verwachte levertijd ongeveer 9 werkdagen

Samenvatting

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.

Specificaties

ISBN13:9783319382678
Taal:Engels
Bindwijze:paperback
Uitgever:Springer International Publishing

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Inhoudsopgave

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.

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        Multistage Stochastic Optimization