Introduction to Stochastic Programming - Couverture rigide

Birge, John R.; Louveaux, Francois

Couverture rigide

ISBN 10 : 0387982175 ISBN 13 : 9780387982175

Editeur : Springer-Verlag New York Inc., 1997

Synopsis

The aim of stochastic programming is to find optimal decisions in problems which involve uncertain data. This field is currently developing rapidly with contributions from many disciplines including operations research, mathematics, and probability. Conversely, it is being applied in a wide variety of subjects ranging from agriculture to financial planning and from industrial engineering to computer networks.This textbook provides a first course in stochastic programming suitable for students with a basic knowledge of linear programming, elementary analysis, and probability. The authors aim to present a broad overview of the main themes and methods of the subject. Its prime goal is to help students develop an intuition on how to model uncertainty into mathematical problems, what uncertainty changes bring to the decision process, and what techniques help to manage uncertainty in solving the problems.The first chapters introduce some worked examples of stochastic programming and demonstrate how a stochastic model is formally built. Subsequent chapters develop the properties of stochastic programs and the basic solution techniques used to solve them. Three chapters cover approximation and sampling techniques and the final chapter presents a case study in depth.A wide range of students from operations research, industrial engineering, and related disciplines will find this a well-paced and wide-ranging introduction to this subject.

A propos du livre

Revue de presse

From the reviews of the second edition:

Help the students to understand how to model uncertainty into mathematical optimization problems, what uncertainty brings to the decision process and which techniques help to manage uncertainty in solving the problems. ... certainly attract also the wide spectrum of readers whose main interest lies in possible exploitation of stochastic programming methodology and will help them to find their own way to treat actual problems using stochastic programming methods. As a whole, the three main building blocks of stochastic programming ... are well represented and balanced. --(Jitka Dupa ová, Zentralblatt MATH, Vol. 1223, 2011)

Présentation de l'éditeur

In an extensively updated new edition, this book teaches stochastic programming, with new approaches for discrete variables, new results on risk measures in modeling and Monte Carlo sampling methods, a new chapter on relationships to other methods and more.

Détails de l'édition

• Éditeur: Springer-Verlag New York Inc.
• Date d'édition: 1997
• Langue: anglais
• ISBN 10: 0387982175
• ISBN 13: 9780387982175
• Reliure: Relié
• Numéro d'édition: 2
• Nombre de pages: 421
• Coordonnées du fabricant: Springer-Verlag GmbH; customerservice@springernature.com; ; Tiergartenstraße 17; Heidelberg; Baden-Württemberg; 69121; Allemagne