9783319088426: Multistage Stochastic Optimization
Couverture rigide
ISBN 10 : 3319088424 ISBN 13 : 9783319088426
Editeur : Springer International Publishing AG, 2014

Synopsis

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.

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À propos de l?auteur

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.

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Éditeur
Springer International Publishing AG
Date d'édition
2014
Langue
anglais
ISBN 10 
3319088424
ISBN 13 
9783319088426
Reliure
Relié
Nombre de pages
301
Coordonnées du fabricant
non disponible
Personne responsable
CMN Printpool Inh. Mathis Neumann
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Hamburg
Allemagne

Autres éditions populaires du même titre

9783319382678: Multistage Stochastic Optimization

Edition présentée

ISBN 10 :  3319382675 ISBN 13 :  9783319382678
Editeur : Springer, 2016
Couverture souple