ENGLISH

Multistage Stochastic Optimization

By Georg Ch. Pflug , Alois Pichler (auth.)

Book information

Publisher
Springer International Publishing
Year
2014
ISBN
978-3-319-08842-6, 978-3-319-08843-3
DOI
10.1007/978-3-319-08843-3
Language
english
Format
PDF
Filesize
6 MB (6198522 bytes)
Series
Springer Series in Operations Research and Financial Engineering
Edition
1
Pages
301\309
Time added
2015-02-17 02:00:00
Management Science; OptimizationOperation Research/Decision Theory; Operations Res

Description

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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