Multistage Stochastic Optimization

Business & Finance, Management & Leadership, Operations Research, Nonfiction, Science & Nature, Mathematics, Applied
Cover of the book Multistage Stochastic Optimization by Georg Ch. Pflug, Alois Pichler, Springer International Publishing
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Author: Georg Ch. Pflug, Alois Pichler ISBN: 9783319088433
Publisher: Springer International Publishing Publication: November 12, 2014
Imprint: Springer Language: English
Author: Georg Ch. Pflug, Alois Pichler
ISBN: 9783319088433
Publisher: Springer International Publishing
Publication: November 12, 2014
Imprint: Springer
Language: English

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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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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