Stochastic Programming

Applications in Finance, Energy, Planning and Logistics

Business & Finance, Finance & Investing, Finance, Nonfiction, Science & Nature, Mathematics, Industries & Professions, Industries
Cover of the book Stochastic Programming by Horand I Gassmann, William T Ziemba, World Scientific Publishing Company
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Author: Horand I Gassmann, William T Ziemba ISBN: 9789814407526
Publisher: World Scientific Publishing Company Publication: November 28, 2012
Imprint: WSPC Language: English
Author: Horand I Gassmann, William T Ziemba
ISBN: 9789814407526
Publisher: World Scientific Publishing Company
Publication: November 28, 2012
Imprint: WSPC
Language: English

This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stochastic Programming held in Halifax, Nova Scotia in August 2010, span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, prevention of nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, two telecommunication papers discuss mobile network design and frequency assignment problems.

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This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stochastic Programming held in Halifax, Nova Scotia in August 2010, span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, prevention of nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, two telecommunication papers discuss mobile network design and frequency assignment problems.

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