Multistage Stochastic Optimization
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Author
Publication
2016 - Springer International Publishing AG
Language
English
Word Count
75,250 words, Guess
Page Count
301 pages
Identifiers
- ISBN-139783319382678
- ISBN-103319382675
- Better World Books9783319382678
- Open LibraryOL37268285M
Classifications
- LCCT57.6-.97
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
Subjects
Other Editions
- Multistage Stochastic Optimization
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