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.
| ISBN: | 9783319382678 |
| Publication date: | 23rd August 2016 |
| Author: | Georg Ch Pflug, Alois Pichler |
| Publisher: | Springer an imprint of Springer International Publishing |
| Format: | Paperback |
| Pagination: | 301 pages |
| Series: | Springer Series in Operations Research and Financial Engineering |
| Genres: |
Operational research Management decision making Optimization |
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.
Multistage Stochastic Optimization features in the following genres: Operational research, Management decision making, Optimization
Paperback. Not Available.
Multistage Stochastic Optimization was written by Georg Ch Pflug, Alois Pichler and published by Springer an imprint of Springer International Publishing
Multistage Stochastic Optimization has 301 pages
Yes it is part of Springer Series in Operations Research and Financial Engineering series