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Multistage Stochastic Optimization

Multistage Stochastic Optimization

Hardcover

Series: Springer Operations Research and Financial Engineering

Business GeneralGeneral MathematicsProbability & Statistics

ISBN10: 3319088424
ISBN13: 9783319088426
Publisher: Springer Nature
Published: Nov 27 2014
Pages: 301
Weight: 1.36
Height: 0.75 Width: 6.14 Depth: 9.21
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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