Multistage Stochastic Optimization (Springer Series in Operations Research and Financial Engineering)

Pflug, Georg Ch./ Pichler, Alois

Springer International Publishing AG（2016/08発売）

• 製本 Paperback:紙装版/ペーパーバック版／ページ数 301 p.
• 言語 ENG
• 商品コード 9783319382678
• DDC分類 519.6

Full 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.

Contents

Introduction.- The Nested Distance.- Risk and Utility Functionals.- From Data to Models.- Time Consistency.- Approximations and Bounds.- The Problem of Ambiguity in Stochastic Optimization.- Examples.