Multistage Stochastic Optimization [[electronic resource] /] / by Georg Ch. Pflug, Alois Pichler
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| Autore: |
Pflug Georg Ch
|
| Titolo: |
Multistage Stochastic Optimization [[electronic resource] /] / by Georg Ch. Pflug, Alois Pichler
|
| Pubblicazione: | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2014 |
| Edizione: | 1st ed. 2014. |
| Descrizione fisica: | 1 online resource (309 p.) |
| Disciplina: | 519.2 |
| Soggetto topico: | Operations research |
| Decision making | |
| Management science | |
| Mathematical optimization | |
| Operations Research/Decision Theory | |
| Operations Research, Management Science | |
| Optimization | |
| Persona (resp. second.): | PichlerAlois |
| Note generali: | Description based upon print version of record. |
| Nota di bibliografia: | Includes bibliographical references and index. |
| Nota di contenuto: | 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. |
| Sommario/riassunto: | 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. |
| Titolo autorizzato: | Multistage Stochastic Optimization |
| ISBN: | 3-319-08843-2 |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910299970103321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Springer Series in Operations Research and Financial Engineering, . 1431-8598