Multistage Stochastic optimization [electronic resource] / Georg Ch. Pflug, Alois Pichler.
Pflug, Georg Ch., 1951- author.; Pichler, Alois, author.
2014
T57.32
Available Online

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Title Multistage Stochastic optimization [electronic resource] / Georg Ch. Pflug, Alois Pichler.
Author Pflug, Georg Ch., 1951- author.
ISBN 9783319088433 electronic book
3319088432 electronic book
9783319088426
3319088424
DOI https://doi.org/10.1007/978-3-319-08843-3
Published Cham : Springer, [2014]
Copyright ©2014
Language English
Description 1 online resource (xiv, 301 pages) : illustrations.
Item Number 10.1007/978-3-319-08843-3 doi
Call Number T57.32
Dewey Decimal Classification 519.23
Summary 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
Bibliography, etc. Note Includes bibliographical references and index.
Access Note Access limited to authorized users.
Added Author Pichler, Alois, author.
Series Springer series in operations research.
Available in Other Form Print version: 9783319088426
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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.

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