Multistage Stochastic optimization [electronic resource] / Georg Ch. Pflug, Alois Pichler.

Multistage Stochastic optimization [electronic resource] / Georg Ch. Pflug, Alois Pichler.

9783319088433 electronic book
3319088432 electronic book
9783319088426
3319088424

Cham : Springer, [2014]

©2014

English

1 online resource (xiv, 301 pages) : illustrations.

10.1007/978-3-319-08843-3 doi

T57.32

519.23

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

Includes bibliographical references and index.

Access limited to authorized users.

Springer series in operations research.

Print version: 9783319088426

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