Applications Of Stochastic Programming
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Applications Of Stochastic Programming
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Author : Stein W. Wallace
language : en
Publisher: SIAM
Release Date : 2005-06-01
Applications Of Stochastic Programming written by Stein W. Wallace and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-06-01 with Mathematics categories.
Consisting of two parts, this book presents papers describing publicly available stochastic programming systems that are operational. It presents a diverse collection of application papers in areas such as production, supply chain and scheduling, gaming, environmental and pollution control, financial modeling, telecommunications, and electricity.
Applications Of Stochastic Programming
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Author : Stein W. Wallace
language : en
Publisher: SIAM
Release Date : 2005-01-01
Applications Of Stochastic Programming written by Stein W. Wallace and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-01-01 with Mathematics categories.
Consisting of two parts, this book presents papers describing publicly available stochastic programming systems that are operational. It presents a diverse collection of application papers in areas such as production, supply chain and scheduling, gaming, environmental and pollution control, financial modeling, telecommunications, and electricity.
Stochastic Programming
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Author : Horand Gassmann
language : en
Publisher: World Scientific
Release Date : 2013
Stochastic Programming written by Horand Gassmann and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business & Economics categories.
This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stochastic Programming held in Halifax, Nova Scotia in August 2010, span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, prevention of nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, two telecommunication papers discuss mobile network design and frequency assignment problems.
Stochastic Optimization
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Author : Stanislav Uryasev
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Stochastic Optimization written by Stanislav Uryasev and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Technology & Engineering categories.
Stochastic programming is the study of procedures for decision making under the presence of uncertainties and risks. Stochastic programming approaches have been successfully used in a number of areas such as energy and production planning, telecommunications, and transportation. Recently, the practical experience gained in stochastic programming has been expanded to a much larger spectrum of applications including financial modeling, risk management, and probabilistic risk analysis. Major topics in this volume include: (1) advances in theory and implementation of stochastic programming algorithms; (2) sensitivity analysis of stochastic systems; (3) stochastic programming applications and other related topics. Audience: Researchers and academies working in optimization, computer modeling, operations research and financial engineering. The book is appropriate as supplementary reading in courses on optimization and financial engineering.
Stochastic Programming
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Author : Carlos Narciso Bouza Herrera
language : en
Publisher: Nova Science Publishers
Release Date : 2017
Stochastic Programming written by Carlos Narciso Bouza Herrera and has been published by Nova Science Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Mathematics categories.
This book is concerned with fostering theoretical issues on stochastic programming and discussing how it can solve real life problems. The book presents applications which solve the optimization of concrete problems in electricity markets, market equilibria, resource markets and environments. Each chapter presents a survey on the main results concerned with its contents, and discusses their impact by illustrating how they are applicable in real life. The authors use concrete, real life problems and simulation-motivated experiments for illustrating the behavior of the stochastic models discussed. The target audience for this title is graduate students or researchers in optimization, approximation, statistics, operations research and computing, as well as professionals dealing with applications where uncertainty may be modeled by using stochastic optimization and academics. The contributors are well-known specialists in stochastic programming.
Stochastic Programming
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Author : Kurt Marti
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-12-14
Stochastic Programming written by Kurt Marti and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-14 with Business & Economics categories.
New theoretical insight into several branches of reliability-oriented optimization of stochastic systems, new computational approaches and technical/economic applications of stochastic programming methods can be found in this volume.
Stochastic Programming 84
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Author : András Prékopa
language : en
Publisher:
Release Date : 1986
Stochastic Programming 84 written by András Prékopa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with Stochastic programming categories.
Introduction To Stochastic Programming
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Author : John R. Birge
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-04-06
Introduction To Stochastic Programming written by John R. Birge and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-04-06 with Mathematics categories.
This rapidly developing field encompasses many disciplines including operations research, mathematics, and probability. Conversely, it is being applied in a wide variety of subjects ranging from agriculture to financial planning and from industrial engineering to computer networks. This textbook provides a first course in stochastic programming suitable for students with a basic knowledge of linear programming, elementary analysis, and probability. The authors present a broad overview of the main themes and methods of the subject, thus helping students develop an intuition for how to model uncertainty into mathematical problems, what uncertainty changes bring to the decision process, and what techniques help to manage uncertainty in solving the problems. The early chapters introduce some worked examples of stochastic programming, demonstrate how a stochastic model is formally built, develop the properties of stochastic programs and the basic solution techniques used to solve them. The book then goes on to cover approximation and sampling techniques and is rounded off by an in-depth case study. A well-paced and wide-ranging introduction to this subject.
Continuous Time Stochastic Control And Optimization With Financial Applications
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Author : Huyên Pham
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-05-28
Continuous Time Stochastic Control And Optimization With Financial Applications written by Huyên Pham and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-05-28 with Mathematics categories.
Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc. This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.
Stochastic Optimization
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Author : Kurt Marti
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Optimization written by Kurt Marti and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
This volume includes a selection of refereed papers presented at the GAMM/IFIP-Workshop on "Stochastic Optimization: Numerical Methods and Technical Applications", held at the Federal Armed Forces University Munich, May 29 - 31, 1990. The objective of this meeting was to bring together scientists from Stochastic Programming and from those Engineering areas, where Mathematical Programming models are common tools, as e. g. Optimal Structural Design, Power Dispatch, Acid Rain Management etc. The first, theoretical part includes the papers by S. D. Flam. H. Niederreiter, E. Poechinger and R. Schultz. The second part on methods and applications contains the articles by N. Baba, N. Grwe and W. Roemisch, J. Mayer, E. A. Mc Bean and A. Vasarhelyi.