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Probabilistic Constrained Optimization

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Probabilistic Constrained Optimization

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Author : Stanislav Uryasev
language : en
Publisher: Springer Science & Business Media
Release Date : 2000-11-30

Probabilistic Constrained 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 2000-11-30 with Business & Economics categories.

Probabilistic and percentile/quantile functions play an important role in several applications, such as finance (Value-at-Risk), nuclear safety, and the environment. Recently, significant advances have been made in sensitivity analysis and optimization of probabilistic functions, which is the basis for construction of new efficient approaches. This book presents the state of the art in the theory of optimization of probabilistic functions and several engineering and finance applications, including material flow systems, production planning, Value-at-Risk, asset and liability management, and optimal trading strategies for financial derivatives (options). Audience: The book is a valuable source of information for faculty, students, researchers, and practitioners in financial engineering, operation research, optimization, computer science, and related areas.

Probabilistic And Randomized Methods For Design Under Uncertainty

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Author : Giuseppe Calafiore
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-01-13

Probabilistic And Randomized Methods For Design Under Uncertainty written by Giuseppe Calafiore 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 2006-01-13 with Business & Economics categories.

Probabilistic and Randomized Methods for Design under Uncertainty is a collection of contributions from the world’s leading experts in a fast-emerging branch of control engineering and operations research. The book will be bought by university researchers and lecturers along with graduate students in control engineering and operational research.

Probabilistic Constrained Optimization

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Author : Stanislav Uryasev
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09

Optimization Models

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Author : Giuseppe C. Calafiore
language : en
Publisher: Cambridge University Press
Release Date : 2014-10-31

Optimization Models written by Giuseppe C. Calafiore and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-10-31 with Business & Economics categories.

This accessible textbook demonstrates how to recognize, simplify, model and solve optimization problems - and apply these principles to new projects.

Lectures On Stochastic Programming

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Author : Alexander Shapiro
language : en
Publisher: SIAM
Release Date : 2009-10-08

Lectures On Stochastic Programming written by Alexander Shapiro and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-10-08 with Mathematics categories.

A comprehensive treatment of optimization problems involving uncertain parameters for which stochastic models are available.

Multistage Stochastic Optimization

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Author : Georg Ch. Pflug
language : en
Publisher: Springer
Release Date : 2014-11-12

Multistage Stochastic Optimization written by Georg Ch. Pflug and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-12 with Business & Economics categories.

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.

Robust Optimization

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Author : Aharon Ben-Tal
language : en
Publisher: Princeton University Press
Release Date : 2009-08-10

Robust Optimization written by Aharon Ben-Tal and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-08-10 with Mathematics categories.

Robust optimization is still a relatively new approach to optimization problems affected by uncertainty, but it has already proved so useful in real applications that it is difficult to tackle such problems today without considering this powerful methodology. Written by the principal developers of robust optimization, and describing the main achievements of a decade of research, this is the first book to provide a comprehensive and up-to-date account of the subject. Robust optimization is designed to meet some major challenges associated with uncertainty-affected optimization problems: to operate under lack of full information on the nature of uncertainty; to model the problem in a form that can be solved efficiently; and to provide guarantees about the performance of the solution. The book starts with a relatively simple treatment of uncertain linear programming, proceeding with a deep analysis of the interconnections between the construction of appropriate uncertainty sets and the classical chance constraints (probabilistic) approach. It then develops the robust optimization theory for uncertain conic quadratic and semidefinite optimization problems and dynamic (multistage) problems. The theory is supported by numerous examples and computational illustrations. An essential book for anyone working on optimization and decision making under uncertainty, Robust Optimization also makes an ideal graduate textbook on the subject.

Convex Optimization

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Author : Stephen P. Boyd
language : en
Publisher: Cambridge University Press
Release Date : 2004-03-08

Convex Optimization written by Stephen P. Boyd and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-03-08 with Business & Economics categories.

Convex optimization problems arise frequently in many different fields. This book provides a comprehensive introduction to the subject, and shows in detail how such problems can be solved numerically with great efficiency. The book begins with the basic elements of convex sets and functions, and then describes various classes of convex optimization problems. Duality and approximation techniques are then covered, as are statistical estimation techniques. Various geometrical problems are then presented, and there is detailed discussion of unconstrained and constrained minimization problems, and interior-point methods. The focus of the book is on recognizing convex optimization problems and then finding the most appropriate technique for solving them. It contains many worked examples and homework exercises and will appeal to students, researchers and practitioners in fields such as engineering, computer science, mathematics, statistics, finance and economics.

The Concentration Of Measure Phenomenon

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Author : Michel Ledoux
language : en
Publisher: American Mathematical Soc.
Release Date : 2001

The Concentration Of Measure Phenomenon written by Michel Ledoux and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Mathematics categories.

The observation of the concentration of measure phenomenon is inspired by isoperimetric inequalities. This book offers the basic techniques and examples of the concentration of measure phenomenon. It presents concentration functions and inequalities, isoperimetric and functional examples, spectrum and topological applications and product measures.

Probabilistic Constraint Logic Programming

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Author : Stefan Riezler
language : en
Publisher:
Release Date : 1999

Probabilistic Constraint Logic Programming written by Stefan Riezler and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Constraint programming (Computer science) categories.

Probabilistic Constrained Optimization

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