| Multistage Stochastic Optimization 2014 Edition Contributor(s): Pflug, Georg Ch (Author), Pichler, Alois (Author) |
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ISBN: 3319088424 ISBN-13: 9783319088426 Publisher: Springer OUR PRICE: $132.99 Product Type: Hardcover - Other Formats Published: November 2014 |
| Additional Information |
| BISAC Categories: - Business & Economics | Operations Research - Mathematics | Applied - Mathematics | Probability & Statistics - General |
| Dewey: 519.6 |
| Series: Springer Operations Research and Financial Engineering |
| Physical Information: 0.75" H x 6.14" W x 9.21" (1.36 lbs) 301 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |