Multistage Stochastic Optimization by Alois Pichler (English) Hardcover Book

Description: Multistage Stochastic Optimization by Alois Pichler, Georg Ch. Pflug Multistage stochastic optimization problems appear in many ways in finance, insurance, energy production and trading, logistics and transportation, among other areas. FORMAT Hardcover LANGUAGE English CONDITION Brand New 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 todays 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. Back Cover 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 todays 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 Author Biography Georg Pflug is full professor of Statistics and Operations Research at the University of Vienna, Austria. He got a PhD in Mathematics from the University of Vienna and was Professor of Mathematics at the University of Giessen, Germany, before joining the University of Vienna as a full professor. He is author of 4 books and more than 80 peer reviewed articles. He is also editor of several books and special issues of journals. Alois Pichler holds a PhD in economic sciences and master degrees in mathematics and physics. He has gathered business experience in different positions in the insurance and banking industry, including managerial positions. He is with the Norwegian University of Science and Technology and his scientific work is dedicated to mathematical properties of risk measures with a particular focus on their relation to insurance, and to optimization under uncertainty. Table of Contents 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. Review "As stochastic optimization problems can be solved only approximatively, the book presents the mathematical foundations for approximation methods as well as practical algorithms and examples for the generation and handling of scenario trees. … The book, covering the current status in multistage stochastic optimization, can be recommended to readers interested in theoretical as well as in practical aspects of this field." (Kurt Marti, Mathematical Reviews, June, 2015) Review Quote "As stochastic optimization problems can be solved only approximatively, the book presents the mathematical foundations for approximation methods as well as practical algorithms and examples for the generation and handling of scenario trees. ... The book, covering the current status in multistage stochastic optimization, can be recommended to readers interested in theoretical as well as in practical aspects of this field." (Kurt Marti, Mathematical Reviews, June, 2015) Feature Provides the first comprehensive treatment of multistage stochastic decision problems Presents a rigorous treatment of scenario generation methods using distance concepts Contains new concepts of time-consistent decision making Showcases the influence of model ambiguity to the decision process Details ISBN3319088424 Author Georg Ch. Pflug Year 2014 ISBN-10 3319088424 ISBN-13 9783319088426 Format Hardcover Short Title MULTISTAGE STOCHASTIC OPTIMIZA Language English Media Book Imprint Springer International Publishing AG Place of Publication Cham Country of Publication Switzerland Affiliation Institute of Statistics, University of Vienna, Austria Edition 2014th Pages 301 DOI 10.1007/978-3-319-08843-3 Publication Date 2014-11-27 UK Release Date 2014-11-27 Illustrations 81 Illustrations, black and white; XIV, 301 p. 81 illus. Publisher Springer International Publishing AG Edition Description 2014 ed. Series Springer Series in Operations Research and Financial Engineering Alternative 9783319382678 DEWEY 519.62 Audience Postgraduate, Research & Scholarly We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:96298041;

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