Multistage Stochastic optimization [electronic resource]
- 作者： Pflug, Georg Ch.
- 其他作者：
- 其他題名：
- Springer series in operations research
- 出版： Cham : Springer International Publishing :Imprint: Springer
- 叢書名： Springer series in operations research
- 主題： Stochastic processes , Mathematical optimization , Economics/Management Science. , Operation Research/Decision Theory. , Operations Research, Management Science. , Optimization.
- ISBN： 9783319088433 (electronic bk.) 、 9783319088426 (paper)
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FIND@SFXID:
CGU
- 資料類型: 電子書
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讀者標籤：
- 系統號： 005123322 | 機讀編目格式
館藏資訊
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.