Multistage Stochastic Optimization (Springer Series in by Georg Ch. Pflug,Alois Pichler

By Georg Ch. Pflug,Alois Pichler

Multistage stochastic optimization difficulties seem in lots of methods in finance, coverage, strength construction and buying and selling, logistics and transportation, between different parts. They describe choice events less than uncertainty and with an extended making plans horizon. This e-book encompasses a complete therapy of today’s cutting-edge in multistage stochastic optimization.  It covers the mathematical backgrounds of approximation thought in addition to various useful algorithms and examples for the iteration and dealing with of situation timber. a unique emphasis is wear estimation and bounding of the modeling mistakes utilizing novel distance options, on time consistency   and the position of version ambiguity within the selection procedure. an intensive remedy of examples from electricity construction, asset legal responsibility administration and stock regulate concludes the book.

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