Stochastic Optimization

Algorithms and Applications
2001
ISBN: 978-0-7923-6951-6
Verlag: Springer US

Buch, Englisch, Band 54, 435 Seiten, Format (B × H): 160 mm x 241 mm, Gewicht: 1780 g

Reihe: Applied Optimization

Stochastic programming is the study of procedures for decision making under the presence of uncertainties and risks. Stochastic programming approaches have been successfully used in a number of areas such as energy and production planning, telecommunications, and transportation. Recently, the practical experience gained in stochastic programming has been expanded to a much larger spectrum of applications including financial modeling, risk management, and probabilistic risk analysis. Major topics in this volume include: (1) advances in theory and implementation of stochastic programming algorithms; (2) sensitivity analysis of stochastic systems; (3) stochastic programming applications and other related topics.
Researchers and academies working in optimization, computer modeling, operations research and financial engineering. The book is appropriate as supplementary reading in courses on optimization and financial engineering.

Zielgruppe

Research

Autoren/Hrsg.

Pardalos, Panos M.

Uryasev, Stanislav

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Technische Wissenschaften Technik Allgemein Mathematik für Ingenieure
• Mathematik | Informatik EDV | Informatik Informatik
• Mathematik | Informatik Mathematik Mathematische Analysis Variationsrechnung
• Mathematik | Informatik Mathematik Operations Research Spieltheorie
• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Finanzierung, Investition, Leasing
• Technische Wissenschaften Maschinenbau | Werkstoffkunde Produktionstechnik Fertigungstechnik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
• Technische Wissenschaften Elektronik | Nachrichtentechnik Elektronik Überwachungstechnik

Inhaltsverzeichnis

Output analysis for approximated stochastic programs.- Combinatorial Randomized Rounding: Boosting Randomized Rounding with Combinatorial Arguments.- Statutory Regulation of Casualty Insurance Companies: An Example from Norway with Stochastic Programming Analysis.- Option pricing in a world with arbitrage.- Monte Carlo Methods for Discrete Stochastic Optimization.- Discrete Approximation in Quantile Problem of Portfolio Selection.- Optimizing electricity distribution using two-stage integer recourse models.- A Finite-Dimensional Approach to Infinite-Dimensional Constraints in Stochastic Programming Duality.- Non—Linear Risk of Linear Instruments.- Multialgorithms for Parallel Computing: A New Paradigm for Optimization.- Convergence Rate of Incremental Subgradient Algorithms.- Transient Stochastic Models for Search Patterns.- Value-at-Risk Based Portfolio Optimization.- Combinatorial Optimization, Cross-Entropy, Ants and Rare Events.- Consistency of Statistical Estimators: the Epigraphical View.- Hierarchical Sparsity in Multistage Convex Stochastic Programs.- Conditional Value-at-Risk: Optimization Approach.