Stochastic Linear Programming Models, Theory, and Computation /

• Main Authors: Kall, Peter (Author), Mayer, János (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Boston, MA : Springer US, 2005.
• Series: International Series in Operations Research & Management Science, 80
• Subjects: Mathematics.; Operations research.; Decision making.; Applied mathematics.; Engineering mathematics.; Mathematical optimization.; Management science.; Probabilities.; Optimization.; Operations Research, Management Science.; Appl.Mathematics/Computational Methods of Engineering.; Probability Theory and Stochastic Processes.; Operation Research/Decision Theory.; Applications of Mathematics.

Peter Kall and János Mayer are distinguished scholars and professors of Operations Research and their research interest is particularly devoted to the area of stochastic optimization. STOCHASTIC LINEAR PROGRAMMING: Models, Theory, and Computation is a definitive presentation and discussion of the th...

Table of Contents:

• Basics
• Introduction
• Linear Programming Prerequisites
• Nonlinear Programming Prerequisites
• Single-stage SLP Models
• Introduction
• Models involving Probability Functions
• Quantile Functions, Value at Risk
• Models Based on Expectation
• Models Built with Deviation Measures
• Modeling Risk and Opportunity
• Risk Measures
• Multi-stage SLP Models
• The General SLP with Recourse
• The Two-stage SLP
• The Multi-stage SLP
• Algorithms
• Models with Probability Functions
• Models with Quantile Functions
• Models Based on Expectation
• Models with Deviation Measures
• Two-stage Recourse Problems
• Multi-stage Recourse Problems
• Modeling Systems for SLP
• Bibliography.