Multistage Stochastic Optimization

• Main Authors: Pflug, Georg Ch (Author), Pichler, Alois (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2014.
• Series: Springer Series in Operations Research and Financial Engineering,
• Subjects: Business.; Operations research.; Decision making.; Mathematical optimization.; Management science.; Business and Management.; Operation Research/Decision Theory.; Operations Research, Management Science.; Optimization.

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...

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.