Lectures on Stochastic Programming: Modeling and Theory - Hardcover

Shapiro, Alexander; Dentcheva, Darinka; Ruszczyński, Andrzej

Hardcover

ISBN 10: 1611973422 ISBN 13: 9781611973426

Verlag: Society for Industrial and Applied Mathematics, 2014

Inhaltsangabe

Optimization problems involving stochastic models occur in most areas of science, revealing a need for rigorous ways of analyzing and solving such problems. This new edition focuses on theoretical foundations and recent developments, including new material on optimality conditions for nonconvex problems, law invariant coherent risk measures, and more.

Über diesen Titel

Reseña del editor

Optimization problems involving stochastic models occur in most areas of science and engineering, particularly telecommunications, medicine, and finance. Their existence reveals a need for rigorous ways of formulating, analyzing, and solving such problems. This book focuses on optimization problems involving uncertain parameters and covers the theoretical foundations and recent advances in areas where stochastic models are available. In this second edition, the authors introduce new material to reflect recent developments, including: analytical descriptions of the tangent and normal cones of chance constrained sets; analysis of optimality conditions for nonconvex problems; a discussion of the stochastic dual dynamic programming method; an extended discussion of law invariant coherent risk measures and their Kusuoka representations; and an in-depth analysis of dynamic risk measures and concepts of time consistency, including several new results. This book is intended for researchers working in optimization. It is also suitable for advanced graduate courses in this area.

Biografía del autor

Alexander Shapiro is a Professor in the School of Industrial and Systems Engineering at Georgia Institute of Technology. He has published more than 100 articles and is the co-author of several books.

Details zur Ausgabe

• Verlag: Society for Industrial and Applied Mathematics
• Erscheinungsdatum: 2014
• ISBN 10: 1611973422
• ISBN 13: 9781611973426
• Einband: Tapa dura
• Sprache: Englisch
• Auflage: 2
• Anzahl der Seiten: 509