Stability, Approximation, and Decomposition in Two- and Multistage Stochastic Programming - Softcover

K\xfcchler, Christian

Softcover

ISBN 10: 3834809217 ISBN 13: 9783834809216

Verlag: Vieweg and Teubner, 2009

Inhaltsangabe

Stochastic programming provides a framework for modeling, analyzing, and solving optimization problems with some parameters being not known up to a probability distribution. Such problems arise in a variety of applications, such as inventory control, financial planning and portfolio optimization, airline revenue management, scheduling and operation of power systems, and supply chain management. Christian Küchler studies various aspects of the stability of stochastic optimization problems as well as approximation and decomposition methods in stochastic programming. In particular, the author presents and extension of the Nested Benders decomposition algorithm related to the concept of recombining scenario trees. The approach combines the concept of cut sharing with a specific aggregation procedure and prevents an exponentially growing number of sub-problem evaluations. Convergence results and numerical properties are discussed.

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Über die Autorin bzw. den Autor

Dr. Christian Küchler completed his doctoral thesis at the Humboldt University, Berlin. He currently works as a quantitative analyst at Landesbank Berlin AG.

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Stochastic programming provides a framework for modelling, analyzing, and solving optimization problems with some parameters being not known up to a probability distribution. Such problems arise in a variety of applications, such as inventory control, financial planning and portfolio optimization, airline revenue management, scheduling and operation of power systems, and supply chain management.

Christian Küchler studies various aspects of the stability of stochastic optimization problems as well as approximation and decomposition methods in stochastic programming. In particular, the author presents an extension of the Nested Benders decomposition algorithm related to the concept of recombining scenario trees. The approach combines the concept of cut sharing with a specific aggregation procedure and prevents an exponentially growing number of subproblem evaluations. Convergence results and numerical properties are discussed.

Details zur Ausgabe

• Verlag: Vieweg and Teubner
• Erscheinungsdatum: 2009
• Sprache: Englisch
• ISBN 10: 3834809217
• ISBN 13: 9783834809216
• Einband: Tapa blanda
• Anzahl der Seiten: 184
• Kontakt zum Hersteller: Nicht verfügbar
• Verantwortliche Person: Nicht verfügbar