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＜電子ブック＞
Multistage Stochastic Optimization / by Georg Ch. Pflug, Alois Pichler
(Springer Series in Operations Research and Financial Engineering. ISSN:21971773)

版	1st ed. 2014.
出版者	(Cham : Springer International Publishing : Imprint: Springer)
出版年	2014
本文言語	英語
大きさ	XIV, 301 p. 81 illus : online resource
著者標目	*Pflug, Georg Ch author Pichler, Alois author SpringerLink (Online service)
件　名	LCSH:Operations research LCSH:Management science LCSH:Mathematical optimization FREE:Operations Research and Decision Theory FREE:Operations Research, Management Science FREE:Optimization
一般注記	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 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 of today’s state of the art in multistage stochastic optimization.  It covers the mathematical backgrounds of approximation theory as well as numerous practical algorithms and examples for the generation and handling of scenario trees. A special emphasis is put on estimation and bounding of the modeling error using novel distance concepts, on time consistency and the role of model ambiguity in the decision process. An extensive treatment of examples from electricity production, asset liability management and inventory control concludes the book HTTP:URL=https://doi.org/10.1007/978-3-319-08843-3

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