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

Name: Stability, Approximation, and Decomposition in Two- and Multistage Stochastic Programming
Brand: Springer Fachmedien Wiesbaden
SKU: 9783834809216
Price: 212.91 PLN
Availability: InStock

Autor: Christian Küchler

Język:

Oprawa: Miękka

Wydawca: Springer Fachmedien Wiesbaden

Dostępność: Dostępna u dostawcy

Wysyłamy za 5-8 dni

212.91 zł

Stochastic programming provides a framework for modelling, analyzing, and solving optimization probl...

Informacje o książce

Autor

Christian Küchler

Język

Angielski

Oprawa

Książka - Miękka

Data wydania

2009

strony

186

EAN

9783834809216

ISBN

3834809217

Enbook ID

01782103

Wydawca

Springer Fachmedien Wiesbaden

Waga

230

Wymiary

148 x 210 x 10

Pełny opis

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. One of these aspects is the problem of the quantitative stability of linear multistage stochastic programs under perturbations or approximations of the underlying stochastic processes. The author further 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.

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

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