Dewey Class |
670 |
Title |
Stochastic Optimization: Algorithms and Applications ([EBook] /) / edited by Stanislav Uryasev, Panos M. Pardalos. |
Added Personal Name |
Uryasev, Stanislav editor. |
Pardalos, Panos M. editor. |
Other name(s) |
SpringerLink (Online service) |
Publication |
Boston, MA : : Springer US : : Imprint: Springer, , 2001. |
Physical Details |
XII, 435 p. : online resource. |
Series |
Applied Optimization 1384-6485 ; ; 54 |
ISBN |
9781475765946 |
Summary Note |
Stochastic programming is the study of procedures for decision making under the presence of uncertainties and risks. Stochastic programming approaches have been successfully used in a number of areas such as energy and production planning, telecommunications, and transportation. Recently, the practical experience gained in stochastic programming has been expanded to a much larger spectrum of applications including financial modeling, risk management, and probabilistic risk analysis. Major topics in this volume include: (1) advances in theory and implementation of stochastic programming algorithms; (2) sensitivity analysis of stochastic systems; (3) stochastic programming applications and other related topics. Audience: Researchers and academies working in optimization, computer modeling, operations research and financial engineering. The book is appropriate as supplementary reading in courses on optimization and financial engineering.: |
Contents note |
Output analysis for approximated stochastic programs -- Combinatorial Randomized Rounding: Boosting Randomized Rounding with Combinatorial Arguments -- Statutory Regulation of Casualty Insurance Companies: An Example from Norway with Stochastic Programming Analysis -- Option pricing in a world with arbitrage -- Monte Carlo Methods for Discrete Stochastic Optimization -- Discrete Approximation in Quantile Problem of Portfolio Selection -- Optimizing electricity distribution using two-stage integer recourse models -- A Finite-Dimensional Approach to Infinite-Dimensional Constraints in Stochastic Programming Duality -- Non—Linear Risk of Linear Instruments -- Multialgorithms for Parallel Computing: A New Paradigm for Optimization -- Convergence Rate of Incremental Subgradient Algorithms -- Transient Stochastic Models for Search Patterns -- Value-at-Risk Based Portfolio Optimization -- Combinatorial Optimization, Cross-Entropy, Ants and Rare Events -- Consistency of Statistical Estimators: the Epigraphical View -- Hierarchical Sparsity in Multistage Convex Stochastic Programs -- Conditional Value-at-Risk: Optimization Approach. |
System details note |
Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users) |
Internet Site |
http://dx.doi.org/10.1007/978-1-4757-6594-6 |
Links to Related Works |
Subject References:
Authors:
Corporate Authors:
Series:
Classification:
|