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: 19327 HUF
Availability: InStock

Szerző: Christian Küchler

Nyelv:

Kötés: Puha kötésű

Kiadó: Springer Fachmedien Wiesbaden

Elérhetőség: Beszállítói készleten

Küldés 5-8 napon belül

19 327 Ft

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

Információk a könyvről

Szerző

Christian Küchler

Nyelv

Angol

Kötés

Könyv - Puha kötésű

Kiadva

2009

oldal

186

EAN

9783834809216

ISBN

3834809217

Enbook ID

01782103

Kiadó

Springer Fachmedien Wiesbaden

Súly

230

Méretek

148 x 210 x 10

Teljes leírás

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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