確率計画法講義<br>Lectures on Stochastic Programming : Modeling and Theory (Mps-siam Series on Optimization)

確率計画法講義
Lectures on Stochastic Programming : Modeling and Theory (Mps-siam Series on Optimization)

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  • 製本 Paperback:紙装版/ペーパーバック版/ページ数 450 p.
  • 言語 ENG
  • 商品コード 9780898716870
  • DDC分類 519.7

Full Description


Optimization problems involving stochastic models occur in almost all areas of science and engineering, such as telecommunications, medicine, and finance. Their existence compels a need for rigorous ways of formulating, analyzing, and solving such problems. This book focuses on optimization problems involving uncertain parameters and covers the theoretical foundations and recent advances in areas where stochastic models are available. Readers will find coverage of the basic concepts of modeling these problems, including recourse actions and the nonanticipativity principle. The book also includes the theory of two-stage and multistage stochastic programming problems; the current state of the theory on chance (probabilistic) constraints, including the structure of the problems, optimality theory, and duality; and statistical inference in and risk-averse approaches to stochastic programming.

Contents

Preface; 1. Stochastic programming models; 2. Two-stage problems; 3. Multistage problems; 4. Optimization models with probabilistic constraints; 5. Statistical inference; 6. Risk averse optimization; 7. Background material; 8. Bibliographical remarks; Bibliography; Index.