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Multistage Stochastic Optimization Georg Ch. Pflug

Multistage Stochastic Optimization

Georg Ch. Pflug

Published October 14th 2014
ISBN : 9783319088426
Hardcover
301 pages
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 About the Book 

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 planningMoreMultistage 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 forthe 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 fromelectricity production, asset liability management and inventory control concludes the book.