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: 52.83 EUR
Availability: InStock

Автор: Christian Küchler

Език:

Корици: С меки корици

Издател: Springer Fachmedien Wiesbaden

Наличност: Външен склад

Изпращаме след 5-8 дни

52.83 € 103.32 лв

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

Информация за книгата

Автор

Christian Küchler

Език

Английски език

Корици

Книга - С меки корици

Издадена

2009

страници

186

EAN

9783834809216

ISBN

3834809217

Enbook ID

01782103

Издател

Springer Fachmedien Wiesbaden

Теглоt

230

Размери

148 x 210 x 10

Пълно описание

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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