Stochastic Linear Programming
Models, Theory, and Computation
1st Edition
Published on 6. December 2010
Book
Paperback/Softback
XII, 398 pages
978-1-4419-3621-9 (ISBN)
Description
Peter Kall and János Mayer are distinguished scholars and professors of Operations Research and their research interest is particularly devoted to the area of stochastic optimization. Stochastic Linear Programming is a definitive presentation and discussion of the theoretical properties of the models, the conceptual algorithmic approaches, and the computational issues relating to the implementation of these methods to solve problems that are stochastic in nature.
Reviews / Votes
From the reviews: "The book presents a comprehensive study of stochastic linear optimization problems and their applications. ! The presentation includes geometric interpretation, linear programming duality, and the simplex method in its primal and dual forms. ! The authors have made an effort to collect ! the most useful recent ideas and algorithms in this area. ! A guide to the existing software is included as well." (Darinka Dentcheva, Mathematical Reviews, Issue 2006 c) "This is a graduate text in optimisation whose main emphasis is in stochastic programming. The book is clearly written. ! This is a good book for providing mathematicians, economists and engineers with an almost complete start up information for working in the field. I heartily welcome its publication. ! It is evident that this book will constitute an obligatory reference source for the specialists of the field." (Carlos Narciso Bouza Herrera, Zentralblatt MATH, Vol. 1104 (6), 2007)More details
Series
Edition
1., st Edition. Softcover version of original hardcover edition 2005
Language
English
Place of publication
New York, NY
United States
Target group
Professional and scholarly
Research
Illustrations
2
32 s/w Abbildungen, 2 s/w Tabellen
32 black & white illustrations, 2 black & white tables
Dimensions
Height: 23.5 cm
Width: 15.5 cm
Weight
614 gr
ISBN-13
978-1-4419-3621-9 (9781441936219)
Schweitzer Classification
Other editions
Additional editions
Book
02/2005
Springer
€98.39
Article exhausted; check for reprint
Content
Basics.- Introduction.- Linear Programming Prerequisites.- Nonlinear Programming Prerequisites.- Single-stage SLP Models.- Introduction.- Models involving Probability Functions.- Quantile Functions, Value at Risk.- Models Based on Expectation.- Models Built with Deviation Measures.- Modeling Risk and Opportunity.- Risk Measures.- Multi-stage SLP Models.- The General SLP with Recourse.- The Two-stage SLP.- The Multi-stage SLP.- Algorithms.- Models with Probability Functions.- Models with Quantile Functions.- Models Based on Expectation.- Models with Deviation Measures.- Two-stage Recourse Problems.- Multi-stage Recourse Problems.- Modeling Systems for SLP.- Bibliography.