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Dynamic Stochastic Optimization /

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This volume considers optimal stochastic decision processes from the viewpoint of stochastic programming. It focuses on theoretical properties and on approximate or numerical solution techniques for time-dependent optimization problems with random parameters (multistage stochastic programs, optimal...

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Bibliographic Details
Main Author: Marti, Kurt
Corporate Author: SpringerLink (Online service)
Other Authors: Ermolʹev, I︠U︡. M. (I︠U︡riĭ Mikhaĭlovich), Pflug, Georg
Format: eBook
Language:English
Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2004.
Series:Lecture notes in economics and mathematical systems ; 532.
Subjects:
Economics.
Mathematical optimization.
Operations research.
Electronic books.
Online Access:Connect to the full text of this electronic book
Description
Summary:This volume considers optimal stochastic decision processes from the viewpoint of stochastic programming. It focuses on theoretical properties and on approximate or numerical solution techniques for time-dependent optimization problems with random parameters (multistage stochastic programs, optimal stochastic decision processes). Methods for finding approximate solutions of probabilistic and expected cost based deterministic substitute problems are presented. Besides theoretical and numerical considerations, the proceedings volume contains selected refereed papers on many practical applications to economics and engineering: risk, risk management, portfolio management, finance, insurance-matters and control of robots.
Item Description:Electronic resource.
Physical Description:1 online resource (viii, 336 pages)
ISBN:9783642558849 (electronic bk.)
3642558844 (electronic bk.)
ISSN:0075-8442 ;