John R. Birge, François Louveaux

Introduction to Stochastic Programming

• Broschiertes Buch

Produktbeschreibung

The aim of stochastic programming is to find optimal decisions in problems which involve uncertain data. This field is currently developing rapidly with contributions from many disciplines including operations research, mathematics, and probability. At the same time, it is now being applied in a wide variety of subjects ranging from agriculture to financial planning and from industrial engineering to computer networks. This textbook provides a first course in stochastic programming suitable for students with a basic knowledge of linear programming, elementary analysis, and probability. The authors aim to present a broad overview of the main themes and methods of the subject. Its prime goal is to help students develop an intuition on how to model uncertainty into mathematical problems, what uncertainty changes bring to the decision process, and what techniques help to manage uncertainty in solving the problems.

In this extensively updated new edition there is more material on methods and examples including several new approaches for discrete variables, new results on risk measures in modeling and Monte Carlo sampling methods, a new chapter on relationships to other methods including approximate dynamic programming, robust optimization and online methods.

The book is highly illustrated with chapter summaries and many examples and exercises. Students, researchers and practitioners in operations research and the optimization area will find it particularly of interest.

Review of First Edition:

"The discussion on modeling issues, the large number of examples used to illustrate the material, and the breadth of the coverage make 'Introduction to Stochastic Programming' an ideal textbook for the area." (Interfaces, 1998)

Produktdetails

• Springer Series in Operations Research and Financial Engineering
• Verlag: Springer / Springer New York / Springer, Berlin
• Artikelnr. des Verlages: 978-1-4939-3703-5
• 2. Aufl.
• Seitenzahl: 512
• Erscheinungstermin: 27. Juni 2011
• Englisch
• Abmessung: 254mm x 178mm x 28mm
• Gewicht: 953g
• ISBN-13: 9781493937035
• ISBN-10: 1493937030
• Artikelnr.: 44519308

Autorenporträt

John R. Birge, is a Jerry W. and Carol Lee Levin Professor of Operations Management at the University of Chicago Booth School of Business. François Louveaux is a Professor at the University of Namur(FUNDP) in the Department of Business Administration

Inhaltsangabe

Introduction and Examples.- Uncertainty and Modeling Issues.- Basic Properties and Theory.- The Value of Information and the Stochastic Solution.- Two-Stage Recourse Problems.- Multistage Stochastic Programs.- Stochastic Integer Programs.- Evaluating and Approximating Expectations.- Monte Carlo Methods.- Multistage Approximations.- Sample Distribution Functions.- References.

Rezensionen

From the reviews of the second edition:
"Help the students to understand how to model uncertainty into mathematical optimization problems, what uncertainty brings to the decision process and which techniques help to manage uncertainty in solving the problems. ... certainly attract also the wide spectrum of readers whose main interest lies in possible exploitation of stochastic programming methodology and will help them to find their own way to treat actual problems using stochastic programming methods. As a whole, the three main building blocks of stochastic programming ... are well represented and balanced." (Jitka Dupacová, Zentralblatt MATH, Vol. 1223, 2011)