Lectures on Stochastic Programming
Lectures on Stochastic Programming
Darinka Dentcheva, Stevens Institute of Technology, New Jersey
Andrzej Ruszczyński, Rutgers University, New Jersey
Optimization problems involving stochastic models occur in almost all areas of science and engineering, such as telecommunications, medicine, and finance. Their existence compels a need for rigorous ways of formulating, analyzing, and solving such problems. This book focuses on optimization problems involving uncertain parameters and covers the theoretical foundations and recent advances in areas where stochastic models are available. Readers will find coverage of the basic concepts of modeling these problems, including recourse actions and the nonanticipativity principle. The book also includes the theory of two-stage and multistage stochastic programming problems; the current state of the theory on chance (probabilistic) constraints, including the structure of the problems, optimality theory, and duality; and statistical inference in and risk-averse approaches to stochastic programming.
- Suitable as a textbook for advanced graduates in optimization
- Covers the theoretical foundations of modeling optimization problems
- Includes recent advances in areas where stochastic models are available
Product details
No date availablePaperback
9780898716870
450 pages
255 × 178 × 20 mm
0.8kg
Table of Contents
- Preface
- 1. Stochastic programming models
- 2. Two-stage problems
- 3. Multistage problems
- 4. Optimization models with probabilistic constraints
- 5. Statistical inference
- 6. Risk averse optimization
- 7. Background material
- 8. Bibliographical remarks
- Bibliography
- Index.
