Stochastic Decomposition

Author : Julia L. Higle,S. Sen
Publisher : Springer Science & Business Media
Page : 237 pages
File Size : 43,5 Mb
Release : 2013-11-27
Category : Mathematics
ISBN : 9781461541158

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Stochastic Decomposition by Julia L. Higle,S. Sen Pdf

Motivation Stochastic Linear Programming with recourse represents one of the more widely applicable models for incorporating uncertainty within in which the SLP optimization models. There are several arenas model is appropriate, and such models have found applications in air line yield management, capacity planning, electric power generation planning, financial planning, logistics, telecommunications network planning, and many more. In some of these applications, modelers represent uncertainty in terms of only a few seenarios and formulate a large scale linear program which is then solved using LP software. However, there are many applications, such as the telecommunications planning problem discussed in this book, where a handful of seenarios do not capture variability well enough to provide a reasonable model of the actual decision-making problem. Problems of this type easily exceed the capabilities of LP software by several orders of magnitude. Their solution requires the use of algorithmic methods that exploit the structure of the SLP model in a manner that will accommodate large scale applications.

Author : Quan-Lin Li,Jinting Wang,Hai-Bo Yu
Publisher : Springer Nature
Page : 497 pages
File Size : 50,9 Mb
Release : 2019-10-21
Category : Computers
ISBN : 9789811508646

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Stochastic Models in Reliability, Network Security and System Safety by Quan-Lin Li,Jinting Wang,Hai-Bo Yu Pdf

This book is dedicated to Jinhua Cao on the occasion of his 80th birthday. Jinhua Cao is one of the most famous reliability theorists. His main contributions include: published over 100 influential scientific papers; published an interesting reliability book in Chinese in 1986, which has greatly influenced the reliability of education, academic research and engineering applications in China; initiated and organized Reliability Professional Society of China (the first part of Operations Research Society of China) since 1981. The high admiration that Professor Cao enjoys in the reliability community all over the world was witnessed by the enthusiastic response of each contributor in this book. The contributors are leading researchers with diverse research perspectives. The research areas of the book iclude a broad range of topics related to reliability models, queueing theory, manufacturing systems, supply chain finance, risk management, Markov decision processes, blockchain and so forth. The book consists of a brief Preface describing the main achievements of Professor Cao; followed by congratulations from Professors Way Kuo and Wei Wayne Li, and by Operations Research Society of China, and Reliability Professional Society of China; and further followed by 25 articles roughly grouped together. Most of the articles are written in a style understandable to a wide audience. This book is useful to anyone interested in recent developments in reliability, network security, system safety, and their stochastic modeling and analysis.

Author : Kurt Marti,Peter Kall
Publisher : Springer Science & Business Media
Page : 448 pages
File Size : 50,7 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9783642457678

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Stochastic Programming Methods and Technical Applications by Kurt Marti,Peter Kall Pdf

Optimization problems arising in practice usually contain several random parameters. Hence, in order to obtain optimal solutions being robust with respect to random parameter variations, the mostly available statistical information about the random parameters should be considered already at the planning phase. The original problem with random parameters must be replaced by an appropriate deterministic substitute problem, and efficient numerical solution or approximation techniques have to be developed for those problems. This proceedings volume contains a selection of papers on modelling techniques, approximation methods, numerical solution procedures for stochastic optimization problems and applications to the reliability-based optimization of concrete technical or economic systems.

Author : G. Dzemyda,V. Saltenis,A. Žilinskas
Publisher : Springer Science & Business Media
Page : 238 pages
File Size : 45,9 Mb
Release : 2006-04-11
Category : Mathematics
ISBN : 9780306476488

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Stochastic and Global Optimization by G. Dzemyda,V. Saltenis,A. Žilinskas Pdf

In the paper we propose a model of tax incentives optimization for inve- ment projects with a help of the mechanism of accelerated depreciation. Unlike the tax holidays which influence on effective income tax rate, accelerated - preciation affects on taxable income. In modern economic practice the state actively use for an attraction of - vestment into the creation of new enterprises such mechanisms as accelerated depreciation and tax holidays. The problem under our consideration is the following. Assume that the state (region) is interested in realization of a certain investment project, for ex- ple, the creation of a new enterprise. In order to attract a potential investor the state decides to use a mechanism of accelerated tax depreciation. The foll- ing question arise. What is a reasonable principle for choosing depreciation rate? From the state’s point of view the future investor’s behavior will be rat- nal. It means that while looking at economic environment the investor choose such a moment for investment which maximizes his expected net present value (NPV) from the given project. For this case both criteria and “investment rule” depend on proposed (by the state) depreciation policy. For the simplicity we will suppose that the purpose of the state for a given project is a maximi- tion of a discounted tax payments into the budget from the enterprise after its creation. Of course, these payments depend on the moment of investor’s entry and, therefore, on the depreciation policy established by the state.

Author : Julia L. Higle,S. Sen
Publisher : Unknown
Page : 248 pages
File Size : 48,5 Mb
Release : 2014-09-01
Category : Electronic
ISBN : 1461541166

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Stochastic Decomposition by Julia L. Higle,S. Sen Pdf

Author : Gerd Infanger
Publisher : Springer Science & Business Media
Page : 373 pages
File Size : 46,6 Mb
Release : 2010-11-10
Category : Mathematics
ISBN : 9781441916426

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Stochastic Programming by Gerd Infanger Pdf

From the Preface... The preparation of this book started in 2004, when George B. Dantzig and I, following a long-standing invitation by Fred Hillier to contribute a volume to his International Series in Operations Research and Management Science, decided finally to go ahead with editing a volume on stochastic programming. The field of stochastic programming (also referred to as optimization under uncertainty or planning under uncertainty) had advanced significantly in the last two decades, both theoretically and in practice. George Dantzig and I felt that it would be valuable to showcase some of these advances and to present what one might call the state-of- the-art of the field to a broader audience. We invited researchers whom we considered to be leading experts in various specialties of the field, including a few representatives of promising developments in the making, to write a chapter for the volume. Unfortunately, to the great loss of all of us, George Dantzig passed away on May 13, 2005. Encouraged by many colleagues, I decided to continue with the book and edit it as a volume dedicated to George Dantzig. Management Science published in 2005 a special volume featuring the “Ten most Influential Papers of the first 50 Years of Management Science.” George Dantzig’s original 1955 stochastic programming paper, “Linear Programming under Uncertainty,” was featured among these ten. Hearing about this, George Dantzig suggested that his 1955 paper be the first chapter of this book. The vision expressed in that paper gives an important scientific and historical perspective to the book. Gerd Infanger

Author : Karl Frauendorfer
Publisher : Springer Science & Business Media
Page : 236 pages
File Size : 49,8 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642956966

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Stochastic Two-Stage Programming by Karl Frauendorfer Pdf

Stochastic Programming offers models and methods for decision problems wheresome of the data are uncertain. These models have features and structural properties which are preferably exploited by SP methods within the solution process. This work contributes to the methodology for two-stagemodels. In these models the objective function is given as an integral, whose integrand depends on a random vector, on its probability measure and on a decision. The main results of this work have been derived with the intention to ease these difficulties: After investigating duality relations for convex optimization problems with supply/demand and prices being treated as parameters, a stability criterion is stated and proves subdifferentiability of the value function. This criterion is employed for proving the existence of bilinear functions, which minorize/majorize the integrand. Additionally, these minorants/majorants support the integrand on generalized barycenters of simplicial faces of specially shaped polytopes and amount to an approach which is denoted barycentric approximation scheme.

Author : John R. Birge,François Louveaux
Publisher : Springer Science & Business Media
Page : 421 pages
File Size : 46,8 Mb
Release : 2006-04-06
Category : Mathematics
ISBN : 9780387226187

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Introduction to Stochastic Programming by John R. Birge,François Louveaux Pdf

This rapidly developing field encompasses many disciplines including operations research, mathematics, and probability. Conversely, it is 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 present a broad overview of the main themes and methods of the subject, thus helping students develop an intuition for 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. The early chapters introduce some worked examples of stochastic programming, demonstrate how a stochastic model is formally built, develop the properties of stochastic programs and the basic solution techniques used to solve them. The book then goes on to cover approximation and sampling techniques and is rounded off by an in-depth case study. A well-paced and wide-ranging introduction to this subject.

Author : Stein W. Wallace,William T. Ziemba
Publisher : SIAM
Page : 724 pages
File Size : 51,7 Mb
Release : 2005-01-01
Category : Mathematics
ISBN : 0898718791

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Applications of Stochastic Programming by Stein W. Wallace,William T. Ziemba Pdf

Consisting of two parts, this book presents papers describing publicly available stochastic programming systems that are operational. It presents a diverse collection of application papers in areas such as production, supply chain and scheduling, gaming, environmental and pollution control, financial modeling, telecommunications, and electricity.

Author : Peter Kall,János Mayer
Publisher : Springer Science & Business Media
Page : 439 pages
File Size : 42,8 Mb
Release : 2010-11-02
Category : Mathematics
ISBN : 9781441977298

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Stochastic Linear Programming by Peter Kall,János Mayer Pdf

This new edition of Stochastic Linear Programming: Models, Theory and Computation has been brought completely up to date, either dealing with or at least referring to new material on models and methods, including DEA with stochastic outputs modeled via constraints on special risk functions (generalizing chance constraints, ICC’s and CVaR constraints), material on Sharpe-ratio, and Asset Liability Management models involving CVaR in a multi-stage setup. To facilitate use as a text, exercises are included throughout the book, and web access is provided to a student version of the authors’ SLP-IOR software. Additionally, the authors have updated the Guide to Available Software, and they have included newer algorithms and modeling systems for SLP. The book is thus suitable as a text for advanced courses in stochastic optimization, and as a reference to the field. From Reviews of the First Edition: "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)

Author : Lewis Ntaimo
Publisher : Springer Nature
Page : 518 pages
File Size : 40,5 Mb
Release : 2024-06-28
Category : Electronic
ISBN : 9783031524646

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Computational Stochastic Programming by Lewis Ntaimo Pdf

Author : Horand Gassmann,W. T. Ziemba
Publisher : World Scientific
Page : 549 pages
File Size : 55,6 Mb
Release : 2013
Category : Business & Economics
ISBN : 9789814407502

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Stochastic Programming by Horand Gassmann,W. T. Ziemba Pdf

This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stochastic Programming held in Halifax, Nova Scotia in August 2010, span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, prevention of nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, two telecommunication papers discuss mobile network design and frequency assignment problems.

Author : A. Naess,S. Krenk
Publisher : Springer Science & Business Media
Page : 527 pages
File Size : 45,8 Mb
Release : 2012-12-06
Category : Technology & Engineering
ISBN : 9789400903210

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IUTAM Symposium on Advances in Nonlinear Stochastic Mechanics by A. Naess,S. Krenk Pdf

The IUTAM Symposium on Advances in Nonlinear Stochastic Mechanics, held in Trondheim July 3-7, 1995, was the eighth of a series of IUTAM sponsored symposia which focus on the application of stochastic methods in mechanics. The previous meetings took place in Coventry, UK (1972), Sout'hampton, UK (1976), FrankfurtjOder, Germany (1982), Stockholm, Sweden (1984), Innsbruckjlgls, Austria (1987), Turin, Italy (1991) and San Antonio, Texas (1993). The symposium provided an extraordinary opportunity for scholars to meet and discuss recent advances in stochastic mechanics. The participants represented a wide range of expertise, from pure theoreticians to people primarily oriented toward applications. A significant achievement of the symposium was the very extensive discussions taking place over the whole range from highly theoretical questions to practical engineering applications. Several presentations also clearly demonstrated the substantial progress that has been achieved in recent years in terms of developing and implement ing stochastic analysis techniques for mechanical engineering systems. This aspect was further underpinned by specially invited extended lectures on computational stochastic mechanics, engineering applications of stochastic mechanics, and nonlinear active control. The symposium also reflected the very active and high-quality research taking place in the field of stochastic stability. Ten presentations were given on this topic ofa total of47 papers. A main conclusion that can be drawn from the proceedings of this symposium is that stochastic mechanics as a subject has reached great depth and width in both methodology and applicability.

Author : Christian Küchler
Publisher : Springer Science & Business Media
Page : 178 pages
File Size : 55,5 Mb
Release : 2010-05-30
Category : Mathematics
ISBN : 9783834893994

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Stability, Approximation, and Decomposition in Two- and Multistage Stochastic Programming by Christian Küchler Pdf

Christian Küchler studies various aspects of the stability of stochastic optimization problems as well as approximation and decomposition methods in stochastic programming. In particular, the author presents an extension of the Nested Benders decomposition algorithm related to the concept of recombining scenario trees.

Author : Jyotiprasad Medhi
Publisher : Elsevier
Page : 501 pages
File Size : 51,5 Mb
Release : 2002-11-06
Category : Mathematics
ISBN : 9780080541815

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Stochastic Models in Queueing Theory by Jyotiprasad Medhi Pdf

This is a graduate level textbook that covers the fundamental topics in queuing theory. The book has a broad coverage of methods to calculate important probabilities, and gives attention to proving the general theorems. It includes many recent topics, such as server-vacation models, diffusion approximations and optimal operating policies, and more about bulk-arrival and bull-service models than other general texts. Current, clear and comprehensive coverage A wealth of interesting and relevant examples and exercises to reinforce concepts Reference lists provided after each chapter for further investigation