Stochastic Linear Programming

Author : Peter Kall,János Mayer
Publisher : Springer Science & Business Media
Page : 426 pages
File Size : 51,9 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 : John R. Birge,François Louveaux
Publisher : Springer Science & Business Media
Page : 421 pages
File Size : 40,9 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 : Julia L. Higle,S. Sen
Publisher : Springer Science & Business Media
Page : 237 pages
File Size : 54,9 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 : Janos Mayer
Publisher : Taylor & Francis
Page : 164 pages
File Size : 45,9 Mb
Release : 2022-04-19
Category : Computers
ISBN : 9781351413695

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Stochastic Linear Programming Algorithms by Janos Mayer Pdf

A computationally oriented comparison of solution algorithms for two stage and jointly chance constrained stochastic linear programming problems, this is the first book to present comparative computational results with several major stochastic programming solution approaches. The following methods are considered: regularized decomposition, stochastic decomposition and successive discrete approximation methods for two stage problems; cutting plane methods, and a reduced gradient method for jointly chance constrained problems. The first part of the book introduces the algorithms, including a unified approach to decomposition methods and their regularized counterparts. The second part addresses computer implementation of the methods, describes a testing environment based on a model management system, and presents comparative computational results with the various algorithms. Emphasis is on the computational behavior of the algorithms.

Author : Stein W. Wallace,William T. Ziemba
Publisher : SIAM
Page : 701 pages
File Size : 51,7 Mb
Release : 2005-06-01
Category : Mathematics
ISBN : 9780898715552

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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 : P. Kall
Publisher : Springer Science & Business Media
Page : 103 pages
File Size : 41,5 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642662522

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Stochastic Linear Programming by P. Kall Pdf

Todaymanyeconomists, engineers and mathematicians are familiar with linear programming and are able to apply it. This is owing to the following facts: during the last 25 years efficient methods have been developed; at the same time sufficient computer capacity became available; finally, in many different fields, linear programs have turned out to be appropriate models for solving practical problems. However, to apply the theory and the methods of linear programming, it is required that the data determining a linear program be fixed known numbers. This condition is not fulfilled in many practical situations, e. g. when the data are demands, technological coefficients, available capacities, cost rates and so on. It may happen that such data are random variables. In this case, it seems to be common practice to replace these random variables by their mean values and solve the resulting linear program. By 1960 various authors had already recog nized that this approach is unsound: between 1955 and 1960 there were such papers as "Linear Programming under Uncertainty", "Stochastic Linear Pro gramming with Applications to Agricultural Economics", "Chance Constrained Programming", "Inequalities for Stochastic Linear Programming Problems" and "An Approach to Linear Programming under Uncertainty".

Author : Alexander Shapiro,Darinka Dentcheva,Andrzej Ruszczy?ski
Publisher : SIAM
Page : 447 pages
File Size : 50,6 Mb
Release : 2009-01-01
Category : Mathematics
ISBN : 9780898718751

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Lectures on Stochastic Programming by Alexander Shapiro,Darinka Dentcheva,Andrzej Ruszczy?ski Pdf

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.

Author : Janos Mayer
Publisher : CRC Press
Page : 174 pages
File Size : 54,8 Mb
Release : 1998-02-25
Category : Computers
ISBN : 9056991442

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Stochastic Linear Programming Algorithms by Janos Mayer Pdf

A computationally oriented comparison of solution algorithms for two stage and jointly chance constrained stochastic linear programming problems, this is the first book to present comparative computational results with several major stochastic programming solution approaches. The following methods are considered: regularized decomposition, stochastic decomposition and successive discrete approximation methods for two stage problems; cutting plane methods, and a reduced gradient method for jointly chance constrained problems. The first part of the book introduces the algorithms, including a unified approach to decomposition methods and their regularized counterparts. The second part addresses computer implementation of the methods, describes a testing environment based on a model management system, and presents comparative computational results with the various algorithms. Emphasis is on the computational behavior of the algorithms.

Author : Peter Kall,János Mayer
Publisher : Springer
Page : 426 pages
File Size : 54,7 Mb
Release : 2010-11-11
Category : Mathematics
ISBN : 1441977309

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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 : András Prékopa,Roger J.-B. Wets
Publisher : Unknown
Page : 196 pages
File Size : 51,8 Mb
Release : 1986
Category : Stochastic programming
ISBN : STANFORD:36105002029812

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Stochastic Programming 84 by András Prékopa,Roger J.-B. Wets Pdf

Author : Willem K. Klein Haneveld,Maarten H. van der Vlerk,Ward Romeijnders
Publisher : Springer Nature
Page : 249 pages
File Size : 42,8 Mb
Release : 2019-10-24
Category : Business & Economics
ISBN : 9783030292195

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Stochastic Programming by Willem K. Klein Haneveld,Maarten H. van der Vlerk,Ward Romeijnders Pdf

This book provides an essential introduction to Stochastic Programming, especially intended for graduate students. The book begins by exploring a linear programming problem with random parameters, representing a decision problem under uncertainty. Several models for this problem are presented, including the main ones used in Stochastic Programming: recourse models and chance constraint models. The book not only discusses the theoretical properties of these models and algorithms for solving them, but also explains the intrinsic differences between the models. In the book’s closing section, several case studies are presented, helping students apply the theory covered to practical problems. The book is based on lecture notes developed for an Econometrics and Operations Research course for master students at the University of Groningen, the Netherlands - the longest-standing Stochastic Programming course worldwide.

Author : Peter Kall
Publisher : Unknown
Page : 95 pages
File Size : 51,9 Mb
Release : 1976
Category : Electronic
ISBN : 0387047816

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Stochastic Linear Programming by Peter Kall Pdf

Author : V.V. Kolbin
Publisher : Springer Science & Business Media
Page : 218 pages
File Size : 42,9 Mb
Release : 1977-06-30
Category : Computers
ISBN : 9027707502

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Stochastic Programming by V.V. Kolbin Pdf

This book is devoted to the problems of stochastic (or probabilistic) programming. The author took as his basis the specialized lectures which he delivered to the graduates from the economic cybernetics department of Leningrad University beginning in 1967. Since 1971 the author has delivered a specialized course on Stochastic Programming to the gradu ates from the faculty of applied mathematics/management processes at Leningrad University. The present monograph consists of seven chapters. In Chapter I, which is of an introductory character, consideration is given to the problems of uncertainty and probability, used for modelling complicated systems. Fundamental indications for the classification of stochastic pro gramming problems are given. Chapter II is devoted to the analysis of various models of chance-constrained stochastic programming problems. Examples of technological and applied economic problems of management with chance-constraints are given. In Chapter III two-stage stochastic programming problems are investigated, various models are given, and these models are qualitatively analyzed. In the conclusion of the chapter consideration is given to: the transport problem with random data, the problem of the determination of production volume, and the problem of planning the flights of aircraft as two-stage stochastic programming problems. Multi-stage stochastic programming problems are investigated in Chapter IV. The dependencies between prior and posterior decision rules and decision distributions are given. Dual problems are investigated.

Author : Francesco Archetti,G. Di Pillo,Mario Lucertini
Publisher : Springer
Page : 300 pages
File Size : 47,5 Mb
Release : 1986
Category : Mathematics
ISBN : UOM:39015009812606

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Stochastic Programming by Francesco Archetti,G. Di Pillo,Mario Lucertini Pdf

Author : Lewis Ntaimo
Publisher : Springer Nature
Page : 518 pages
File Size : 44,8 Mb
Release : 2024-06-02
Category : Electronic
ISBN : 9783031524646

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Computational Stochastic Programming by Lewis Ntaimo Pdf