Stochastic Programming Methods And Technical Applications

Author : Kurt Marti,Peter Kall
Publisher : Springer Science & Business Media
Page : 448 pages
File Size : 54,6 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 : Kurt Marti
Publisher : Springer
Page : 368 pages
File Size : 41,7 Mb
Release : 2015-02-21
Category : Business & Economics
ISBN : 9783662462140

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Stochastic Optimization Methods by Kurt Marti Pdf

This book examines optimization problems that in practice involve random model parameters. It details the computation of robust optimal solutions, i.e., optimal solutions that are insensitive with respect to random parameter variations, where appropriate deterministic substitute problems are needed. Based on the probability distribution of the random data and using decision theoretical concepts, optimization problems under stochastic uncertainty are converted into appropriate deterministic substitute problems. Due to the probabilities and expectations involved, the book also shows how to apply approximative solution techniques. Several deterministic and stochastic approximation methods are provided: Taylor expansion methods, regression and response surface methods (RSM), probability inequalities, multiple linearization of survival/failure domains, discretization methods, convex approximation/deterministic descent directions/efficient points, stochastic approximation and gradient procedures and differentiation formulas for probabilities and expectations. In the third edition, this book further develops stochastic optimization methods. In particular, it now shows how to apply stochastic optimization methods to the approximate solution of important concrete problems arising in engineering, economics and operations research.

Author : Kurt Marti
Publisher : Springer Science & Business Media
Page : 189 pages
File Size : 50,7 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642882678

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Stochastic Optimization by Kurt Marti Pdf

This volume includes a selection of refereed papers presented at the GAMM/IFIP-Workshop on "Stochastic Optimization: Numerical Methods and Technical Applications", held at the Federal Armed Forces University Munich, May 29 - 31, 1990. The objective of this meeting was to bring together scientists from Stochastic Programming and from those Engineering areas, where Mathematical Programming models are common tools, as e. g. Optimal Structural Design, Power Dispatch, Acid Rain Management etc. The first, theoretical part includes the papers by S. D. Flam. H. Niederreiter, E. Poechinger and R. Schultz. The second part on methods and applications contains the articles by N. Baba, N. Grwe and W. Roemisch, J. Mayer, E. A. Mc Bean and A. Vasarhelyi.

Author : Kurt Marti,Peter Kall
Publisher : Springer
Page : 372 pages
File Size : 47,7 Mb
Release : 1995-04-06
Category : Business & Economics
ISBN : UOM:39015034436173

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Stochastic Programming by Kurt Marti,Peter Kall Pdf

Proceedings of the 2nd GAMM/IFIP-Workshop on "Stochastic Optimization:Numerical Methods and Technical Applications" held at the Federal Armed Forces University, Munich, Neubiberg/München, Germany, June 15-17, 1993

Author : Stein W. Wallace,William T. Ziemba
Publisher : SIAM
Page : 701 pages
File Size : 40,5 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 : Kurt Marti,Peter Kall
Publisher : Springer Science & Business Media
Page : 360 pages
File Size : 51,6 Mb
Release : 2013-12-14
Category : Business & Economics
ISBN : 9783642882722

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Stochastic Programming by Kurt Marti,Peter Kall Pdf

New theoretical insight into several branches of reliability-oriented optimization of stochastic systems, new computational approaches and technical/economic applications of stochastic programming methods can be found in this volume.

Author : Kurt Marti
Publisher : Springer My Copy UK
Page : 182 pages
File Size : 43,9 Mb
Release : 1992
Category : Mathematical optimization
ISBN : 3642882684

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Stochastic Optimization by Kurt Marti Pdf

This volume includes a selection of refereed papers presented at the GAMM/IFIP-Workshop on "Stochastic Optimization: Numerical Methods and Technical Applications," held at the Federal Armed Forces University Munich, May 29 - 31, 1990. The objective of this meeting was to bring together scientists from Stochastic Programming and from those Engineering areas, where Mathematical Programming models are common tools, as e. g. Optimal Structural Design, Power Dispatch, Acid Rain Management etc. The first, theoretical part includes the papers by S. D. Flam. H. Niederreiter, E. Pl-chinger and R. Schultz. The second part on methods and applications contains the articles by N. Baba, N. Gr-we and W. R-misch, J. Mayer, E. A. Mc Bean and A. Vasarhelyi.

Author : Jatikumar Sengupta
Publisher : Unknown
Page : 338 pages
File Size : 43,7 Mb
Release : 1973
Category : Mathematics
ISBN : UOM:39015056602199

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Stochastic Programming by Jatikumar Sengupta Pdf

Author : Horand Gassmann,W. T. Ziemba
Publisher : World Scientific
Page : 549 pages
File Size : 43,9 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 : Stanislav Uryasev,Panos M. Pardalos
Publisher : Springer Science & Business Media
Page : 438 pages
File Size : 44,7 Mb
Release : 2013-03-09
Category : Technology & Engineering
ISBN : 9781475765946

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Stochastic Optimization by Stanislav Uryasev,Panos M. Pardalos Pdf

Stochastic programming is the study of procedures for decision making under the presence of uncertainties and risks. Stochastic programming approaches have been successfully used in a number of areas such as energy and production planning, telecommunications, and transportation. Recently, the practical experience gained in stochastic programming has been expanded to a much larger spectrum of applications including financial modeling, risk management, and probabilistic risk analysis. Major topics in this volume include: (1) advances in theory and implementation of stochastic programming algorithms; (2) sensitivity analysis of stochastic systems; (3) stochastic programming applications and other related topics. Audience: Researchers and academies working in optimization, computer modeling, operations research and financial engineering. The book is appropriate as supplementary reading in courses on optimization and financial engineering.

Author : John R. Birge,François Louveaux
Publisher : Springer Science & Business Media
Page : 421 pages
File Size : 43,9 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 : András Prékopa,Roger J.-B. Wets
Publisher : Unknown
Page : 196 pages
File Size : 41,5 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 : Alexander Shapiro,Darinka Dentcheva,Andrzej Ruszczy?ski
Publisher : SIAM
Page : 447 pages
File Size : 41,7 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 : Julia L. Higle,S. Sen
Publisher : Springer Science & Business Media
Page : 237 pages
File Size : 41,7 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 : V.V. Kolbin
Publisher : Springer Science & Business Media
Page : 218 pages
File Size : 46,7 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.