Stochastic Optimization
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Stochastic Optimization: Algorithms and Applications(54 Applied Optimization)

Stochastic Optimization: Algorithms and Applications(54 Applied Optimization)


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About the Book

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.

Table of Contents:
Output analysis for approximated stochastic programs.- Combinatorial Randomized Rounding: Boosting Randomized Rounding with Combinatorial Arguments.- Statutory Regulation of Casualty Insurance Companies: An Example from Norway with Stochastic Programming Analysis.- Option pricing in a world with arbitrage.- Monte Carlo Methods for Discrete Stochastic Optimization.- Discrete Approximation in Quantile Problem of Portfolio Selection.- Optimizing electricity distribution using two-stage integer recourse models.- A Finite-Dimensional Approach to Infinite-Dimensional Constraints in Stochastic Programming Duality.- Non—Linear Risk of Linear Instruments.- Multialgorithms for Parallel Computing: A New Paradigm for Optimization.- Convergence Rate of Incremental Subgradient Algorithms.- Transient Stochastic Models for Search Patterns.- Value-at-Risk Based Portfolio Optimization.- Combinatorial Optimization, Cross-Entropy, Ants and Rare Events.- Consistency of Statistical Estimators: the Epigraphical View.- Hierarchical Sparsity in Multistage Convex Stochastic Programs.- Conditional Value-at-Risk: Optimization Approach.


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Product Details
  • ISBN-13: 9780792369516
  • Publisher: Kluwer Academic Publishers
  • Publisher Imprint: Kluwer Academic Publishers
  • Height: 234 mm
  • No of Pages: 435
  • Returnable: Y
  • Sub Title: Algorithms and Applications
  • ISBN-10: 0792369513
  • Publisher Date: 31 May 2001
  • Binding: Hardback
  • Language: English
  • Returnable: Y
  • Series Title: 54 Applied Optimization
  • Width: 156 mm


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Stochastic Optimization: Algorithms and Applications(54 Applied Optimization)
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