Applications of Stochastic Programming (Google eBook)

Stein W. Wallace, William T. Ziemba

SIAM, Jun 1, 2005 - Mathematics - 709 pages

This is the first book devoted to the full scale of applications of stochastic programming, and to provide access to publicly available algorithmic systems. The 32 contributed papers are written by leading stochastic programming specialists and reflect the recent advanced research on algorithms and applications. The book consists of two parts: the first presents papers describing publicly available stochastic programming systems that are currently operational. All the codes have been extensively tested and developed and will appeal to researchers and developers wanting to make models without extensive programming and other implementation costs. The second part of the book is 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. It contains the most complete collection of real applications using stochastic programming available in the literature.

Contents

• Stochastic Programming Computer Implementations: 3
• The SMPS Format for Stochastic Linear Programs: 9
• The IBM Stochastic Programming System: 21
• Software for Solving Stochastic Programming Problems with Stochastic: 37
• Computational Grids for Stochastic Programming: 61
• Building and Solving Stochastic Linear Programming Models with: 79
• Stochastic Programming from Modeling Languages: 95
• A Stochastic Programming Integrated Environment: 115
• Stochastic Modeling and Optimization Using Stochastics: 137
• Stochastic Programming Applications: 177
• Fleet Management: 185
• Modeling Production Planning and Scheduling under Uncertainty: 217
• A Supply Chain Optimization Model for the Norwegian Meat Cooperative: 253
• Charge Optimization via Stochastic Programming: 277
• A Stochastic Programming Model for Network Resource Utilization in: 299
• Stochastic Optimization and Yacht Racing: 315
• Stochastic Approximation Momentum and Nash Play: 337
• Stochastic Optimization for Lake Eutrophication Management: 347
• Mitigating Anthropogenic Climate Change: 379
• Groundwater Pollution Control: 409
• Flood and Seismic Risks Case Studies: 425
• Refinancing Mortgages in Switzerland: 445
• Optimization Models for Structuring Index Funds: 471
• Decentralized Risk Management for Global Property and Casualty Insurance: 503
• Wealth Goals Investing: 531
• ScenarioBased Risk Management Tools: 545
• Price Protection Strategies for an Oil Company: 575
• Numerical Comparison of Conditional ValueatRisk and Conditional: 609
• Stochastic Unit Commitment in Hydrothermal Power Production: 633
• Valuation of Electricity Generation Capacity: 655
• Stochastic Optimization Problems in Telecommunications: 669

About the author

About the Editors Stein W. Wallace is Professor of Quantitative Logistics at Molde University College, Norway. He has held visiting positions at institutions in both Europe and the United States. He is co-author, with Peter Kall of Zrich, of the first textbook in stochastic programming, and he has published more than 50 articles in refereed journals. William T. Ziemba is Alumni Professor of Financial Modeling and Stochastic Optimization at the Sauder School of Business at the University of British Columbia. He has held visiting positions at universities in Europe, the United States, and Asia and is a consultant in the financial and investment industries. He has served as CORS editor of INFOR and department of finance editor of Management Science. He is author or editor of over 20 books and has published over 200 papers in refereed journals.

Bibliographic information

• Title: Applications of Stochastic Programming; Volume 5 of MPS-SIAM Series on Optimization, ISSN 1549-2540; Volume 5 of MPS-SIAM series on optimization: Mathematical Programming Society
• Editors: Stein W. Wallace, William T. Ziemba
• Contributor: Stein W. Wallace
• Edition: illustrated
• Publisher: SIAM, 2005
• ISBN: 0898715555, 9780898715552
• Length: 709 pages
• Subjects: Mathematics / Applied; Mathematics / Linear & Nonlinear Programming; Mathematics / Optimization; Mathematics / Probability & Statistics / Stochastic Processes