Applications of Stochastic Programming
Stein W. Wallace, William T. Ziemba
SIAM, Jan 1, 2005 - Mathematics - 709 pages
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.
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algebraic modeling languages algorithm allocation AMLs application approach approximation asset capacity coefﬁcients computational constraints cost CPLEX CVaR decomposition deﬁned deﬁnition demand denote deterministic deterministic equivalent difﬁcult distribution dynamic efﬁcient estimates eutrophication event tree example expected ﬁeld Figure ﬁle ﬁnal ﬁnancial ﬁnite ﬁrst ﬁxed ﬂow forecast formulation hedge funds horizon implemented index funds input integrated inventory investment Lake Balaton linear programming losses method modeling languages multistage stochastic node objective function Oper optimization model option param parameters period portfolio proﬁt random variables recourse reﬂect region risk management sample satisﬁed scenario tree signiﬁcant simulation SLP-IOR SMPS solution solver solving speciﬁc stage stoch stochastic optimization stochastic process stochastic programming stochastic programming model strategy structure subproblem supply chain Table two-stage uncertainty utility vector yacht ZIEMBA