Stability, Approximation, and Decomposition in Two- and Multistage Stochastic Programming

2009
ISBN: 978-3-8348-0921-6
Verlag: Vieweg+Teubner Verlag

Buch, Englisch, 184 Seiten, Paperback, Format (B × H): 148 mm x 210 mm, Gewicht: 275 g

Reihe: Stochastic Programming

Stochastic programming provides a framework for modelling, analyzing, and solving optimization problems with some parameters being not known up to a probability distribution. Such problems arise in a variety of applications, such as inventory control, financial planning and portfolio optimization, airline revenue management, scheduling and operation of power systems, and supply chain management.

Christian Küchler studies various aspects of the stability of stochastic optimization problems as well as approximation and decomposition methods in stochastic programming. In particular, the author presents an extension of the Nested Benders decomposition algorithm related to the concept of recombining scenario trees. The approach combines the concept of cut sharing with a specific aggregation procedure and prevents an exponentially growing number of subproblem evaluations. Convergence results and numerical properties are discussed.

Zielgruppe

Researchers and practitioners working in stochastic programming and risk modelling in engineering and finance

Autoren/Hrsg.

Küchler, Christian

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensforschung
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Mathematik | Informatik Mathematik Operations Research
• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
• Technische Wissenschaften Technik Allgemein Computeranwendungen in der Technik

Inhaltsverzeichnis

Stability of Multistage Stochastic Programs.- Recombining Trees for Multistage Stochastic Programs.- Scenario Reduction with Respect to Discrepancy Distances.

Über Autor(innen)

Küchler, Christian
Dr. Christian Küchler completed his doctoral thesis at the Humboldt University, Berlin. He currently works as a quantitative analyst at Landesbank Berlin AG.