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Multistage Stochastic Optimization

  • Georg Ch. Pflug
  • Alois Pichler

Table of contents

  1. Front Matter
    Pages i-xiv
  2. Georg Ch. Pflug, Alois Pichler
    Pages 1-39
  3. Georg Ch. Pflug, Alois Pichler
    Pages 41-93
  4. Georg Ch. Pflug, Alois Pichler
    Pages 95-123
  5. Georg Ch. Pflug, Alois Pichler
    Pages 125-173
  6. Georg Ch. Pflug, Alois Pichler
    Pages 175-208
  7. Georg Ch. Pflug, Alois Pichler
    Pages 209-228
  8. Georg Ch. Pflug, Alois Pichler
    Pages 229-255
  9. Georg Ch. Pflug, Alois Pichler
    Pages 257-273
  10. Back Matter
    Pages 275-301

About this book

Introduction

Multistage stochastic optimization problems appear in many ways in finance, insurance, energy production and trading, logistics and transportation, among other areas. They describe decision situations under uncertainty and with a longer planning horizon. This book contains a comprehensive treatment of today’s state of the art in multistage stochastic optimization.  It covers the mathematical backgrounds of approximation theory as well as numerous practical algorithms and examples for the generation and handling of scenario trees. A special emphasis is put on estimation and bounding of the modeling error using novel distance concepts, on time consistency and the role of model ambiguity in the decision process. An extensive treatment of examples from electricity production, asset liability management and inventory control concludes the book

Keywords

Distributionally robust decisions Model ambiguity Multistage decisions Scenario generation Stochastic optimization Wasserstein and nested distances

Authors and affiliations

  • Georg Ch. Pflug
    • 1
  • Alois Pichler
    • 2
  1. 1.Operations ResearchUniversity of Vienna Department of Statistics andViennaAustria
  2. 2.Economics & Technology ManagementNorwegian University of Science and Technology, Department of IndustrialTrondheimNorway

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-08843-3
  • Copyright Information Springer International Publishing Switzerland 2014
  • Publisher Name Springer, Cham
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-319-08842-6
  • Online ISBN 978-3-319-08843-3
  • Series Print ISSN 1431-8598
  • Series Online ISSN 2197-1773
  • Buy this book on publisher's site
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