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© 2014

Multistage Stochastic Optimization

Book

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

  1. 1.Operations ResearchUniversity of Vienna Department of Statistics andViennaAustria
  2. 2.Economics & Technology ManagementNorwegian University of Science and Technology, Department of IndustrialTrondheimNorway

About the authors

Georg Pflug is full professor of Statistics and Operations Research at the University of Vienna, Austria. He got a PhD in Mathematics from the University of Vienna and was Professor of Mathematics at the University of Giessen, Germany, before joining the University of Vienna as a full professor. He is author of 4 books and more than 80 peer reviewed articles. He is also editor of several books and special issues of journals.

Alois Pichler holds a PhD in economic sciences and master degrees in mathematics and physics. He has gathered business experience in different positions in the insurance and banking industry, including managerial positions. He is with the Norwegian University of Science and Technology and his scientific work is dedicated to mathematical properties of risk measures with a particular focus on their relation to insurance, and to optimization under uncertainty.

Bibliographic information

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Reviews

“As stochastic optimization problems can be solved only approximatively, the book presents the mathematical foundations for approximation methods as well as practical algorithms and examples for the generation and handling of scenario trees. … The book, covering the current status in multistage stochastic optimization, can be recommended to readers interested in theoretical as well as in practical aspects of this field.” (Kurt Marti, Mathematical Reviews, June, 2015)