Stochastic programming: modeling decisio
โ Klein Haneveld, Willem K
๐ Library
๐
2020
๐ Springer
๐ English
โฆ LIBER โฆ
๐
Stochastic Programming: Modeling Decision Problems Under Uncertainty
โ Scribed by Willem K. Klein Haneveld, Maarten H. van der Vlerk, Ward Romeijnders
- Publisher
- Springer International Publishing
- Year
- 2020
- Tongue
- English
- Leaves
- 255
- Series
- Graduate Texts in Operations Research
- Edition
- 1st ed. 2020
- Category
- Library
โฌ Acquire This Volume
No coin nor oath required. For personal study only.
โฆ Synopsis
This book provides an essential introduction to Stochastic Programming, especially intended for graduate students. The book begins by exploring a linear programming problem with random parameters, representing a decision problem under uncertainty. Several models for this problem are presented, including the main ones used in Stochastic Programming: recourse models and chance constraint models. The book not only discusses the theoretical properties of these models and algorithms for solving them, but also explains the intrinsic differences between the models. In the bookโs closing section, several case studies are presented, helping students apply the theory covered to practical problems.
The book is based on lecture notes developed for an Econometrics and Operations Research course for master students at the University of Groningen, the Netherlands - the longest-standing Stochastic Programming course worldwide.โฆ Table of Contents
Front Matter ....Pages i-xii
Introduction (Willem K. Klein Haneveld, Maarten H. van der Vlerk, Ward Romeijnders)....Pages 1-12
Random Objective Functions (Willem K. Klein Haneveld, Maarten H. van der Vlerk, Ward Romeijnders)....Pages 13-22
Recourse Models (Willem K. Klein Haneveld, Maarten H. van der Vlerk, Ward Romeijnders)....Pages 23-66
Stochastic Mixed-Integer Programming (Willem K. Klein Haneveld, Maarten H. van der Vlerk, Ward Romeijnders)....Pages 67-113
Chance Constraints (Willem K. Klein Haneveld, Maarten H. van der Vlerk, Ward Romeijnders)....Pages 115-138
Integrated Chance Constraints (Willem K. Klein Haneveld, Maarten H. van der Vlerk, Ward Romeijnders)....Pages 139-161
Assignments (Willem K. Klein Haneveld, Maarten H. van der Vlerk, Ward Romeijnders)....Pages 163-179
Case Studies (Willem K. Klein Haneveld, Maarten H. van der Vlerk, Ward Romeijnders)....Pages 181-212
Back Matter ....Pages 213-249
โฆ Subjects
Business and Management; Operations Research/Decision Theory; Probability Theory and Stochastic Processes; Optimization; Economic Theory/Quantitative Economics/Mathematical Methods
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