Stochastic programming:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Amsterdam [u.a.]
Elsevier
2003
|
| Ausgabe: | 1. ed. |
| Schriftenreihe: | Handbooks in operations research and management science
10 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | X, 688 S. graph. Darst. |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804130394889519104 |
|---|---|
| adam_text | Stochastic
Programming
Edited by
A Ruszczynski
Rutgers University
A Shapiro
Georgia Institute of Technology
ELSEVIER
Amsterdam - Boston - London - New York - Oxford - Paris - San Diego
San Francisco - Singapore - Sydney - Tokyo
Contents
Preface v
CHAPTER 1
Stochastic Programming Models
A Ruszczynski and A Shapiro 1
1 Introduction 1
2 Two-stage models 11
3 Multistage models 22
4 Robust and min-max approaches to stochastic optimization 48
5 Appendix 55
6 Bibliographic notes 62
References 63
CHAPTER 2
Optimality and Duality in Stochastic Programming
A Ruszczynski and A Shapiro 65
1 Expectation functions 65
2 Two-stage stochastic programming problems 72
3 Multistage models 93
4 Optimality conditions, basic case 97
5 Optimality conditions for multistage models 99
6 Duality, basic case 103
7 Duality for multistage stochastic programs 115
8 Min-max stochastic optimization 122
9 Appendix 126
10 Bibliographic notes 137
References 138
CHAPTER 3
Decomposition Methods
A Ruszczynski 141
1 Introduction 141
2 The cutting plane method 144
3 Regularized decomposition 161
4 Trust region methods 175
vii
viii Contents
5 Nested cutting plane methods for multistage problems 180
6 Introduction to dual methods 187
7 The dual cutting plane method 192
8 The augmented Lagrangian method 195
9 Progressive hedging 200
10 Bibliographic notes 207
References 209
CHAPTER 4
Stochastic Integer Programming
F V Louveaux and R Schultz 213
1 Introduction 213
2 Structural properties 215
3 Algorithms 235
References 264
CHAPTER 5
Probabilistic Programming
A Prekopa 267
1 Model constructions 267
2 Convexity theory 272
3 Numerical solution of probabilistic constrained stochastic
programming problems 287
4 Dynamic type stochastic programming problems with
probabilistic constraints 309
5 Bounding, approximation and simulation of probabilities 311
6 Duality and stability 334
7 Selected applications 338
References 345
CHAPTER 6
Monte Carlo Sampling Methods
A Shapiro 353
1 Introduction 353
2 Statistical properties of SAA estimators 357
3 Exponential rates of convergence 371
4 Validation analysis 382
5 Variance reduction techniques 393
6 Multistage stochastic programming 399
7 Stochastic generalized equations 410
8 Appendix 416
9 Bibliographic notes 421
References 423
Contents ix
CHAPTER 7
Stochastic Optimization and Statistical Inference
G Ch Pflug 427
1 Uncertain and ambiguous optimization problems 427
2 The empirical problem 430
3 Properties of statistical estimates 433
4 Risk functionals and Lipschitz properties 445
5 Arithmetic means of of iid random variables 449
6 Entropic sizes of stochastic programs 458
7 Epiconvergence 461
8 Epipointwise convergence for stochastic programs 467
9 Asymptotic stochastic programs 470
10 Bibliographic remarks 479
References 480
CHAPTER 8
Stability of Stochastic Programming Problems
W Romisch 483
1 Introduction 483
2 General stability results 488
3 Stability of two-stage and chance constrained programs 510
4 Approximations of stochastic programs 538
5 Bibliographical notes 547
Acknowledgements 548
References 549
CHAPTER 9
Stochastic Programming in Transportation and Logistics
W B Powell and H Topaloglu 555
1 Introduction 555
2 Applications and issues 557
3 Modeling framework 564
4 A case study: freight car distribution 576
5 The two-stage resource allocation problem 579
6 Multistage resource allocation problems 609
7 Some experimental results 623
8 A list of extensions 627
9 Implementing stochastic programming models in the
real world 629
10 Bibliographic notes 631
References 633
x Contents
CHAPTER 10
Stochastic Programming Models in Energy
S W Wallace and S -E Fleten 637
1 Introduction 637
2 Electricity in regulated markets 639
3 Electricity in deregulated markets 653
4 Oil 667
5 Gas 670
6 Conclusion 672
Acknowledgements 673
References 673
Subject Index 679
Contents of Previous Volumes 683
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| spelling | Stochastic programming ed. by A. Ruszczyński ... 1. ed. Amsterdam [u.a.] Elsevier 2003 X, 688 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Handbooks in operations research and management science 10 Stochastische Optimierung Stochastische Optimierung (DE-588)4057625-5 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Stochastische Optimierung (DE-588)4057625-5 s DE-604 Ruszczyński, Andrzej P. Sonstige (DE-588)115267689 oth Handbooks in operations research and management science 10 (DE-604)BV002805695 10 HEBIS Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010614780&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
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| subject_GND | (DE-588)4057625-5 (DE-588)4143413-4 |
| title | Stochastic programming |
| title_auth | Stochastic programming |
| title_exact_search | Stochastic programming |
| title_full | Stochastic programming ed. by A. Ruszczyński ... |
| title_fullStr | Stochastic programming ed. by A. Ruszczyński ... |
| title_full_unstemmed | Stochastic programming ed. by A. Ruszczyński ... |
| title_short | Stochastic programming |
| title_sort | stochastic programming |
| topic | Stochastische Optimierung Stochastische Optimierung (DE-588)4057625-5 gnd |
| topic_facet | Stochastische Optimierung Aufsatzsammlung |
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