Risk-averse optimization and control: theory and methods
Zusammenfassung: This book offers a comprehensive presentation of the theory and methods of risk-averse optimization and control. Problems of this type arise in finance, energy production and distribution, supply chain management, medicine, and many other areas, where not only the average performanc...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cham
Springer Nature Switzerland, Imprint: Springer
2024
|
| Ausgabe: | 1st ed. 2024 |
| Schriftenreihe: | Springer Series in Operations Research and Financial Engineering
|
| Schlagworte: | |
| Zusammenfassung: | Zusammenfassung: This book offers a comprehensive presentation of the theory and methods of risk-averse optimization and control. Problems of this type arise in finance, energy production and distribution, supply chain management, medicine, and many other areas, where not only the average performance of a stochastic system is essential, but also high-impact and low-probability events must be taken into account. The book is a self-contained presentation of the utility theory, the theory of measures of risk, including systemic and dynamic measures of risk, and their use in optimization and control models. It also covers stochastic dominance relations and their application as constraints in optimization models. Optimality conditions for problems with nondifferentiable and nonconvex functions and operators involving risk measures and stochastic dominance relations are discussed. Much attention is paid to multi-stage risk-averse optimization problems and to risk-averse Markov decision problems. Specialized algorithms for solving risk-averse optimization and control problems are presented and analyzed: stochastic subgradient methods for risk optimization, decomposition methods for dynamic problems, event cut and dual methods for stochastic dominance constraints, and policy iteration methods for control problems. The target audience is researchers and graduate students in the areas of mathematics, business analytics, insurance and finance, engineering, and computer science. The theoretical considerations are illustrated with examples, which make the book useful material for advanced courses in the area. |
| Beschreibung: | XV, 451 Seiten |
| ISBN: | 9783031579875 |
Internformat
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| 505 | 8 | |a Elements of the Utility Theory -- Measures of Risk -- Optimization of Measures of Risk -- Dynamic Risk Optimization -- Optimization with Stochastic Dominance Constraints -- Multivariate and Sequential Stochastic Orders -- Numerical Methods for Problems with Stochastic Dominance Constraints -- Risk-Averse Control of Markov Systems | |
| 520 | 3 | |a Zusammenfassung: This book offers a comprehensive presentation of the theory and methods of risk-averse optimization and control. Problems of this type arise in finance, energy production and distribution, supply chain management, medicine, and many other areas, where not only the average performance of a stochastic system is essential, but also high-impact and low-probability events must be taken into account. The book is a self-contained presentation of the utility theory, the theory of measures of risk, including systemic and dynamic measures of risk, and their use in optimization and control models. It also covers stochastic dominance relations and their application as constraints in optimization models. Optimality conditions for problems with nondifferentiable and nonconvex functions and operators involving risk measures and stochastic dominance relations are discussed. Much attention is paid to multi-stage risk-averse optimization problems and to risk-averse Markov decision problems. Specialized algorithms for solving risk-averse optimization and control problems are presented and analyzed: stochastic subgradient methods for risk optimization, decomposition methods for dynamic problems, event cut and dual methods for stochastic dominance constraints, and policy iteration methods for control problems. The target audience is researchers and graduate students in the areas of mathematics, business analytics, insurance and finance, engineering, and computer science. The theoretical considerations are illustrated with examples, which make the book useful material for advanced courses in the area. | |
| 650 | 0 | |a Mathematical optimization. | |
| 650 | 0 | |a Social sciences--Mathematics. | |
| 650 | 0 | |a Mathematics. | |
| 653 | |a Optimization. | ||
| 653 | |a Mathematics in Business, Economics and Finance. | ||
| 653 | |a Mathematics. | ||
| 700 | 1 | |a Ruszczyński, Andrzej P. |e Sonstige |0 (DE-588)115267689 |4 oth | |
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Datensatz im Suchindex
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| author | Dentcheva, Darinka |
| author_GND | (DE-588)172986877 (DE-588)115267689 |
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| author_role | aut |
| author_sort | Dentcheva, Darinka |
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| classification_rvk | QH 420 |
| contents | Elements of the Utility Theory -- Measures of Risk -- Optimization of Measures of Risk -- Dynamic Risk Optimization -- Optimization with Stochastic Dominance Constraints -- Multivariate and Sequential Stochastic Orders -- Numerical Methods for Problems with Stochastic Dominance Constraints -- Risk-Averse Control of Markov Systems |
| ctrlnum | (OCoLC)1453089250 (DE-599)BVBBV049776832 |
| discipline | Wirtschaftswissenschaften |
| edition | 1st ed. 2024 |
| format | Book |
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| id | DE-604.BV049776832 |
| illustrated | Not Illustrated |
| indexdate | 2024-09-10T00:34:19Z |
| institution | BVB |
| isbn | 9783031579875 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-035117885 |
| oclc_num | 1453089250 |
| open_access_boolean | |
| owner | DE-521 |
| owner_facet | DE-521 |
| physical | XV, 451 Seiten |
| publishDate | 2024 |
| publishDateSearch | 2024 |
| publishDateSort | 2024 |
| publisher | Springer Nature Switzerland, Imprint: Springer |
| record_format | marc |
| series2 | Springer Series in Operations Research and Financial Engineering |
| spelling | Dentcheva, Darinka Verfasser (DE-588)172986877 aut Risk-averse optimization and control theory and methods Darinka Dentcheva, Andrzej Ruszczyński 1st ed. 2024 Cham Springer Nature Switzerland, Imprint: Springer 2024 XV, 451 Seiten txt rdacontent n rdamedia nc rdacarrier Springer Series in Operations Research and Financial Engineering Elements of the Utility Theory -- Measures of Risk -- Optimization of Measures of Risk -- Dynamic Risk Optimization -- Optimization with Stochastic Dominance Constraints -- Multivariate and Sequential Stochastic Orders -- Numerical Methods for Problems with Stochastic Dominance Constraints -- Risk-Averse Control of Markov Systems Zusammenfassung: This book offers a comprehensive presentation of the theory and methods of risk-averse optimization and control. Problems of this type arise in finance, energy production and distribution, supply chain management, medicine, and many other areas, where not only the average performance of a stochastic system is essential, but also high-impact and low-probability events must be taken into account. The book is a self-contained presentation of the utility theory, the theory of measures of risk, including systemic and dynamic measures of risk, and their use in optimization and control models. It also covers stochastic dominance relations and their application as constraints in optimization models. Optimality conditions for problems with nondifferentiable and nonconvex functions and operators involving risk measures and stochastic dominance relations are discussed. Much attention is paid to multi-stage risk-averse optimization problems and to risk-averse Markov decision problems. Specialized algorithms for solving risk-averse optimization and control problems are presented and analyzed: stochastic subgradient methods for risk optimization, decomposition methods for dynamic problems, event cut and dual methods for stochastic dominance constraints, and policy iteration methods for control problems. The target audience is researchers and graduate students in the areas of mathematics, business analytics, insurance and finance, engineering, and computer science. The theoretical considerations are illustrated with examples, which make the book useful material for advanced courses in the area. Mathematical optimization. Social sciences--Mathematics. Mathematics. Optimization. Mathematics in Business, Economics and Finance. Ruszczyński, Andrzej P. Sonstige (DE-588)115267689 oth Erscheint auch als Online-Ausgabe 978-3-031-57988-2 (DE-604)BV049780430 1\p emakn 0,36193 20240709 DE-101 https://d-nb.info/provenance/plan#emakn 2\p emasg 0,74543 20240709 DE-101 https://d-nb.info/provenance/plan#emasg |
| spellingShingle | Dentcheva, Darinka Risk-averse optimization and control theory and methods Elements of the Utility Theory -- Measures of Risk -- Optimization of Measures of Risk -- Dynamic Risk Optimization -- Optimization with Stochastic Dominance Constraints -- Multivariate and Sequential Stochastic Orders -- Numerical Methods for Problems with Stochastic Dominance Constraints -- Risk-Averse Control of Markov Systems Mathematical optimization. Social sciences--Mathematics. Mathematics. |
| title | Risk-averse optimization and control theory and methods |
| title_auth | Risk-averse optimization and control theory and methods |
| title_exact_search | Risk-averse optimization and control theory and methods |
| title_full | Risk-averse optimization and control theory and methods Darinka Dentcheva, Andrzej Ruszczyński |
| title_fullStr | Risk-averse optimization and control theory and methods Darinka Dentcheva, Andrzej Ruszczyński |
| title_full_unstemmed | Risk-averse optimization and control theory and methods Darinka Dentcheva, Andrzej Ruszczyński |
| title_short | Risk-averse optimization and control |
| title_sort | risk averse optimization and control theory and methods |
| title_sub | theory and methods |
| topic | Mathematical optimization. Social sciences--Mathematics. Mathematics. |
| topic_facet | Mathematical optimization. Social sciences--Mathematics. Mathematics. |
| work_keys_str_mv | AT dentchevadarinka riskaverseoptimizationandcontroltheoryandmethods AT ruszczynskiandrzejp riskaverseoptimizationandcontroltheoryandmethods |