E Book

Generalized Bounds for Convex Multistage Stochastic Programs

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Basic Theory of Stochastic Optimization -- Convex Stochastic Programs -- Barycentric Approximation Scheme -- Extensions -- Applications in the Power Industry -- Conclusions.This work was completed during my tenure as a scientific assistant and d- toral student at the Institute for Operations Research at the University of St. Gallen. During that time, I was involved in several industry projects in the field of power management, on the occasion of which I was repeatedly c- fronted with complex decision problems under uncertainty. Although usually hard to solve, I quickly learned to appreciate the benefit of stochastic progr- ming models and developed a strong interest in their theoretical properties. Motivated both by practical questions and theoretical concerns, I became p- ticularly interested in the art of finding tight bounds on the optimal value of a given model. The present work attempts to make a contribution to this important branch of stochastic optimization theory. In particular, it aims at extending some classical bounding methods to broader problem classes of practical relevance. This book was accepted as a doctoral thesis by the University of St. Gallen in June 2004.1 am particularly indebted to Prof. Dr. Karl Frauendorfer for - pervising my work. I am grateful for his kind support in many respects and the generous freedom I received to pursue my own ideas in research. My gratitude also goes to Prof. Dr. Georg Pflug, who agreed to co-chair the dissertation committee. With pleasure I express my appreciation for his encouragement and continuing interest in my work.

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Informasi Detail

Judul Seri

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No. Panggil

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Penerbit

Berlin, Heidelberg : Springer., 2005

Deskripsi Fisik

XII, 190 p. 21 illus.online resource.

Bahasa

English

ISBN/ISSN

9783540269014

Klasifikasi

519.2

Tipe Isi

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Tipe Media

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Tipe Pembawa

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Edisi

1st ed.

Subjek

Mathematical optimization.
Optimization.
Operations research.
Decision making.
Operations Research/Decision Theory.
Probabilities.
Probability Theory and Stochastic Processes.
Economic theory.
Economic Theory/Quantitative Economics/Mathematical Methods.

Info Detail Spesifik

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Pernyataan Tanggungjawab

Daniel Kuhn.

Versi lain/terkait

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