Stability, Approximation, and Decomposition in Two- and Multistage Stochastic Programming - Brossura

K\xfcchler, Christian

Brossura

ISBN 10: 3834809217 ISBN 13: 9783834809216

Casa editrice: Vieweg and Teubner, 2009

Riassunto

Stochastic programming provides a framework for modeling, analyzing, and solving optimization problems with some parameters being not known up to a probability distribution. Such problems arise in a variety of applications, such as inventory control, financial planning and portfolio optimization, airline revenue management, scheduling and operation of power systems, and supply chain management. Christian Küchler studies various aspects of the stability of stochastic optimization problems as well as approximation and decomposition methods in stochastic programming. In particular, the author presents and extension of the Nested Benders decomposition algorithm related to the concept of recombining scenario trees. The approach combines the concept of cut sharing with a specific aggregation procedure and prevents an exponentially growing number of sub-problem evaluations. Convergence results and numerical properties are discussed.

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Informazioni sull?autore

Dr. Christian Küchler completed his doctoral thesis at the Humboldt University, Berlin. He currently works as a quantitative analyst at Landesbank Berlin AG.

Dalla quarta di copertina

Stochastic programming provides a framework for modelling, analyzing, and solving optimization problems with some parameters being not known up to a probability distribution. Such problems arise in a variety of applications, such as inventory control, financial planning and portfolio optimization, airline revenue management, scheduling and operation of power systems, and supply chain management.

Christian Küchler studies various aspects of the stability of stochastic optimization problems as well as approximation and decomposition methods in stochastic programming. In particular, the author presents an extension of the Nested Benders decomposition algorithm related to the concept of recombining scenario trees. The approach combines the concept of cut sharing with a specific aggregation procedure and prevents an exponentially growing number of subproblem evaluations. Convergence results and numerical properties are discussed.

Dettagli dell?edizione

• Editore: Vieweg and Teubner
• Data di pubblicazione: 2009
• Lingua: Inglese
• ISBN 10: 3834809217
• ISBN 13: 9783834809216
• Rilegatura: Copertina flessibile
• Numero di pagine: 184
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile