Lectures on Stochastic Programming: Modeling and Theory, Third Edition

Alexander Shapiro; Darinka Dentcheva; Andrzej Ruszczynski

ISBN 10: 1611976588 / ISBN 13: 9781611976588

Editore: SIAM - Society for Industrial and Applied Mathematics, 2021

Third edition NO-PA16APR2015-KAP. Codice articolo 26396161113

Riassunto:

Lectures on Stochastic Programming: Modeling and Theory, Third Edition covers optimization problems involving uncertain parameters for which stochastic models are available. These problems occur in almost all areas of science and engineering.

This substantial revision of the previous edition presents a modern theory of stochastic programming, including expanded coverage of sample complexity, risk measures, and distributionally robust optimization:

• Chapter 6 is updated and the interchangeability principle for risk measures is discussed in detail.
• Two new chapters, 'Distributionally Robust Stochastic Programming' (DRSP) and 'Computational Methods' provide readers with a solid understanding of emerging topics.
• Chapter 8 presents new material on formulation and numerical approaches to solving periodical multistage stochastic programs.

This book is written for researchers and graduate students working on theory and applications of optimization.

Dati bibliografici

Titolo: Lectures on Stochastic Programming: Modeling...
Casa editrice: SIAM - Society for Industrial and Applied Mathematics
Data di pubblicazione: 2021
Legatura: Rilegato
Condizione: New
Edizione: terza edizione